/raid1/www/Hosts/bankrupt/TCR_Public/140413.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, April 13, 2014, Vol. 18, No. 102
Headlines
AIRCRAFT 2003-A: Moody's Hikes Certificates Rating to 'Ba1'
BANC OF AMERICA 2004-5: S&P Lowers Rating on 2 Note Classes to D
BANC OF AMERICA 2008-1: S&P Affirms CCC- Rating on 2 Note Classes
BCC FUNDING VIII: S&P Assigns Prelim. BB Rating on Class D Notes
CANARAS SUMMIT: Moody's Affirms 'Ba2' Rating on $10.5-Mil. Notes
CARFINANCE 2013-1: Moody's Hikes Rating on Class D Notes to Ba2
COMM 2014-CCRE16: Fitch Assigns 'BB' Rating on Class E Notes
CREDIT SUISSE 2002-CP3: Moody's Affirms Rating on 4 Certs
CREST G-STAR 2001-1: Fitch Raises Rating on Class C Notes to CCC
DEUTSCHE ALT-A 2007-OA4: Moody's Hikes III-A Trust Rating to Caa3
EASTLAND CLO: Moody's Hikes Rating on $48MM Notes to 'B3'
EVERGLADES RE 2014-I: S&P Gives Prelim B Rating to Secured Notes
FIRST UNION 1999-C1: Moody's Cuts IO-1 Certs' Rating to 'Caa2
FIRST UNION 2002-C1: Moody's Affirms C Rating on Class M Certs
FLAGSHIP CLO VI: Moody's Affirms B1 Rating on $20MM Class E Notes
FLAGSHIP CREDIT 2014-1: S&P Gives Prelim BB Rating on Cl. D Notes
FORTRESS CREDIT: S&P Affirms 'BB' Rating on Class E Notes
FRANKLIN CLO V: Moody's Cuts Rating on $13MM Class E Notes to B3
GE COMMERCIAL 2006-C1: Fitch Affirms D Rating on 9 Note Classes
GLACIER FUNDING II: Moody's Hikes Rating on Cl. A-2 Notes to 'Ca'
GOLUB CAPITAL 19(B): Moody's Rates $4.8MM Class E Notes '(P)B2'
HALCYON LOAN 2014-2: Moody's Rates $5.5MM Class E Sr. Notes (P)B2
HUNTINGTON CDO: Moody's Hikes Rating on $125MM Notes to Caa1
JFIN MM 2014: S&P Assigns Preliminary BB Rating on Class E Notes
JP MORGAN 2003-LN1: Moody's Affirms 'C' Ratings on 2 Cert Classes
JP MORGAN 2004-LN2: S&P Lowers Rating on Class E Notes to 'CCC'
JP MORGAN 2006-FL2: Fitch Lowers Rating on Class H Notes to 'CCC'
KEY COMMERCIAL 2007-SL1: Fitch Cuts on Cl. B Notes Rating to CCC
KVK CLO 2014-1: S&P Assigns 'BB' Rating on Class E Notes
LAKESIDE CDO II: Moody's Hikes Rating on Class A-1 Notes to 'B3'
LB-UBS COMMERCIAL 2002-C1: S&P Affirms CCC Rating on Cl. P Notes
LEHMAN BROTHERS-UBS 2001-C3: Fitch Cuts Cl. G Notes Rating to 'B'
MACH ONE 2005-CDN1: DBRS Hikes Class L Certificates' Rating to BB
MARATHON CLO VI: S&P Assigns Prelim. BB Rating on Class D Notes
MORGAN STANLEY 2005-HQ5: Fitch Affirms 'D' Ratings on 5 Notes
MORGAN STANLEY 2007-XLF9: Moody's Affirms C Ratings on 3 Certs
MOUNTAIN CAPITAL IV: Moody's Affirms Ba2 Rating on Cl. B-2L Notes
MOUNTAIN HAWK III: Moody's Rates $24.5-Mil. Class E Notes 'Ba2'
MWAM CBO 2001-1: Moody's Hikes Rating on 2 Note Classes to Caa3
OCTAGON INVESTMENT: S&P Raises Rating on Class E Notes to BB+
PACIFIC BEACON 2006-A: Fitch Affirms 'BB' Rating on Cl. III Bonds
PETRA CRE CDO 2007-1: Fitch Affirms 'C' Ratings on 5 Notes
REALT 2007-1: DBRS Confirms 'BB' Rating on Class F Securities
SARANAC CLO II: Moody's Rates $23MM Class E Notes 'Ba3'
SNAAC AUTO 2014-1: S&P Assigns 'BB' Rating on Class E Notes
STRAITS GLOBAL: Moody's Ups Rating on $248MM Cl. A-1 Notes to B3
THL CREDIT 2014-1: Moody's Assigns (P)Ba3 Rating on $33.5MM Notes
U.S. CAPITAL IV: S&P Lowers Rating on 2 Note Classes to 'D'
VERMONT STUDENT: S&P Lowers Ratings on 15 Trust Classes to 'B'
WACHOVIA BANK 2003-C7: S&P Cuts Rating on Class F Notes to 'BB+'
* Moody's Takes Action on $270MM of RMBS Issued 2003 to 2006
* Moody's Takes Action on $153MM of Alt-A RMBS Issued 2005-2007
* Moody's Takes Action on $105 Million of Subprime RMBS
* Moody's Takes Action on $91MM Alt-A RMBS Issued 2002 to 2004
* S&P Puts 194 Ratings on 56 U.S. CLO Deals on Watch Positive
*********
AIRCRAFT 2003-A: Moody's Hikes Certificates Rating to 'Ba1'
-----------------------------------------------------------
Moody's has upgraded the ratings of the Class E Notes and Trust
Certificates issued by Aircraft Certificate Owner Trust 2003-A.
The complete rating action is as follows:
Issuer: Aircraft Certificate Owner Trust 2003-A
Class E, Upgraded to Baa3 (sf); previously on Nov 2, 2009
Downgraded to Ba3 (sf)
Certificates, Upgraded to Ba1 (sf); previously on Nov 2, 2009
Downgraded to Ba3 (sf)
Ratings Rationale
The Aircraft Certificate Owner Trust Notes and Certificates are
backed by debt issued under three Enhanced Equipment Trust
Certificate transactions ("underlying EETCs"). The underlying
EETCs were issued by three separate pass through trusts, the
obligations of which are secured by leases and loans to US
Airways, Inc. on various Airbus planes. The underlying EETCs are
supported by insurance policies issued by MBIA Insurance
Corporation (currently rated B3 and under review for possible
upgrade).
Loss and cash flow analysis:
The upgrades reflect the upgrades in each of the underlying EETCs
supporting the Aircraft Certificate Owner Trust 2003-A notes. Two
of the three underlying EETCs were upgraded from Ba3 to Baa3, and
the remaining underlying EETC was upgraded from Ba2 to Baa2, on
December 5, 2013.
The upgrades for the Class E notes and the Certificates have a
difference of one notch because principal payments to the
Certificates become subordinated to principal payments to the
Class E notes under an Event of Default, including a guarantor
default in the performance of any of the guarantor's payment
obligations on the underlying EETCs. Consequently, the
Certificates would realize a larger loss severity than the Class E
notes in an Event of Default.
Methodology
The principal methodology used in this rating was "Moody's
Approach to Rating Resecuritizations" published in February 2014.
Primary sources of uncertainty include the global economic
environment and the strength of specific aircraft types in the
three EETCs.
Factors that would lead to an upgrade or downgrade of the rating:
Changes to ratings of the underlying EETCs.
BANC OF AMERICA 2004-5: S&P Lowers Rating on 2 Note Classes to D
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, and E commercial mortgage pass-through certificates from
Banc of America Commercial Mortgage Inc.'s series 2004-5, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P lowered its ratings on the class J and K
certificates from the same transaction to 'D (sf)'. Furthermore,
S&P affirmed its ratings on seven other classes of certificates
from the same transaction, including its 'AAA (sf)' rating on the
class XC interest-only (IO) certificates.
"Our rating actions follow our analysis of the transaction
primarily using our criteria for rating U.S. and Canadian CMBS
transactions. Our analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust," S&P said.
The raised ratings on the class B, C, D, and E certificates
reflect S&P's expectation that the available credit enhancement
for these classes is above its most recent estimate of the
necessary credit enhancement required for the current ratings.
The upgrades also reflect S&P's views regarding the current and
future performance of the transaction's collateral, as well as the
deleveraging of the trust balance.
While the available credit enhancement levels may suggest
additional positive ratings movement on the upgraded classes,
S&P's analysis considered the possibility of reduced liquidity
support. S&P considered the potential for future interest
shortfalls resulting from the following:
-- The specially serviced Simon--Cheltenham Square Mall loan
being deemed nonrecoverable;
-- Poor performing near-term maturing loans transferring to
special servicing; and
-- Corrected mortgage fees related to modified loans.
S&P lowered its ratings on the class J and K certificates to 'D
(sf)' to reflect its expectation that the accumulated interest
shortfalls will remain outstanding for the foreseeable future.
The class J and K certificates both currently have accumulated
interest shortfalls outstanding for nine consecutive months.
As of the March 10, 2014, trustee remittance report, the trust
experienced net monthly interest shortfalls totaling $151,076.
The interest shortfalls were primarily related to $129,480 in
appraisal subordinate entitlement reduction (ASER) amounts, of
which $118,171 was related to the Simon--Cheltenham Square Mall
loan. The current monthly interest shortfalls affected all
classes subordinate to and including class J.
The affirmed ratings on the principal and interest certificates
reflect S&P's expectation that the available credit enhancement
for these classes will be within its estimate of the necessary
credit enhancement required for the current ratings. The affirmed
ratings also reflect S&P's analysis of the credit characteristics
and performance of the remaining assets, as well as liquidity
support available to the classes.
The 'AAA (sf)' rating affirmation on the class XC IO certificates
reflect S&P's current criteria for rating IO securities.
RATINGS RAISED
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-5
Rating
Class To From Credit
enhancement (%)
B AAA (sf) AA+ (sf) 27.69
C AA+ (sf) AA (sf) 24.94
D A+ (sf) A (sf) 20.48
E A (sf) A- (sf) 18.07
RATINGS LOWERED
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-5
Rating
Class To From Credit
enhancement (%)
J D (sf) CCC- (sf) 6.38
K D (sf) CCC- (sf) 5.01
RATINGS AFFIRMED
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-5
Class Rating Credit
enhancement (%)
A-4 AAA (sf) 53.81
A-1A AAA (sf 53.81
A-J AAA (sf) 35.60
F BBB (sf) 14.63
G BB (sf) 12.23
H CCC (sf) 7.76
XC AAA (sf) N/A
N/A-Not applicable.
BANC OF AMERICA 2008-1: S&P Affirms CCC- Rating on 2 Note Classes
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from Banc
of America Commercial Mortgage Trust 2008-1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its ratings on 10 other classes from the same
transaction, including the class XW interest-only (IO)
certificates.
S&P's rating actions follow its analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust.
"We raised our ratings on classes A-4 and A-1A to 'AA (sf)' from
'A+ (sf)' to reflect our expectation of the available credit
enhancement for these tranches, which we believe is greater than
our most recent estimate of necessary credit enhancement for the
respective rating levels. The upgrades also reflect our views
regarding the current and future performance of the transaction's
collateral. We also considered the recent full repayment of the
former sixth-largest loan, the Arundel Mills loan ($62.7 million),
as well as the specially serviced assets that liquidated with
fewer losses than we originally expected," S&P said.
The affirmations on the principal- and interest-paying
certificates reflect S&P's expectation that the available credit
enhancement for these classes will be within its estimate of the
necessary credit enhancement required for the current ratings.
The affirmed ratings also reflect S&P's analysis of the credit
characteristics and performance of the remaining assets, the
transaction-level changes, and the liquidity support available to
the classes.
S&P affirmed its 'AAA (sf)' rating on the class XW IO certificates
based on its criteria for rating IO securities.
According to the March 10, 2014, trustee remittance report, the
trust experienced net monthly interest recoveries totaling $5.30
million, primarily because of net appraisal subordination
entitlement reduction recoveries totaling $890,239 and other
interest adjustment recoveries totaling $4.64 million. These
recoveries resulted from the liquidation of the North Bergen
Center loan, the Hawthorn Suites-Orlando Airport loan, and the
Pinellas Point Apartments loan. The net interest recoveries were
offset by special servicing fees of $29,002, reimbursed interest
on advances of $23,524, interest not advanced of $172,481, and
workout fees of $9,898.
RATINGS RAISED
Banc of America Commercial Mortgage Trust 2008-1
Commercial mortgage pass-through certificates
Rating
Class To From Credit
enhancement (%)
A-4 AA (sf) A+ (sf) 30.61
A-1A AA (sf) A+ (sf) 30.61
RATINGS AFFIRMED
Banc of America Commercial Mortgage Trust 2008-1
Commercial mortgage pass-through certificates
Class Rating Credit
enhancement (%)
A-3 AAA (sf) 30.61
A-SB AAA (sf) 30.61
A-M BBB- (sf) 18.90
A-J B+ (sf) 11.59
B B (sf) 10.27
C B- (sf) 8.96
D CCC (sf) 7.93
E CCC- (sf) 6.91
F CCC- (sf) 5.88
XW AAA (sf) N/A
N/A-Not applicable.
BCC FUNDING VIII: S&P Assigns Prelim. BB Rating on Class D Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to BCC Funding VIII's $151.739 million equipment contract-
backed notes series 2014-1.
The note issuance is an asset-backed securities (ABS) transaction
backed by small-ticket equipment leases and loans and associated
equipment.
The preliminary ratings are based on information as of April 8,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The transaction's status as Balboa Capital Corp.'s (BCC)
first stand-alone ABS issuance. BCC, the originator and
servicer for the transaction, is an Irvine, Calif.-based
equipment financing company that was founded in 1988, with
June 30, 2013, total receivables of $166 million. While BCC
has sponsored equipment leasing ABS previously, this is its
first transaction without the benefit of financial
guarantees from an insurer.
-- The availability of approximately 15.76%, 14.00%, 10.53%,
and 8.24% credit support (based on stressed break-even cash
flow scenarios) for the class A, B, C, and D notes,
respectively. The credit support covers approximately 3.0x,
2.7x, 2.0x, and 1.5x the midpoint of our expected net loss
range of 5.10%-5.40% for the class A, B, C, and D notes,
respectively.
-- The timely interest (without deferral) and principal
payments made under stressed cash flow modeling scenarios
that S&P believes is appropriate for the assigned
preliminary ratings. The transaction documents permit
deferred interest payments to the subordinated notes;
however, S&P's preliminary ratings reflect the timely
interest payments without any deferral. S&P's stressed cash
flow assumptions assume a 1.00% annual servicing fee, as
well as what S&P believes to be conservative cost and
expense payments to the backup servicer, trustee, custodian,
and securities intermediary because these amounts are not
capped upon an event of default.
-- The collateral characteristics of the securitized pool of
equipment loans and leases. The pool is highly diversified
by obligor, state, equipment type, and vendor. S&P's loss
proxy considers the pool's concentrations by origination
segment (direct application, direct commercial, and vendor),
which have differing historical performances.
-- The backup servicer, Portfolio Financial Servicing Co.
-- The transaction's legal structure.
PRELIMINARY RATINGS ASSIGNED
BCC Funding VIII (Series 2014-1)
Class Rating Type Interest Amount
rate (mil. $)
A A (sf) Senior Fixed 139.661
B A- (sf) Subordinate Fixed 2.799
C BBB (sf) Subordinate Fixed 5.519
D BB (sf) Subordinate Fixed 3.760
CANARAS SUMMIT: Moody's Affirms 'Ba2' Rating on $10.5-Mil. Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Canaras Summit CLO, Limited:
$18,000,000 Class B Floating Rate Notes Due June 19, 2021,
Upgraded to Aaa(sf); previously on April 29, 2013 Upgraded to
Aa1(sf);
$17,000,000 Class C Floating Rate Notes Due June 19, 2021,
Upgraded to A1(sf); previously on April 29, 2013 Upgraded to
A3(sf);
$10,000,000 Class D Floating Rate Notes Due June 19, 2021,
Upgraded to Baa2(sf); previously on April 29, 2013 Affirmed
Ba1(sf);
$10,500,000 Class E Floating Rate Notes Due June 19, 2021,
Upgraded to Ba2(sf); previously on April 29, 2013 Affirmed
Ba3(sf).
Moody's also affirmed the ratings on the following notes:
$148,500,000 Class A-1 Floating Rate Notes Due June 19, 2021
(current outstanding balance of $ 97,391,251.40), Affirmed
Aaa(sf); previously on April 29, 2013 Affirmed Aaa (sf);
$75,000,000 Class A-2 Floating Rate Notes Due June 19, 2021
(current outstanding balance of $ 49,187,500.69), Affirmed
Aaa(sf); previously on April 29, 2013 Affirmed Aaa (sf).
Canaras Summit CLO, Limited, issued in June 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in June 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 March 2013. The Class A notes have
been paid down by approximately 32% or $70.1 million since March
2013. Based on the trustee's March 2014 report, the over-
collateralization (OC) ratios for the Class A/B, Class C, Class D
and Class E notes are reported at 127.87%, 117.44%, 112.07% and
106.93%, respectively, versus March 2013 levels of 123.75%,
115.4%, 110.99% and 106.71%, respectively.
The deal has also benefited from an improvement in the credit
quality of the portfolio since March 2013. Based on the trustee's
March 2014 report, the weighted average rating factor is currently
2387 compared to 2446 in March 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
February 2014."
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:
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.
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.
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.
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.
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.
Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen owing to the manager's decision to reinvest into new
issue loans or loans with longer maturities, or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis. Life
extension can increase the default risk horizon and assumed
cumulative default probability of CLO collateral.
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% (1978)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +3
Class D: +3
Class E: +2
Moody's Adjusted WARF + 20% (2698)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
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 February 2014.
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 million, defaulted par
of $4.5 million, a weighted average default probability of 17.08%
(implying a WARF of 2473), a weighted average recovery rate upon
default of 49.6%, a diversity score of 59 and a weighted average
spread of 3.36%.
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.
CARFINANCE 2013-1: Moody's Hikes Rating on Class D Notes to Ba2
---------------------------------------------------------------
Moody's Investor Services has upgraded 4 tranches from CarFinance
2013-1 securitization originated and serviced by CarFinance
Capital LLC.
The complete rating actions as follow:
Issuer: CarFinance Capital Auto Trust 2013-1
Class A Notes, Upgraded to A1 (sf); previously on Jun 3, 2013
Definitive Rating Assigned A3 (sf)
Class B Notes, Upgraded to A3 (sf); previously on Jun 3, 2013
Definitive Rating Assigned Baa1 (sf)
Class C Notes, Upgraded to Baa2 (sf); previously on Jun 3, 2013
Definitive Rating Assigned Baa3 (sf)
Class D Notes, Upgraded to Ba2 (sf); previously on Jun 3, 2013
Definitive Rating Assigned Ba3 (sf)
Ratings Rationale
The actions are a result of build-up of credit enhancement
relative to remaining losses due to the sequential pay structure
and non-declining reserve account. The performance has been stable
and the cumulative lifetime net loss expectation on the
transaction remains unchanged from the loss expectation at
closing. In addition, the upgrade of the senior tranche above A3
(sf) is due to the declining operational risk as the pool seasons.
Below are key performance metrics (as of the March 2014
distribution date) and credit assumptions for each affected
transaction. Credit assumptions include Moody's expected lifetime
CNL expected range/loss which is expressed as a percentage of the
original pool balance; Moody's lifetime remaining CNL expectation
and Moody's Aaa (sf) level which are expressed as a percentage of
the current pool balance. The Aaa (sf) level is the level of
credit enhancement that would be consistent with a Aaa (sf) rating
for the given asset pool. Performance metrics include pool factor
which is the ratio of the current collateral balance to the
original collateral balance at closing; total credit enhancement,
which typically consists of subordination, overcollateralization,
and a reserve fund; and per annum excess spread.
Issuer - CarFinance Capital Auto Trust 2013-1
Lifetime CNL expectation - 12.00%
Lifetime Remaining CNL expectation -13.12%
Aaa (sf) level - 48.0%
Pool factor - 75.21%
Total Hard credit enhancement - Class A 62.12%, Class B 30.20%,
Class C 22.89%, Class D 16.91%
Excess Spread per annum -- Approximately 9.6%
Principal Methodology
The principal methodology used in this rating was "Moody's
Approach to Rating Auto Loan-Backed ABS" published in May 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher
frequency of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
COMM 2014-CCRE16: Fitch Assigns 'BB' Rating on Class E Notes
------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Deutsche Bank Securities, Inc.'s COMM 2014-CCRE16
Commercial Mortgage Pass-Through Certificates:
-- $54,127,000 class A-1 'AAAsf'; Outlook Stable;
-- $144,926,000 class A-2 'AAAsf'; Outlook Stable;
-- $74,206,000 class A-SB 'AAAsf'; Outlook Stable;
-- $190,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $281,426,000 class A-4 'AAAsf'; Outlook Stable;
-- $819,153,000a class X-A 'AAAsf'; Outlook Stable;
-- $74,468,000b class A-M 'AAAsf'; Outlook Stable;
-- $58,513,000b class B 'AA-sf'; Outlook Stable;
-- $180,853,000b class PEZ 'A-sf'; Outlook Stable;
-- $47,872,000b class C 'A-sf'; Outlook Stable;
-- $160,906,000a,c class X-B 'BBB-sf'; Outlook Stable;
-- $25,266,000a,c class X-C 'BBsf'; Outlook Stable;
-- $54,521,000c class D 'BBB-sf'; Outlook Stable;
-- $25,266,000c class E 'BBsf'; Outlook Stable;
-- $10,639,000c class F 'Bsf'; Outlook Stable.
(a) Notional amount and interest only.
(b) Class A-M, B and C certificates may be exchanged for class
PEZ certificates, and class PEZ certificates may be exchanged
for class A-M, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
Fitch does not rate the $58,511,908 interest-only class X-D or the
$47,872,908 class G. Since Fitch issued its expected ratings on
Mar. 24, 2014, one class balance (X-C) has been updated by the
issuer and will capture excess spread from the associated class E,
and one class (X-D) has been added to the deal structure by the
issuer. The classes above reflect the final ratings and deal
structure.
The certificates represent the beneficial ownership interest in
the trust, primary assets of which are 56 loans secured by 84
commercial properties having an aggregate principal balance of
approximately $1.064 billion, as of the cutoff date. The loans
were contributed to the trust by Cantor Commercial Real Estate
Lending, L.P., German American Capital Corporation, and The
Bancorp Bank.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.1% of the properties
by balance, cash flow analysis of 87.7%, and asset summary reviews
on 93.1% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch DSCR and LTV of 1.13x and
108.5%, respectively, are worse than the 2013 and YTD 2014
averages of 1.29x and 101.6%, and 1.16x and 104.9%, respectively.
Traditional Property Type Mix: The pool contains a traditional mix
of property types with the largest property type in the pool being
office at 30.8%, followed by retail at 21.6%, hotel at 15.3%,
mixed use at 14.2%, and multifamily at 13.4% of the pool. No
other property type comprises more than 3.3% of the pool.
Limited Amortization: The pool is scheduled to amortize by 12.6%
of the initial pool balance prior to maturity. The pool's
concentration of partial interest loans (42.1%), 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 (14.2%), including two of the 10 largest loans, is
slightly lower than the 2013 average (17.1%).
Geographic Concentration: The largest state concentrations are New
York (22.6%) and California (18.8%), which together includes six
of the 10 largest loans. No other state represents more than 9.2%
of the pool.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 5.7% below
the full-year 2013 net operating income (NOI; for properties that
provided 2013 NOI, excluding properties that were stabilizing
during this period). Unanticipated further declines in property-
level NCF could result in higher defaults and loss severities on
defaulted loans, and could result in potential rating actions on
the certificates. Fitch evaluated the sensitivity of the ratings
assigned to COMM 2014-CCRE16 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 on pages 75-77.
The master servicer is KeyBank National Association, rated 'CMS1'
by Fitch. The special servicer is LNR Partners, LLC, rated
'CSS1-' by Fitch.
CREDIT SUISSE 2002-CP3: Moody's Affirms Rating on 4 Certs
---------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
of Credit Suisse First Boston Mortgage Securities, Commercial
Mortgage Pass-Through Certificates, Series 2002-CP3 as follows:
Cl. L, Affirmed Caa2 (sf); previously on Apr 12, 2013 Upgraded to
Caa2 (sf)
Cl. M, Affirmed C (sf); previously on Apr 12, 2013 Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on Apr 12, 2013 Affirmed C (sf)
Cl. A-X, Affirmed Caa3 (sf); previously on Apr 12, 2013 Downgraded
to Caa3 (sf)
Ratings Rationale
The ratings on the P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class was affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes is consistent with Moody's expectations.
Moody's base expected loss plus realized losses is now 3.7% of the
original pooled balance, compared to 3.3% at the last review.
Factors That Would Lead to a Upgrade or Downgrade of the Ratings
Downgrade
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.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 91% of the pool is in
special servicing and performing conduit loans only represent 9%
of the pool. In this approach, Moody's determines a probability of
default for each specially serviced loan that it expects will
generate a loss and estimates a loss given default based on a
review of broker's opinions of value (if available), other
information from the special servicer, available market data and
Moody's internal data. The loss given default for each loan also
takes into consideration repayment of servicer advances to date,
estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected
loss estimate, Moody's then applies the aggregate loss from
specially serviced loans to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).
Dexcription 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 3 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 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 March 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $27 million
from $896 million at securitization. The certificates are
collateralized by five mortgage loans ranging in size from less
than 1% to 48% of the pool, with the top two loans constituting
91% of the pool. The pool does not currently contain any defeased
loans, loans with credit assessments or loans on the master
servicer's watchlist.
Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $6.8 million (for an average loss
severity of 14%). The top two loans, constituting 91% of the pool,
are currently in special servicing. The largest specially serviced
loan is the River Street Square Loan ($12.9 million -- 48.3% of
the pool), which is secured by a 267,000 square foot (SF) power
center located in Elyria, Ohio. The mall transferred to special
servicing in April 2012 due to monetary default. Wal-Mart, was
previously the center's largest tenant, but vacated approximately
120,000 SF at its August 2012 lease expiration. The property
became real estate owned (REO) in October 2013 and the loan was
declared non-recoverable in July 2013. The property was 36% leased
as of December 2013. The servicer indicated they will market the
property for sale. The servicer has recognized an $10.4 million
appraisal reduction for this loan.
The second largest specially serviced loan is the 5440 Corporate
Drive Office Building ($11.4 million -- 42.7%), which is secured
by a 92,000 SF office property in Troy, Michigan. The property
transferred to special servicing in February 2010 due to payment
default. The property became REO in October 2011 and the loan was
declared non-recoverable in early 2012. The property was 72%
leased as of December 2013 compared to 22% as of December 2012.
RHH Holdings Company signed 42,000 SF (45% of the net rentable
area) lease effective November 2013. The servicer indicated they
intend to liquidate the asset through auction. The servicer has
recognized an $11.4 million appraisal reduction for this loan.
The conduit portion only represents 9% of the deal and consists of
three loans, each less than $1.2 million. Each conduit loan is
amortizing. The conduit loans have amortized 15% since
securitization on average. Moody's conduit LTV and stressed DSCR
are 69% and 1.44X, respectively, compared to 70% and 1.41X at last
review. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
CREST G-STAR 2001-1: Fitch Raises Rating on Class C Notes to CCC
----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed one class issued
by Crest G-Star 2001-1, LP (Crest G-Star 2001-1). A complete list
of rating actions follows at the end of this release.
KEY RATING DRIVERS
The upgrade is primarily due to the deleveraging of the
transaction resulting from the significant paydown since Fitch's
last rating action in April 2013. Since the last rating action,
approximately 11.81% of the collateral has been downgraded and
46.81% has been upgraded. Currently, 65.31% of the portfolio has a
Fitch derived rating below investment grade and 53.19% has a
rating in the 'CCC' category and below, compared to 77.7% and
60.8%, respectively, at the last rating action. Over this period,
the transaction has received $25.8 million in pay downs, which has
resulted in the full repayment of the class B notes.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Additionally, an asset by asset analysis was then
performed for the remaining assets to determine the collateral
coverage for the remaining liabilities. Based on this analysis,
the credit enhancement for the class C notes is consistent with a
'CCCsf' rating, indicating that default is possible.
For the class D notes, Fitch analyzed each class' sensitivity to
the default of the distressed assets ('CCC' and below). Given the
high probability of default of the underlying assets and the
expected limited recovery prospects upon default, the class D
notes have been affirmed at 'Csf', indicating that default is
inevitable.
RATING SENSITIVITY
In addition to those sensitivities discussed above, further
negative migration and defaults beyond those projected by SF PCM
as well as increasing concentration in assets of a weaker credit
quality could lead to downgrades.
Crest G-Star 2001-1 is a static collateralized debt obligation
(CDO) that closed on Dec. 18, 2001. The current portfolio consists
of 99.2% commercial mortgage-backed securities from the 1999
through 2001 vintages and 0.8% commercial real estate loans.
Fitch has taken the following actions:
-- $25,550,831 class C notes upgraded to 'CCCsf' from 'Csf';
-- $20,524,209 class D notes affirmed at 'Csf'.
DEUTSCHE ALT-A 2007-OA4: Moody's Hikes III-A Trust Rating to Caa3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
from Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-
OA4. The transaction is backed by Option ARM loans.
Complete rating action is as follows:
Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series
2007-OA4
Cl. A-4, Upgraded to Baa3 (sf); previously on Jan 23, 2014 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. III-A-1, Upgraded to Caa3 (sf); previously on Dec 3, 2010
Confirmed at Ca (sf)
Ratings Rationale
The rating action of the class A-4 certificate reflects that no
losses are being allocated to the class A-4 certificate by the
bond administrator based on its interpretation of the pooling and
servicing agreement. The class A-4 certificate was placed on
review for upgrade on January 23, 2014 due to the discrepancy
between the prospectus which states losses should be allocated to
the class A-4 certificate after the mezzanine certificates are
depleted and the pooling and servicing agreement which omits the
certificate from the loss allocation waterfall. The rating action
of the class III-A-1 is a result of the recent performance of the
underlying pool and reflect Moody's updated loss expectations on
the pool.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in March 2014 from 7.5%
in March 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.
EASTLAND CLO: Moody's Hikes Rating on $48MM Notes to 'B3'
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Eastland CLO, Ltd.:
$206,000,000 Class A-2b Floating Rate Senior Secured Extendable
Notes Due May 1, 2022, Upgraded to Aaa (sf); previously on
October 11, 2011 Upgraded to Aa1 (sf)
$78,500,000 Class A-3 Floating Rate Senior Secured Extendable
Notes Due May 1, 2022, Upgraded to Aa2 (sf); previously on
October 11, 2011 Upgraded to Aa3 (sf)
$81,500,000 Class B Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due May 1, 2022, Upgraded to A3 (sf);
previously on October 11, 2011 Upgraded to Baa1 (sf)
$68,500,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due May 1, 2022, Upgraded to Ba2
(sf); previously on October 11, 2011 Upgraded to B1 (sf)
$48,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due May 1, 2022 (current outstanding
balance of $37,636,187), Upgraded to B3 (sf); previously on
October 11, 2011 Upgraded to Caa3 (sf)
Moody's also affirmed the ratings on the following notes:
$100,000,000 Class A-1 Floating Rate Senior Secured Extendable
Notes Due 2022 (current outstanding balance of $88,830,216),
Affirmed Aaa (sf); previously on October 11, 2011 Upgraded to
Aaa (sf)
$825,600,000 Class A-2a Floating Rate Senior Secured Extendable
Notes Due 2022 (current outstanding balance of $710,372,513),
Affirmed Aaa (sf); previously on October 11, 2011 Upgraded to
Aaa (sf)
Eastland CLO, Ltd., issued in March 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans, with exposure to CLO tranches.
Ratings Rationale
These rating actions primarily 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. The
weighted average recovery rate of the portfolio has also improved
since the last rating review. Additionally, Moody's notes that
because all of the overcollateralization tests are in compliance,
the Class D notes are no longer deferring interest and all
previously deferred interest on the Class C and Class D notes have
been paid in full. Furthermore, the Class D notes' principal
balance has amortized by $3.6 million since the closing date due
to previous failures in the Class D overcollateralization test.
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) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen owing to the manager's decision to participate in amend-
to-extend offerings. Life extension can increase the default risk
horizon and assumed cumulative default probability of CLO
collateral.
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% (2149)
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
Moody's Adjusted WARF + 20% (3223)
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 February 2014.
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 $1.3 billion, defaulted par
of $90 million, a weighted average default probability of 18.88%
(implying a WARF of 2686), a weighted average recovery rate upon
default of 50.19%, a diversity score of 51 and a weighted average
spread of 3.21%.
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.
EVERGLADES RE 2014-I: S&P Gives Prelim B Rating to Secured Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services said that it has assigned its
preliminary 'B(sf)' rating to the series 2014-I senior secured
notes to be issued by Everglades Re Ltd. The notes cover losses
in Florida from hurricanes on an annual aggregate basis.
S&P based the preliminary rating on the lowest of the natural
catastrophe (nat-cat) risk ('B'), the rating on the assets in the
reinsurance trust account ('AAAm'), and the creditworthiness of
the ceding insurer. S&P do not maintain an interactive rating on
the cedant, however, it currently rates its bonds 'A+'.
This is the third such issuance by Everglades Re Ltd. and the
first with an annual aggregate trigger that has been used. These
notes will sit in the reinsurance layer currently housing the
series 2012-I notes that mature on April 30, 2014.
RATING LIST
Citizens Insurance Co. of America (MI)
Issuer credit rating A-/Stable
New Rating
Everglades Re Ltd.
Sr sec notes series 2014-I B(sf) prelim
FIRST UNION 1999-C1: Moody's Cuts IO-1 Certs' Rating to 'Caa2
-------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class,
affirmed the rating of one class and downgraded the rating of one
class of First Union Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 1999-C1 as follows:
Cl. F, Upgraded to A2 (sf); previously on Apr 4, 2013 Affirmed
Baa1 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Apr 4, 2013 Affirmed Caa3
(sf)
Cl. IO-1, Downgraded to Caa2 (sf); previously on Apr 4, 2013
Downgraded to Caa1 (sf)
Ratings Rationale
The rating on P&I Class F was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 36% since Moody's last
review.
The rating on P&I Class G was affirmed because the rating are
consistent with Moody's expected loss.
The rating on the IO Class IO-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 20.3% of
the current balance, compared to 16.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.6% of the
original pooled balance, compared to 4.0% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "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.
Moody's analysis incorporated a Credit Tenant Lease (CTL)
financing approach in assessing the credit quality of the pool's
CTL component. In this approach, the rating of the CTL component
is based primarily on the senior unsecured debt rating (or the
corporate family rating) of the tenants, usually investment-grade-
rated companies, leasing the real estate collateral supporting the
bonds. The tenants' credit rating is the key factor in determining
the probability of default on the underlying lease. The lease
generally is "bondable," which means it is an absolute net lease,
yielding a fixed rent paid to the trust through a lock box,
sufficient under all circumstances to pay in full all interest and
principal of the loan. The leased property should be owned by a
bankruptcy-remote special purpose borrower, which grants a first-
lien mortgage and assignment of rents to the securitization trust.
Moody's determines a dark value of the collateral, (which assumes
the property is vacant or dark), which the agency uses to
determine a recovery rate upon a loan's default. Moody's currently
uses a Gaussian copula model, incorporated in its public CDO
rating model CDOROMv2.12-2, to generate a portfolio loss
distribution to assess the ratings.
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 v 8.7 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
The distribution date, the transaction's aggregate certificate
balance has decreased by 91% to $100 million from $1.2 billion at
securitization. The certificates are collateralized by 36 mortgage
loans ranging in size from less than 1% to 18% of the pool. Eleven
loans, constituting 27% of the pool, have defeased and are secured
by US government securities. The pool contains a credit tenant
lease (CTL) component which represents 33% of the pool.
Three 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.
Thirty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $21.2 million (for an average loss
severity of 23%). One loan, constituting 18% of the pool, is
currently in special servicing. The largest specially serviced
loan is the Prince George's Metro Center Loan ($18.2 million --
18.2% of the pool), which is secured by a 374,061 square foot (SF)
office property located in Hyattsville, Maryland. The loan
transferred to special servicing in June 2009 at the result of
delinquent payments. As of January 2014, the property was 71%
leased. The trust took control of the title to the property in
August 2013.
Moody's received full year 2012 operating results for 88% of the
pool. Moody's weighted average conduit LTV is 54%, compared to 71%
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 10.1%.
Moody's actual and stressed conduit DSCRs are 1.35X and 2.21X,
respectively, compared to 1.18X and 1.82X 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 18% of the pool balance. The
largest loan is New Brighton Manor Loan ($7.9 million -- 8.0% of
the pool), which is secured by a 300-bed skilled nursing home
located in Staten Island, New York. As of March 2013, the property
was 95% occupied, compared to 92% at last review. The loan was
previously on the master servicer's watchlist due to low DSCR, but
was removed in September 2013. Moody's LTV and stressed DSCR are
62% and 2.45X, respectively, compared to 116% and 1.30X at last
review.
The second largest loan is the Kelton Towers Loan ($6.1 million
-- 6.1% of the pool), which is secured by a 105-unit multifamily
property located in Westwood, California. The property was 95%
leased as of September 2013 compared to 87% at the last review.
Moody's LTV and stressed DSCR are 40% and 2.02X, respectively,
compared to 43% and 2.19X at last review.
The third largest loan is the Birchwood Apartments Loan ($3.8
million -- 3.8% of the pool), which is secured by a 276-unit
multifamily property located in Dallas, Texas. As of October 2013,
the property was 83% leased. The loan is currently on the master
servicer's watchlist due to several deferred maintenance items
noted during a January 2014 property inspection. Moody's LTV and
stressed DSCR are 47% and 2.11X, respectively, compared to 64% and
1.54X at last review.
The CTL component consists of 19 loans, constituting 33% of the
pool, secured by properties leased to six tenants. The largest
exposures are Rite Aid ($14.8 million -- 14.8% of the pool) and
Walgreens ($5.3 million -- 5.3% of the pool). Four of the tenants
have a Moody's rating and Moody's has completed updated credit
assessments for the non-Moody's rated tenants. The bottom-dollar
weighted average rating factor (WARF) for this pool is 3474,
compared to 4271 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.
FIRST UNION 2002-C1: Moody's Affirms C Rating on Class M Certs
--------------------------------------------------------------
Moody's Investors Service upgraded the rating of two classes and
affirmed three classes of First Union National Bank Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2002-C1 as follows:
Cl. J, Upgraded to Baa2 (sf); previously on Apr 18, 2013 Upgraded
to Ba1 (sf)
Cl. K, Upgraded to Ba2 (sf); previously on Apr 18, 2013 Affirmed
B1 (sf)
Cl. L, Affirmed Caa1 (sf); previously on Apr 18, 2013 Affirmed
Caa1 (sf)
Cl. M, Affirmed C (sf); previously on Apr 18, 2013 Affirmed C (sf)
Cl. IO-I, Affirmed Caa2 (sf); previously on Apr 18, 2013 Affirmed
Caa2 (sf)
Ratings Rationale
The ratings on the P&I classes, J and K, were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization.
The ratings on the P&I classes, L and M, were affirmed because the
ratings are consistent with Moody's expected loss.
The ratings on the IO class was affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 17.0% of
the current balance, compared to 19.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.4% of the
original pooled balance, compared to 3.5% 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 CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 42% of the pool is in
special servicing and performing conduit loans only represent 58%
of the pool. In this approach, Moody's determines a probability of
default for each specially serviced loan that it expects will
generate a loss and estimates a loss given default based on a
review of broker's opinions of value (if available), other
information from the special servicer, available market data and
Moody's internal data. The loss given default for each loan also
takes into consideration repayment of servicer advances to date,
estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected
loss estimate, Moody's then applies the aggregate loss from
specially serviced loans to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).
Description Of Models Used
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, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 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 March 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $27 million
from $728 million at securitization. The certificates are
collateralized by three mortgage loans ranging in size from less
than 17% to 58% of the pool.
The largest loan, constituting 58% of the pool, is 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.
Twelve loans have been liquidated from the pool, resulting in an
aggregate realized loss of $20.3 million (for an average loss
severity of 50%). Two loans, constituting 42% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Addison Com Center Loan ($6.5 million -- 24.4% of the
pool), which is secured by a 96,000 square foot (SF) flex office
building located in Addison, Texas. The loan transferred into
special servicing in November 2011 due to maturity default. The
property became real estate owned (REO) in March 2012. The
property was 76% leased as of December 2013 compared to 56% at
last review. The servicer intends to stabilize the asset before
selling. The servicer has recognized a $379,000 thousand appraisal
reduction for this loan.
The second largest loan is the Whiteville Shopping Center Loan
($4.6 million -- 17.3% of the pool), which is secured by a 63,000
SF retail property located in Whiteville, North Carolina. The loan
transferred into special servicing in February 2012 and became REO
in December 2012. The property is currently 80% leased. REO
strategy is under review. The servicer has recognized a $1.9
million appraisal reduction for this loan.
The only remaining conduit loan is the Madison Place Loan ($15.5
million -- 58.4%), which is secured by a 226,000 square foot (SF)
retail property located in Madison Heights, Michigan. The loan
transferred to special servicing in June 2011 for maturity
default. The property was 87% leased as of December 2012, the same
as at last review. A loan modification closed in October 2012. The
borrower paid the loan down to $16 million and agreed to
contribute $1 million towards the renovation of the movie theater
at the property as part of the modification agreement. The
interest rate was unchanged, but the $16 million balance was re-
amortized over 20-years and the loan maturity was extended to
September 2016. The loan is performing under the terms of the
modification. Moody's LTV and stressed DSCR are 76% and 1.39X
respectively, compared to 92% and 1.15X at last review.
FLAGSHIP CLO VI: Moody's Affirms B1 Rating on $20MM Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Flagship CLO VI:
$35,500,000 Class A-1b Floating Rate Notes, Due 2021, Upgraded
to Aaa (sf); previously on July 28, 2011 Upgraded to Aa1 (sf)
Moody's also affirmed the ratings on the following notes:
$319,500,000 Class A-1a Floating Rate Notes, Due 2021 (current
outstanding balance of $312,115,297.97), Affirmed Aaa (sf);
previously on June 28, 2007 Assigned Aaa (sf)
$10,000,000 Class A-2 Floating Rate Notes, Due 2021 (current
outstanding balance of $9,791,980.23), Affirmed Aaa (sf);
previously on July 28, 2011 Upgraded to Aaa (sf)
$33,750,000 Class B Floating Rate Notes, Due 2021, Affirmed Aa3
(sf); previously on July 28, 2011 Upgraded to Aa3 (sf)
$22,500,000 Class C Deferrable Floating Rate Notes, Due 2021,
Affirmed Baa1 (sf); previously on July 28, 2011 Upgraded to
Baa1 (sf)
$20,000,000 Class D Deferrable Floating Rate Notes, Due 2021,
Affirmed Ba1 (sf); previously on July 28, 2011 Upgraded to Ba1
(sf)
$20,000,000 Class E Deferrable Floating Rate Notes, Due 2021
(current outstanding balance of $19,195,475.25), Affirmed B1
(sf); previously on July 28, 2011 Upgraded to B1 (sf)
Flagship CLO VI, issued in June 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period will end in June
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
June 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 compared to the covenant level. Moody's modeled a
WAS of 3.29% compared to the covenant value of 2.65%. 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
February 2014.
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% (2206)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B: +2
Class C: +2
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3308)
Class A-1a: 0
Class A-1b: -1
Class A-2: -1
Class B: -2
Class C: -2
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 February 2014.
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 $471.8 million, defaulted
par of $6.2 million, a weighted average default probability of
18.85% (implying a WARF of 2757), a weighted average recovery rate
upon default of 50.70%, a diversity score of 65 and a weighted
average spread of 3.29%.
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.
FLAGSHIP CREDIT 2014-1: S&P Gives Prelim BB Rating on Cl. D Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Flagship Credit Auto Trust 2014-1's $266.09 million
auto receivables-backed notes series 2014-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of April 4,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view:
-- The availability of approximately 40.2%, 31.5%, 25.1%,
22.2%, and 19.0% credit support (including excess spread)
for the class A, B, C, D, and E notes respectively, based
on stressed cash flow scenarios. These credit support
levels provide coverage of approximately 3.00x, 2.30x,
1.75x, 1.50x, and 1.35x our 12.75%-13.25% expected
cumulative net loss range for the class A, B, C, D, and E
notes, respectively.
-- The timely interest and principal payments made under
stressed cash flow modeling scenarios that are appropriate
to the assigned preliminary ratings.
-- The expectation that under a moderate ('BBB') stress
scenario, all else being equal, S&P's ratings on the class
A notes would remain within one rating category of its
preliminary 'AA (sf)' ratings within the first year and its
ratings on the class B, C, D, and E notes would remain
within two rating categories of S&P's preliminary 'A (sf)',
'BBB (sf)', and 'BB (sf)' ratings, respectively, within the
first year. This is within the one category rating
tolerance for S&P's 'AA', and two-category rating tolerance
for its 'A', 'BBB', and 'BB', rated securities, as outlined
in its credit stability criteria.
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess
spread.
-- The characteristics of the collateral pool being
securitized; and
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
Flagship Credit Auto Trust 2014-1
Class Rating Type Interest Amount
rate(i) (mil. $)
A AA (sf) Senior Fixed 193.42
B A (sf) Subordinate Fixed 32.42
C BBB (sf) Subordinate Fixed 23.77
D BB (sf) Subordinate Fixed 9.08
E BB- (sf) Subordinate Fixed 7.40
(i) The actual coupons of these tranches will be determined on
the pricing date.
FORTRESS CREDIT: S&P Affirms 'BB' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Fortress Credit BSL II Ltd./Fortress Credit BSL II LLC's $363.25
million fixed- and floating-rate notes following the transaction's
effective date as of March 4, 2014.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P added.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of 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 added.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P noted.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and S&P will take rating actions as
it deems necessary.
RATINGS AFFIRMED
Fortress Credit BSL II Ltd./Fortress Credit BSL II LLC
Class Rating Amount
(mil. $)
A-1R AAA (sf) 69.00(i)
A-1F AAA (sf) 162.50
B-1 AA (sf) 48.50
B-2 AA (sf) 10.00
C (deferrable) A (sf) 28.00
D (deferrable) BBB (sf) 22.75
E (deferrable) BB (sf) 22.50
(i) Class A-1R note amount comprises $27.00 million of the
revolving class that has funded to date and an additional
$42.00 million that remains unfunded.
FRANKLIN CLO V: Moody's Cuts Rating on $13MM Class E Notes to B3
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Franklin CLO V, Limited:
$13,000,000 Class E Notes Due June 15, 2018, Downgraded to B3
(sf); previously on July 22, 2013 Affirmed B1 (sf)
Moody's also affirmed the ratings on the following notes:
$50,000,000 Class A-1 Notes Due June 15, 2018 (current
outstanding balance of $20,140,523), Affirmed Aaa (sf);
previously on July 22, 2013 Affirmed Aaa (sf)
$303,000,000 Class A-2 Notes Due June 15, 2018 (current
outstanding balance of $122,051,571), Affirmed Aaa (sf);
previously on July 22, 2013 Affirmed Aaa (sf)
$49,000,000 Class B Notes Due June 15, 2018, Affirmed Aa2 (sf);
previously on July 22, 2013 Affirmed Aa2 (sf)
$23,500,000 Class C Notes Due June 15, 2018, Affirmed Baa1
(sf); previously on July 22, 2013 Affirmed Baa1 (sf)
$21,500,000 Class D Notes Due June 15, 2018, Affirmed Ba1 (sf);
previously on July 22, 2013 Affirmed Ba1 (sf)
Franklin CLO V, Limited, issued in May 2006, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in June
2012.
Ratings Rationale
According to Moody's, the ratings downgrade on the Class E notes
is primarily a result of the deal's growing exposure to securities
that mature after the maturity of the notes (long-dated assets)
since the last rating action in July 2013. Based on Moody's
calculations, long-dated assets comprise $101.5 million or
approximately 38% of performing par, up from $68.5 million or
19.9% in July 2013. These investments could expose the Class E
notes to market value risk in the event of liquidation when the
notes mature. In its base case, Moody's assumes the long-dated
assets are liquidated at an average price of 69% at the maturity
of the notes based on its CLO methodology. Although the market
values of these long-dated assets are close to par at present,
they could change quickly under distressed market conditions.
However, in consideration of the current market values, Moody's
also evaluated in its analysis scenarios when the long-dated
assets are liquidated at an average price higher than 69%, which
tempered the magnitude of the rating downgrades.
The rating actions also reflect consideration of deleveraging of
the senior notes, which resulted in an increase in the
transaction's overcollateralization ratios since the last rating
action in July 2013. The Class A-1 and A-2 Notes have been paid
down by approximately 21.8% or $77.1 million since the last rating
action. Based on the latest trustee report dated March 5, 2013,
the Senior and Mezzanine Overcollateralization ratios are reported
at 137.65% and 112.67%, respectively, versus July 2013 levels of
128.48% and 110.02%, respectively. In addition, the weighted
average recovery rate of the portfolio has improved to 52.39% from
49.17% since July 2013, based on Moody's calculations.
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) 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. The deal's
increased exposure owing to amendments to loan agreements
extending maturities continues. In light of the deal's sizable
exposure to long-dated assets, which increases its sensitivity to
the liquidation assumptions in the rating analysis, Moody's ran
scenarios using a range of liquidation value assumptions. However,
actual long-dated asset exposures and prevailing market prices and
conditions at the CLO's maturity will drive the deal's actual
losses, if any, from long-dated assets.
4) 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.
5) 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.
6) 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. Realization of higher than assumed
recoveries would positively impact the CLO.
7) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen owing to the manager's decision to participate in amend-
to-extend offerings. Life extension can increase the default risk
horizon and assumed cumulative default probability of CLO
collateral.
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 relative to the base case
modeling results. 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% (2315)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +1
Class E: 0
Moody's Adjusted WARF + 20% (3473)
Class A-1: 0
Class A-2: 0
Class B: -1
Class C: -1
Class D: 0
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 February 2014.
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 $267.6 million, defaulted
par of $4.2 million, a weighted average default probability of
18.54% (implying a WARF of 2894), a weighted average recovery rate
upon default of 52.39%, a diversity score of 41 and a weighted
average spread of 3.47%.
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.
GE COMMERCIAL 2006-C1: Fitch Affirms D Rating on 9 Note Classes
---------------------------------------------------------------
Fitch Ratings has affirmed all classes of GE Commercial Mortgage
Corporation, commercial mortgage pass-through certificates, series
2006-C1 (GECMC 2006-C1). A detailed list of rating actions
follows at the end of this press release.
Key Rating Drivers
The affirmations are due to the relatively stable performance of
the remaining pool since the last rating action. Fitch modeled
losses of 8.4% of the remaining pool; modeled losses on the
original pool balance total 11.1%, including $76.1 million of
realized losses to date. Fitch has designated 24 loans (24.5%) as
Fitch Loans of Concern, which includes eight specially serviced
assets (11.5%).
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 24.1% to $1.22 billion from
$1.61 billion at issuance. According to the servicing report, six
loans (2.5%) are defeased. Cumulative interest shortfalls
totaling $9.5 million are currently affecting classes B through P.
The largest contributor to modeled losses, which remains the same
since the last rating action, is the largest specially serviced
asset, 33 Washington (4.3% of pool). The asset is a 19-story,
447,072 square foot (sf) office building located in the central
business district of Newark, NJ. The loan was transferred to
special servicing in November 2011 due to delinquent payments.
The asset became real-estate owned in May 2013.
According to the February 2014 rent roll, the property was 25%
occupied, down from 32.9% at year-end (YE) 2012 and representing a
significant decline from 94.6% at issuance. Fitch expected
occupancy to drop to 25% at the last rating action due to three
in-place tenants comprising 8% of the property square footage
already providing notification of their intention to vacate at or
prior to scheduled lease expiration. Property is performing
significantly worse than the 13.6% vacancy reported for the Newark
submarket as reported by REIS as the fourth quarter 2013. YE 2013
net operating income (NOI) has declined over 95% since issuance.
Lease rollover continues to remain a major concern at the
property. The second largest tenant, Horizon Healthcare Services
(7.3% of NRA), extended its lease for an additional year to
October 2014 from October 2013. The lease of the third largest
tenant, Air Express International USA (6% of NRA), expires in
August 2014. In addition, the largest tenant at the property, The
State of New Jersey Department of Treasury (8.7% of NRA), has a
lease expiration in September 2017; however, the servicer has
indicated previously there may be a possibility the tenant will
leave prior to its scheduled lease expiration date given attempts
by the State of New Jersey to consolidate state government tenants
within the Newark market into one office building. The servicer
indicated plans to sell the asset during the second or third
quarter. The latest reported valuation indicates significant
losses upon liquidation.
The next largest contributor to modeled losses is the second
largest specially serviced loan (3.5%), the Grand Marc at
Riverside. The loan is secured by a 212 unit, 760 bed student
housing property located in Riverside, CA. The property is
located one mile from the University of California at Riverside
and approximately three miles from the Riverside Community
College. According to the July 2013 rent roll, the property was
44% occupied, declining significantly from 65% in 2012, 92% in
2011, 99% in 2010, 97% in 2009, and 94% at issuance. The
continuous decline has been the result of nearby competition and a
drastic drop in demand between 2010 and 2013. The trailing-12
month May 2013 NOI indicated a decline of greater than 55% since
issuance. The servicer is dual-tracking the foreclosure process
and discussions with the borrower at this time.
RATING SENSITIVITIES
The Outlooks on the super senior and mezzanine 'AAAsf' rated
classes are expected to remain Stable due to sufficient credit
enhancement, stable collateral performance, and continued paydown.
The Negative Rating Outlook on class A-J reflects the uncertainty
and timing surrounding the workout of the specially serviced
assets and the possibility for downward rating action should
realized losses exceeds Fitch's expectations. 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.
Fitch has affirmed the following classes:
-- $614.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $199.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $160.9 million class A-M at 'AAAsf'; Outlook Stable;
-- $146.8 million class A-J at 'Bsf'; Outlook Negative;
-- $36.2 million class B at 'CCsf'; RE 25%;
-- $14.1 million class C at 'Csf'; RE 0%.
-- $24.1 million class D at 'Csf'; RE 0%;
-- $14.1 million class E at 'Csf'; RE 0%;
-- $10.3 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, and A-AB certificates have paid in full.
Fitch does not rate the class P certificates. Fitch previously
withdrew the rating on the interest-only class X-W certificates.
GLACIER FUNDING II: Moody's Hikes Rating on Cl. A-2 Notes to 'Ca'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by Glacier Funding CDO II Ltd.:
$100,000 Class A-1V Notes (current outstanding balance $8,644),
Upgraded to Aa3 (sf); previously on Mar 6, 2014 Baa3 (sf)
Placed Under Review for Possible Upgrade
$324,900,000 Class A-1NV Notes (current outstanding balance
$28,087,543), Upgraded to Aa3 (sf); previously on Mar 6, 2014
Baa3 (sf) Placed Under Review for Possible Upgrade
$70,000,000 Class A-2 Notes, Upgraded to Ca (sf); previously on
May 31, 2013 Affirmed C (sf)
Ratings Rationale
These rating actions are due primarily to the deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since January 2014. The Class A-1 notes
have paid down by approximately 33% or $13.7 million since January
2014. Based on Moody's calculations, the over-collateralization
ratio of the Class A-1 Notes is 249.73% versus January 2014 levels
of 195.69%. Moody's notes that the Class A-2 Notes are expected to
receive interest and principal after the Class A-1 Notes are paid
in full.
As reported by the trustee, on June 17, 2011 the transaction
experienced an "Event of Default" caused by a failure of the
overcollateralization ratio with respect to the Class A Notes to
be at least equal to 100%, as required under Section 5.1(i) of the
indenture dated October 12, 2004. Acceleration was declared on
July 21, 2011. This Event of Default is continuing.
The deal also benefit from the updates to Moody's SF CDO
methodology described in "Moody's Approach to Rating SF CDOs"
published on March 6, 2014. These updates include: (i) lowering
the resecuritization stress factors for RMBS (US Prime, Subprime,
Manufactured Housing), CDOs exposed to investment grade corporate
assets, and ABS backed by franchise loans or by mutual fund fees;
(ii) using a common table of recovery rates for all structured
finance assets (except for CMBS and SF CDO); and (iii) providing
more guidance on the rating caps Moody's apply to deals
experiencing event of default. In taking the foregoing actions,
Moody's also announced that it had concluded its review of its
rating(s) on the issuer's Class B Notes and Class C Notes
announced on March 6, 2014. At that time, Moody's said that it had
placed the rating(s) on review for upgrade as a result of the
aforementioned methodology updates.
Despite benefits of the deleveraging, the credit quality of the
portfolio has deteriorated since December 2013. Based on the
trustee's February 2014 report, the weighted average rating factor
is currently 2862 compared to 2537 on December 2013.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in March 2014.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the commercial and
residential real estate property markets. Although the commercial
real estate property markets are gaining momentum, consistent
growth will be unlikely until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The residential real estate property market
is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, and excess interest proceeds
will continue and at what pace. Faster deleveraging than Moody's
expects could have a significant impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the notes' ratings.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Caa ratings notched up by two rating notches (1987):
Class A-1V: 0
Class A-1NV: 0
Class A-2: 0
Caa ratings notched down by two rating notches (3260):
Class A-1V: 0
Class A-1NV: 0
Class A-2: 0
GOLUB CAPITAL 19(B): Moody's Rates $4.8MM Class E Notes '(P)B2'
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of notes issued by Golub Capital Partners CLO 19(B),
Ltd. (the "Issuer" or "Golub 19(B)").
Moody's rating action is as follows:
$131,500,000 Class A-1A Senior Secured Floating Rate Notes due
2026 (the "Class A-1A Notes"), Assigned (P)Aaa (sf)
$124,000,000 Class A-1B Senior Secured Floating Rate Notes due
2026 (the "Class A-1B Notes"), Assigned (P)Aaa (sf)
$49,000,000 Class A-2 Senior Secured Floating Rate Notes due
2026 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
$18,750,000 Class B Secured Deferrable Floating Rate Notes due
2026 (the "Class B Notes"), Assigned (P)A2 (sf)
$22,800,000 Class C Secured Deferrable Floating Rate Notes due
2026 (the "Class C Notes"), Assigned (P)Baa3 (sf)
$22,000,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Ba3 (sf)
$4,800,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)B2 (sf)
The Class A-1A Notes, Class A-1B Notes, the Class A-2 Notes, the
Class B Notes, the Class C Notes, the Class D Notes and the Class
E Notes are referred to herein, collectively, as the "Rated
Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Golub 19(B) 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
and senior unsecured loans. The portfolio is expected to be at
least 90% ramped as of the closing date.
GC Investment 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, for a period of 18 months, 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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 62
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 8 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
February 2014. 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 2775 to 3191)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1B Notes: 0
Class A-2 Notes: 0
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2775 to 3608)
Rating Impact in Rating Notches
Class A-1A Notes: -1
Class A-1B Notes: -1
Class A-2 Notes: -2
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
Class E 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.
HALCYON LOAN 2014-2: Moody's Rates $5.5MM Class E Sr. Notes (P)B2
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of notes to be issued by Halcyon Loan Advisors
Funding 2014-2 Ltd.
Moody's rating action is as follows:
$220,000,000 Class A-1A Senior Secured Floating Rate Notes due
2025 (the "Class A-1A Notes"), Assigned (P)Aaa (sf)
$110,000,000 Class A-1B Senior Secured Floating Rate Notes due
2025 (the "Class A-1B Notes"), Assigned (P)Aaa (sf)
$82,500,000 Class A-2 Senior Secured Floating Rate Notes due
2025 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
$38,500,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2025 (the "Class B Notes"), Assigned (P)A2 (sf)
$33,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2025 (the "Class C Notes"), Assigned (P)Baa3 (sf)
$27,500,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2025 (the "Class D Notes"), Assigned (P)Ba3 (sf)
$5,500,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2025 (the "Class E Notes"), Assigned (P)B2 (sf)
The Class A-1A Notes, the Class A-1B Notes, the Class A-2 Notes,
the Class B Notes, the Class C Notes, the Class D Notes and the
Class E Notes are referred to herein, collectively, as the "Rated
Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Halcyon 2014-2 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans
and unsecured loans. The underylying portfolio is expected to be
at least 75% ramped as of the closing date.
Halcyon Loan Advisors 2014-2 LLC (the "Manager"), a wholly-owned
subsidiary of Halcyon Loan Advisors LP, 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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $550,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 4.00%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 8 years.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2700 to 3105)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1B Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2700 to 3510)
Rating Impact in Rating Notches
Class A-1A Notes: -1
Class A-1B Notes: -1
Class A-2 Notes: -2
Class B Notes: -4
Class C Notes: -2
Class D Notes: -2
Class E Notes: -3
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction,
rather than individual tranches.
HUNTINGTON CDO: Moody's Hikes Rating on $125MM Notes to Caa1
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by Huntington CDO, Ltd.:
$461,750,000 Class A-1A First Priority Senior Secured Floating
Rate Notes Due 2040 (current balance of $124,515,301), Upgraded
to Caa1 (sf); previously on March 6, 2014 Caa2 (sf) Placed
Under Review for Possible Upgrade;
$250,000 Class A-1B First Priority Senior Secured Floating Rate
Notes Due 2040 (current balance of $67,415), Upgraded to Caa1
(sf); previously on March 6, 2014 Caa2 (sf) Placed Under Review
for Possible Upgrade.
Huntington CDO, Ltd. is a collateralized debt obligation issuance
backed primarily by a portfolio of residential mortgage backed
securities originated from 1997 to 2007
Ratings Rationale
The rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ("OC") ratio since June 2013. The Class A-1A and
A-1B Notes have been paid down by approximately 25%, or $41.7
million since June 2013. Based on Moody's calculation, the OC
ratio of the Class A-1 Notes is currently 111.4%, versus 84.5% in
June 2013.
Moody's notes that the Class A-1 Notes also benefit from diversion
of excess interest proceeds and proceeds received from defaulted
securities. On the payment date in November 2013, about $0.5
million of interest proceeds was diverted to pay down the Class A-
1 Notes. Additionally, about $4.1 million of interest and
principal proceeds received from defaulted securities was used to
pay down the notes.
Moody's also notes that the principal collection account currently
has $10 million from collateral sales of defaulted securities,
which is expected to be used to pay down Class A-1 Notes on next
payment date.
The deal also benefits from the updates to the Moody's SF CDO
methodology described in "Moody's Approach to Rating SF CDOs"
published on March 6, 2014. These updates include: (i) lowering
the resecuritization stress factors for RMBS (US Prime, Subprime,
Manufactured Housing), CDOs exposed to investment grade corporate
assets, and ABS backed by franchise loans or by mutual fund fees;
(ii) using a common table of recovery rates for all structured
finance assets (except for CMBS and SF CDO); and (iii) providing
more guidance on the rating caps we apply to deals experiencing
event of default. In taking the foregoing actions, Moody's also
announced that it had concluded its review of its rating on the
issuer's Class A-1A Notes and Class A-1B Notes announced on March
6, 2014. At that time, Moody's said that it had placed certain of
the issuer's ratings on review for upgrade as a result of the
aforementioned methodology updates.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in March 2014.
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:
Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the residential real
estate property markets. The residential real estate property
market is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, and excess interest proceeds
will continue and at what pace. Faster deleveraging than Moody's
expects could have a significant impact on the notes' ratings.
Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the notes' ratings.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM(TM) to model the loss distribution for SF CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios define the reference pool's loss distribution. Moody's
then uses the loss distribution as an input in the CDOEdge(TM)
cash flow model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Caa1 and below ratings notched up by two notches:
Class A-1A: +1
Class A-1B: +1
Caa1 and below ratings notched down by two notches:
Class A-1A: -2
Class A-1B: -2
JFIN MM 2014: S&P Assigns Preliminary BB Rating on Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to JFIN MM CLO 2014 Ltd./JFIN MM CLO 2014 LLC's $257.00
million floating-rate notes.
The note issuance is CLO transaction backed by a revolving pool
consisting primarily of middle-market senior secured loans.
The preliminary ratings are based on information as of April 8,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of middle market speculative-grade senior secured
term loans.
-- The portfolio manager's experienced management team.
-- The transaction's ability to make timely interest and
ultimate principal payments on the preliminary rated notes,
which S&P assessed using its cash flow analysis and
assumptions commensurate with the assigned preliminary
ratings under various interest-rate scenarios, including
LIBOR ranging from 0.2281%-13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
PRELIMINARY RATINGS ASSIGNED
JFIN MM CLO 2014 Ltd./JFIN MM CLO 2014 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 170.00
B AA (sf) 24.00
C (deferrable) A (sf) 22.50
D (deferrable) BBB (sf) 18.00
E (deferrable) BB (sf) 22.50
Subordinated notes NR 52.00
NR-Not rated.
JP MORGAN 2003-LN1: Moody's Affirms 'C' Ratings on 2 Cert Classes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
classes, downgraded one class, and affirmed three classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp. Commercial
Mortgage Pass-Through Certificates, Series 2003-LN1 as follows:
Cl. G, Upgraded to A2 (sf); previously on Aug 8, 2013 Upgraded to
Baa1 (sf)
Cl. H, Upgraded to Ba2 (sf); previously on Aug 8, 2013 Upgraded to
B1 (sf)
Cl. J, Upgraded to B3 (sf); previously on Aug 8, 2013 Affirmed
Caa2 (sf)
Cl. K, Affirmed Ca (sf); previously on Aug 8, 2013 Affirmed Ca
(sf)
Cl. L, Affirmed C (sf); previously on Aug 8, 2013 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Aug 8, 2013 Affirmed C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Aug 8, 2013
Affirmed Ba3 (sf)
Ratings Rationale
The ratings on the P&I classes, Class G, H and J, were upgraded
based primarily on an increase in credit support resulting from
loan paydowns and amortization. The deal has paid down 86% since
Moody's last review.
The rating on the IO Class (Class X-1) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher rated reference
classes.
The ratings on the P&I classes, Class K, L and M, were affirmed
because the ratings are consistent with Moody's expected loss.
Moody's rating action reflects a base expected loss of 24% of the
current balance compared to 6% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.8% of the
original pooled balance, compared to 4.6% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, compared to 30 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 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 March 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $52 million
from $1.2 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from 2% to
33% of the pool. The pool contains no loans with investment-grade
credit assessments. Two loans, constituting 9% of the pool, have
defeased and are secured by US government securities.
One loan, constituting 6% of the pool, is 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.
Ten loans have been liquidated from the pool, contributing to an
aggregate realized loss of $33 million (for an average loss
severity of 48%). Three loans, constituting 42% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Senate Plaza Loan ($10 million -- 19% of the pool),
which is secured by a 231,000 square foot office property in Camp
Hill, Pennsylvania, near downtown Harrisburg. The sole tenant,
which had occupied 100% of the property, vacated at lease
expiration at year-end 2013. The property is now vacant. The
servicer acquired the property in December 2013 via a deed-in-lieu
of foreclosure.
The remaining two specially serviced loans are secured by a retail
property in Michigan and a multifamily property in Florida.
Moody's estimates an aggregate $12 million loss for the specially
serviced loans (57% expected loss on average).
Moody's received full year 2012 operating results for 100% of the
performing pool, and full or partial year 2013 operating results
for 67% of the pool. Moody's weighted average conduit LTV is 55%,
compared to 80% 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 14.1% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 8.9%.
Moody's actual and stressed conduit DSCRs are 2.13X and 1.88X,
respectively, compared to 1.48X and 1.38X 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 three performing conduit loans represent 49% of the pool
balance. The largest loan is the Piilani Shopping Center Loan ($17
million -- 33% of the pool), which is secured by a 66,000 square
foot retail center located on the west coast of Maui, Hawaii.
Property financial performance has improved markedly since
securitization, with net operating income (NOI) climbing to $2.8
million from approximately $1.9 million over the period. The
property was 99% occupied at year-end 2013 reporting, compared to
94% at securitization. Moody's LTV and stressed DSCR are 60% and
1.57X, similar to Moody's prior review.
The second largest loan is the Ralphs Grocery Store Loan ($6
million -- 11% of the pool). The loan is secured by a grocery
store property in Los Angeles, California. The property is 100%
leased to Ralph's, a subsidiary of grocery retailer Kroger Co.
(Moody's senior unsecured rating Baa2, stable outlook). The
Ralph's lease includes periodic inflation-adjusted increases and
runs through March 2028. Moody's LTV and stressed DSCR are 33% and
2.97X, respectively, compared to 41% and 2.41X at the last review.
The third largest loan is the Shoppes at Wolfchase Loan ($3
million -- 6% of the pool). The loan is secured by a 34,000 square
foot retail property near the Wolfchase Galleria Mall in Memphis,
Tennessee. The loan is on the master servicer's watchlist for low
DSCR. Reported occupancy in Q3 2013 was 49%. The borrower is
actively marketing the property though a broker. The loan benefits
from amortization. Moody's LTV and stressed DSCR are 65% and,
1.58X, respectively, similar to last review.
JP MORGAN 2004-LN2: S&P Lowers Rating on Class E Notes to 'CCC'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-
LN2, a U.S. commercial mortgage-backed securities (CMBS)
transaction. At the same time, S&P affirmed its ratings on four
other classes from the same transaction.
S&P's rating actions reflect its analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust.
The downgrades reflect credit erosion that S&P anticipates will
occur upon the resolution of six ($67.5 million, 10.1%) of the
seven assets ($132.5 million, 19.8%) with the special servicer
(CWCapital Asset Management LLC). S&P expects losses to reach
approximately 7.5% of the original pool trust balance in the near
term, based on losses incurred to date and additional losses S&P
expects upon six of the seven specially serviced assets' eventual
resolution or liquidation. To date, the trust has incurred
principal losses totaling $54.1 million, or 4.3% of the original
trust balance.
S&P's rating actions also considered the monthly interest
shortfalls that are affecting the trust. S&P lowered its rating
to 'D (sf)' on the class F certificates because of accumulated
interest shortfalls that S&P expects will remain outstanding in
the near term. Class F had accumulated interest shortfalls
outstanding for seven consecutive months.
As of the March 17, 2014, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $200,277,
primarily related to $61,874 in appraisal subordinate entitlement
reduction amounts on four ($44.3 million, 6.6%) of the seven
specially serviced assets, $90,632 in interest not advanced from a
nonrecoverable determination on the Countryside Apartments asset
($21.3 million, 3.2%), $16,774 in special servicing fees, and
$31,011 in workout fees. The interest shortfalls affected all
classes subordinate to and including class F.
The affirmations on the principal- and interest-paying classes
reflect S&P's expectation that the available credit enhancement
for these classes will be within its estimate of the necessary
credit enhancement required for the current ratings. The
affirmations also reflect S&P's analysis of the credit
characteristics and performance of the remaining assets, the
transaction-level changes, and the liquidity support available to
the classes.
S&P affirmed its 'AAA (sf)' rating on the class X-1 interest-only
(IO) certificates, based on its criteria for rating IO securities.
RATINGS LOWERED
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-LN2
Rating Rating
Class To From Credit enhancement (%)
C BBB+ (sf) A- (sf) 11.43
D B+ (sf) BB+ (sf) 7.95
E CCC (sf) B- (sf) 6.56
F D (sf) CCC- (sf) 4.00
RATINGS AFFIRMED
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-LN2
Class Rating Credit enhancement (%)
A-2 AAA (sf) 17.70
A-1A AAA (sf) 17.70
B A (sf) 13.29
X-1 AAA (sf) N/A
N/A-Not applicable.
JP MORGAN 2006-FL2: Fitch Lowers Rating on Class H Notes to 'CCC'
-----------------------------------------------------------------
Fitch Ratings has downgraded four classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., series 2006-FL2 and revised
the Rating Outlooks on seven classes to Negative from Stable.
Key Rating Drivers
The downgrades are primarily due to the lack of progress made on
refinancing the remaining two loans in the pool. Since Fitch's
last rating action, the loans transferred back to the special
servicer.
The Marina Village loan (55% of pool) was unable to pay off on its
maturity date of Nov. 9, 2013; however, the borrower continues to
remit payments.
The Marina Village loan is collateralized by 31 office buildings
totaling 1.16 million square feet (sf) on 73 acres, located in a
205-acre master-planned development in Alameda, CA, within the San
Francisco Bay Area. The property consists of low-rise and mid-
rise office buildings (collateral), a shopping center, a hotel,
178-unit residential town-home community, and open space along the
waterfront (with a 990-berth marina). The loan was modified in
June 2011 with a final maturity date of November 2013. The loan
was transferred back to special servicing in October 2013.
As of December 2013, the portfolio occupancy was 63%, compared to
61% at YE2012, and 79.6% at issuance. The average rental rate at
the property was approximately $19.71 per square foot (psf),
compared to $24.22 psf at issuance.
The 1111 Marcus Avenue loan (45% of pool), which has been
operating under a forbearance agreement, has a term expiration on
April 9, 2014. There has been no indication that the borrower
intends to pay off the loan prior to its maturity.
The 1111 Marcus Avenue loan is secured by a condominium interest
in an office complex (the complex consists of two separate condo
interests) consisting of five office buildings in New Hyde Park,
NY. The collateral consists of 920,059 sf (Condo Unit 1). The
original loan maturity date was 10/9/09 with two one-year
extensions. In November 2011, borrower signed a forbearance
agreement which expired in October 2013. The loan was transferred
back to special servicing in September 2013 due to imminent
default. The forbearance was subsequently extended to April 9,
2014
As of YE2013, the property was 73% occupied, compared to 64.6% at
YE2012, and 79% at issuance. The increase in occupancy was due to
the new leases that were signed in 2013.
Rating Sensitivity
Fitch analyzed each loan individually and ran multiple scenarios
that assumed one loan would pay off and one loan would be the sole
remaining loan in the pool. The outcomes of these scenarios and
the impact to the trust were then considered in Fitch's rating
recommendations.
The Marina Village loan is serviced by TriMont Real Estate
Advisors; the 1111 Marcus Avenue loan is serviced by CT Investment
Management Co. Both special servicers are working to determine
the workout strategies. The possibility of a full recovery on the
Marina Village loan is relatively high. However, if the Marina
Village loan does not pay off, future downgrades on the
outstanding bonds are possible.
Fitch has downgraded the following ratings and revised Outlooks as
indicated:
-- $11.2 million class E to 'BBB-sf' from 'Asf'; Outlook to
Negative from Stable;
-- $11.2 million class F to 'BBsf' from 'BBBsf'; Outlook to
Negative from Stable;
-- $10 million class G to 'Bsf' from 'BBB-sf'; Outlook to
Negative from Stable;
-- $12.5 million class H to 'CCCsf' from 'Bsf; RE 45%.
Fitch has affirmed the following ratings and revised Outlooks as
indicated:
-- $54.9 million class A-2 at 'AAAsf'; Outlook to Negative from
Stable;
-- $16.8 million class B at 'AA+sf'; Outlook to Negative
Stable;
-- $14.3million class C at 'AAsf'; Outlook to Negative from
Stable;
-- $10 million class D at 'AA-sf'; Outlook to Negative from
Stable.
-- $14.4 million class J at 'CCCsf', RE 0%;
-- $13 million class K at 'CCCsf', RE 0%';
-- $17.1 million class L at 'Dsf/RE 0%'.
Classes A-1, LV-1, LV-2, and X-1 have paid in full. Class X-2 was
previously withdrawn.
KEY COMMERCIAL 2007-SL1: Fitch Cuts on Cl. B Notes Rating to CCC
----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 10 classes of
Key Commercial Mortgage Securities Trust commercial mortgage pass-
through certificates series 2007-SL1.
KEY RATING DRIVERS
Fitch modeled losses of 18.1% of the remaining pool; expected
losses on the original pool balance total 10.1%, including $10
million (4.2% of the original pool balance) in realized losses to
date. Fitch has designated 27 loans (48.8%) as Fitch Loans of
Concern, none of the loans are specially serviced.
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 67.6% to $77 million from
$237.5 million at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes E through L.
The largest contributor to expected losses (7.7% of the pool) is
secured by a 72,374 square foot (sf) mixed-use property
(retail/self-storage) located in Kent, WA, which is approximately
20 miles south of Seattle. The debt service coverage ratio (DSCR)
as of the Dec. 31, 2012 operating statement was at 0.92x which was
inline with the prior year same period Dec. 31, 2011. The loan
has been operating below 1.0x since 2010 due to soft market
conditions. The property is 87% occupied as of the March 2013
rent roll. The retail portion is 100% occupied while the self-
storage portion is 74% occupied.
The next largest contributor to expected losses (5.8%) is secured
by a 41,341 sf office property located in Tacoma, WA. The largest
tenants are Camber Health Partners (18%); Pinnacle Capital
Mortgage Corp. (15%); and Ameriprise Financial Services (12%).
The borrower is currently negotiating a long-term extension with
Camber Health Partners. As of December 2013, the property is 67%
occupied, which is an increase from 50% at December 2012. The
DSCR has also improved to 0.84x at December 2013 from 0.50x at
December 2012.
The third largest contributor to expected losses (3.1%) is secured
by a 117,208 sf retail property located in Conneaut, OH, which is
approximately 70 miles east of Cleveland. The property is
anchored by Kmart (54%) with a lease expiration of May 15, 2014.
On April 1, 2014, the company announced that the store will close
upon the lease expiration. Due to the upcoming Kmart vacancy and
reports of major roof damage, the borrower has expressed their
intention to relinquish the property back to the servicer. A
transfer of this loan to the special servicer is assumed to be
imminent.
RATING SENSITIVITY
Rating Outlooks on classes A-2 and A-1A remain Negative due to the
transaction's geographic concentration in Washington (49%) and
Ohio (25%) and the high number of Fitch Loans of Concern (49%).
These classes may be downgraded if additional loans transfer to
special servicing and / or performance of the pool continues to
deteriorate. The distressed classes rated 'CCC' and below may be
subject to further downgrades as losses are realized or additional
loans default.
Fitch downgrades the following class and assigns a Recovery
Estimate (RE) as indicated:
-- $5.3 million class B to 'CCCsf' from 'Bsf', RE 100%.
Fitch affirms the following class but revises the RE as indicated:
-- $5.6 million class C at 'CCCsf', RE 10%.
Fitch affirms the following classes as indicated:
-- $38.4 million class A-2 at 'BBBsf', Outlook Negative;
-- $20.3 million class A-1A at 'BBBsf', Outlook Negative;
-- $4.8 million class D at 'CCsf', RE 0%;
-- $2.1 million class E at 'Csf', RE 0%;
-- $415,662 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%.
The class A-1 certificates have paid in full. Fitch does not rate
the class L, R and LR certificates. Fitch previously withdrew the
rating on the interest-only class X certificates.
KVK CLO 2014-1: S&P Assigns 'BB' Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to KVK CLO
2014-1 Ltd./KVK CLO 2014-1 LLC's $526.015 million floating-rate
notes.
The notes issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior-secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread) and cash flow structure, which can
withstand the default rate projected by Standard & Poor's
Rating Services' CDO Evaluator model, as assessed by
Standard & Poor's using the assumptions and methods outlined
in its corporate collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy-remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The portfolio manager's experienced management team.
-- S&P's projections regarding the transaction's ability to
make 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% to 12.8177%.
-- The transaction's overcollateralization and interest-
coverage tests, a failure of which would 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 would lead to the reclassification of up to 50.00% of
excess interest proceeds that are available before paying
uncapped administrative expenses and fees, deferred
subordinated portfolio management fees, portfolio manager
incentive fees, and payments to the subordinated notes into
principal proceeds for the purchase of additional collateral
assets during the reinvestment period.
S&P has withdrawn its preliminary 'B (sf)' rating on the class F
notes, because the notes were not part of the final capital
structure for the transaction.
RATINGS ASSIGNED
KVK CLO 2014-1 Ltd./KVK CLO 2014-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 334.495
A-2 AAA (sf) 17.500
B AA (sf) 68.365
C (deferrable) A (sf) 48.590
D (deferrable) BBB (sf) 31.075
E (deferrable) BB (sf) 25.990
Subordinated notes NR 58.235
NR-Not rated.
LAKESIDE CDO II: Moody's Hikes Rating on Class A-1 Notes to 'B3'
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Lakeside CDO II, Ltd.:
$1,170,000,000 Class A-1 First Priority Senior Secured Floating
Rate Delayed Draw Notes Due 2040 (current outstanding balance
of $128,222,631.01), Upgraded to B3 (sf); previously on March
6, 2014 Caa2 (sf) Placed Under Review for Possible Upgrade.
Lakeside CDO II, Ltd., issued in March 2004, is a collateralized
debt obligation backed primarily by a portfolio of RMBS and SF
CDOs originated from 2001 to 2004.
Ratings Rationale
These rating actions are due primarily to the deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since September 2013. The Class A-1 notes
have paid down by approximately 24%, or $40 million, since
September 2013. Based on Moody's calculation, the over-
collateralization ratio of the Class A-1 notes is 178.42 %, versus
156.45% on September 2013.
The deal also benefits from the updates to Moody's SF CDO
methodology described in "Moody's Approach to Rating SF CDOs"
published on March 6, 2014. These updates include: (i) lowering
the resecuritization stress factors for RMBS (US Prime, Subprime,
Manufactured Housing), CDOs exposed to investment grade corporate
assets, and ABS backed by franchise loans or by mutual fund fees;
(ii) using a common table of recovery rates for all structured
finance assets (except for CMBS and SF CDO); and (iii) providing
more guidance on the rating caps Moody's apply to deals
experiencing event of default. In taking the foregoing actions,
Moody's also announced that it had concluded its review of its
rating on the issuer's Class A-1 notes announced on March 6, 2014.
At that time, Moody's said that it had placed the rating on review
for upgrade as a result of the aforementioned methodology updates.
Furthermore, the deal has also benefited from an improvement in
the credit quality of the underlying portfolio. Based on the
trustee's March 2014 report, the weighted average rating factor is
currently 2118, compared to 2655 on July 2013.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in March 2014.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the residential real
estate property markets. The residential real estate property
market is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from principal proceeds, recoveries from
defaulted assets, and excess interest proceeds will continue and
at what pace. Faster deleveraging than Moody's expects could have
a significant impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the notes' ratings.
4) Event of Default: There are growing concerns about the
uncertainty arising from the likelihood of acceleration of the
notes or liquidation of the collateral should an Event of Default
occur and continue. As Section 5.2 of the Indenture provides,
during an Event of Default, holders of a majority of the
controlling class can vote to accelerate the payments on the notes
by declaring the principal of all the notes immediately due and
payable. In addition, the majority of the controlling class can
direct the trustee to proceed with the sale and liquidation of the
collateral. The severity of any losses on the notes will depend on
the timing and choice of remedies.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Caa ratings notched up by two rating notches (1595):
Class A-1: +1
Caa ratings notched down by two notches (2322):
Class A-1: -1
LB-UBS COMMERCIAL 2002-C1: S&P Affirms CCC Rating on Cl. P Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on two
classes of commercial mortgage pass-through certificates from LB-
UBS Commercial Mortgage Trust 2002-C1, a U.S. commercial mortgage-
backed securities (CMBS) transaction.
The affirmations follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. They reflect S&P's review of the credit
characteristics and performance of the two remaining loans in the
trust, the transaction structure, and the liquidity available to
the trust.
The affirmations reflect S&P's expectation that the available
credit enhancement for these classes will be within its estimate
of the necessary credit enhancement required for the ratings.
While the available credit enhancement level may suggest positive
rating movements on classes P and Q, S&P's analysis also reflects
the credit characteristics and performance of the two remaining
loans, the transaction-level changes, and S&P's view of the
limited liquidity support available to these classes. S&P also
considered the potential for future interest shortfalls from the
sole loan with the special servicer ($665,610, 4.9%) as well as
the potential lease rollover risk of the larger loan, The Sprint
Building loan ($12.8 million, 95.1%). For the Sprint Building
loan, the sole tenant's lease expires in November 2016, while the
final maturity date of the loan is March 11, 2032.
TRANSACTION SUMMARY
As of the March 17, 2014, trustee remittance report, the
collateral pool consisted of two loans with an aggregate principal
balance of $13.5 million, down from 142 loans with an aggregate
balance of $1.2 billion at issuance. One of the remaining two
loans ($665,610, 4.9%) is with the special servicer, LNR Partners
LLC (LNR), and the other loan ($12.8 million, 95.1%) is on the
master servicer's (Wells Fargo Bank N.A.) watchlist. To date, the
transaction has experienced losses totaling $17.4 million (1.4% of
the transaction's original pool balance).
The details of the two remaining loans are as follows:
The Sprint Building loan ($12.8 million, 95.1%) is the largest
remaining loan in the pool and appears on the master servicer's
watchlist. The loan is secured by a 102,315-sq.-ft. office
property that serves as a call center for the Sprint Corp. in
Altamonte Springs, Fla. The loan appears on Wells Fargo's
watchlist because the borrower did not repay the loan in full at
its anticipated repayment date on March 11, 2012. The loan is
hyperamortizing and is expected to continue to hyperamortize until
it repays in full or reaches its final maturity date of March 11,
2032. The reported debt service coverage (DSC) and occupancy for
the year ended Dec. 31, 2011, were 1.63x and 100.0%, respectively.
Based on the servicer-reported data, S&P calculated an adjusted
Standard & Poor's DSC of 1.26x and adjusted Standard & Poor's
loan-to-value ratio of 69.7%.
The Village At East Fork loan ($665,610, 4.9%) is the smallest
loan in the pool and the sole loan with LNR. The loan has a
reported exposure of $816,047 and is secured by a 72-pad
manufactured housing property in Leadville, Colo. The loan was
transferred to the special servicer on Feb. 22, 2011, for non-
monetary default. LNR indicated that the borrower subsequently
filed for bankruptcy on Oct. 22, 2013. According to LNR, a
receiver was put in place as of March 12, 2014. LNR reported 100%
occupancy as of Aug. 27, 2013. S&P expects a minimal loss upon
the final resolution of this loan.
With respect to the specially serviced loan noted above, a minimal
loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS AFFIRMED
LB-UBS Commercial Mortgage Trust 2002-C1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
P CCC (sf) 54.94
Q CCC- (sf) 20.40
LEHMAN BROTHERS-UBS 2001-C3: Fitch Cuts Cl. G Notes Rating to 'B'
-----------------------------------------------------------------
Fitch Ratings has downgraded five classes of Lehman Brothers-UBS
(LB-UBS) Commercial Mortgage Trust commercial mortgage pass-
through certificates, series 2001-C3. A detailed list of rating
actions follows at the end of this press release.
KEY RATING DRIVERS
The downgrades reflect an increase in Fitch modeled losses on the
remaining pool, particularly on the Vista Ridge Mall (63% of the
pool), the largest loan in the pool. The increase in losses is
largely due to performance declines since Fitch's previous rating
action. Fitch modeled losses of 23.1% of the remaining pool;
expected losses on the original pool balance total 5.51%. The
pool has experienced $50.1 million (3.6% of the original pool
balance) in realized losses to date. Fitch has designated six
loans (97.6%) as Fitch Loans of Concern, which includes four
specially serviced assets (31.6%).
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 91.9% to $112 million from
$1.38 billion at issuance. The pool has become extremely
concentrated with only seven of the original 169 loans remaining
in the transaction, one of which (2.4%) is defeased. Interest
shortfalls are currently affecting classes J through Q.
Given the pool's concentration, Fitch applied higher net operating
income and capitalization rate stresses in the analysis. A high
default probability scenario was also applied on the performing
loans.
RATING SENSITIVITIES
The ratings on class C and D are expected to remain stable due to
sufficient credit enhancement to offset future Fitch expected
losses. Although recovery prospects remain high, classes C and D
may be subjected to future interest shortfalls should the Vista
Ridge Mall loan (63% of the pool) default. In addition to
performance concerns on the Vista Ridge Mall, the Negative
Outlooks on classes E, F, and G reflect the loan concentration and
adverse selection of the remaining pool, with four out of the
seven remaining loans currently in special servicing with limited
near term resolutions. Classes E, F, and G may be subjected to
further rating downgrades should expected losses increase.
The largest contributor to expected losses is the Vista Ridge Mall
loan (63%), the largest remaining loan, which is secured by a 1.1
million square foot (sf) mall located in Lewisville, TX. Anchor
tenants include Dillard's, Macy's, Sears, JC Penney, and Cinemark
Theaters. Despite occupancy reporting at 97% for September 2013,
the net operating income (NOI) debt service coverage ratio (DSCR)
has declined to 0.98x, compared to 1.06x at year end (YE) 2012 and
1.10x at YE 2011. The property has experienced steady NOI
declines since 2009 due to a decrease in base rents and revenues,
stemming from unfavorable conversion to percentage rents from base
rents for several tenants. Inline tenant sales had declined in
2013 to $236 per square foot (psf) from $249 psf in 2012. The
loan's maturity date was extended to April 2016, after it had
transferred to special servicing in 2009 and was subsequently
modified and returned back to master servicing in 2010. The loan,
which is currently in full cash trap due to the low DSCR, remains
current as of the April 2014 remittance date. The loan sponsor is
Rouse Properties.
The next largest contributor to expected losses is the specially-
serviced Park Central loan (24.5%), the second largest loan in the
pool, which is secured by a 331,866 sf office property comprised
of seven, one-story buildings in Phoenix, AZ. The subject loan
has been in and out of special servicing since 2010 for payment
default, and became real estate owned (REO) in May 2012. The
servicer continues to stabilize the property. The servicer
reports current occupancy at 71%.
The third largest contributor to expected losses is secured by a
100,368 sf industrial property located in Dewitt, NY. The loan
had transferred to special servicing in January 2011 due to
payment default. A receiver was put in place in March 2012, and
the property became REO in August 2013. The servicer reported
occupancy at 100% as of September 2013; however, NOI reported
negative due to nonpayment of rent by the property's largest
tenant.
Fitch downgrades and revises Rating Outlooks to the following
classes as indicated:
-- $13.4 million class C to 'Asf' from 'AAAsf'; Outlook to Stable
from Negative;
-- $16 million class D to 'Asf' from 'AAAsf'; Outlook to Stable
from Negative;
-- $18 million class E to 'BBBsf' from 'Asf'; Outlook Negative;
-- $18 million class F to 'BBB-sf' from 'BBBsf'; Outlook
Negative;
-- $12.1 million class G to 'Bsf' from 'BBsf'; Outlook Negative.
The class A-1, A-2 and B certificates have paid in full. Fitch
does not rate the class H, J, K, L, M, N, P and Q certificates.
Fitch previously withdrew the rating on the interest-only class X
certificates.
MACH ONE 2005-CDN1: DBRS Hikes Class L Certificates' Rating to BB
-----------------------------------------------------------------
DBRS Inc. has upgraded the ratings of 12 classes of MACH ONE
2005-CDN1, ULC Canadian Commercial Mortgage-Backed Securities
Pass-Through Certificates (MACH ONE) as follows:
-- Class B to AA (high) (sf) from AA (sf)
-- Class C to A (high) (sf) from A (sf)
-- Class D to A (sf) from A (low) (sf)
-- Class E to A (low) (sf) from BBB (high) (sf)
-- Class F to BBB (high) (sf) from BBB (sf)
-- Class G to BBB (sf) from BBB (low) (sf)
-- Class H to BBB (low) (sf) from BB (high) (sf)
-- Class J to BB (high) (sf) from BB (sf)
-- Class K to BB (sf) from BB (low) (sf)
-- Class L to BB (low) (sf) from B (high) (sf)
-- Class M to B (high) (sf) from B (sf)
-- Class N to B (sf) from B (low) (sf)
Additionally with the ratings upgrades, DBRS has changed the
trends of Class B through Class G to Stable from Positive. DBRS
does not rate the first loss piece, Class CS.
The rating upgrades reflect the positive credit migration on the
underlying Canadian commercial mortgage-backed securities (CMBS)
assets, attributed to amortization, increased defeasance, loan
seasoning and increased credit enhancement as a result of
successful loan repayments as issuance. This performance has
resulted in significant collateral reduction to the MACH ONE
capital structure. Since issuance in July 2005, the transaction
has amortized by 61.6%, including 14.3% since the last DBRS rating
action in April 2013. Of the 12 original underlying CMBS
transactions that were contributing to the MACH ONE transaction,
the contributing classes in five transactions have been paid off
in full, and two of the remaining seven underlying CMBS
transactions are currently experiencing principal prepayment.
Six of the seven outstanding underlying CMBS transactions are
publicly rated by DBRS. The largest single deal concentration
contributing to the MACH ONE capital structure is 28.9% of the
pool balance (Merrill Lynch Financial Assets Inc., Series 2004-
Canada 12), and the four largest deals represent 83.0% of the pool
balance. None of the contributing classes in the underlying CMBS
transaction have experienced a loss and none are projected to at
this time.
MARATHON CLO VI: S&P Assigns Prelim. BB Rating on Class D Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Marathon CLO VI Ltd./Marathon CLO VI LLC's $372.0
million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The preliminary ratings are based on information as of April 9,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting the excess spread), and cash flow structure,
which can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (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.
-- The transaction's ability to pay timely interest and
ultimate principal on the preliminary rated notes, assessed
using S&P's cash flow analysis and assumptions commensurate
with the assigned preliminary ratings under various interest
rate scenarios, including LIBORs ranging from 0.2281%-
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 reinvestment overcollateralization test, a
failure of which will lead to the reclassification of excess
interest proceeds that are available before paying uncapped
administrative expenses and fees, subordinated hedge
payments, amounts into the reserve account, collateral
manager incentive fees, and subordinated note payments, as
principal proceeds to purchase additional collateral assets
during the reinvestment period.
PRELIMINARY RATINGS ASSIGNED
Marathon CLO VI Ltd./Marathon CLO VI LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 243.0
A-2 AA (sf) 43.5
B (deferrable) A (sf) 38.6
C (deferrable) BBB (sf) 21.7
D (deferrable) BB (sf) 19.1
E (deferrable) B (sf) 6.1
Subordinated notes NR 41.1
NR-Not rated.
MORGAN STANLEY 2005-HQ5: Fitch Affirms 'D' Ratings on 5 Notes
-------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 14 classes of
Morgan Stanley Capital I Trust, commercial mortgage pass-through
certificates, series 2005-HQ5 (MSCI 2005-HQ5). A detailed list of
rating actions follows at the end of this press release.
KEY RATING DRIVERS
The upgrades are the result of increased credit enhancement from
loan payoffs. Three of the top 10 loans at the last rating action
were paid off. The affirmations reflect the relatively stable
collateral performance since the last rating action. Fitch
modeled losses of 4.5% of the remaining pool; expected losses on
the original pool balance total 5%, including $43.1 million of
realized losses to date. Fitch has designated 24 loans (22.7%) as
Fitch Loans of Concern, which includes five specially serviced
assets (5%).
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 52.1% to $730.5 million from
$1.52 billion at issuance. According to the servicing report,
eight loans (10.4%) are defeased. Cumulative interest shortfalls
totaling $2.2 million are currently impacting classes J, K, and N
through Q.
The largest contributor to modeled losses is the specially
serviced Flamingo Business Centre loan (1.3% of pool). The loan
is secured by a 69,369 square foot (sf) retail property located in
Las Vegas, NV. The loan was transferred to special servicing in
February 2013 due to payment default. Current occupancy is 65%,
down from 96% at issuance. The special servicer indicated that a
loan modification is extremely unlikely and is proceeding with
foreclosure.
The next largest contributor to modeled losses is the largest
specially serviced loan, Richmond Square Mall (1.7%). The loan is
secured by 307,697 square feet of a 392,572 sf regional mall
located in Richmond, IN, a tertiary market located approximately
70 miles east of Indianapolis, IN or approximately 70 miles
northwest of Cincinnati, OH. The loan was recently transferred to
special servicing in February 2014 for imminent default.
According to the year-end (YE) 2013 rent roll, the collateral
occupancy was 68%, representing a significant decline from 98% at
YE 2012 and 95% at issuance. The decline in occupancy was
primarily the result of Sears (29% of collateral net rentable area
[NRA]) vacating during 2013. The remaining anchor tenants are
Dillard's, which owns its own pad, and JCPenney (26% of collateral
NRA; lease expiration in May 2016). Approximately 14% of the
collateral square footage has lease expirations prior to the
loan's January 2015 maturity date. YE 2012 net operating income
(NOI) had already dropped 12% from 2011 and 33% from issuance.
With the loss of Sears, Fitch estimates NOI to have declined by
over 50% since issuance.
The servicer indicated there has been no leasing momentum with re-
tenanting the former Sears space or any other spaces given the
property's location, which has limited appeal to retailers. The
property is currently being managed by Passco Companies, LLC,
which is a privately-held real estate company based in Irvine, CA.
Given the recent transfer to special servicing, the special
servicer is still in the process of determining a workout
strategy. Fitch will continue to monitor the loan's performance
and workout.
The third largest contributor to modeled losses is a loan (2.7%)
secured by a 423,821 sf office property located in Cleveland, OH.
According to the February 2014 rent roll, the property reported
below market occupancy of 68.7%. REIS reported a vacancy of 25.9%
for the Downtown Cleveland submarket as of fourth quarter 2013.
Property occupancy has steadily declined from a high of 85% in
2008 and has remained at or near the current level over the past
few years. Approximately 27% of the property square footage
expires prior to the loan's January 2015 maturity date.
YE 2012 NOI has declined 23% from 2011 and 39% from issuance. For
the first nine months of 2013, the debt service coverage ratio
(DSCR), on a NOI basis, was 0.88x reflecting a decline from 1.02x,
1.33x, and 1.45x at YE 2012, YE 2011, and YE 2010, respectively.
The decline was attributed to lower occupancy, lower base rents,
lower expense reimbursements, and higher operating expenses.
RATING SENSITIVITIES
Ratings are expected to remain stable due to sufficient credit
enhancement, stable performance, and continued paydown. The
Positive Rating Outlooks on classes C and D reflect the
possibility for future upgrades as the transaction continues to
deleverage and 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.
Fitch has upgraded the following classes and revised Rating
Outlooks as indicated:
-- $30.5 million class B to 'AAAsf' from 'AAsf'; Outlook
Stable;
-- $19 million class C to 'AAsf' from 'AA-sf'; Outlook to
Positive from Stable.
Fitch has affirmed the following classes and revised Rating
Outlooks as indicated:
-- $468.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $112.4 million class A-J at 'AAAsf'; Outlook Stable;
-- $15.2 million class D at 'A+sf'; Outlook to Positive from
Stable;
-- $17.1 million class E at 'BBBsf'; Outlook Stable;
-- $15.2 million class F at 'BBsf'; Outlook to Stable from
Negative;
-- $15.2 million class G at 'Bsf'; Outlook to Stable from
Negative;
-- $13.3 million class H at 'CCCsf'; RE 80%;
-- $21 million class J at 'Csf'; RE 0%;
-- $2.7 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%
The class A-1, A-2, A-3, and A-AB certificates have paid in full.
Fitch does not rate the class Q certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
MORGAN STANLEY 2007-XLF9: Moody's Affirms C Ratings on 3 Certs
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed the ratings of four classes of Morgan Stanley Capital I
Inc., Commercial Mortgage Pass-Through Certificates, Series 2007-
XLF9. Moody's rating action is as follows:
Cl. J, Upgraded to Baa2 (sf); previously on May 9, 2013 Upgraded
to Ba1 (sf)
Cl. K, Upgraded to Ba2 (sf); previously on May 9, 2013 Upgraded to
B1 (sf)
Cl. L, Affirmed C (sf); previously on May 9, 2013 Affirmed C (sf)
Cl. M-RND, Affirmed C (sf); previously on May 9, 2013 Affirmed C
(sf)
Cl. N-RND, Affirmed C (sf); previously on May 9, 2013 Affirmed C
(sf)
Cl. X, Affirmed Caa1 (sf); previously on May 9, 2013 Downgraded to
Caa1 (sf)
Ratings Rationale
The upgrades were based primarily on an increase in credit support
resulting from loan pay downs and anticipated pay downs. The
pooled debt has paid down 16% since Moody's last review. The
ratings of pooled principal and interest (P&I) Class L and non-
pooled, or rake, Classes M-RND and N-RND are consistent with
Moody's expected loss and thus are affirmed. The affirmation of
interest-only (IO) Class X is based on the weighted average rating
factor or WARF of its referenced 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 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 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 8.7. 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 March 17, 2014 Payment Date, the transaction's aggregate
certificate balance has decreased by 92% to $103.0 million from
$1.3 billion at securitization. The Certificates are
collateralized by four floating-rate mortgage loans ranging in
size from 10% to 42% of the pool.
The pool has experienced $35,487 in losses to date affecting non-
pooled classes N-RND and N-635. Interest-shortfalls total $1.4
million and affect pooled Class L and non-pooled Classes M-RND and
N-RND caused by the Reunion Land loan. Interest shortfalls are
caused by special servicing fees, including workout and
liquidation fees, appraisal subordinate entitlement reductions
(ASERs) and extraordinary trust expenses.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. Large
loan transactions generally have a Herf of less than 20. The pool
has a Herf of 3.3, compared to 3.4 at last review.
There are currently two loans in special servicing (66% of the
pooled balance) including the Great River Entertainment Complex
loan (42%) and the Reunion Land loan (24%).
The largest loan is the Great River Entertainment Complex loan
($38.5 million -- 42% of the pooled trust debt) which was
transferred to special servicing in April 2012 due to the
borrower's inability to secure financing upon maturity. The loan
is performing pursuant to the maturity extension modification
completed in December 2012. The loan has been extended to December
2014. The loan is secured by a 23,700 square foot (SF) land based
casino complex, a Riverboat casino (1,709 slots, 36 tables), a
250,000 SF amusement park and 186 hotel rooms. It is located in
Burlington, Iowa. Since last review the loan has paid down by 12%.
There is additionally a junior non-trust debt component held
outside of the trust. Moody's pooled LTV is 77%, compared to over
88% at last review. Moody's stressed debt service coverage ratio
(DSCR) is 2.18X, compared to 1.91X at last review. Moody's current
credit assessment is B2, compared to Caa1 at last review.
The Reunion Land loan ($22.5 million -- 24%) was transferred to
special servicing in August 2009. The loan was originally
collateralized by approximately 430 acres of land plus a private
18-hole Traditions golf course in a 2,225 acre master planned
community known as Reunion Resort, located in Orlando, Florida. A
$35 million hope note remains, which holds consent rights
regarding any disposition of 11 parcels of land split between East
and West at the Reunion development. Reunion West CDD bonds (bonds
senior to the Trust position) were aggregated and purchased by
Encore Housing Opportunity Fund in November 2011. During July
2013, Encore foreclosed on the West parcels. During November 2012,
the original CDD bonds obtained a summary judgment to foreclosure
on the East parcels; however this remains pending. There is no
near term expectation of principal repayment. Moody's credit
assessment is C. Non-pooled Classes RM-RND and N-RND are secured
by the junior portion of the Hope Note.
The Westchester Marriott loan ($21.6 million -- 24%) is secured by
a 444-key full-service hotel in Tarrytown, New York. The loan was
modified in November 2011 when it was extended to a final maturity
date in July 2014. The pooled debt has paid down by 24% since last
review due to loan pay downs and a cash flow sweep. RevPAR for
full-year 2013 was $101. EBITDA has been stable for the past three
years. Moody's LTV and DSCR are 65% and 1.75x, compared to 86% and
1.31X at last review. Moody's current credit assessment is Ba2,
compared to B3 at last review.
The Hyatt Place Portfolio loan ($9.2 million -- 10%) is secured by
four Hyatt Place hotels with a total of 512 rooms located in San
Antonio, Houston, Austin and Grand Prairie, Texas. The borrower
filed for bankruptcy and the plan was confirmed in 2011. The loan
has been extended to July 2018 and has paid down by 31% since last
review. Full-year 2013 RevPAR was $80, a 4% increase over 2012.
Moody's LTV is 35%, compared to 50% at last review. Moody's
stressed DSCR is 1.43X, compared to 1.22X at last review. Moody's
current credit assessment is Aa2, compared to Baa1 at last review.
MOUNTAIN CAPITAL IV: Moody's Affirms Ba2 Rating on Cl. B-2L Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Mountain Capital CLO IV Ltd.:
$13,500,000 Class B-1L Floating Rate Notes Due March 2018,
Upgraded to Aa3 (sf); previously on August 23, 2013 Upgraded to
A2 (sf)
Moody's also affirmed the ratings on the following notes:
$134,000,000 Class A-1L Floating Rate Notes Due March 2018
(current outstanding balance of $9,819,381.07), Affirmed Aaa
(sf); previously on August 23, 2013 Affirmed Aaa (sf)
$9,000,000 Class A-1LB Floating Rate Notes Due March 2018
(current outstanding balance of $6,155,432.91), Affirmed Aaa
(sf); previously on August 23, 2013 Affirmed Aaa (sf)
$21,000,000 Class A-2L Floating Rate Notes Due March 2018,
Affirmed Aaa (sf); previously on August 23, 2013 Affirmed Aaa
(sf)
$15,000,000 Class A-3L Floating Rate Notes Due March 2018,
Affirmed Aaa (sf); previously on August 23, 2013 Upgraded to
Aaa (sf)
$12,000,000 Class B-2L Floating Rate Notes Due March 2018
(current outstanding balance of $11,280,993.57), Affirmed
Ba2 (sf); previously on August 23, 2013 Affirmed Ba2 (sf)
Mountain Capital CLO IV Ltd., issued in December 2005, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in March 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 August 2013. The Class A-1 notes
have been paid down by approximately 72% or $41.0 million since
August 2013. Based on the trustee's March 2014 report, the over-
collateralization (OC) ratios for the Senior Class A, Class A,
Class B-1L and Class B-2L notes are reported at 192.83%, 149.97%,
124.97% and 109.69%, respectively, versus August 2013 levels of
164.04%, 137.57%, 120.12% and 108.61%, respectively. Moody's notes
the reported March 2014 over-collateralization ratios do not
reflect the March 17, 2014 payment of $15.5 million to the Class
A-1 Notes.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on Moody's calculations,
securities that mature after the notes do currently make up
approximately 13.5% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature. Despite the increase in the OC ratio of the
Class B-2L notes, Moody's affirmed the rating on the Class B-2L
notes owing to market risk stemming from the exposure to these
long-dated assets.
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
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have
adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the
lowest priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Moody's Adjusted WARF -- 20% (2188)
Class A-1L: 0
Class A-1LB: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: +2
Class B-2L: +1
Moody's Adjusted WARF + 20% (3282)
Class A-1L: 0
Class A-1LB: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: -1
Class B-2L: 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 February 2014.
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 $84 million, defaulted par
of $2.7 million, a weighted average default probability of 15.28%
(implying a WARF of 2735), a weighted average recovery rate upon
default of 53.07%, a diversity score of 26 and a weighted average
spread of 3.02%.
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.
MOUNTAIN HAWK III: Moody's Rates $24.5-Mil. Class E Notes 'Ba2'
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Mountain Hawk III CLO, Ltd.
Moody's rating action is as follows:
$346,250,000 Class A Senior Secured Floating Rate Notes due
2025 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
$69,250,000 Class B Senior Secured Floating Rate Notes due 2025
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
$45,750,000 Class C Secured Deferrable Floating Rate Notes due
2025 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
$30,750,000 Class D Secured Deferrable Floating Rate Notes due
2025 (the "Class D Notes"), Definitive Rating Assigned Baa3
(sf)
$24,500,00 Class E Secured Deferrable Floating Rate Notes due
2025 (the "Class E Notes"), Definitive Rating Assigned Ba2 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
Ratings Rationale
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
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 approximately
56% 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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $560,000,000
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
February 2014.
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
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
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.
MWAM CBO 2001-1: Moody's Hikes Rating on 2 Note Classes to Caa3
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by MWAM CBO 2001-1, Ltd.:
$21,875,000 Class B Floating Rate Notes Due January 30, 2031
(current outstanding balance of $6,066,132), Upgraded to Aaa
(sf); previously on March 6, 2014 A2 (sf) Placed Under Review
for Possible Upgrade
$12,500,000 Class C-1 Floating Rate Notes Due January 30,
2031(current outstanding balance of $17,641,519), Upgraded to
Caa3 (sf); previously on March 12, 2009 Downgraded to C (sf)
$8,125,000 Class C-2 Fixed Rate Notes Due January 30,
2031(current outstanding balance of $13,249,668), Upgraded to
Caa3 (sf); previously on March 12, 2009 Downgraded to C (sf)
MWAM CBO 2001-1, Ltd ., issued in January 2001, is a
collateralized debt obligation backed primarily by a diversified
portfolio of corporate assets and structured finance securities
such as RMBS, CMBS and other ABS, originated from 1992 to 2003.
Ratings Rationale
These rating actions are due primarily to the deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since last rating action in July 2013.
The Class B notes have paid down by approximately 72%, or $15.8
million, since last rating action. Based on Moody's calculation,
the over-collateralization ratio of the Class B notes is 506%,
versus 158% in July 2013.
On the last payment date in January 2014, $0.8 million of interest
proceeds were used to pay down the principal balance of Class B
notes. Going forward, Moody's expects that excess interest
proceeds will continue to be available for the benefit of all
rated notes.
The deal also benefit from the updates to Moody's SF CDO
methodology described in "Moody's Approach to Rating SF CDOs"
published on March 6, 2014. These updates include: (i) lowering
the resecuritization stress factors for RMBS (US Prime, Subprime,
Manufactured Housing), CDOs exposed to investment grade corporate
assets, and ABS backed by franchise loans or by mutual fund fees;
(ii) using a common table of recovery rates for all structured
finance assets (except for CMBS and SF CDO); and (iii) providing
more guidance on the rating caps Moody's apply to deals
experiencing event of default. In taking the foregoing actions,
Moody's also announced that it had concluded its review of its
rating on the issuer's Class B Notes announced on March 6, 2014.
At that time, Moody's said that it had placed the rating on review
for upgrade as a result of the aforementioned methodology updates.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in March 2014.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the residential real
estate property markets. The residential real estate property
market is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, and excess interest proceeds
will continue and at what pace. Faster deleveraging than Moody's
expects could have a significant impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the notes' ratings.
Loss and Cash Flow Analysis:
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):
B1 and below ratings notched up by two rating notches (825):
Class B: +1
Class C-1: 0
Class C-2: 0
B1 and below ratings notched down by two rating notches (1505):
Class B: 0
Class C-1: 0
Class C-2: 0
OCTAGON INVESTMENT: S&P Raises Rating on Class E Notes to BB+
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D and E notes from Octagon Investment Partners VIII Ltd., a
cash flow U.S. collateralized loan obligation (CLO) transaction
managed by Octagon Credit Investors LLC. At the same time, S&P
removed these four ratings from CreditWatch, where it had placed
them with positive implications on Jan. 22, 2014. In addition,
S&P affirmed its 'AAA (sf)' ratings of the class A-1 and A-2
notes, which are pari passu.
The upgrades reflect the continued paydowns to the class A notes
since November 2012, when S&P raised its ratings on the class B,
C, and D notes.
Following the most recent note payment date (March 17, 2014), the
class A-1 and A-2 note balances decreased to approximately 14% of
their original balances, down from 68% in October 2012, which is
the figure S&P used in the analysis that led to its November 2012
rating actions.
This improved the credit support to all the notes, which is
reflected in the overcollateralization (O/C) ratios reported in
the monthly trustee reports. As per the March 2014 monthly
trustee report:
-- The class A/B O/C ratio was 197.19%, up from 132.44% in the
October 2012 trustee report.
-- The class C OC ratio was 154.10%, up from 121.27% in October
2012.
-- The class D OC ratio was 126.56%, up from 111.88% in October
2012.
-- The class E OC ratio was 112.76%, up from 106.25% in October
2012.
S&P expects the above O/C ratios to increase further once the
March 17th paydowns are factored in.
Although there is an increase in the defaulted balance ($3.26
million par as per the March 2014 monthly trustee report, up from
zero in October 2012), the increase in the credit support to the
notes offsets its impact.
S&P raised the ratings on the class B, C, D and E notes as a
result of the increase in their credit support. S&P's
affirmations on the class A-1 and A-2 notes reflect the
availability of adequate credit support at the current ratings.
S&P's ratings on the class D and E notes were driven by the
application of its largest-obligor default test. S&P applies
supplemental tests to address event and model risk that might be
present in rated transactions. The largest-obligor default test
assesses whether a CDO tranche has sufficient credit enhancement
(excluding excess spread) to withstand specified combinations of
underlying asset defaults based on the ratings on the underlying
assets, with a flat recovery.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Octagon Investment Partners VIII Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion (i) rating
A-1 AAA (sf) AAA (sf) 35.40% AAA (sf)
A-2 AAA (sf) AAA (sf) 35.40% AAA (sf)
B AA+ (sf)/Watch Pos AAA (sf) 35.40% AAA (sf)
C AA (sf)/Watch Pos AAA (sf) 18.81% AA+ (sf)
D BBB+ (sf)/Watch Pos AA+ (sf) 2.98% A+ (sf)
E B+ (sf)/Watch Pos BBB+ (sf) 2.55% BB+ (sf)
(i) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated scenarios in
which it made negative adjustments of 10% to the current
collateral pool's recovery rates relative to each tranche's
weighted average recovery rate. S&P also generated other
scenarios by adjusting the intra- and inter-industry correlations
to assess the current portfolio's sensitivity to different
correlation assumptions assuming the correlation scenarios
outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
D AA+ (sf) AA (sf) AA (sf) AA+ (sf) A+ (sf)
E BBB+ (sf) BBB- (sf) BBB+ (sf) BBB+ (sf) BB+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
D AA+ (sf) AA+ (sf) A+ (sf) A+ (sf)
E BBB+ (sf) BBB+ (sf) B+ (sf) BB+ (sf)
RATING AND CREDITWATCH ACTIONS
Octagon Investment Partners VIII Ltd.
Rating
Class To From
A-1 AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf)/Watch Pos
C AAA (sf) AA (sf)/Watch Pos
D A+ (sf) BBB+ (sf)/Watch Pos
E BB+ (sf) B+ (sf)/Watch Pos
PACIFIC BEACON 2006-A: Fitch Affirms 'BB' Rating on Cl. III Bonds
-----------------------------------------------------------------
Fitch Ratings affirms the ratings for the following classes of
Pacific Beacon LLC, military housing taxable revenue bonds (Naval
Base San Diego Unaccompanied Housing Project), 2006 series A (the
bonds):
-- $187 million class I bonds at 'AA-';
-- $64 million class II bonds at 'A-';
-- $56 million class III bonds at 'BB'.
The Rating is Outlook Stable.
SECURITY
The bonds are special limited obligations of the issuer primarily
secured by pledged revenues from the operation of the
unaccompanied housing project known as Pacific Beacon at the San
Diego Naval Base. The absence of a cash funded debt service
reserve fund limits protections afforded bondholders.
KEY RATING DRIVERS
OCCUPANCY REMAINS HIGH: Occupancy levels are affected by
deployment resulting in nearly 85% turnover per year. The project
is currently 96% occupied.
BAH PERCENTAGE INCREASED: An increase in the percentage of BAH
from 68% to 82% allowed for rental payment, per the Department of
Defense, will increase revenue to the project for the rank of E-1
to E-4 and in turn will increase debt service coverage.
IMPROVING DEBT SERVICE COVERAGE: The ratings on the Class I, II
and III bonds are being affirmed based on the actual 2013 debt
service coverage ratios (DSCR) of 1.83x, 1.37x and 1.12x which
slightly exceeds the 2012 actuals of 1.77x, 1.33x and 1.09x,
respectively. The Outlook on all three classes of bonds is
Stable.
PROPERTY MANAGEMENT ADDS STRENGTH: Management's ability to
continue to maintain and/or reduce project operating expenses and
maintain occupancy levels despite the constant apartment turnover
is a positive.
LOCAL MARKET DRIVES BAH: The BAH increased approximately 6% on
average when compared to last year.
RATING SENSITIVITIES
INCREASE IN PERCENTAGE BAH: The increase in the percentage of BAH
on the E1-E4 ranked residents will allow the project to increase
the DSCRs and put all three classes of bonds on a positive
trajectory.
BAH DECREASE: A material decrease in BAH for the San Diego market
area in the near term.
DECREASED OCCUPANCY AND/OR INCREASED EXPENSES: Management's
inability to maintain current occupancy levels and/or control
project operating expenses could negatively impact DSCRs.
CREDIT PROFILE
PROJECT OVERVIEW
The project, which is located at Naval Base San Diego, consists of
1,199 units made up of Pacific Beacon (1,882 beds) and Palmer Hall
(1,032 beds) and operates under the name Pacific Beacon.
The original scope included upgrading and renovating existing two-
bedroom residential units at Palmer Hall and the construction of
three new buildings/towers known as Pacific Beacon with two-
bedroom units. The project includes a fitness facility, a
multiuse area, classrooms and free parking.
OCCUPANCY AND TENANT MIX
The project is currently 97% occupied and demonstrated 96.3%
average occupancy for the three year period ending December 2013.
Management reports that the project experiences high turnover
rates every year which is largely driven by the deployment of
existing tenants.
Project occupancy levels play a key role in determining the amount
of revenue generated by the project, as BAH amounts vary by rank
level. However, rank levels are now less important as currently
86% of the beds are leased to service members with a rank of E4 or
below. Management reports that by year end 2014 it expects all of
the units to be leased to this segment of the service member
population. Key to the financial health going forward is the
Department of Defense changing the percentage of the BAH to the
E1- E4 ranks to 82% of BAH ratio. This will increase the per
bedroom revenue (regardless of tenant mix), offset some of the
property operating expenses and will increase DSCR in the future.
The Project is currently accruing approximately $12.7 million in
deferred fees which is expected to be paid down over the next few
years.
PROJECTED DEBT SERVICE COVERAGE
The 2014 budget for the property incorporates a 5% economic
vacancy assumption. In addition, the projection includes the
actual 6% change in BAH along with 82% allocation for the E-1 to
E-4 tenants and demonstrates the following expectation for debt
service coverage ratios for 2014:
-- Class I bonds: 2.0.x
-- Class II bonds: 1.5x
-- Class III bonds: 1.19x
Debt service remains nearly level throughout the life of the bonds
at about $20.0 million.
Fitch continues to view unaccompanied military housing projects as
having more risk than other Fitch rated military family housing
projects given the varied profile of the respective tenant bases.
Unaccompanied housing projects tend to be subject to higher levels
of physical wear and higher annual turnover which leads to higher
property operating expenses. Therefore, Fitch expects that the
DSCRs for an unaccompanied project will be higher than those of
military family housing transactions at the same rating level to
account for this dynamic.
DEBT SERVICE RESERVE FUND
The transaction maintains a surety bond for the debt service
reserve fund (DSRF) sized at maximum annual debt service from
MBIA. Fitch does not assign any value to the MBIA surety bond and
does not rely on its presence in the event of project financial
deterioration. In addition, there is an excess collateral
agreement in place in the amount of $10 million which acts as a
line of credit to the project from Merrill Lynch (rated 'A/F1';
Negative Outlook by Fitch) with a wrap from AIG (rated 'BBB+';
Stable Outlook). At this time, the surety bond and excess
collateral agreement providers have had their creditworthiness
downgraded since the issuance of the bonds. As a result, Fitch no
longer gives any credit in the analysis to those agreements.
PETRA CRE CDO 2007-1: Fitch Affirms 'C' Ratings on 5 Notes
----------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed the remaining
six classes of Petra CRE CDO 2007-1 (Petra 2007-1).
KEY RATING DRIVERS
The CDO is significantly under-collateralized with liabilities
exceeding collateral by over $290 million; only four loan
interests remain in the highly concentrated pool. Fitch's actions
reflect concern over the CDO's ability to continue to make timely
interest payments to class D, and Fitch's high base case loss
expectation of 84.2%. Currently, 60% of the pool is defaulted
while the remaining 40% are loans of concern. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market values and cash flow declines.
Since the last rating action, classes B and C have paid in full
while class D has been paid down by 28% from the payoff or
disposal at a loss of approximately 18 assets. Realized losses to
par over the period have been significant at approximately $100
million. Due to the under-collateralization of the CDO, classes F
and below have negative credit enhancement.
Since the July 2011 payment date, interest proceeds have,
generally, been insufficient to pay the interest due on the timely
classes; the interest due on these classes has been paid from
principal proceeds. The senior-most class D is now a timely
interest pay class and Fitch is concerned about the CDO's ability
to continue to make timely interest payments to the class. While
in March 2014, the available interest proceeds (remitted from the
servicer) to pay down the waterfall were $1.43 million, the
available proceeds in February 2014 were close to zero (only
$120). The March 2014 number was driven by a lump sum interest
payment on the Allerton Hotel mezzanine loan of $1.45 million.
Going forward, there are no assets remaining that are paying
interest on a current basis.
RATING SENSITIVITIES
All classes are subject to further downgrades should additional
losses be realized.
Under Fitch's surveillance methodology, the entire portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. Fitch estimates that average recoveries will be
low at 15.8%.
The largest component of Fitch's base case loss expectation is
related to a junior mezzanine/preferred equity interest (40.1% of
the pool) backed by a portfolio of full-service luxury hotels.
The loan is currently operating under a forbearance agreement.
Further, portfolio performance remains significantly below
expectations at issuance. Fitch modeled a full loss on this
significantly overleveraged loan interest in its base case
scenario.
The next largest component of Fitch's base case loss expectation
is related to a defaulted A-note (48.2% of the pool) secured by a
residential construction project located in the Washington Heights
neighborhood of Manhattan. Construction activity stalled in 2009,
and a foreclosure action has been ongoing for several years.
Fitch modeled a significant loss on the 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 tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The
transaction was not cash-flow modeled based on the limited
available interest received from the assets, the majority of which
are defaulted; historically unpredictable timing and substantial
amount of expenses and advances being made by the servicers prior
to the Waterfall; and given the distressed nature of the ratings.
The 'CC' and below ratings for classes D 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 each class' credit enhancement. The
downgrade to class E is the result of increased expected losses on
the defaulted assets.
Fitch has downgraded the following class:
--$22.8 million class E to 'Csf' from 'CCsf; RE0%;
Fitch has affirmed the following classes, as indicated:
-- $18.9 million class D at 'CCsf'; RE 50%;
-- $35.8 million class F at 'Csf'; RE 0%;
-- $22.2 million class G at 'Csf'; RE 0%;
-- $29.6 million class H at 'Csf'; RE 0%;
-- $52.1 million class J at 'Csf'; RE 0%
-- $44.4 million class K at 'Csf'; RE 0%.
Classes A-1 through C have paid in full.
REALT 2007-1: DBRS Confirms 'BB' Rating on Class F Securities
-------------------------------------------------------------
DBRS Inc. has confirmed the following classes of Real Estate Asset
Liquidity Trust, Series 2007-1:
-- Classes A-1, A-2, XC-1, XC-2, XP-1 and XP-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Classes D-1 and D-2 at BBB (sf)
-- Classes E-1 and E-2 at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (sf)
-- Class H at BB (low) (sf)
-- Class J at B (high) (sf)
-- Class K at B (sf)
-- Class L at B (low) (sf)
The trend on all rated classes is Stable.
The pool continues to perform as expected, with four loans paying
out of the pool since the last surveillance review. One of the
repaid loans was a loan formerly on the servicer's watchlist and
another was formerly in special servicing. Impero Properties
(Prospectus ID#13) was secured by a three-property portfolio
located in Edmonton, Alberta. The loan was transferred to the
special servicer in February 2011 as a result of payment default.
A purchase of all three properties resulted in a full payoff of
the loan with no loss to the trust. There has been healthy net
cash flow (NCF) growth in the largest 15 loans, with a weighted-
average NCF change of 19.2% since issuance. Additionally, the
weighted-average debt service coverage ratio (DSCR) and weighted-
average debt yield for these loans were 1.60 times (x) and 13.4%,
respectively.
There remains one loan in special servicing as of the March 2014
remittance. 771-785 Industriel Boulevard (Prospectus ID#68, 0.3%
of the current pool balance) was originally placed on the
servicer's watchlist in January 2009 when the property's occupancy
declined to 30%. After a period of continued delinquency, the
loan transferred to special servicing in December 2011. According
to the servicer commentary, a sale of the property was expected to
have closed in February 2014. DBRS is awaiting confirmation of
the sale's execution and expects this loan to pay off in full.
Five loans are currently on the servicer's watchlist, two of which
have been flagged for items of deferred maintenance. Of the three
watchlist loans flagged for cash flow decline, the largest is
Rockyview Professional Centre (Prospectus ID#11, 2.5% of the
current pool balance). This loan is secured by a small office
property located south of the Calgary central business district.
As of March 2013, the property was just 62.7% occupied and the
YE2012 DSCR was reported to be 0.85x. Despite the operating
shortfall, the borrower has continued investing in the property.
According to a March 2013 servicer site inspection, the property's
bathrooms, stairwells and elevators were undergoing renovations,
with an estimated completion cost of $450,000.
DBRS maintains investment-grade shadow ratings on two loans in
this transaction, which represent 20.8% of the current pool
balance combined. DBRS has confirmed the shadow ratings in
conjunction with the above rating actions.
SARANAC CLO II: Moody's Rates $23MM Class E Notes 'Ba3'
-------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following ratings to notes issued by Saranac CLO II Limited.
$140,500,000 Class A-1A Senior Secured Floating Rate Notes due
2025 (the "Class A-1A Notes"), Definitive Rating Assigned Aaa
(sf)
$45,000,000 Class A-1F Senior Secured Fixed Rate Notes due 2025
(the "Class A-1F Notes"), Definitive Rating Assigned Aaa (sf)
$30,500,000 Class A-2 Senior Secured Floating Rate Notes due
2025 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa
(sf)
$34,500,000 Class B Senior Secured Floating Rate Notes due 2025
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
$20,000,000 Class C Secured Deferrable Floating Rate Notes due
2025 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
$21,000,000 Class D Secured Deferrable Floating Rate Notes due
2025 (the "Class D Notes"), Definitive Rating Assigned Baa3
(sf)
$23,000,000 Class E Secured Deferrable Floating Rate Notes due
2025 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
Ratings Rationale
Moody's ratings of the Class A-1A Notes, the Class A-1F Notes, the
Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D
Notes and the Class E Notes (collectively, the "Rated Notes")
address the expected losses posed to the holders of the Rated
Notes. The ratings reflect the risks due to defaults on the
underlying portfolio of loans, the transaction's legal structure,
and the characteristics of the underlying assets.
Saranac II 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 be
invested in senior secured loans and eligible investments and up
to 7.5% of the portfolio may consist of senior unsecured loans,
second lien loans and first-lien last-out obligations. The
Issuer's documents require the portfolio to be at least 78.6%
ramped as of the closing date.
Saranac Advisory Limited (the "Manager") will direct the
selection, acquisition and disposition of collateral on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, purchases are permitted using
principal proceeds from unscheduled principal payments and
proceeds from sales of credit risk obligations and credit improved
obligations, and are subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue two other
tranches 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 and
loans in order of seniority.
Moody's modeled the transaction using a cash-flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
Par amount of $340,000,000
Diversity of 65
WARF of 2600
Weighted Average Spread of 3.55%
Weighted Average Coupon of 4.5%
Weighted Average Recovery Rate of 45%
Weighted Average Life of 7.9 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
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes an increased
default probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), holding all other factors equal:
Percentage Change in WARF -- increase of 15% (from 2600 to 2990)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1F Notes: 0
Class A-2 Notes: 0
Class B Notes: -1
Class C Notes: -1
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2600 to 3380)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1F Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
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.
SNAAC AUTO 2014-1: S&P Assigns 'BB' Rating on Class E Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to SNAAC
Auto Receivables Trust 2014-1's $210 million auto receivables-
backed notes series 2014-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 40.5%, 35.9%, 29.5%,
23.2%, and 19.3% of credit support for the class A, B, C, D,
and E notes, respectively, based on stress cash-flow
scenarios (including excess spread), which provide coverage
of approximately 3.55x, 3.10x, 2.40x, 1.75x, and 1.50x
our 10.5%-11.5% expected cumulative net loss.
-- The timely interest and principal payments made under stress
cash flow modeling scenarios appropriate to the assigned
ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A
and B notes would remain within one rating category of its
'AAA (sf)' and 'AA (sf)' ratings, respectively, within the
first year and our ratings on the class C, D, and E notes
would remain within two rating categories of S&P's 'A (sf)',
'BBB (sf)', and 'BB (sf)' ratings, respectively, within the
first year.
-- These potential rating movements are consistent with S&P's
credit stability criteria, which outline the outer bound of
credit deterioration equal to a one-category downgrade
within the first year for 'AAA' and 'AA' rated securities
and a two-category downgrade within the first year for 'A'
through 'BB' rated securities under moderate stress
conditions.
-- The credit enhancement in the form of subordination,
overcollateralization, reserve account, and excess spread.
-- The favorable track record of the management team, which has
many years of experience individually in the industry and
together at the company.
-- The collateral's characteristics.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
SNAAC Auto Receivables Trust 2014-1
Class Rating Type Interest Amount
rate (mil. $)
A AAA (sf) Senior Fixed 152.25
B AA (sf) Subordinate Fixed 12.60
C A (sf) Subordinate Fixed 17.85
D BBB (sf) Subordinate Fixed 17.85
E BB (sf) Subordinate Fixed 9.45
STRAITS GLOBAL: Moody's Ups Rating on $248MM Cl. A-1 Notes to B3
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Straits Global ABS CDO I, Ltd:
$248,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2040 (current outstanding balance of
$14,144,240), Upgraded to B3 (sf); previously on March 6, 2014
Caa3 (sf) Placed Under Review for Possible Upgrade
Straits Global ABS CDO I, Ltd., issued in October 2004, is a
collateralized debt obligation issuance backed by a portfolio of
RMBS, CMBS, and CDOs, originated in 2003 - 2005.
Ratings Rationale
The rating action is primarily a result of deleveraging of the
Class A-1 notes and an increase in the transaction's over-
collateralization ("OC") ratios since August 2013. The Class A-1
Notes have been paid down by approximately 46%, or $11.8 million
since August 2013. Based on Moody's calculation, the OC ratio for
the Class A-1 notes is currently at 157.97% versus 117.33% in
August 2013.
The rating action also reflects the reduced default risk
associated with a significant exposure to assets that mature
within a short time period. Moody's notes that the transaction's
assets have a total par of $95.9 million, of which assets having a
total par of $29.6 million are rated or assessed at Caa3 or
better. Of these assets that are rated Caa3 or better,
collateralized synthetic obligations that mature within a year
comprise $18 million of par.
Additionally, the deal benefits from the updates to the Moody's SF
CDO methodology described in "Moody's Approach to Rating SF CDOs"
published on March 6, 2014. These updates include: (i) lowering
the resecuritization stress factors for RMBS (US Prime, Subprime,
Manufactured Housing), CDOs exposed to investment grade corporate
assets, and ABS backed by franchise loans or by mutual fund fees;
(ii) using a common table of recovery rates for all structured
finance assets (except for CMBS and SF CDO); and (iii) providing
more guidance on the rating caps Moody's apply to deals
experiencing event of default. In taking the foregoing actions,
Moody's also announced that it had concluded its review of the
rating on the issuer's Class A-1 notes announced on March 6, 2014.
At that time, Moody's said that it had placed the ratings on
review for upgrade as a result of the aforementioned methodology
updates.
Notwithstanding the foregoing, Moody's notes that the issuer will
continue to make significant payments on an interest rate swap
transaction that is currently deep out of the money. Based on
Moody's calculation, since August 2013, the total payment due and
paid to the interest rate swap counterparty has been approximately
$855,339.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in March 2014.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the residential real
estate property markets. The residential real estate property
market is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, and excess interest proceeds
will continue and at what pace. Faster deleveraging than Moody's
expects could have a significant impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the notes' ratings.
4) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors Moody's rates no better than Caa1, especially if they
jump to default.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Caa1 and below ratings notched up by two notches:
Class A-1: 0
Caa1 and below ratings notched down by two notches:
Class A-1: -1
THL CREDIT 2014-1: Moody's Assigns (P)Ba3 Rating on $33.5MM Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes issued by THL Credit Wind River 2014-1 CLO Ltd.
(the "Issuer" or "THL Wind River 2014-1").
Moody's rating action is as follows:
$369,250,000 Class A Senior Secured Floating Rate Notes due 2026
(the "Class A Notes"), Assigned (P)Aaa (sf)
$55,500,000 Class B-1 Senior Secured Floating Rate Notes due 2026
(the "Class B-1 Notes"), Assigned (P)Aa2 (sf)
$15,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2026
(the "Class B-2 Notes"), Assigned (P)Aa2 (sf)
$54,000,000 Class C Secured Deferrable Floating Rate Notes due
2026 (the "Class C Notes"), Assigned (P)A2 (sf)
$31,500,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$33,500,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes and the Class E Notes are
referred to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
THL Credit Wind River 2014-1 is a managed cash flow CLO. The
issued notes will be collateralized primarily by broadly
syndicated first lien senior secured corporate loans. At least
90.0% of the portfolio must consist of senior secured loans, cash,
and eligible investments, and up to 10.0% of the portfolio may
consist, in the aggregate, of senior secured notes, bonds, second
lien loans and senior unsecured loans. The underlying portfolio is
expected to be approximately 50% ramped as of the closing date.
THL Credit Senior Loan Strategies 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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.85%
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
February 2014.
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-1 Notes: 0
Class B-2 Notes: 0
Class C Notes: -1
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2700 to 3510)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
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.
U.S. CAPITAL IV: S&P Lowers Rating on 2 Note Classes to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1 and A-2 notes from U.S. Capital Funding IV Ltd., a
collateralized loan obligation (CLO) transaction, to 'D (sf)' from
'CCC- (sf)'.
S&P lowered the ratings because, according to the March 2014 note
valuation report, the transaction failed to pay the full pro rata
interest payments due on the A-1 and A-2 notes.
RATINGS LOWERED
U.S. Capital Funding IV Ltd.
Rating
Class To From
A-1 D (sf) CCC- (sf)
A-2 D (sf) CCC- (sf)
VERMONT STUDENT: S&P Lowers Ratings on 15 Trust Classes to 'B'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of notes issued by Vermont Student Assistance Corp. (VSAC)
to 'B (sf)' and removed them from CreditWatch with negative
implications, where we placed them on Jan. 8, 2014. The notes
were all issued out of the issuer's 1995 Education Loan Revenue
Bond Resolution, which is an asset-backed securities (ABS) master
trust backed by student loans.
The trust is a master trust with multiple note issuances from 1995
through 2007. It is backed by both private student loans
(approximately 41% of the collateral pool as of December 2013) and
FFELP (Federal Family Education Loan Program) student loans (59%
of the pool as of December 2013).
RESTRUCTURING
The trust's collateral mix changed following a recent
restructuring in mid-2013, which included selling FFELP collateral
out of the trust. The proceeds from the sale of the FFELP
collateral were used to buy back notes from investors at a
discount. Before the restructuring, the collateral pool comprised
approximately 77% FFELP (Federal Family Education Loan Program)
loans and 23% private student loans. After this restructuring, the
collateral pool included approximately 59% FFELP loans and 41%
private loans. Because the FFELP loans are at least 97%
guaranteed by the U.S. Department of Education (DOE), S&P believes
that much of these loans' credit risk is mitigated. However,
because the collateral mix is now more weighted towards the
private loans, which are not guaranteed by the U.S. DOE, S&P
believes the trust is now more exposed to the borrowers' credit
risk.
Along with the restructuring, Ambac (the bond insurer for the
trust) consented to release credit enhancement in the form of cash
from the transaction. Per the transaction documents, the trust
can release funds to the issuer as long as the parity in the trust
is at least 103% and Ambac consents to the release. The parity in
the trust was 107.48% for the period ending March 2013, then
jumped to 117.21% in June 2013 because of the trust restructuring
and discounted note buy backs discussed above. After Ambac agreed
to the release, the parity decreased to 108.46 in September 2013.
As of December 2013 the parity for the trust was 109.25%. It is
uncertain if the trust will seek or receive consent from Ambac to
release funds to the issuer in the future.
LIABILITIES
The trust's liabilities are 100% auction-rate securities (ARS).
Since the auction markets failed in February 2008, these notes
have been paying interest rates based on their respective maximum
auction-rate definitions. As of Dec. 31, 2013, 70.2% of the notes
pay interest based on a floating index multiplied by a ratings-
dependent multiplier of 175%-300%. This type of ARS may be more
stressful to the trust in higher interest-rate environments
because the multiplier's effect will dramatically increase the
cost of funds. The balance of the notes pays interest based on a
floating taxable index plus a ratings-dependent margin of 1.20%-
1.75% (these definitions vary among the notes). These notes will
be more stressful to the trust in an environment with a very low
taxable index because they will also have to pay out a fixed
margin that makes up a significant portion of the coupon. These
notes are all paying interest based on the highest margin and
multiplier, which are based on the maximum auction-rate
definitions in the transaction documents.
CASH FLOW MODELING ASSUMPTIONS
S&P rans a variety of midstream cash flows for this trust under
various rating stress assumptions. S&P held the defaults of the
FFELP loans constant in its base-case default assumptions for the
FFELP portion of the trust collateral ranging from 8.0%-17%
depending on the loan type, and S&P rans break-even defaults on
the private portion of the collateral pool in the stressed rating
scenarios to test the trust's ability to meet full and timely
interest and ultimate principal payments on the notes. Some of
the major assumptions S&P modeled were:
-- A marginally front-loaded default curve that covered four-
to six-year periods;
-- 10% recovery rates for the private loans in the pool;
-- Recovery rates of at least 97% for the FFELP loans in the
pool;
-- A rating scenario-specific servicer reject rate;
-- A prepayment speed starting at approximately a 3% constant
prepayment rate;
-- Non-investment grade interest rate vectors for the various
indices; and
-- That auctions failed during each transaction's life. S&P
determined the coupons for the ARS based on the applicable
"maximum rate" definition in the transaction documents.
While the trust is currently collateralized and parity is growing
at a marginal rate, given its current collateral profile, credit
enhancement level, and liability cost structure, S&P believes it
is consistent with a 'B ' rating level. Although S&P lowered its
ratings to 'B (sf)', its analysis indicated that there are no
liquidity concerns surrounding timely interest payments. However,
a combination of adverse private student loan collateral
performance and rising interest rates could impair the trust's
ability to meet its legal final obligations.
S&P will continue to monitor the performance of the student loan
receivables backing these transactions relative to S&P's revised
ratings and the trust's available credit enhancement.
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
Vermont Student Assistance Corp.
US$38 mil auction rate certificates series 1998L due 12/15/2032
Rating
Class/series CUSIP To From
L 92428CDP6 B (sf) A (sf)/Watch Neg
Vermont Student Assistance Corp.
US$164.75 mil education loan revenue bonds series 2001V
Rating
Class/series CUSIP To From
2001X 92428CEC4 B (sf) A (sf)/Watch Neg
2001Y 92428CED2 B (sf) A (sf)/Watch Neg
2001Z 92428CEE0 B (sf) A (sf)/Watch Neg
2001AA 92428CEF7 B (sf) A (sf)/Watch Neg
Vermont Student Assistance Corp.
US$33.75 mil education loan revenue bonds senior series 2002DD
Rating
Class/series CUSIP To From
2002DD 92428CEJ9 B (sf) A (sf)/Watch Neg
Vermont Student Assistance Corp.
US$360.9 mil education loan revenue bonds series 2003
Rating
Class/series CUSIP To From
KK 92428CES9 B (sf) A (sf)/Watch Neg
Vermont Student Assistance Corp.
US$275 mil education loan revenue bonds series 2004MM
Rating
Class/series CUSIP To From
OO 92428CEW0 B (sf) A (sf)/Watch Neg
PP 92428CEX8 B (sf) A (sf)/Watch Neg
Vermont Student Assistance Corp.
US$239.985 mil education loan revenue bonds senior series 2005
Rating
Class/series CUSIP To From
RR 92428CEZ3 B (sf) A (sf)/Watch Neg
SS 92428CFA7 B (sf) A (sf)/Watch Neg
Vermont Student Assistance Corp.
US$175.25 mil education loan revenue bonds series 2006TT
Rating
Class/series CUSIP To From
VV 92428CFD1 B (sf) A (sf) /Watch Neg
Vermont Student Assistance Corp.
US$230 mil education loan revenue bonds series 2007WW
Rating
Class/series CUSIP To From
2007WW 92428CFE9 B (sf) A (sf)/Watch Neg
2007XX 92428CFF6 B (sf) A (sf)/Watch Neg
2007YY 92428CFG4 B (sf) A (sf)/Watch Neg
WACHOVIA BANK 2003-C7: S&P Cuts Rating on Class F Notes to 'BB+'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class E, F, G, and H commercial mortgage pass-through certificates
from Wachovia Bank Commercial Mortgage Trust series 2003-C7, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P affirmed its ratings on two other classes from
the same transaction, including the class XC IO certificates
The rating actions follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS.
S&P's analysis included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction
structure, and the liquidity available to the trust.
The lowered ratings on classes E, F, G, and H reflect S&P's views
regarding available liquidity support and the current and future
performance of the transaction's collateral. Specifically, while
the liquidation of the Regency Square Mall loan repaid 100% of the
accumulated interest shortfalls outstanding on classes G and H, as
reflected in the March 2014 trustee remittance report, S&P expects
these classes to continue to incur interest shortfalls in the
immediate future. This is because of the non-recoverable
determination on the specially serviced Columbia Place Mall loan,
which is the largest loan in the pool (31% of the pool balance).
Consequently, S&P expects classes E and F to have reduced
liquidity support going forward.
The affirmation of the rating on the class D certificates reflects
S&P's expectation that the available credit enhancement for this
class will be within its estimate of the necessary credit
enhancement required for the rating. The affirmed rating also
reflects S&P's analysis of the credit characteristics and
performance of the remaining assets and the liquidity support
available to the class.
While the available credit enhancement level may suggest positive
ratings movement on the affirmed class D certificates, S&P's
analysis considered the possibility of reduced liquidity support
to the class due to interest shortfalls that it expects will
continue from the three specially serviced assets as well as the
potential reimbursement of prior advances by the master servicer
on the specially serviced Columbia Place Mall loan, which has
already been deemed non-recoverable. In addition, S&P considered
potential reduced liquidity support from corrected mortgage fees
related to modified loans that are being repaid from interest.
The affirmation of the 'AAA (sf)' rating on the class XC IO
certificates reflect S&P's criteria for rating IO securities.
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's debt service coverage (DSC) ratio of
1.22x and a loan-to-value (LTV) ratio of 65.0% for the remaining
loans in the pool, excluding the three specially serviced loans
($27.7 million, 34.7%) and two fully defeased loans ($1.9 million,
2.3%).
As of the March 17, 2014, trustee remittance report, the
collateral pool had an aggregate trust balance of $79.9 million,
down from $1.012 billion at issuance. The pool comprises 20
loans, down from 114 loans at issuance. To date, the transaction
has experienced losses totaling $44.5 million (4.4% of the
transaction's original certificate balance). The master servicer,
Wells Fargo Bank N.A., reported three loans ($14.8 million, 18.5%)
on its watchlist.
SPECIALLY SERVICED LOANS
There are three loans ($27.7 million, 34.7%) with the special
servicer, Torchlight Investors (see below for details).
Columbia Place Mall ($25.5 million, 31.9%) is the largest loan in
the pool and the largest with the special servicer. The
collateral consists of a 389,403-sq.-ft. portion of a 1,093,975-
sq.-ft. regional mall in Columbia, S.C., that was built in 1977
and renovated in 2002. The inline space that secures the loan has
been negatively impacted by the closing of multiple anchor
tenants, as the collateral was 69.3% leased as of a rent roll
dated Sept. 30, 2011. The loan transferred to the special
servicer in January 2012 due to imminent payment default, and a
receiver was appointed in February 2014. The loan is more than 90
days delinquent and has a total exposure of $30.5 million. S&P
estimates the advancing on this loan to be 51% of the current
appraisal, and therefore, S&P believes the master servicer might
consider recovering previous advances in the near future. The
special servicer has indicated it will pursue a sale through
receivership. S&P expects a significant (more than 59% of the
outstanding principal balance) loss upon this asset's eventual
resolution.
Lennox Place Apartments ($1.5 million, 1.8%) is the second-largest
loan with the special servicer. The loan is secured by a 40-unit
multifamily property in Athens, Tenn., built in 1994. The loan
transferred to the special servicer in October 2013 because of
maturity default. The loan is more than 90 days delinquent and
has a total exposure of $1.6 million. According to Torchlight,
the property was 72.5% occupied as of June 2013. S&P expects a
minimal (less than 26% of the outstanding principal balance) loss
upon this asset's eventual resolution.
West Mt. Pleasant Apartments ($731,366, 0.9%) is the smallest loan
with the special servicer. The loan is secured by a 30-unit
multifamily property in Philadelphia, Pa., built in 1962 and
renovated in 1999. The loan transferred to the special servicer
in January 2014 because of maturity default. The loan is 60 days
delinquent and has a total exposure of $746,618. According to
Torchlight, the property was 76.7% occupied as of December 2013.
S&P expects a minimal loss upon this asset's eventual resolution.
RATINGS LOWERED
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2003-C7
Rating
Class To From Credit enhancement (%)
E A (sf) AA- (sf) 70.98
F BB+ (sf) A (sf) 48.79
G B- (sf) BBB (sf) 32.95
H CCC- (sf) B- (sf) 13.94
RATINGS AFFIRMED
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2003-C7
Class Rating Credit enhancement (%)
D AA (sf) 88.41
XC AAA (sf) N/A
N/A-Not applicable.
* Moody's Takes Action on $270MM of RMBS Issued 2003 to 2006
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eight
tranches from three transactions, which are all backed by Subprime
mortgage loans.
Complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC3
Cl. M-3, Upgraded to Ba3 (sf); previously on Dec 20, 2012 Upgraded
to B2 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC1
Cl. A-4, Upgraded to Baa2 (sf); previously on Jun 27, 2013
Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded
to Caa3 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2004-A
Cl. A-II-7, Upgraded to B1 (sf); previously on May 31, 2012
Confirmed at B3 (sf)
Underlying Rating: Upgraded to B1 (sf); previously on May 31, 2012
Confirmed at B3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II-8, Upgraded to B1 (sf); previously on May 31, 2012
Confirmed at B3 (sf)
Underlying Rating: Upgraded to B1 (sf); previously on May 31, 2012
Confirmed at B3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II-9, Upgraded to B1 (sf); previously on May 31, 2012
Confirmed at B2 (sf)
Underlying Rating: Upgraded to B1 (sf); previously on May 31, 2012
Confirmed at B2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. M-II, Upgraded to Caa2 (sf); previously on May 31, 2012
Confirmed at Ca (sf)
Cl. B-II, Upgraded to Caa3 (sf); previously on May 31, 2012
Confirmed at C (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 7.5%
in March 2013 to 6.7% in March 2014. Moody's forecasts an
unemployment central range of 6.5% to 7.5% for the 2014 year.
Moody's expects house prices to continue to rise in 2014.
Performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
* Moody's Takes Action on $153MM of Alt-A RMBS Issued 2005-2007
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of nine
tranches and upgraded the ratings of three tranches from four RMBS
transactions, backed by Alt-A RMBS loans issued by various trusts.
Complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-34CB
Cl. 1-A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-11, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. PO, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-15CB
Cl. A-7, Downgraded to Caa3 (sf); previously on Jul 12, 2010
Downgraded to Caa2 (sf)
Cl. X, Downgraded to Caa3 (sf); previously on Feb 22, 2012
Upgraded to Caa2 (sf)
Issuer: Lehman Mortgage Trust 2005-3
Cl. 1-A3, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Confirmed at Caa1 (sf)
Cl. 1-A4, Upgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Ca (sf)
Cl. 4-A1, Downgraded to Caa2 (sf); previously on Feb 7, 2011
Downgraded to B3 (sf)
Cl. AX, Downgraded to Caa2 (sf); previously on Feb 22, 2012
Upgraded to B3 (sf)
Cl. PAX, Downgraded to Caa2 (sf); previously on Feb 7, 2011
Confirmed at Caa1 (sf)
Issuer: Lehman XS Trust Series 2005-2
Cl. 1-A1, Upgraded to Ba2 (sf); previously on Sep 3, 2010
Downgraded to B1 (sf)
Cl. 1-A2, Upgraded to Ba3 (sf); previously on Sep 3, 2010
Downgraded to B3 (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 ratings upgraded are due to an increase in
the credit enhancement available to the bonds. In addition, the
ratings of Class 1-A3 and Class 1-A4 from Lehman Mortgage Trust
2005-3 were re-aligned at Caa3 (sf) because principal payments and
losses will continue to be allocated pro rata.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in February 2014 from
7.7% in February 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 Takes Action on $105 Million of Subprime RMBS
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six tranches
and downgraded the rating of one tranche from three transactions
issued by various trusts, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB6
Cl. A-3, Upgraded to Ba2 (sf); previously on Jul 17, 2013 Upgraded
to B1 (sf)
Cl. A-4, Upgraded to Ba1 (sf); previously on Jul 17, 2013 Upgraded
to Ba3 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on Jul 17, 2013
Upgraded to Ca (sf)
Issuer: Centex Home Equity Loan Trust 2004-D
Cl. MF-1, Downgraded to Ba3 (sf); previously on Jul 23, 2013
Downgraded to Ba1 (sf)
Issuer: RAMP Series 2003-RS9 Trust
Cl. A-I-6A, Upgraded to Ba1 (sf); previously on Mar 30, 2011
Downgraded to Ba2 (sf)
Cl. A-I-6B, Upgraded to Ba1 (sf); previously on Mar 30, 2011
Downgraded to Ba2 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Mar 30,
2011 Downgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-I-7, Upgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Ba1 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations. The downgrade action on Cl. MF-1
issued by Centex Home Equity Loan Trust 2004-D is driven by the
recent interest shortfall reported on the bond. The tranche missed
its interest payment and structural limitations in the transaction
prevent recoupment of the missed interest until the
overcollateralization amount reaches its target level.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in February 2014 from
7.7% in February 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 Takes Action on $91MM Alt-A RMBS Issued 2002 to 2004
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 19
tranches issued by various issuers. The tranches are backed by
Alt-A RMBS loans issued from 2002 to 2004.
Complete rating actions are as follows:
Issuer: Morgan Stanley Mortgage Loan Trust 2004-1
Cl. 1-A-1, Downgraded to Baa3 (sf); previously on Jul 22, 2013
Downgraded to Baa1 (sf)
Cl. 1-A-3, Downgraded to Baa3 (sf); previously on Jul 22, 2013
Downgraded to Baa1 (sf)
Cl. 1-A-5, Downgraded to Baa3 (sf); previously on Jul 22, 2013
Downgraded to Baa1 (sf)
Cl. 1-A-6, Downgraded to Ba2 (sf); previously on Jul 22, 2013
Downgraded to Baa3 (sf)
Cl. 1-A-7, Downgraded to B2 (sf); previously on Jul 22, 2013
Downgraded to Ba3 (sf)
Cl. 1-A-9, Downgraded to Baa3 (sf); previously on Jul 22, 2013
Downgraded to Baa1 (sf)
Cl. 1-A-10, Downgraded to Baa3 (sf); previously on Jul 22, 2013
Downgraded to Baa1 (sf)
Cl. 1-A-11, Downgraded to Baa3 (sf); previously on Jul 22, 2013
Downgraded to Baa1 (sf)
Cl. 2-A-2, Downgraded to B1 (sf); previously on Jul 22, 2013
Downgraded to Ba2 (sf)
Cl. 1-A-P, Downgraded to Baa3 (sf); previously on Jul 22, 2013
Downgraded to Baa1 (sf)
Cl. 2-A-P, Downgraded to B2 (sf); previously on Jul 22, 2013
Downgraded to Ba3 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2002-AR5
Cl. A-1, Downgraded to Ba1 (sf); previously on Jul 5, 2012
Confirmed at Baa2 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2003-AR1
Cl. A-1, Downgraded to Ba3 (sf); previously on Jul 5, 2012
Downgraded to Ba2 (sf)
Cl. A-3, Downgraded to B1 (sf); previously on Jul 5, 2012
Downgraded to Ba3 (sf)
Cl. A-3M, Downgraded to B1 (sf); previously on Jul 5, 2012
Downgraded to Ba3 (sf)
Cl. A-4, Downgraded to B1 (sf); previously on Jul 5, 2012
Downgraded to Ba2 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2003-AR3
Cl. A-1, Downgraded to Baa3 (sf); previously on Jul 5, 2012
Confirmed at Baa1 (sf)
Cl. A-2, Downgraded to Ba2 (sf); previously on Jul 5, 2012
Downgraded to Baa3 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2003-CL1
Cl. II-A1, Downgraded to Ba1 (sf); previously on Jun 18, 2013
Downgraded to Baa3 (sf)
Ratings Rationale
The rating actions are a result of deteriorating performance on
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 6.7% in February 2014 from
7.7% in February 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 Puts 194 Ratings on 56 U.S. CLO Deals on Watch Positive
-------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 194
tranches from 56 U.S. collateralized loan obligation (CLO)
transactions on CreditWatch with positive implications. The
affected tranches had an original issuance of $10.48 billion.
The CreditWatch positive placements stem from increased credit
support in the form of enhanced overcollateralization as the
classes continue to pay down.
Fifty-one of the 56 transactions have exited their reinvestment
periods. The remaining five transactions, which are still
reinvesting, have experienced improved performance in their
underlying asset portfolios and will exit their reinvestment
periods by the end of 2014.
S&P will resolve the CreditWatch placements after it completes a
comprehensive cash flow analysis and committee review for each of
the affected transactions. S&P expects to resolve these
CreditWatch placements within 90 days. S&P will continue to
monitor the collateralized debt obligation transactions it rates
and take rating actions, including CreditWatch placements, as it
deems appropriate.
RATINGS PLACED ON CREDITWATCH POSITIVE
ACA CLO 2006-2 Ltd.
Rating
Class To From
B AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB- (sf)/Watch Pos BB- (sf)
AIMCO CLO, Series 2005-A
Rating
Class To From
A-2 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)
AMMC CLO VI Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
ARES VIR CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C-1 AA+ (sf)/Watch Pos AA+ (sf)
C-2 AA+ (sf)/Watch Pos AA+ (sf)
D A+ (sf)/Watch Pos A+ (sf)
Atrium V
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
A-3b AA+ (sf)/Watch Pos AA+ (sf)
A-4 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)
BlueMountain CLO II Ltd.
Rating
Class To From
A 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)
BMI CLO I
Rating
Class To From
B (def) AA- (sf)/Watch Pos AA- (sf)
C (def) A- (sf)/Watch Pos A- (sf)
D (def) BB+ (sf)/Watch Pos BB+ (sf)
Callidus Debt Partners CLO Fund V 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 A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
Cannington Funding Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
Cent CDO 14 Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2a AA+ (sf)/Watch Pos AA+ (sf)
A-2b 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)
Cent CDO 15 Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2a AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA- (sf)/Watch Pos AA- (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
Centurion CDO 8 Ltd.
Rating
Class To From
B-1 AA+ (sf)/Watch Pos AA+ (sf)
B-2 AA+ (sf)/Watch Pos AA+ (sf)
Chatham Light II 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)
Denali Capital CLO V Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
Denali Capital CLO VI Ltd.
Rating
Class To From
A-3L AA+ (sf)/Watch Pos AA+ (sf)
B-1L BBB+ (sf)/Watch Pos BBB+ (sf)
B-2L B+ (sf)/Watch Pos B+ (sf)
Duane Street CLO II Ltd.
Rating
Class To From
C AA- (sf)/Watch Pos AA- (sf)
D BBB- (sf)/Watch Pos BBB- (sf)
Flagship CLO V
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 BBB- (sf)/Watch Pos BBB- (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Franklin CLO VI Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
Galaxy VI CLO Ltd.
Rating
Class To From
C-1 AA (sf)/Watch Pos AA (sf)
C-2 AA (sf)/Watch Pos AA (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
Galaxy VII CLO 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)
Gale Force 2 CLO Ltd.
Rating
Class To From
D AA+ (sf)/Watch Pos AA+ (sf)
E BBB- (sf)/Watch Pos BBB- (sf)
Gleneagles CLO Ltd.
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C BBB (sf)/Watch Pos BBB (sf)
D B- (sf)/Watch Pos B- (sf)
GSC Partners CDO Fund V Ltd.
Rating
Class To From
C-1 A+ (sf)/Watch Pos A+ (sf)
C-2 A+ (sf)/Watch Pos A+ (sf)
Class 2 A+ (sf)/Watch Pos A+ (sf)
Gulf Stream-Sextant CLO 2007-1 Ltd.
Rating
Class To From
A-1B 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)
Gulf Stream-Rashinban 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 AA (sf)/Watch Pos AA (sf)
C A- (sf)/Watch Pos A- (sf)
Halcyon Loan Investors CLO I 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 A- (sf)/Watch Pos A- (sf)
C BBB (sf)/Watch Pos BBB (sf)
Halcyon Structured Asset Management Long Secured/Short Unsecured
2007-2 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 A (sf)/Watch Pos A (sf)
HarbourView CLO 2006-1
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)
Hewett's Island CLO V Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E CCC (sf)/Watch Pos CCC (sf)
Jasper CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
KKR Financial CLO 2006-1 Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
Liberty CLO Ltd.
Rating
Class To From
A-3 AA+ (sf)/Watch Pos AA+ (sf)
A-4 AA (sf)/Watch Pos AA (sf)
B BB+ (sf)/Watch Pos BB+ (sf)
MAC Capital Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-1LV AA+ (sf)/Watch Pos AA+ (sf)
A-2L A+ (sf)/Watch Pos A+ (sf)
A-3L A- (sf)/Watch Pos A- (sf)
B-1F BBB- (sf)/Watch Pos BBB- (sf)
B-1L BBB- (sf)/Watch Pos BBB- (sf)
B-2F B+ (sf)/Watch Pos B+ (sf)
B-2L B+ (sf)/Watch Pos B+ (sf)
Momentum Capital Fund 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)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Mountain Capital CLO IV Ltd.
Rating
Class To From
A-3L AA+ (sf)/Watch Pos AA+ (sf)
B-2L BB+ (sf)/Watch Pos BB+ (sf)
Nob Hill CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C AA- (sf)/Watch Pos AA- (sf)
Northwoods Capital V Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C-1 BBB+ (sf)/Watch Pos BBB+ (sf)
C-2 BBB+ (sf)/Watch Pos BBB+ (sf)
OHA Intrepid Leveraged Loan Fund Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C-R AA- (sf)/Watch Pos AA- (sf)
D-R A- (sf)/Watch Pos A- (sf)
E BBB- (sf)/Watch Pos BBB- (sf)
Phoenix CLO I Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B A- (sf)/Watch Pos A- (sf)
Portola CLO Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B-1 AA (sf)/Watch Pos AA (sf)
B-2 AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BBB- (sf)/Watch Pos BBB- (sf)
Rosedale CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D-1 BB+ (sf)/Watch Pos BB+ (sf)
D-2 BB+ (sf)/Watch Pos BB+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
San Gabriel CLO I 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 BB (sf)/Watch Pos BB (sf)
Sands Point Funding Ltd.
Rating
Class To From
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
Sargas CLO I Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C BBB (sf)/Watch Pos BBB (sf)
Shasta CLO I 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 BB (sf)/Watch Pos BB (sf)
Spring Road CLO 2007-1 Ltd.
Rating
Class To From
D AA- (sf)/Watch Pos AA- (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
Stone Tower CLO V Ltd.
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2a I AA+ (sf)/Watch Pos AA+ (sf)
A-2a NV AA+ (sf)/Watch Pos AA+ (sf)
A-2a V 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-1 BB+ (sf)/Watch Pos BB+ (sf)
C-2 BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Summit Lake CLO Ltd.
Rating
Class To From
B-1L BBB+ (sf)/Watch Pos BBB+ (sf)
B-2L B+ (sf)/Watch Pos B+ (sf)
Symphony CLO 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 A- (sf)/Watch Pos A- (sf)
C BBB (sf)/Watch Pos BBB (sf)
D BB (sf)/Watch Pos BB (sf)
Telos CLO 2007-2 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)
D BBB (sf)/Watch Pos BBB (sf)
E BB (sf)/Watch Pos BB (sf)
Trimaran CLO VI Ltd.
Rating
Class To From
A-3L A+ (sf)/Watch Pos A+ (sf)
Trimaran CLO VII Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-1LR AA+ (sf)/Watch Pos AA+ (sf)
A-2L AA (sf)/Watch Pos AA (sf)
A-3L A (sf)/Watch Pos A (sf)
Valhalla CLO Ltd.
Rating
Class To From
A-2 A- (sf)/Watch Pos A- (sf)
Venture V CDO Ltd.
Rating
Class To From
A-2 AA+ (sf)/Watch Pos AA+ (sf)
Waterfront CLO 2007-1 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 BBB+ (sf)/Watch Pos BBB+ (sf)
WhiteHorse III Ltd.
Rating
Class To From
A-3L AA+ (sf)/Watch Pos AA+ (sf)
B-1L A- (sf)/Watch Pos A- (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com by e-mail.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to the nation's bankruptcy courts. The
list includes links to freely downloadable of these small-dollar
petitions in Acrobat PDF documents.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez,
Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2014. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-241-8200.
*** End of Transmission ***