/raid1/www/Hosts/bankrupt/TCR_Public/140615.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, June 15, 2014, Vol. 18, No. 164
Headlines
AIMCO CLO 2014-A: S&P Assigns 'BB' Rating on Class E Notes
ALM XIV: Moody's Rates $100.1MM Class D Notes '(P)Ba3'
AMERICREDIT AUTOMOBILE 2013-2: Fitch Affirms BB Rating on E Secs.
ANCHORAGE CAPITAL 4: Moody's Assigns 'B3' Rating on Class E Notes
ARES XXX: Moody's Assigns 'Ba2' Rating on $20.5MM Class E Notes
BANC OF AMERICA 2008-LS1: S&P Cuts Rating on 4 Notes Classes to D
BMI CLO I: S&P Affirms 'BB+' Rating on Class D Notes
BOMBARDIER CAPITAL: S&P Affirms 'D' Ratings on 7 Note Classes
CANNINGTON FUNDING: S&P Affirms 'BB+' Rating on Class D Notes
CARLYLE BRISTOL: Moody's Hikes Rating on Class D Notes to 'Ba2'
CARLYLE GLOBAL 2014-2: S&P Assigns BB Rating on Class E Notes
CATHEDRAL LAKE 2013: S&P Affirms 'BB' Rating on Class D Notes
CG-CCRE 2014-FL1: S&P Assigns 'BB' Rating on 2 Note Classes
CIFC FUNDING 2014-III: Moody's Rates Class E Notes '(P)Ba3'
COMM 2010-C1: Moody's Assigns 'B3' Rating on Class G Certificates
COMM 2014-UBS3: DBRS Finalizes 'BB' Rating of Class F Securities
CPS AUTO 2014-B: DBRS Gives Provisional BB Rating to Class D Secs.
CREDIT SUISSE 2006-C3: S&P Lowers Ratings on 4 Note Classes to D
CREDIT SUISSE 2001-CK6: Moody's Affirms Ratings on 3 Certificates
DEKANIA CDO I: A.M. Best Affirms 'c' Debt Ratings of 3 Notes
GALE FORCE 4: Moody's Affirms Ba3 Rating on $17.9MM Class E Notes
GALLATIN CLO 2014-1: Moody's Rates $17.5MM Class E Notes 'Ba3'
GLOBAL LEVERAGED: Moody's Hikes Rating on 2 Note Classes to 'Ba1'
GMACM MORTGAGE: Moody's Takes Action on $8MM RMBS Issued 2003-2004
GOAL CAPITAL 2007-1: Fitch Affirms 'BB' Rating on Class C-1 Notes
GS MORTGAGE 2013-GCJ14: Moody's Affirms B3 Rating on Cl. G Certs
HELIOS SERIES I: Moody's Raises Rating on $27MM Cl. B Notes to Ba1
JP MORGAN 2005-CIBC13: Moody's Affirms C Rating on 6 Cert. Classes
JP MORGAN 2006-LDP7: S&P Lowers Rating on 5 Note Classes to 'D'
JP MORGAN 2013-C13: Moody's Affirms 'B2' Rating on Class F Notes
JP MORGAN 2014-C20: DBRS Rates Class E Certificates 'BB(sf)'
LB-UBS COMMERCIAL 2006-C6: Moody's Cuts Cl. H Certs Rating to 'C'
LCM XVI: S&P Assigns Prelim. 'BB-' Rating on Class E Notes
MCA FUND I: DBRS Rates $20-Mil. Class C Deferrable Notes 'BB'
MORGAN STANLEY 2002-HE1: Moody's Hikes Cl. M-2 Debt Rating to Ca
MORGAN STANLEY 2007-IQ13: S&P Affirms 'CCC-' Rating on 2 Notes
NEWSTAR ARLINGTON: Moody's Assigns '(P)B2' Rating on Class F Notes
OCP CLO 2014-6: S&P Assigns Prelim. BB Rating on Class D Notes
PACIFICA CDO V: Moody's Hikes Rating on Class D Notes to 'Ba1'
PARK PLACE 2005-WHQ2: Moody's Hikes Rating on Cl. M-4 Debt to Caa3
PARK PLACE 2005-WHQ2: S&P Corrects Rating on Class M-3 Notes to B
PEAKS CLO 1: S&P Assigns Prelim. 'BB' Rating on Class E Notes
PROTECTIVE LIFE 2007-PL: Fitch Affirms CCC Rating on 3 Certs
RAAC 2006-SP2: Moody's Raises Rating on Class M-1 Debt to 'Caa1'
RESIDENTIAL FUNDING: Moody's Raises Ratings on $47MM Subprime RMBS
SDART 2012-4: Fitch Affirms 'BBsf' Rating on Class E Notes
SDART 2014-3: Moody's Assigns (P)Ba2 Rating on Class E Notes
SDART 2014-3: S&P Assigns Prelim. 'BB' Rating on Class E Notes
SHACKLETON 2014-VI: S&P Assigns Prelim. BB Rating on Class E Notes
SOUTHFORK CLO: Moody's Affirms Ba1 Rating on $36MM Class C Notes
ST. PAUL'S CLO: S&P Lowers Rating on Class D Notes to 'B-'
UBS-BARCLAYS COMMERCIAL 2012-C2: Fitch Affirms B Rating on G Certs
ZOHAR III: S&P Affirms 'B-' Rating on Class A-2 Notes
* Fitch Takes Action on 1,108 Classes in 83 Alt-A RMBS Deals
* Fitch Says Post-Crisis RMBS Delinquency Not Portending a Trend
* Moody's Hikes Ratings of $1.4BB Subprime RMBS Issued 2005-2006
* Moody's Takes Action on $294.7MM of RMBS Issued 2005 to 2007
* Moody's Takes Action on $61.7MM of RMBS Issued 2005 to 2007
* Moody's Takes Action on $57MM RMBS Issued by Various Issuers
* S&P Withdraws Ratings on 51 Classes From 16 CDO Deals
*********
AIMCO CLO 2014-A: S&P Assigns 'BB' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to AIMCO
CLO Series 2014-A/AIMCO CLO Series 2014-A LLC's $519.20 million
floating- and fixed-rate notes.
The note issuance is collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The ratings reflect:
-- 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 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 0.2281%-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 interest diversion test, a failure of
which will lead to the reclassification of up to 50% of
excess interest proceeds that are available before paying
uncapped administrative expenses and fees, subordinated
portfolio management fees, portfolio manager incentive fees,
and payments to the subordinated notes, as principal
proceeds to purchase additional collateral assets during the
reinvestment period.
RATINGS ASSIGNED
AIMCO CLO Series 2014-A/AIMCO CLO Series 2014-A LLC
Class Rating Amount
(mil. $)
A AAA (sf) 343.75
B-1 AA (sf) 66.30
B-2 AA (sf) 3.00
C-1 (deferrable) A (sf) 30.00
C-2 (deferrable) A (sf) 12.35
D (deferrable) BBB (sf) 28.05
E (deferrable) BB (sf) 24.20
F (deferrable) B (sf) 11.55
Subordinated notes NR 50.80
NR-Not rated.
ALM XIV: Moody's Rates $100.1MM Class D Notes '(P)Ba3'
------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by ALM XIV, Ltd.
$930,000,000 Class A-1 Senior Secured Floating Rate Notes due
2026 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
$163,225,000 Class A-2 Senior Secured Floating Rate Notes due
2026 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
$83,925,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class B Notes"), Assigned (P)A2 (sf)
$107,500,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class C Notes"), Assigned (P)Baa3 (sf)
$100,100,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
ALM XIV 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 of second lien loans
and unsecured loans. The portfolio is expected to be approximately
92% ramped as of the closing date.
Apollo Credit Managment (CLO) LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, 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: $1,500,000,000
Diversity Score: 45
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.0 years.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2900 to 3335)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 2900 to 3770)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
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.
AMERICREDIT AUTOMOBILE 2013-2: Fitch Affirms BB Rating on E Secs.
-----------------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings affirms six and
revises the Outlook on two classes of the AmeriCredit Automobile
Receivables Trust 2013-2 transaction as follows:
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class A-3 at 'AAAsf'; Outlook Stable;
-- Class B at 'AAsf'; Outlook revised to Positive from Stable;
-- Class C at 'Asf'; Outlook revised to Positive from Stable;
-- Class D at 'BBBsf'; Outlook Stable;
-- Class E at 'BBsf'; Outlook Stable.
KEY RATING DRIVERS:
The rating affirmations are based on available credit enhancement
and loss performance. The collateral pool continues to perform
within Fitch's expectations. Under the credit enhancement
structure, the securities are able to withstand stress scenarios
consistent with the current ratings and make full payments to
investors in accordance with the terms of the documents.
The ratings reflect the quality of AmeriCredit Financial Services,
Inc.'s retail auto loan originations, the strength of its
servicing capabilities, and the sound financial and legal
structure of the transaction.
RATING SENSITIVITY
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxy and impact available loss coverage
and multiples levels for the transaction. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In Fitch's initial review of the transaction, the notes were found
to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's
base case loss expectation. To date, the transaction has exhibited
strong performance with losses within Fitch's initial expectations
with rising loss coverage and multiple levels consistent with the
current ratings. A material deterioration in performance would
have to occur within the asset pool to have potential negative
impact on the outstanding ratings.
Fitch's analysis of the Representation and Warranties (R&W) of
this transaction can be found in 'AmeriCredit Automobile
Receivables Trust 2013-3 -- Appendix'. These R&W are compared to
those of typical R&W for the asset class as detailed in the
special report 'Representations, Warranties, and Enforcement
Mechanisms in the Global Structured Finance Transactions' dated
April 17, 2012.
ANCHORAGE CAPITAL 4: Moody's Assigns 'B3' Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Anchorage Capital CLO 4, Ltd.
Moody's rating action is as follows:
$264,500,000 Class A-1A Senior Secured Floating Rate Notes due
2026 (the "Class A-1A Notes"), Definitive Rating Assigned
Aaa (sf)
$100,000,000 Class A-1B Senior Secured Floating Rate Notes due
2026 (the "Class A-1B Notes"), Definitive Rating Assigned
Aaa (sf)
$79,500,000 Class A-2 Senior Secured Floating Rate Notes due
2026 (the "Class A-2 Notes"), Definitive Rating Assigned
Aa2 (sf)
$27,500,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class B Notes"), Definitive Rating Assigned
A2 (sf)
$42,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class C Notes"), Definitive Rating Assigned
Baa3 (sf)
$37,000,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf)
$15,000,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Definitive Rating Assigned B3 (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."
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.
Anchorage 4 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 and eligible investments, and up
to 10.0% of the portfolio may consist of second lien loans, first
lien last out loans and unsecured loans. The Issuer's documents
require the portfolio to be at least 58% ramped as of the closing
date.
Anchorage Capital Group, L.L.C. (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 purchase
additional collateral using principal proceeds from prepayments
and sales of credit risk obligations, subject to certain
conditions.
In addition to the Rated Notes, the Issuer has issued subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, 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: 50
Weighted Average Rating Factor (WARF): 2725
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 43.0%
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 2725 to 3134)
Rating Impact in Rating Notches
Class A-1ANotes: 0
Class A-1B Notes: 0
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Class E Notes: -2
Percentage Change in WARF -- increase of 30% (from 2725 to 3543)
Rating Impact in Rating Notches
Class A-1A Notes: -1
Class A-1B Notes: -1
Class A-2 Notes: -4
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
Class E Notes: -4
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
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.
ARES XXX: Moody's Assigns 'Ba2' Rating on $20.5MM Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
debt issued by Ares XXX CLO Ltd.
$85,000,000 Class A-1 Senior Secured Loans maturing 2023 (the
"Class A-1 Loans "), Assigned Aaa (sf)
Up to $240,000,000 Class A-2 Senior Secured Floating Rate Notes
due 2023 (the "Class A-2 Notes "), Assigned Aaa (sf)
$33,000,000 Class B Senior Secured Floating Rate Notes due 2023
(the "Class B Notes"), Assigned Aa2 (sf)
$17,000,000 Class C Secured Deferrable Floating Rate Notes due
2023 (the "Class C Notes"), Assigned A2 (sf)
$14,000,000 Class D Secured Deferrable Floating Rate Notes due
2023 (the "Class D Notes"), Assigned Baa2 (sf)
$20,500,000 Class E Secured Deferrable Floating Rate Notes due
2023 (the "Class E Notes"), Assigned Ba2 (sf)
The Class A-1 Loans and the Class A-2 Notes are together referred
to as the "Class A Debt". The Class A Debt, 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 Debt."
At closing, the Class A-2 Notes will have a principal balance of
$155,000,000. At any time, the Class A-1 Loans may be converted in
whole or in part to Class A-2 Notes. However, the aggregate
balance of the Class A Debt will never exceed $240,000,000.
Ratings Rationale
Moody's ratings of the Rated Debt address the expected losses
posed to debtholders. 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.
Ares XXX is a managed cash flow CLO. The issued debt 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
and senior unsecured loans. The portfolio is expected to be 100%
ramped as of the closing date.
Ares CLO Management XXX, L.P. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may reinvest up to 50% of unscheduled principal
payments and up to 100% of proceeds from sales of credit risk and
credit improved assets, subject to certain restrictions.
In addition to the Rated Debt, the Issuer will issue two class 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 debt 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: $347,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 6.25 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 Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.
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 Debt. 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 Debt
(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-1 Loans: 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 2700 to 3510)
Rating Impact in Rating Notches
Class A-1 Loans: -1
Class A-2 Notes: -1
Class B Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -2
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
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.
BANC OF AMERICA 2008-LS1: S&P Cuts Rating on 4 Notes Classes to D
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage pass-through certificates from Banc
Of America commercial Mortgage Loan Trust 2008-LS1, a U.S.
commercial mortgage-backed securities (CMBS) transaction. At the
same time, S&P affirmed its ratings on six other classes from the
same transaction, including the class XW 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's structure, and the liquidity available to
the trust," S&P said.
S&P lowered its ratings on the class A-M and A-J certificates to
reflect reduced liquidity support and the potential for these
classes to experience additional reductions in liquidity or
interest shortfalls as a result of the largest loan in the pool
transferring to the special servicer in May 2014.
S&P lowered its ratings on the class B, C, D, and E certificates
to 'D (sf)' to reflect its expectation that the accumulated
interest shortfalls will remain outstanding for the foreseeable
future. The class C, D, and E certificates currently have
accumulated interest shortfalls outstanding for 11 consecutive
months, while the class B certificates currently have accumulated
interest shortfalls outstanding for one month.
As of the May 12, 2014, trustee remittance report, the trust
experienced net monthly interest shortfalls totaling $865,140.
The interest shortfalls were primarily related to appraisal
subordinate entitlement reduction amounts of $615,403, special
servicing fees of $140,532, interest not advanced on non-
recoverable assets of $94,290, reimbursed for interest on advances
of $12,494, and workout fees of $2,236. The current monthly
interest shortfalls affected all classes subordinate to and
including class B.
The affirmations on the principal and interest certificates
reflect S&P's expectation that the available credit enhancement
for these classes will be within its estimate of the necessary
credit enhancement required for the current 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 affirmations on the class XW IO certificates
reflect S&P's current criteria for rating IO securities.
RATINGS LIST
Banc of America commercial Mortgage Loan Trust 2008-LS1
Commercial mortgage pass-through certificates series 2008-LS1
Rating
Class Identifier To From
A-4A 20173WAD0 AAA (sf) AAA (sf)
A-4B 20173WAE8 AA+ (sf) AA+ (sf)
A-4BF 20173WCB2 AA+ (sf) AA+ (sf)
A-1A 20173WAF5 AA+ (sf) AA+ (sf)
A-SM 20173WAG3 AA- (sf) AA- (sf)
A-M 20173WAH1 B (sf) BB (sf)
A-J 20173WAJ7 CCC (sf) B- (sf)
B 20173WAM0 D (sf) CCC (sf)
C 20173WAP3 D (sf) CCC (sf)
D 20173WAR9 D (sf) CCC- (sf)
E 20173WAT5 D (sf) CCC- (sf)
F 20173WAV0 D (sf) D (sf)
G 20173WAX6 D (sf) D (sf)
H 20173WAZ1 D (sf) D (sf)
J 20173WBB3 D (sf) D (sf)
K 20173WBD9 D (sf) D (sf)
L 20173WBF4 D (sf) D (sf)
M 20173WBH0 D (sf) D (sf)
N 20173WBK3 D (sf) D (sf)
O 20173WBM9 D (sf) D (sf)
P 20173WBP2 D (sf) D (sf)
Q 20173WBR8 D (sf) D (sf)
XW 20173WAK4 AAA (sf) AAA (sf)
BMI CLO I: S&P Affirms 'BB+' Rating on Class D Notes
----------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from BMI CLO I, a U.S. collateralized loan
obligation (CLO) managed by BlackRock Financial Management Inc.
In addition, S&P affirmed its ratings on the class A-1R, A-2R, and
D notes, and it removed its ratings on the class B, C, and D notes
from CreditWatch, where S&P placed them with positive implications
on April 9, 2014.
The rating actions follow S&P's review of the transaction's
performance using data from the May 8, 2014, monthly report.
The upgrades reflect a significant paydown to the class A-1R
notes, as well as general improvement in the underlying
collateral's credit quality since our May 2013 rating actions.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
The transaction exited its reinvestment period in May 2013. At
the same time, the transaction refinanced the class A-1 and A-2
notes at a lower interest rate, and the proceeds of the
replacement class A-1R and A-2R note issuance were used to redeem
the class A-1 and A-2 notes in full.
Since then, post-reinvestment period principal amortization has
resulted in an $84.75 million paydown to the class A-1R notes.
Consequently, the transaction's class A, B, C, and D
overcollateralization ratio tests have improved. The class A-1R
notes have a remaining balance representing 67.28% of the original
par balance at issuance.
According to the May 2014, monthly report, the transaction does
not currently hold any underlying collateral obligations
considered defaulted. The transaction is also not currently
holding any long-dated assets (i.e. assets maturing after the
CLO's stated maturity, which could expose the transaction to
potential market value and/or settlement-related risk arising from
the potential liquidation of the securities on the transaction's
legal final maturity date).
The amount of 'CCC' rated collateral held in the transaction's
asset portfolio has decreased since May 2013. According to the
May 2014 monthly report, the transaction held $1.06 million in
assets rated in 'CCC' range, compared with $4.86 million noted in
the March 2013 monthly report, which S&P used for its May 2013
rating actions.
The current ratings actions are not constrained by the application
of the largest obligor default test or largest industry default
tests, supplemental stress tests S&P introduced as part of its
2009 corporate criteria update.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied forward-
looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of
the rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
CAPITAL STRUCTURE AND KEY METRICS COMPARISON
Class March 2013 May 2014
Notional balance (mil. $)
A-1R 259.00 174.25
A-2R 27.00 27.00
B 35.00 35.00
C 22.00 22.00
D 23.00 23.00
Coverage tests, WAS (%)
A O/C 140.76 152.45
B O/C 125.42 131.60
C O/C 117.37 121.19
D O/C 110.00 111.93
A I/C 417.92 510.39
B I/C 344.46 378.02
C I/C 307.44 320.92
D I/C 274.12 274.03
WAS 4.36 3.98
WAS-Weighted average spread.
O/C-Overcollateralization test.
I/C-Interest coverage test.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
BMI CLO I
Cash flow Cash flow
Previous implied cushion Final
Class rating rating (i) rating
A-1R AAA (sf) AAA (sf) 23.57% AAA (sf)
A-2R AAA (sf) AAA (sf) 12.50% AAA (sf)
B AA- (sf)/Watch Pos AA+ (sf) 6.70% AA+ (sf)
C A- (sf)/Watch Pos A+ (sf) 4.35% A+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf) 7.53% 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 our base-case analysis, we generated additional
scenarios in which we made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each
tranche's weighted average recovery rate. We 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," S&P said.
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 Corr. Corr.
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1R AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2R AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C A+ (sf) A (sf) A+ (sf) AA- (sf) A+ (sf)
D BB+ (sf) BB+ (sf) BB+ (sf) BBB- (sf) BB+ (sf)
Corr.--Correlation.
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-1R AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2R AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A+ (sf)
D BB+ (sf) BB+ (sf) B+ (sf) BB+ (sf)
RATINGS LIST
BMI CLO I
Rating Rating
Class Identifier To From
B (def) 05590MAE6 AA+ (sf) AA- (sf)/Watch Pos
C (def) 05590MAG1 A+ (sf) A- (sf)/Watch Pos
D (def) 05590PAA7 BB+ (sf) BB+ (sf)/Watch Pos
A-1R 05590MAJ5 AAA (sf) AAA (sf)
A-2R 05590MAK2 AAA (sf) AAA (sf)
BOMBARDIER CAPITAL: S&P Affirms 'D' Ratings on 7 Note Classes
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-2 and class A-3 certificates from Bombardier Capital
Mortgage Securitization Corp. series 1999-A. At the same time,
S&P affirmed its 'B- (sf)' ratings on the class A-4 and class A-5
certificates from this series, as well as S&P's 'B(sf)' rating on
the class A certificate from series 1998-C. Finally, S&P affirmed
its 'D (sf)' ratings on classes M-1, M-2, and B-1 from series
1998-C and classes M-1, M-2, B-1, and B-2 from series 1999-A. The
'D (sf)' ratings reflect continued interest shortfalls.
S&P lowered the class A-2 and A-3 ratings because both certificate
classes are unlikely to pay down the full principal by the
maturity date of Feb. 15, 2015 and Jan. 15, 2018, respectively.
Due to high cumulative net losses (CNLs), the transaction has not
generated enough collections to pay the scheduled principal to the
class A certificates. Therefore, the class A certificates have
accumulated an unpaid principal shortfall amount of
$37,375,452.92. Based on the transaction's payment waterfall, the
unpaid principal shortfall is being distributed pro rata to the
class A certificates.
Because of the impact of high net losses, the speed of the
principal pay down, and the expectation that the pro rata
principal payments will continue, the class A-2 certificate will
unlikely pay out by its February 2015 maturity date, and the
certificate will most likely default. (Class A-2 has a current
balance of $3,492,931.55 as of the May 2014 distribution date.)
S&P also believes class A-3, with a current balance of
$5,068,299.22 as of the May 2014 distribution date, is also
unlikely to pay down its full principal by its January 2018
maturity date. Classes A-4 and A-5 will likely pay the full
principal by their maturity dates, which are later, in March 2029.
We affirmed the ratings at this time.
The series 1998-C class M-1 certificate continues to experience
monthly principal write-downs. However, the pace of class A
principal payments still outperforms the speed of the principal
write-downs. This performance has helped maintain sufficient
credit enhancement for the class A certificate, which is senior in
priority to the class M-1 certificate. Therefore, S&P affirmed
the series 1998-C class A certificate.
Although both transactions have performed significantly worse than
S&P's initial expectations, the pace of losses over the past few
years has remained stable. S&P is maintaining its lifetime
cumulative net loss expectations from its last review in August
2012 (see table 2).
Table 1
Collateral Performance
(As of the May 2014 distribution)
Series Mos. since issuance Pool Factor 90+ day
delinquencies
1998-C 186 15.64% 1.73%
1999-A 184 16.33% 1.79%
Table 2
Cumulative Net Loss (CNL)
Series Current CNL Maintained lifetime CNL
1998-C 39.89% 45.00%-48.00%
1999-A 40.36% 45.00%-48.00%
Both transactions were initially structured with
overcollateralization and subordination. Because of higher-than-
expected losses, the transactions have depleted their
overcollateralization. The only hard support for either series is
the subordinated M-1 certificate, which, though being written down
for each series, still provides 38.70% credit support for the
class A certificates in series 1998-C and 32.98% credit support
for the class A certificates in series 1999-A. Each is a
percentage of the current collateral balance. Although excess
spread is available to cover losses, little excess spread is
generated monthly, if any.
S&P's analysis of each transaction incorporated the review of
current and historical performance to estimate future performance.
The various scenarios included forward-looking assumptions on
defaults and recoveries that S&P believes is appropriate given the
transactions' current performance.
Standard & Poor's will continue to monitor the performance of the
transactions relative to their CNL expectations and the available
credit enhancement. S&P will take rating actions as it considers
appropriate given the transactions' current performance.
RATINGS LOWERED
Bombardier Capital Mortgage Securitization Corp.
Rating
Series Class To From
1999-A A-2 CC (sf) CCC (sf)
1999-A A-3 CCC-(sf) CCC+ (sf)
RATINGS AFFIRMED
Bombardier Capital Mortgage Securitization Corp.
Series Class Rating
1998-C A B (sf)
1998-C M-1 D (sf)
1998-C M-2 D (sf)
1998-C B-1 D (sf)
1999-A A-4 B-(sf)
1999-A A-5 B-(sf)
1999-A M-1 D (sf)
1999-A M-2 D (sf)
1999-A B-1 D (sf)
1999-A B-2 D (sf)
CANNINGTON FUNDING: S&P Affirms 'BB+' Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, and C notes from Cannington Funding Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Silvermine Capital Management LLC. At the same time, S&P removed
its rating on the class A-1 notes from CreditWatch, where it
placed it with positive implications on April 9, 2014, and
affirmed its rating on the class D notes from the same
transaction.
The upgrades primarily reflect the increased credit support to the
tranches following paydowns to the class A-1 notes post-
reinvestment. Since S&P raised its ratings on three classes and
affirmed its ratings on two classes in March 2012, the transaction
ended its reinvestment period in November 2013 and commenced
paying down the class A-1 notes.
After the May 27, 2014, payment date, the class A-1 note balance
was reduced to $252.4 million, or approximately 75% of the
original balance, which increased the available credit support.
In addition, the portfolio's credit quality has improved.
According to the May 14, 2014, monthly trustee report, the 'CCC'
rated obligations are $4.6 million par, which is 1.19% of the
total assets. This is down from $32.4 million par, or 7.6% of the
total assets, according to the Jan. 18, 2012, monthly trustee
report, which S&P used for its March 2012 rating actions.
Similarly, the defaulted asset balance has decreased to $890,917
par, according to the May 2014 monthly trustee report, from $4.9
million par in January 2012.
S&P's affirmed rating on the class D notes reflects the
availability of adequate credit support at the current rating
level.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the May
2014 trustee report, to estimate future performance. S&P's cash
flow scenarios applied forward-looking assumptions on the expected
timing and pattern of defaults, as well as on recoveries upon
default under various interest-rate and macroeconomic scenarios,
in line with S&P's criteria. In addition, S&P considered the
transaction's ability to pay timely interest and ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in S&P's view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action.
S&P will continue to review its ratings on the notes to assess
whether they remain consistent with the credit enhancement
available to support them and will take rating actions as S&P
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Cannington Funding Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AA+(sf)/Watch Pos AAA (sf) 7.34% AAA (sf)
A-2 AA (sf) AA+ (sf) 11.63% AA+ (sf)
B A (sf) AA- (sf) 2.40% AA- (sf)
C BBB (sf) BBB+ (sf) 4.03% BBB+(sf)
D BB+ (sf) BB+ (sf) 6.69% 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 additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each
tranche's weighted average recovery rate.
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 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+(sf)
B AA- (sf) A+ (sf) A+ (sf) AA-(sf) AA-(sf)
C BBB+(sf) BBB(sf) BBB+(sf) BBB+(sf) BBB+(sf)
D BB+ (sf) BB+ (sf) BB+ (sf) BB+(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) AA+ (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf)
B AA- (sf) AA- (sf) BBB+ (sf) AA- (sf)
C BBB+ (sf) BBB+ (sf) B+ (sf) BBB+ (sf)
D BB+ (sf) BB+ (sf) CC (sf) BB+ (sf)
RATING AND CREDITWATCH ACTIONS
Cannington Funding Ltd.
Rating Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AA+ (sf) AA (sf)
B AA- (sf) A (sf)
C BBB+ (sf) BBB (sf)
RATING AFFIRMED
Cannington Funding Ltd.
Class Rating
D BB+ (sf)
CARLYLE BRISTOL: Moody's Hikes Rating on Class D Notes to 'Ba2'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Carlyle Bristol CLO, Ltd.:
$28,500,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2019, Upgraded to Baa2 (sf); previously on December
23, 2013 Upgraded to Baa3 (sf)
$4,000,000 Class D Secured Deferrable Floating Rate Notes Due
2019, Upgraded to Ba2 (sf); previously on December 23, 2013
Upgraded to Ba3 (sf)
Moody's also affirmed the ratings on the following notes:
$382,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2019 (current outstanding balance of $34,547,166.14), Affirmed
Aaa (sf); previously on December 23, 2013 Affirmed Aaa (sf)
$18,750,000 Class A-2 Senior Secured Floating Rate Notes Due
2019, Affirmed Aaa (sf); previously on December 23, 2013
Affirmed Aaa (sf)
$25,000,000 Class B-1 Senior Secured Deferrable Floating Rate
Notes Due 2019, Affirmed Aaa (sf); previously on December 23,
2013 Upgraded to Aaa (sf)
$3,000,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes
Due 2019, Affirmed Aaa (sf); previously on December 23, 2013
Upgraded to Aaa (sf)
$8,000,000 Type I Composite Notes Due 2019 (current rated
balance of $4,218,022.73), Affirmed Aaa (sf); previously on
December 23, 2013 Affirmed Aaa (sf)
$4,000,000 Type II Composite Notes Due 2019 (current rated
balance of $1,136,353.82), Affirmed Aaa (sf); previously on
December 23, 2013 Affirmed Aaa (sf)
Carlyle Bristol CLO, Ltd., issued in October 2005, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in November 2011.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since December 2013. The Class A-1 notes
have been paid down by approximately 60% or $51.4 million since
December 2013. Based on the trustee's May 2014 report, the over-
collateralization (OC) ratios for the Class A, Class B, Class C
and notes are reported at 182.71%, 138.00%, 110.48% and 107.48%,
respectively, versus December 2013 levels of 172.27%, 135.93%,
111.91% and 109.20%, respectively. Moody's notes the reported May
overcollateralization ratios do not reflect the May 15, 2014
payment of $33.1 million to the Class A-1 notes.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 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 relative to the base case
modeling results, which may be different from the current public
ratings of the 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% (2160)
Class A-1: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C: +2
Class D: +1
Type I Composite: 0
Type II Composite: 0
Moody's Adjusted WARF + 20% (3241)
Class A-1: 0
Class A-2: 0
Class B-1: -1
Class B-2: -1
Class C: -2
Class D: -1
Type I Composite: 0
Type II Composite: 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 balance of $121.3 million, defaulted par of $8.4 million, a
weighted average default probability of 15.43% (implying a WARF of
2701), a weighted average recovery rate upon default of 52.03%, a
diversity score of 28 and a weighted average spread of 2.99%.
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.
CARLYLE GLOBAL 2014-2: S&P Assigns BB Rating on Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Carlyle
Global Market Strategies CLO 2014-2 Ltd./Carlyle Global Market
Strategies CLO 2014-2 LLC's $566.50 million floating-rate notes.
The note issuance is a CLO transaction backed by a revolving pool
consisting primarily of broadly syndicated senior secured loans.
The ratings reflect:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (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 the timely interest and ultimate principal
payments on the rated notes, which S&P assessed using its
cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.2228%-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 interest diversion test, a
failure of which will lead to the reclassification of up to
50% of available excess interest proceeds as principal
proceeds, which will be available before paying uncapped
administrative expenses and fees, collateral manager
subordinate and incentive fees, and subordinate note
payments to principal proceeds to purchase additional
collateral obligations during the reinvestment period.
-- The weighted average spread of the identified portfolio
collateral is 3.57%, which is less than the 3.80% minimum
covenanted by the transaction documents. At this time, the
transaction benefits from LIBOR floors in the underlying
portfolio collateral, which increases the weighted average
spread of the identified portfolio collateral to 4.53%. If
LIBOR floors are no longer applicable, this transaction may
not generate sufficient interest to make its payment
obligations.
RATINGS LIST
Carlyle Global Market Strategies CLO 2014-2 Ltd./
Carlyle Global Market Strategies CLO 2014-2 LLC
Amount
Class Rating (mil. $)
A AAA (sf) 377.0
B-1 AA (sf) 37.0
B-2 AA (sf) 43.0
C A (sf) 40.0
D BBB (sf) 31.5
E BB (sf) 26.4
F B (sf) 11.6
Subordinated notes NR 51.0
NR-Not rated.
CATHEDRAL LAKE 2013: S&P Affirms 'BB' Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Cathedral Lake CLO 2013 Ltd./Cathedral Lake CLO 2013 Corp.'s
$324.5 million fixed- and floating-rate notes following the
transaction's effective date as of April 23, 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 S&P's 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 noted.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P added.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as S&P deems
necessary.
RATINGS AFFIRMED
Cathedral Lake CLO 2013 Ltd./Cathedral Lake CLO 2013 Corp.
Class Rating Amount
(mil. $)
A-1A AAA (sf) 169.80
A-1B AAA (sf) 50.00
A-2 AA (sf) 40.25
B (deferrable) A (sf) 28.00
C (deferrable) BBB (sf) 20.00
D (deferrable) BB (sf) 16.45
CG-CCRE 2014-FL1: S&P Assigns 'BB' Rating on 2 Note Classes
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to CG-CCRE Commercial Mortgage Trust 2014-FL1's
$343.0 million commercial mortgage pass-through certificates
series 2014-FL1.
The note issuance is a commercial mortgage-backed securities
transaction backed by three floating-rate loans secured by the fee
interest in a regional mall known as Yorktown Center in Chicago,
the fee interest in the Corporate Woods office complex in Overland
Park, Kan., and the fee interest in 717 North Harwood, an office
property in downtown Dallas.
The preliminary ratings are based on information as of June 12,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsors' and managers'
experience, the trustee-provided liquidity, the loans' terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
CG-CCRE Commercial Mortgage Trust 2014-FL1
Class Rating(i) Amount ($)
A AAA (sf) 205,978,000
X-CP BBB- (sf) 326,750,000(ii)
X-EXT BBB- (sf) 326,750,000(ii)
B AA- (sf) 48,376,000
C A- (sf) 28,924,000
D BBB- (sf) 35,749,000
E BBB- (sf) 7,723,000
YTC1(iii) BB+ (sf) 6,875,000
YTC2(iii) BB (sf) 6,875,000
YTC3(iii) BB (sf) 2,500,000
(i) The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii) Notional balance.
(iii) Loan-specific class.
CIFC FUNDING 2014-III: Moody's Rates Class E Notes '(P)Ba3'
-----------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of notes to be issued by CIFC Funding 2014-III, Ltd.
Moody's rating action is as follows:
$375,000,000 Class A Senior Secured Floating Rate Notes due 2026
(the "Class A Notes"), Assigned (P)Aaa (sf)
$29,375,000 Class B-1 Senior Secured Floating Rate Notes due
2026 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf)
$29,375,000 Class B-2 Senior Secured Fixed Rate Notes due 2026
(the "Class B-2 Notes"), Assigned (P)Aa2 (sf)
$40,750,000 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class C-1 Notes"), Assigned (P)A2 (sf)
$15,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate
Notes due 2026 (the "Class C-2 Notes"), Assigned (P)A2 (sf)
$36,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$32,000,000 Class E Mezzanine 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-1 Notes, the Class C-2 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.
CIFC Funding 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 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 unsecured loans. The Issuer's documents require the
portfolio to be at least 60% ramped as of the closing date.
CIFC Asset Management LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, subject to certain conditions,
the Manager may reinvest in additional collateral obligations the
principal proceeds that are received in respect of the sale of
credit risk assets and unscheduled principal payments.
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: 65
Weighted Average Rating Factor (WARF): 2750
Weighted Average Spread (WAS): 3.80%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.25%
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 2750 to 3163)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: 0
Class B-2 Notes: 0
Class C-1 Notes: -2
Class C-2 Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2750 to 3575)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C-1 Notes: -4
Class C-2 Notes: -4
Class D Notes: -2
Class E Notes: -1
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
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.
COMM 2010-C1: Moody's Assigns 'B3' Rating on Class G Certificates
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 14 classes
in COMM 2010-C1 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2010-C1 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed Aaa
(sf)
Cl. A-1D, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Aug 1, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Aug 1, 2013 Affirmed A2
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Aug 1, 2013 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Aug 1, 2013 Affirmed Ba2
(sf)
Cl. F, Affirmed B1 (sf); previously on Aug 1, 2013 Affirmed B1
(sf)
Cl. G, Affirmed B3 (sf); previously on Aug 1, 2013 Affirmed B3
(sf)
Cl. XP-A, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed
Aaa (sf)
Cl. XS-A, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed
Aaa (sf)
Cl. XW-A, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed
Aaa (sf)
Cl. XW-B, Affirmed Ba3 (sf); previously on Aug 1, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on the investment-grade P&I classes were affirmed
because the transaction's key metrics, including Moody's loan-to-
value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the transaction's Herfindahl Index (Herf), are within
acceptable ranges. The ratings on the below-investment-grade P&I
classes were affirmed because the ratings are consistent with
Moody's expected loss.
The ratings on the IO classes were affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 2.3% of the
current balance, compared to 2.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.2% of the
original pooled balance, compared to 2.1% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured credit assessments in the same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 17, as compared to 18 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 May 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $803 million
from $857 million at securitization. The certificates are
collateralized by 41 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans constituting 62% of
the pool. One loan, constituting 6% of the pool, has an
investment-grade structured credit assessment. Four loans,
constituting 7% of the pool, have defeased and are secured by US
government securities.
Three loans, constituting 8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
No loans have been liquidated from the pool with a loss. No loans
are currently in special servicing.
Moody's has assumed a high default probability for two poorly
performing loans, constituting 6% of the pool, and has estimated
an aggregate loss of $7 million (a 15% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2012 operating results for 100% of the
pool, and full or partial year 2013 operating results for 100%.
Moody's weighted average conduit LTV is 74%, compared to 79% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 9% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.66X and 1.36X,
respectively, compared to 1.61X and 1.30X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Liberty Mutual
Headquarters Loan ($47 million -- 6% of the pool), which is
secured by two inter-connected office buildings, totaling 426,900
square feet (SF) of net rentable area (NRA), located within the
Back Bay submarket of Boston, Massachusetts. The buildings are
100% owned and occupied by the Liberty Mutual Insurance Company
(100% of NRA; lease expiration December 2024) for over 50 years.
Moody's structured credit assessment and stressed DSCR are aaa
(sca.pd) and 2.37X, respectively, compared to aaa (sca.pd) and
2.34X at the last review.
The top three conduit loans represent 28% of the pool balance. The
largest loan is the Fashion Outlets of Niagara Falls Loan ($117
million -- 15% of the pool), which is secured by a 525,663 SF
fashion outlet center located in Niagara, New York. The property
is located approximately five miles east of the Niagara Falls and
the Canadian Border. As of December 2013, the property reported
comparable in-line sales of $543 per square foot (PSF) compared to
$583 the previous year, and $487 at securitization. As of December
2013, the property was 96% leased compared to 95% in March 2013.
Moody's LTV and stressed DSCR are 69% and 1.34X, respectively,
compared to 73% and 1.25X at the last review.
The second largest loan is the Scottsdale Quarter Ground Lease
Loan ($66 million -- 8% of the pool), which is secured by the fee
simple interest in approximately 14.5 acres of ground leased land
located in Scottsdale, Arizona. The ground lease has a term of 99
years and rental payments escalate annually based on a negotiated
schedule. The leased fee interest responsible for the ground rent
payments is represented by a 529,664 SF mixed-use development. The
sponsor is Glimcher Realty Trust. Moody's LTV and stressed DSCR
are 87% and 0.98X, respectively, compared to 93% and 0.92X at the
last review.
The third largest loan is the Left Bank Loan ($45 million -- 6% of
the pool), which is secured by a 282-unit multifamily property
located in Philadelphia, Pennsylvania. Improvements also include
approximately 110,036 SF of ground-level office space and 10,853
SF of ground-level retail space. As of February 2014, the property
was 93% leased compared to 97% in June 2013. Moody's LTV and
stressed DSCR are 86% and 1.09X, respectively, compared to 76% and
1.25X at the last review.
COMM 2014-UBS3: DBRS Finalizes 'BB' Rating of Class F Securities
----------------------------------------------------------------
DBRS Inc. has finalized the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3
issued by COMM 2014-UBS3 Mortgage Trust. The trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class B at AA (sf)
-- Class PEZ at A (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
Classes X-B, X-C, X-D, D, E, F, G and H have been privately placed
pursuant to Rule 144A.
The Class X-A, X-B, X-C and X-D balances are notional. DBRS
ratings on interest-only certificates address the likelihood of
receiving interest based on the notional amount outstanding. DBRS
considers the interest-only certificates' position within the
transaction payment waterfall when determining the appropriate
rating.
Up to the full certificate balance of the Class A-M, Class B and
Class C certificates may be exchanged for Class PEZ certificates.
Class PEZ certificates may be exchanged for up to the full
certificate balance of the Class A-M, Class B and Class C
certificates.
The collateral consists of 49 fixed-rate loans secured by 81
commercial properties, comprising a total transaction balance of
$1,056,012,293. The DBRS sample included 23 loans, representing
81.8% of the pool. The pool has a high concentration of
properties located in urban markets (30.6% of the pool), which
have increased liquidity and benefit from a larger investor,
consumer and tenant base, even in times of stress. The pool has
an average loan balance of $21.6 million, which is higher than the
average loan balance of $18.1 million for CMBS 2.0 deals.
Historically, loans with higher balances have experienced
significantly lower loss severities than smaller loans. The term
default risk is moderate, as indicated by a strong DBRS Term debt
service coverage ratio (DSCR) of 1.47 times (x). In addition,
46.3% of the pool has a DBRS Term DSCR in excess of 1.50x,
including seven of the ten largest loans.
The pool is concentrated by loan size as the top ten loans
represent 61.7% of the overall pool balance, and the pool has a
concentration level similar to a pool of 20 equal-sized loans.
However, nine loans are secured by multiple property portfolios,
which enhances diversity at the loan level. Twenty-eight
properties, representing 19.4% of the pool, are leased to single
tenants (or predominantly to single tenants). The largest loan
secured by a single-tenant property represents a 14-property
portfolio leased to State Farm Insurance, which is rated
investment grade. The loan benefits from an anticipated repayment
date structure that will allow the loan to amortize by
approximately 23% by final lease expiry. The transaction has a
high concentration of loans (17 loans, representing 52.1% of the
pool) with DBRS Refi DSCRs below 1.00x, and six loans,
representing 31.4% of the pool, with a DBRS Refi DSCR below 0.90x.
These DSCRs are based on a weighted-average stressed refinance
constant of 9.8%, which implies an interest rate of 9.3%,
amortizing on a 30-year schedule. This represents a significant
stress of 4.5% over the weighted-average contractual interest rate
of the loans in the pool.
CPS AUTO 2014-B: DBRS Gives Provisional BB Rating to Class D Secs.
------------------------------------------------------------------
DBRS Inc. has assigned provisional ratings to the following
classes issued by CPS Auto Receivables Trust 2014-B:
-- Series 2014-B, Class A rated AAA (sf)
-- Series 2014-B, Class B rated A (sf)
-- Series 2014-B, Class C rated BBB (sf)
-- Series 2014-B, Class D rated BB (high) (sf)
-- Series 2014-B, Class E rated B (high) (sf)
CREDIT SUISSE 2006-C3: S&P Lowers Ratings on 4 Note Classes to D
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from
Credit Suisse Commercial Mortgage Trust Series 2006-C3, a U.S.
commercial mortgage-backed securities (CMBS) transaction. Four of
these ratings were lowered to 'D (sf)'. S&P also raised its
ratings on the class A-3 and class A-1A certificates from the same
transaction to 'AAA (sf)'. Finally, S&P affirmed its ratings on
three other classes from the same transaction.
The rating actions reflect S&P's analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, the liquidity available to the
trust, and the results of S&P's cash flow analysis.
The downgrades reflect the credit support erosion that S&P
anticipates will occur upon the eventual resolution of the three
assets ($99.6 million, 6.7%) currently with the special servicer,
C-III Asset Management LLC. Furthermore, S&P lowered its ratings
on classes C, D, E, and F to 'D (sf)' because of accumulated
interest shortfalls that S&P expects to remain outstanding in the
foreseeable future. These classes have had accumulated interest
shortfalls outstanding for four consecutive months.
As of the May 2014 trustee remittance report, the trust
experienced monthly interest shortfalls totaling $398,741. The
interest shortfalls primarily reflect $369,827 in appraisal
subordinate entitlement reduction (ASER) amountson the specially
serviced assets, and $22,162 in special servicing and workout
fees. The interest shortfalls affected all classes subordinate to
and including class C.
The upgrade on class A-3 considered the results of S&P's cash flow
analysis, which indicated that it should receive its full
principal repayment due to time tranching, as described in "U.S.
CMBS 'AAA' Scenario Loss And Recovery Application," published
July 21, 2009. The upgrade on class A-1A also considered these
results, as well as the fact that the two largest loans in the
pool, 770 Broadway ($353.0 million, 23.8%) and 535 and 545 Fifth
Avenue ($177.0 million, 11.9%), are both secured by office
properties in high-demand locations within New York City.
The affirmations on classes A-M and A-J 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.
S&P affirmed its 'AAA (sf)' rating on the class A-X interest-only
(IO) certificates based on its criteria for rating IO securities.
Reported Credit Enhancement Levels As Of The May 2014 Trustee
Remittance Report
Class Reported credit
enhancement level (%)
A-3 31.52
A-1-A 31.52
A-M 18.48
A-J 9.19
B 6.26
C 5.12
D 3.00
E 1.70
F 0.07
RATINGS LIST
Credit Suisse Commercial Mortgage Trust Series 2006-C3
Rating Rating
Class Identifier To From
A-3 22545DAD9 AAA (sf) AA (sf)
A-1-A 22545DAE7 AAA (sf) AA (sf)
A-M 22545DAF4 BBB (sf) BBB (sf)
A-J 22545DAG2 B+ (sf) B+ (sf)
B 22545DAH0 CCC (sf) B (sf)
C 22545DAJ6 D (sf) CCC (sf)
D 22545DAK3 D (sf) CCC- (sf)
E 22545DAL1 D (sf) CCC- (sf)
F 22545DAM9 D (sf) CCC- (sf)
A-X 22545DAY3 AAA (sf) AAA (sf)
CREDIT SUISSE 2001-CK6: Moody's Affirms Ratings on 3 Certificates
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of three
classes in Credit Suisse First Boston Mortgage Securities Corp.
Commercial Mortgage Pass-Through Certificates, Series 2001-CK6 as
follows:
Cl. A-X, Affirmed Caa3 (sf); previously on Jul 25, 2013 Affirmed
Caa3 (sf)
Cl. K, Affirmed Caa3 (sf); previously on Jul 25, 2013 Affirmed
Caa3 (sf)
Cl. L, Affirmed C (sf); previously on Jul 25, 2013 Affirmed C (sf)
Ratings Rationale
The ratings on the two the P&I classes were affirmed because the
ratings are consistent with expected recovery of principal and
interest from liquidated and troubled loans.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced class.
Moody's rating action reflects a base expected loss of 31.7% of
the current balance compared to 31.9% at Moody's prior review.
Moody's base expected loss plus realized losses is now 4.3% of the
original pooled balance compared to 5.5% at the prior review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Methodology Underlying The Rating Action
The 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 uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3 compared to 8 at Moody's last review.
Moody's used the excel-based Large Loan Model v 8.7 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 May 16, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $15.8
million from $972 million at securitization. The Certificates are
collateralized by four mortgage loans ranging in size from less
than 1% to 36% of the pool.
Two loans, representing 72% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Twenty-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $41.7 million (40% loss severity on
average). The only loan in special servicing is the Trolley
Industrial Park Loan ($4.4 million -- 28% of the pool), which is
secured by a 243,000 square foot (SF) industrial park comprised of
four detached industrial buildings in Taylor, Michigan. The
servicer has deemed the loan non-recoverable. The property was 67%
leased as of December 2013, the same as at last review. The
servicer has recognized a $3.7 million appraisal reduction for
this loan.
Moody's has assumed a high default probability for one poorly
performing loan representing 36% of the pool and has estimated an
aggregate $5.0 million loss for the specially serviced and
troubled loan.
The two performing loans represent 72% of the pool balance. The
largest loan is the Best Western PLUS InnSuites Ontario Loan,
formerly known as the Holiday Inn Ontario Loan ($5.7 million --
36% of the pool), which is secured by a 150-key Best Western PLUS
InnSuites in Ontario, Canada. The loan was previously in special
servicing for maturity default and was returned to the master
servicer in May 2012. Because of poor performance for several
years, Moody's considers this a troubled loan. Moody's LTV and
stressed DSCR are 188% and 0.66X, respectively, compared to 191%
and 0.65X at the last review.
The second loan is the Sierra Point Apartments Loan ($5.6 million
-- 36% of the pool). The loan is secured by a 212-unit multifamily
property in Irving, Texas. The property was 96% leased as of March
2013 compared to 82% as of March 2012. Moody's LTV and stressed
DSCR are 69% and 1.49X, respectively, compared to 70% and 1.46X at
the last review.
DEKANIA CDO I: A.M. Best Affirms 'c' Debt Ratings of 3 Notes
------------------------------------------------------------
A.M. Best Co. has affirmed the debt ratings on multi-tranche
collateralized debt obligation (CDO) co-issued by two bankruptcy
remote special purpose vehicles: Dekania CDO I, Ltd. (Cayman,
Islands) and Dekania CDO I, Inc. (Delaware) (collectively known as
Dekania I and issuers). The outlook for all ratings is stable.
The principal balance of the rated notes are collateralized by a
pool of trust preferred securities, surplus notes and secondary
market securities (collectively, the capital securities),
primarily issued by small- to medium-size insurance companies.
The capital securities are pledged as security to the notes.
Interest paid by the issuers of the capital securities are the
primary source of funds to pay operating expenses of the issuers
and interest on the notes. Repayment of the notes principals are
primarily funded from the redemption of the capital securities.
These rating actions primarily reflect: (1) the current issuer
credit ratings (ICR) of the remaining issuers of the capital
securities; (2) a stress of up to 250% on the assumed marginal
default rates of insurers (derived from Best's Idealized Default
Rates of Insurers); (3) the amount of capital securities
considered to be in distress; (4) recoveries of 0% after the
defaults of the capital securities; and (5) qualitative factors
such as the effect of interest rate spikes; subordination levels
associated with each rated tranche; the adjacency of very high
investment grade ratings to very low non-investment grade ratings
in the transaction's capital structure and the possibility that
additional redemptions of highly rated entities will leave lower
rated companies in the collateral pool. The ratings could be
upgraded or downgraded and/or the outlook revised if there are
material changes in the ICRs of the remaining insurance carriers,
an increase in the number of defaulted capital securities and/or
additional capital security redemptions.
The following debt ratings have been affirmed:
Dekania CDO I, Ltd. and Dekania CDO I, Inc.
-- "aaa" on $69.00 million Class A-2 Second Priority Senior
Secured Floating Rate Notes Due 2034
-- "a-" on $40.00 million Class B Third Priority Senior Secured
Floating Rate Notes Due 2034
-- "c" on $6.00 million Class C-1 Fourth Priority Senior Secured
Fixed/Floating Rate Notes Due 2034
-- "c" on $30.00 million Class C-2 Fourth Priority Senior Secured
Fixed/Floating Rate Notes Due 2034
-- "c" on $16.30 million Class D Mezzanine Secured Floating Rate
Notes Due 2034
These are structured finance ratings.
GALE FORCE 4: Moody's Affirms Ba3 Rating on $17.9MM Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Gale Force 4 CLO, Ltd.:
$34,480,000 Class A-1B Second Priority Senior Secured Floating
Rate Notes due 2021, Upgraded to Aaa (sf); previously on September
27, 2011 Upgraded to Aa2 (sf)
$12,400,000 Class B Third Priority Senior Secured Floating Rate
Notes due 2021, Upgraded to Aa1 (sf); previously on September 27,
2011 Upgraded to A1 (sf)
$28,500,000 Class C Fourth Priority Senior Secured Deferrable
Floating Rate Notes due 2021, Upgraded to A2 (sf); previously on
September 27, 2011 Upgraded to Baa2 (sf)
Moody's also affirmed the ratings on the following notes:
$310,320,000 Class A-1A First Priority Senior Secured Floating
Rate Notes due 2021, Affirmed Aaa (sf); previously on September
27, 2011 Upgraded to Aaa (sf)
$17,200,000 Class D Fifth Priority Mezzanine Deferrable Floating
Rate Notes due 2021, Affirmed Ba1 (sf); previously on September
27, 2011 Upgraded to Ba1 (sf)
$17,900,000 Class E Sixth Priority Mezzanine Deferrable Floating
Rate Notes due 2021, Affirmed Ba3 (sf); previously on September
27, 2011 Upgraded to Ba3 (sf)
Gale Force 4 CLO, Ltd., issued in August 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period will end in
August 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
August 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 WARR compared to its covenant levels. Moody's modeled a
WARF and WARR of 2494 and 50.98% respectively, compared to the
covenant levels of 3150 and 43.75%, respectively. Furthermore, the
transaction's reported OC ratios have been stable.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
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 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.
7) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal can reinvest certain proceeds after the end
of the reinvestment period, and as such the manager has the
ability to erode some of the collateral quality metrics to the
covenant levels. Such reinvestment could affect the transaction
either positively or negatively. In particular, Moody's tested for
a possible extension of the actual weighted average life in its
analysis given that the post-reinvestment period reinvesting
criteria has loose restrictions on the weighted average life of
the portfolio.
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, which may be different from the current public
ratings of the 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% (1995)
Class A-1A: 0
Class A-1B: 0
Class B: +1
Class C: +3
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (2993)
Class A-1A: 0
Class A-1B: -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 $439.0 million, defaulted
par of $2.7 million, a weighted average default probability of
15.98% (implying a WARF of 2494), a weighted average recovery rate
upon default of 50.98%, a diversity score of 57 and a weighted
average spread of 2.86%.
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. Moody's generally applies
recovery rates for CLO securities as published in "Moody's
Approach to Rating SF CDOs". In some cases, alternative recovery
assumptions may be considered based on the specifics of the
analysis of the CLO transaction. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
GALLATIN CLO 2014-1: Moody's Rates $17.5MM Class E Notes 'Ba3'
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Gallatin CLO VII 2014-1, Ltd.
$2,250,000 Class X Senior Secured Floating Rate Notes due 2023
(the "Class X Notes"), Definitive Rating Assigned Aaa (sf)
$227,500,000 Class A Senior Secured Floating Rate Notes due 2023
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
$29,400,000 Class B-1 Senior Secured Floating Rate Notes due
2023 (the "Class B-1 Notes"), Definitive Rating Assigned
Aa2 (sf)
$4,600,000 Class B-2 Senior Secured Fixed Rate Notes due 2023
(the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf)
$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2023 (the "Class C Notes"), Definitive Rating Assigned
A2 (sf)
$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2023 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
$17,500,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2023 (the "Class E Notes"), Definitive Rating Assigned
Ba3 (sf)
$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2023 (the "Class F Notes"), Definitive Rating Assigned
B2 (sf)
The Class X Notes, Class A Notes, Class B-1 Notes, Class B-2
Notes, Class C Notes, Class D Notes, Class E Notes and Class F
Notes are referred to herein, collectively, as the "Rated Notes."
Ratings Rationale
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The rating on the Class A Notes does not
address the Class A Notes Additional Interest Amount, which are
additional interest amounts payable to the Class A Notes after the
payment date in July 2018 in accordance with the priority of
payments. 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.
Gallatin VII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up
to 7.5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is expected to be approximately 75%
ramped as of the closing date.
MP Senior Credit Partners L.P., (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 one year
reinvestment period. Thereafter, the Manager is not permitted to
engage in any reinvestment of principal proceeds.
In addition to the Rated Notes, the Issuer issued subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, 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: $350,000,000
Diversity Score: 40
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 6.5 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 2800 to 3220)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: -1
Percentage Change in WARF -- increase of 30% (from 2800 to 3640)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B-1 Notes: -3
Class B-2 Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
Class F Notes: -3
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
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.
GLOBAL LEVERAGED: Moody's Hikes Rating on 2 Note Classes to 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Global Leveraged Capital Credit
Opportunity Fund I:
$40,500,000 Class C Third Priority Subordinated Deferrable Notes
Due 2018, Upgraded to Aa1 (sf); previously on August 30, 2013
Upgraded to Aa3 (sf)
$23,750,000 Class D Fourth Priority Subordinated Deferrable
Notes Due 2018, Upgraded to A2 (sf); previously on August 30,
2013 Confirmed at Baa1 (sf)
$18,500,000 Class E-1 Fifth Priority Subordinated Deferrable
Notes Due 2018, Upgraded to Ba1 (sf); previously on August 30,
2013 Confirmed at Ba2 (sf)
$7,750,000 Class E-2 Fifth Priority Subordinated Deferrable
Notes Due 2018, Upgraded to Ba1 (sf); previously on August 30,
2013 Confirmed at Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
$265,000,000 Class A First Priority Senior Notes Due 2018
(current outstanding balance $70,778,693), Affirmed Aaa (sf);
previously on August 30, 2013 Affirmed Aaa (sf)
$39,000,000 Class B Second Priority Senior Notes Due 2018,
Affirmed Aaa (sf); previously on August 30, 2013 Affirmed
Aaa (sf)
Global Leveraged Capital Credit Opportunity Fund I, issued in
December 2006, is a collateralized loan obligation (CLO) backed
primarily by a portfolio of senior secured loans, with significant
exposure to middle market loans. The transaction's reinvestment
period ended in December 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 (OC) ratios since the last rating action in
August 2013. The Class A notes have been paid down by
approximately 44% or $56 million since August 2013. Based on the
trustee's April 2014 report, the OC ratios for the Class A/B,
Class C, Class D and Class E notes are reported at 204.0%, 149.0%,
128.7% and 111.8%, respectively, versus July 2013 levels of
167.7%, 134.8%, 120.9% and 108.5%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since the last rating action. Based on the trustee's April 2014
report, the weighted average rating factor is currently 4106
compared to 3774 in July 2013.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
7) Exposure to credit estimates: The deal contains a large number
of securities whose default probabilities Moody's has assessed
through credit estimates. If Moody's does not receive the
necessary information to update its credit estimates in a timely
fashion, the transaction could be negatively affected by any
default probability adjustments Moody's assumes in lieu of updated
credit estimates.
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, which may be different from the current public
ratings of the 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% (3888)
Class A: 0
Class B: 0
Class C: +1
Class D: +2
Class E-1: +1
Class E-2: +2
Moody's Adjusted WARF + 20% (5832)
Class A: 0
Class B: 0
Class C: -2
Class D: -2
Class E-1: -1
Class E-2: -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 $246.9 million, defaulted
par of $14.6 million, a weighted average default probability of
31.7% (implying a WARF of 4860), a weighted average recovery rate
upon default of 44.8%, a diversity score of 30 and a weighted
average spread of 3.4%.
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. Moody's generally applies
recovery rates for CLO securities as published in "Moody's
Approach to Rating SF CDOs". In some cases, alternative recovery
assumptions may be considered based on the specifics of the
analysis of the CLO transaction. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets
with no ratings found, which represent approximately 29.5% of the
collateral pool.
GMACM MORTGAGE: Moody's Takes Action on $8MM RMBS Issued 2003-2004
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches issued by three GMACM RMBS transactions. The collateral
backing these deals primarily consists of first lien, fixed and
adjustable rate "scratch and dent" residential mortgages.
Complete rating actions are as follows:
Issuer: GMACM Mortgage Loan Trust 2003-GH1
Cl. B, Downgraded to Caa3 (sf); previously on Aug 20, 2012
Confirmed at Caa1 (sf)
Issuer: GMACM Mortgage Loan Trust 2003-GH2
Cl. B, Downgraded to Caa3 (sf); previously on Jul 17, 2012
Confirmed at Caa1 (sf)
Issuer: GMACM Mortgage Loan Trust 2004-GH1
Cl. M-1, Downgraded to Ba1 (sf); previously on Jul 17, 2012
Confirmed at Baa3 (sf)
Cl. M-2, Downgraded to Caa2 (sf); previously on Jul 17, 2012
Confirmed at B3 (sf)
Ratings Rationale
The ratings are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings downgraded are a result of deteriorating
performance and higher than expected losses on bonds where the
credit support is expected to be depleted.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.3% in April 2014 from 7.5%
in April 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.
GOAL CAPITAL 2007-1: Fitch Affirms 'BB' Rating on Class C-1 Notes
-----------------------------------------------------------------
Fitch Ratings affirms the senior class A notes at 'AAAsf', affirms
the subordinate class B-1 notes at 'AA+sf', and affirms the junior
subordinate class C-1 notes at 'BBsf' issued by Goal Capital
Funding Trust, Series 2007-1. The Stable Outlook is maintained on
the senior and subordinate notes, and the Positive Outlook is
maintained on the junior subordinate notes.
Key Rating Drivers
High Collateral Quality:
The collateral consists of 100% of Federal Family Education Loan
Program (FFELP) loans. The credit quality of the trust collateral
is high, in Fitch's opinion, based on the guarantees provided by
the transaction's eligible guarantors and reinsurance provided by
the U.S. Department of Education (ED) for at least 97% of
principal and accrued interest.
Stable Outlook:
'AAAsf' rated tranches of U.S. FFELP student loan ABS were
assigned Stable Outlooks and removed from Rating Watch Negative to
reflect the revision of the U.S. sovereign rating on March 24,
2014.
Sufficient Credit Enhancement:
Both the senior and subordinate notes will benefit from the credit
enhancement provided by overcollateralization (OC) or the excess
of the trust's asset balance over bond balance), and the senior
class A notes and subordinate class B-1 notes will also benefit
from subordination provided by the class C-1 notes. As of March
2014, total parity is 99.25%, subordinate parity is 100.91% (0.90%
CE) and senior parity is 106.89% (6.44% CE).
Adequate Liquidity Support:
Liquidity support is provided by a Debt Service Reserve Fund sized
at the greater of 0.25% and $1.73 million.
Acceptable Servicing Capabilities:
Day-to-day servicing will be provided by AES, a servicing division
of the Pennsylvania Higher Education Assistance Agency (PHEAA),
which succeeded Great Lakes Educational Loan Services, Inc., and
ACS Education Services, Inc., a division of the Xerox Corporation.
Although Fitch does not rate the current servicers AES or ACS,
Fitch deems them to have satisfactory servicing operations at this
time.
Rating Sensitivities
Since FFELP student loan ABS rely on the U.S. government to
reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in
tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S.
sovereign rating, defaults and basis risk account for the majority
of the risk embedded in FFELP student loan transactions.
Additional defaults and basis shock beyond Fitch's published
stresses could result in future downgrades. Likewise, a buildup of
credit enhancement driven by positive excess spread given
favorable basis factor conditions could lead to future upgrades.
Fitch has taken the following rating actions:
Goal Capital Funding Trust, Series 2007-1:
-- Class A-3 notes affirmed at 'AAAsf'; Outlook Stable;
-- Class A-4 notes affirmed at 'AAAsf'; Outlook Stable;
-- Class A-5 notes affirmed at 'AAAsf'; Outlook Stable;
-- Class B-1 notes affirmed at 'AA+sf'; Outlook Stable;
-- Class C-1 notes affirmed at 'BBsf'; Outlook Positive.
GS MORTGAGE 2013-GCJ14: Moody's Affirms B3 Rating on Cl. G Certs
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of fifteen CMBS
classes of GS Mortgage Securities Trust, Commercial Mortgage Pass-
Through Certificates, Series 2013-GCJ14 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on Aug 28, 2013 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed Ba3 (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Ba3 (sf)
Cl. G, Affirmed B3 (sf); previously on Aug 28, 2013 Definitive
Rating Assigned B3 (sf)
Cl. PEZ, Affirmed A2 (sf); previously on Aug 28, 2013 Definitive
Rating Assigned A2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Aug 28, 2013 Definitive
Rating Assigned Aaa (sf)
Ratings Rationale
Ten investment-grade P&I classes were affirmed because the
transactions key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (HERF), are within acceptable
ranges. Three below investment-grade P&I classes were also
affirmed because the ratings are consistent with Moody's expected
loss. The two IO classes were affirmed based on the credit
performance of their referenced classes.
In terms of waterfall structure, the transaction contains a unique
group of exchangeable certificates. Classes A-S (Aaa (sf)), B (Aa3
(sf)) and C (A3 (sf)) may be exchanged for Class PEZ. (A-S (sf))
certificates and Class PEZ may be exchanged for the Classes A-S, B
and C. The PEZ certificates will be entitled to receive the sum of
interest distributable on the Classes A-S, B and C certificates
that are exchanged for such PEZ certificates. The initial
certificate balance of the Class PEZ certificates is equal to the
aggregate of the initial certificate balances of the Class A-S, B
and C and represent the maximum certificate balance of the PEZ
certificates that may be issued in an exchange.
Moody's considers the probability of certificate default as well
as the estimated severity of loss when assigning a rating. As a
thick vertical tranche, Class PEZ has the default characteristics
of the lowest rated component certificate, A3 (sf) but a very high
estimated recovery rate if a default occurs given the
certificate's thickness. The higher estimated recovery rate
resulted in a A2 (sf) rating, a rating higher than the lowest
rated component certificate.
Moody's rating action reflects a base expected loss of 3.8% of the
current balance, compared to 3.2% at securitization.
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 pay downs or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a pay down 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 structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured 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 25, the same as at securitization.
Deal Performance
As of the May 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $1.232
billion from $1.242 billion at securitization. The Certificates
are collateralized by 85 mortgage loans ranging in size from less
than 1% to 12% of the pool.
There are two loans on the master servicer's watchlist. The
watchlist includes loans which meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring
of a transaction, Moody's reviews the watchlist to assess which
loans have material issues that could impact performance.
No loans have been liquidated from the pool. Currently one loan,
representing less than 1% of the pool, is in special servicing.
Moody's has assumed a high default probability for two troubled
loans representing 2% of the pool and has estimated an aggregate
$3.8 million loss from both specially serviced and troubled loans.
Moody's was provided with full year 2013 operating results for 78%
of the pool's non-specially serviced and non-defeased loans and
13% of partial year 2014 operating results. Excluding specially
serviced and troubled loans, Moody's weighted average LTV is 100%
compared to 102.5% at securitization. Moody's net cash flow
reflects a weighted average haircut of 8% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.8%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.60X and 1.07X, respectively, compared to
1.57X and 1.04X at securitization. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 28% of the pool
balance. The largest conduit loan is the 11 West 42nd Street Loan
($150 million -- 12.2% of the pool), which represents a 50% pari-
passu interest in a $300.0 million interest-only mortgage. The
loan is secured by a 33-story, Class B office building located in
Grand Central submarket of Manhattan. The Wellpoint Holding Corp.
(11.2% NRA) sub-leases out the entire space and has a lease that
expires in December 2015. Eight months prior to lease expiration,
the lender will reserve all excess cashflow to accumulate a
leasing reserve totaling $50 per square foot. As of March 2014,
the property was 99.6% leased compared to 98.4% as of April 2013.
Moody's LTV and stressed DSCR are 96% and 0.95X, respectively, the
same as at securitization.
The second largest conduit loan is the ELS Portfolio Loan ($108.7
million -- 8.8% of the pool), which is secured by eleven
manufactured housing and RV park communities totaling 5,654 pads.
Developed between 1950 and 1985, the properties are located in
Florida, Texas, Arizona and Maine. Occupancy as of December 2013
was 81% compared to 73% at securitization. Moody's LTV and
stressed DSCR are 101% and 1.08X, respectively, compared to 103%
and 1.06X at securitization.
The third largest conduit loan is the W Chicago City Center Hotel
Loan ($91.4 million -- 7.4% of the pool), which is secured by a
403-room, full-service, luxury hotel located in the Loop in
Chicago, Illinois. The hotel was 76% occupied at securitization
compared to the most recently reported occupancy at 77%. The hotel
has undergone recent renovations and exceeds its competitive set
in both ADR and RevPAR achievement. Moody's LTV and stressed DSCR
are 94% and 1.21X, respectively, compared to 95.7% and 1.19X at
securitization.
HELIOS SERIES I: Moody's Raises Rating on $27MM Cl. B Notes to Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Helios Series I Multi-Asset CBO, Ltd.:
$27,000,000 Class B Floating Rate Notes, Due 2036 (current
outstanding balance of $17,183,457), Upgraded to Ba1 (sf);
previously on October 7, 2013 Upgraded to Ba2 (sf)
Helios Series I Multi-Asset CBO, Ltd., issued in December 2001, is
a collateralized debt obligation backed primarily by a portfolio
of RMBS, CMBS and ABS originated in 2000 and 2001.
Ratings Rationale
This rating action is due primarily to the deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since October 2013. The Class B notes
have paid down by approximately 27%, or $6.4 million since then.
Based on Moody's calculations, the over-collateralization ratio of
Class A/B is currently 152.2% versus 129.7% in October 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) 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 non-investment-grade, especially if they
jump to default. Because of the deal's lack of granularity,
Moody's supplemented its analysis with a individual scenario
analysis.
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 portfolio
assumptions on the rated notes. Below is a summary of the impact
of different assumptions on all of the rated notes (by the
difference in the number of notches versus the base model output,
for which a positive difference corresponds to lower expected
loss):
Ba1 ratings notched up by two rating notches :
Class B: +2
Class C: 0
Ba1 ratings notched down by two notches:
Class B: -1
Class C: 0
JP MORGAN 2005-CIBC13: Moody's Affirms C Rating on 6 Cert. Classes
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 15 classes
of J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2005-CIBC13
as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Aug 7, 2013 Affirmed
Aaa (sf)
Cl. A-3A1, Affirmed Aaa (sf); previously on Aug 7, 2013 Affirmed
Aaa (sf)
Cl. A-3A2, Affirmed Aaa (sf); previously on Aug 7, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 7, 2013 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Aug 7, 2013 Affirmed
Aaa (sf)
Cl. A-M, Affirmed Baa1 (sf); previously on Aug 7, 2013 Affirmed
Baa1 (sf)
Cl. A-J, Affirmed B3 (sf); previously on Aug 7, 2013 Affirmed B3
(sf)
Cl. B, Affirmed Caa3 (sf); previously on Aug 7, 2013 Affirmed Caa3
(sf)
Cl. C, Affirmed C (sf); previously on Aug 7, 2013 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Aug 7, 2013 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Aug 7, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Aug 7, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Aug 7, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Aug 7, 2013 Affirmed C (sf)
Cl. X-1, Affirmed B1 (sf); previously on Aug 7, 2013 Downgraded to
B1 (sf)
Ratings Rationale
The ratings on the investment-grade P&I classes were affirmed
because the transaction's key metrics, including Moody's loan-to-
value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the transaction's Herfindahl Index (Herf), are within
acceptable ranges. The ratings on the below-investment-grade P&I
classes 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 its
referenced classes are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 14.7% of
the current balance compared to 13.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 14.2% of
the original pooled balance compared to 13.9% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured 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 56 compared to 54 at Moody's last review.
Deal Performance
As of the May 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 34% to $1.8 billion
from $2.7 billion at securitization. The certificates are
collateralized by 191 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans constituting 33%
of the pool. Five loans, constituting 1% of the pool, have
defeased and are secured by US government securities.
Sixty-two loans, constituting 27% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Twenty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $122 million (for an average loss
severity of 35%). Eighteen loans, constituting 17% of the pool,
are currently in special servicing. The largest specially serviced
loan is the DRA-CRT Portfolio ($133 million -- 7% of the pool),
which was originally secured by a portfolio of 16 suburban office
properties containing a total of 1.5 million square feet (SF). The
properties were located in Florida (12), North Carolina (2) and
Maryland (2). The loan transferred into special servicing in
December 2009 and became real-estate owned (REO) in April 2011.
Fourteen of the properties have been sold, leaving the two
properties in Maryland remaining. Losses from the sold properties
have not yet been recognized. As of December 2013, the weighted
average occupancy of the two remaining properties was 73%.
The remaining 17 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $191 million loss
for the specially serviced loans (66% expected loss on average).
Moody's has assumed a high default probability for 23 poorly
performing loans, constituting 11% of the pool, and has estimated
an aggregate loss of $30 million (a 15% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2012 operating results for 97% of the
pool, and full or partial year 2013 operating results for 69% of
the pool. Moody's weighted average conduit LTV is 90% compared to
93% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 10% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 8%.
Moody's actual and stressed conduit DSCRs are 1.42X and 1.16X,
respectively, compared to 1.40X and 1.12X 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 11% of the pool balance. The
largest loan is the Marriott Myrtle Beach Loan ($69 million -- 4%
of the pool), which is secured by a 405-room full service hotel
located in Myrtle Beach, South Carolina. The collateral's 2013
occupancy of 67% and RevPAR of $113 have increased from 64% and
$109, respectively, since last review. Moody's LTV and stressed
DSCR are 68% and 1.74X, respectively, compared to 76% and 1.57X at
the last review.
The second largest loan is the 270 Madison Avenue Loan ($65
million -- 4% of the pool), which is secured by a 19-story Class B
office building located in Manhattan, New York. The property was
88% leased as of December 2013 compared to 90% at last review. The
loan is interest-only for its entire term. Moody's LTV and
stressed DSCR are 137% and 0.69X, respectively, compared to 138%
and 0.69X at the last review.
The third largest loan is the Datran Center Loan ($65 million --
4% of the pool), which is secured by two office buildings located
in Miami, Florida. The properties were 77% leased as of April
2013. Performance has remained the same since last review. The
loan is interest only for its entire term. Moody's LTV and
stressed DSCR are 128% and 0.76X, respectively, the same as at the
last review.
JP MORGAN 2006-LDP7: S&P Lowers Rating on 5 Note Classes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P affirmed its ratings on eight other classes from
the same transaction, including the 'AAA (sf)' rating on the class
X interest-only (IO) certificates.
S&P's rating actions follow its analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust.
The downgrade on class A-J reflects the credit support erosion
that S&P anticipates will occur upon the eventual resolution of
the 23 assets ($280.8 million, 9.0%) with the special servicer and
one loan ($1.4 million, 0.1%) that S&P deemed to be credit-
impaired because it has a reported one-month delinquent payment
status. S&P expects losses to reach approximately 6.6% of the
original pool trust balance in the near term, based on losses
incurred to date and additional losses S&P expects upon the
eventual resolution or liquidation of the 23 specially serviced
assets. To date, the trust has incurred principal losses totaling
$135.1 million, or 3.4% of the original trust balance.
S&P's rating actions also considered the monthly interest
shortfalls affecting the trust. S&P lowered its rating on class B
to 'CCC- (sf)' because this class has accumulated interest
shortfalls outstanding for nine consecutive months. S&P lowered
its ratings on classes C, D, E, F, and G to 'D (sf)' because it
expects the accumulated interest shortfalls on these classes to
remain outstanding for the foreseeable future. Classes C, D, E,
and F have accumulated interest shortfalls outstanding for nine
consecutive months, while class G has accumulated interest
shortfalls outstanding for 15 consecutive months. If the
accumulated interest shortfalls on class B remain outstanding for
an extended period of time, S&P may further lower the rating on
this class to 'D (sf)'.
As of the May 15, 2014, trustee remittance report, the trust
experienced net monthly interest shortfalls totaling $1,103,808.
The interest shortfalls were primarily related to $606,863 in
interest rate modifications, $282,410 in net appraisal subordinate
entitlement reduction (ASER) amounts, $130,943 in interest not
advanced because the assets were deemed non-recoverable, and
$73,968 in special servicing fees. The current monthly interest
shortfalls affected all classes subordinate to and including class
C.
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, as well
as liquidity support available to the classes.
The 'AAA (sf)' rating affirmation on the class X IO certificates
reflect S&P's current criteria for rating IO securities.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7
Rating Rating
Class Identifier To From
A-3A 46628FAC5 AAA (sf) AAA (sf)
A-3FL 46628FAD3 AAA (sf) AAA (sf)
A-3B 46628FAE1 AAA (sf) AAA (sf)
A-4 46628FAF8 AAA (sf) AAA (sf)
A-SB 46628FAH4 AAA (sf) AAA (sf)
A-1A 46628FAJ0 AAA (sf) AAA (sf)
A-M 46628FAM3 A- (sf) A- (sf)
A-J 46628FAN1 B- (sf) B+ (sf)
B 46628FAP6 CCC- (sf) B (sf)
C 46628FAQ4 D (sf) B- (sf)
D 46628FAR2 D (sf) B- (sf)
E 46628FAS0 D (sf) B- (sf)
F 46628FAU5 D (sf) CCC (sf)
G 46628FAW1 D (sf) CCC- (sf)
X 46628FAK7 AAA (sf) AAA (sf)
JP MORGAN 2013-C13: Moody's Affirms 'B2' Rating on Class F Notes
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 12 classes
in J.P. Morgan Chase Commercial Mortgage Securities Trust,
Commercial Pass-Through Certificates, Series 2013-C13 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on Jul 22, 2013 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Jul 22, 2013 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 22, 2013 Definitive
Rating Assigned Aaa (sf)
Ratings Rationale
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO class (Class X-A) was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
Moody's rating action reflects a base expected loss of 2.6% of the
current balance.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured 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
conduit has a Herf of 20, the same as at securitization.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
Deal Performance
As of the May 16, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 0.8% to $953.9
million from $961.2 million at securitization. The certificates
are collateralized by 45 mortgage loans ranging in size from less
than 1% to 10% of the pool, with the top ten loans constituting
61% of the pool. Two loans, constituting 13% of the pool, have
investment-grade structured credit assessments.
Moody's received full year 2013 operating results for 71% of the
pool. Moody's weighted average conduit LTV is 101%, compared to
102% at securitization. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 6.5% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.0%.
Moody's actual and stressed conduit DSCRs are 1.70X and 0.98X,
respectively, compared to 1.69X and 0.97X at securitization.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is the
Americold Cold Storage Portfolio Loan ($107.4 million -- 11.3% of
the pool), which is secured by 15 cross-collateralized and cross-
defaulted temperature-controlled warehouse ("cold storage")
facilities containing a total capacity of 77.5 million cubic feet
(3.6 million square feet (SF)) located in nine states. This loan
is a 50% Pari Passu component of a $214.7 million first mortgage
loan. Moody's structured credit assessment and stressed DSCR are
baa3 (sca.pd) and 1.59X, respectively, compared to baa3 (sca.pd)
and 1.56X at securitization.
The second largest loan with a structured credit assessment is the
501 Fifth Avenue Loan ($17.5 million -- 1.8% of the pool), which
is secured by a 159,000 SF 23-story office building located in New
York, New York at the corner of Manhattan's 42nd Street and Fifth
Avenue in the Grand Central Submarket. Moody's structured credit
assessment and stressed DSCR are a1 (sca.pd) and 1.66X,
respectively, the same as at securitization.
The top three conduit loans represent 26.5% of the pool balance.
The largest loan is the IDS Center Loan ($92.5 million -- 9.7% of
the pool), which is secured by a 1.4 million SF 57-story Class A
office tower in downtown Minneapolis, Minnesota attached to an 8-
story annex building containing a 2-story retail center (Crystal
Court). The property is the tallest in the state of Minnesota and
was 89% leased as of May 2014, the same as at securitization. This
loan is a 50.7% Pari Passu interest in a $182.5 million first
mortgage loan. Moody's LTV and stressed DSCR are 103% and 0.97X,
respectively, the same as at securitization.
The second largest loan is the 589 Fifth Avenue Loan ($87.5
million -- 9.2% of the pool), which is secured by a 169,000 SF
retail and office property located in New York City at the corner
of Manhattan's Fifth Avenue and 48th Street. The building is 17-
stories tall and contains approximately 57,000 SF of retail space
(34% of net rentable area (NRA)) and 112,000 SF (66% of NRA) of
office space. The retail component is 100% leased to Hennes &
Mauritz (H&M) as of July 2013, although the space is still under
construction. The property was 94% leased as of February 2014
compared to 97% at securitization. This loan is a 50% Pari Passu
interest in a $175 million first mortgage loan. Moody's LTV and
stressed DSCR are 100% and 0.88X, respectively, the same as at
securitization.
The third largest loan is the Atlantic Times Square Loan ($72.9
million -- 7.6% of the pool), which is secured by a fee simple
interest in 213,812 SF of retail space and 100 multifamily units
approximately ten miles east of downtown Los Angeles, California.
The largest retail tenants include the anchor 14-screen AMC
Theater and a 24 hour Fitness. The multifamily collateral
component includes 100 unsold condominium units (40 two-bedroom
and 60 three-bedroom) in a 210-unit condominium development that
are currently being rented. The property was 100% leased as of
January 2014 compared to 91% at securitization. Moody's LTV and
stressed DSCR are 104% and 0.88X, respectively, compared to 105%
and 0.87X at securitization.
JP MORGAN 2014-C20: DBRS Rates Class E Certificates 'BB(sf)'
------------------------------------------------------------
DBRS Inc. has assigned provisional ratings to the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2014-C20, to be issued by JPMCC Commercial Mortgage Trust 2014-
C20. The trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3A1 at AAA (sf)
-- Class A-4A1 at AAA (sf)
-- Class A-3A2 at AAA (sf)
-- Class A-4A2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (high) (sf)
-- Class G at B (sf)
Classes A-3A2, A-4A2, X-C, D, E, F, G and NR will be privately
placed pursuant to Rule 144A.
The Class X balances are notional. DBRS ratings on interest-only
(IO) certificates address the likelihood of receiving interest
based on the notional amount outstanding. DBRS considers the IO
certificates' position within the transaction payment waterfall
when determining the appropriate rating.
Up to the full certificate balance of the Class A-S, Class B and
Class C certificates may be exchanged for Class EC certificates.
Class EC certificates may be exchanged for up to the full
certificate balance of the Class A-S, Class B and Class C
certificates.
The collateral consists of 37 fixed-rate loans secured by 54
commercial and multifamily properties. The transaction has a
balance of $878,008,421. The pool exhibits a DBRS weighted-
average term debt service coverage ratio (DSCR) and debt yield of
1.47 times (x) and 8.4%, respectively, based on the senior trust
balances. The DBRS sample included 23 loans, representing 81.6%
of the pool. One loan, The Outlets at Orange, representing 10.3%
of the pool, was shadow-rated investment grade by DBRS. Proceeds
for the shadow-rated loans were floored within the pool at BBB
(low). Finally, properties located in urban locations represent
27.2% of the pool, and benefit from consistent investor demand
even in times of stress.
The combined partial IO and full-term IO concentration is 59.1%.
There are five loans that are IO for the full term, representing
26.8% of the pool, all of which are in the top 17 loans. Overall,
this results in a relatively low level of amortization during the
loan term of -11.1%. Additionally, 20 loans, representing 58.8%
of the pool, have a DBRS calculated refi DSCR of less than 1.00x.
However, these DSCRs are based on a weighted-average stressed
refinance constant of 9.6%, which implies an interest rate of
8.9%, amortizing on a 30-year schedule. This represents a
significant stress of nearly 4.3% over the weighted-average
contractual interest rate of the loans in the pool.
LB-UBS COMMERCIAL 2006-C6: Moody's Cuts Cl. H Certs Rating to 'C'
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 13 classes
and downgraded one class in LB-UBS Commercial Mortgage Trust 2006-
C6, Commercial Mortgage Pass-Through Certificates, Series 2006-C6
as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed
Aaa (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed
Aaa (sf)
Cl. A-J, Affirmed Baa2 (sf); previously on Aug 15, 2013 Affirmed
Baa2 (sf)
Cl. A-M, Affirmed Aa1 (sf); previously on Aug 15, 2013 Affirmed
Aa1 (sf)
Cl. B, Affirmed Ba1 (sf); previously on Aug 15, 2013 Affirmed Ba1
(sf)
Cl. C, Affirmed B1 (sf); previously on Aug 15, 2013 Affirmed B1
(sf)
Cl. D, Affirmed B3 (sf); previously on Aug 15, 2013 Affirmed B3
(sf)
Cl. E, Affirmed Caa1 (sf); previously on Aug 15, 2013 Affirmed
Caa1 (sf)
Cl. F, Affirmed Caa2 (sf); previously on Aug 15, 2013 Affirmed
Caa2 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Aug 15, 2013 Affirmed
Caa3 (sf)
Cl. H, Downgraded to C (sf); previously on Aug 15, 2013 Affirmed
Ca (sf)
Cl. J, Affirmed C (sf); previously on Aug 15, 2013 Affirmed C (sf)
Cl. X-CL, Affirmed Ba3 (sf); previously on Aug 15, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings P&I classes A-1A through B were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on P&I classes C through G and J were affirmed because
the ratings are consistent with expected recovery of principal and
interest from liquidated and troubled loans.
The rating on P&I Class J was downgraded due to higher realized
and anticipated losses from specially serviced and troubled loans
than previously expected.
The rating on the IO class was affirmed based on the credit
performance of its referenced classes.
Moody's rating action reflects a base expected loss of 6.4% of the
current balance compared to 7.6% at Moody's prior review. Moody's
base expected loss plus realized losses is now 9.6% of the
original pooled balance compared to 9.4% at the prior review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 14 compared to 16 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 May 16, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 23% to $2.4 billion
from $3.0 billion at securitization. The Certificates are
collateralized by 127 mortgage loans ranging in size from less
than 1% to 17% of the pool, with the top ten loans representing
66% of the pool. The pool contains two loans, representing 0.5% of
the pool, that have investment grade structured credit
assessments. Four loans, representing 1.0% of the pool have
defeased and are secured by US Government securities.
Thirty-eight loans, representing 25% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
Twenty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $140.4 million (46% loss severity on
average). Four loans, representing 4% of the pool, are in special
servicing. The largest specially serviced loan is the Chapel Hill
Mall Loan ($68 million -- 2.9% of the pool), which is secured by a
666,000 square foot (SF) enclosed mall located in Akron, Ohio. The
servicer is pursuing foreclosure. The property was 98% leased as
of April 2014.
The remaining three specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $41.2 million
loss for the specially serviced loans (41% expected loss on
average).
Moody's has assumed a high default probability for 20 poorly-
performing loans representing 17% of the pool and has estimated an
aggregate $61 million loss (15% expected loss based on a 50%
probability of default) from these troubled loans.
Moody's received full-year 2012 operating results for 99% of the
pool and full or partial year 2013 operating results for 91% of
the pool. Moody's weighted average conduit LTV is 95% compared to
94% at Moody's last review. Moody's conduit component excludes
loans with credit assessments, defeased and CTL loans and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 10.4% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 8.8%.
Moody's actual and stressed conduit DSCRs are 1.40X and 1.03X,
respectively, compared to 1.36X and 1.03X at the last review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The largest loan with a structured credit assessment is the Naples
Walk I, II, & III Loan Loan ($8.8 million -- 0.4% of the pool), is
secured by a 126,490 SF grocery-anchored retail center located in
Naples, Florida. The property is anchored by a Publix Supermarket
that has a lease through 2019. Moody's structured credit
assessment and stressed DSCR are baa3 (sca.pd) and 1.45X,
respectively, compared to baa2 (sca.pd) and 1.57X at the last
review.
The second largest loan with a structured credit assessment is the
1155 Avenue of the Americas Loan ($2.6 million -- 0.1% of the
pool), which is a pari-passu interest in a $34.9 million first
mortgage loan secured by a 739,261 SF office property located in
Manhattan, New York. Moody's structured credit assessment and
stressed DSCR are aaa (sca.pd) and 4.00X, respectively, compared
to aa1 (sca.pd) and 4.58X at the last review.
The top three performing conduit loans represent 39% of the pool
balance. The largest loan is the 1211 Avenue of the Americas Loan
($400.0 million -- 17.0% of the pool), which is a pari-passu
interest in a $675.0 million first mortgage loan, is secured by
1.9 million SF Class A office property built in 1973, renovated in
2006 and located in midtown Manhattan, New York. The largest
tenants are News America Publishing Inc and Ropes & Gray LLP.
Moody's LTV and stressed DSCR are 85% and 1.05X, respectively,
compared to 80% and 1.12X at the last review.
The second largest loan is the 125 High Street Loan ($340.0
million -- 14.5% of the pool), which is secured by a 1.5 million
SF Class A office building and parking garage located in downtown
Boston, Massachusetts. The property was 85% leased as of March
2014 compared to 75% as of last review. The loan is interest only
throughout its entire 10-year term maturing in August 2016. The
loan sponsors are Tishman Speyer and Crown Equities. Moody's LTV
and stressed DSCR are 100% and 0.90X, respectively, compared to
92% and 0.97X at the last review.
The third largest loan is The Shops at Las Americas Loan ($177.9
million -- 7.6% of the pool), which is secured by a 561,426 SF
outlet mall located in San Diego, California. The mall's major
tenants include Nike Factory Store, Old Navy and the Gap Outlet.
The loan sponsor is Simon Property Group. The property was 96%
leased as of April 2014 compared to 99% as of December 2012.
Moody's LTV and stressed DSCR are 77% and 1.22X, respectively,
compared to 85% and 1.12X at the last review.
LCM XVI: S&P Assigns Prelim. 'BB-' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to LCM XVI L.P./LCM XVI LLC's $654.10 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 June 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 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 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% to 13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
PRELIMINARY RATINGS ASSIGNED
LCM XVI L.P./LCM XVI LLC
Class Rating Amount
(mil. $)
X AAA (sf) 4.50
A AAA (sf) 441.00
B AA (sf) 84.70
C (deferrable) A (sf) 56.00
D (deferrable) BBB (sf) 34.30
E (deferrable) BB- (sf) 33.60
Subordinated notes NR 71.50
NR-Not rated.
MCA FUND I: DBRS Rates $20-Mil. Class C Deferrable Notes 'BB'
-------------------------------------------------------------
DBRS Inc. has assigned provisional ratings to the following
classes of collateralized fund obligation (CFO) notes issued by
MCA Fund I Holding LLC, as well as the Liquidity Loan Facility
between MCA Fund I Holding LLC as Borrower and Barclays Bank PLC
as Liquidity Lender (the Liquidity Facility):
* $130 million of Class A Notes at A (sf)
* $100 million of Class B Notes at BBB (sf)
* $20 million of Class C Deferrable Notes at BB (low) (sf)
* $20 million Liquidity Facility at A (sf)
The ratings on the Class A Notes, Class B Notes and the Liquidity
Facility address the timely payment of interest and the ultimate
payment of principal on or before their respective maturity. The
rating on the Class C Deferrable Notes addresses the ultimate
payment of interest and the ultimate payment of principal on or
before its maturity.
The notes are backed by a portfolio of limited partnership
interests in leveraged buyout, mezzanine debt and venture capital
private equity funds. Each class of notes is able to withstand a
percentage of tranche defaults from a Monte-Carlo asset analysis
commensurate with its respective rating.
MORGAN STANLEY 2002-HE1: Moody's Hikes Cl. M-2 Debt Rating to Ca
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches from two Morgan Stanley Dean Witter subprime RMBS
transactions, which are backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE1
Cl. M-1, Upgraded to Ba3 (sf); previously on Sep 23, 2013
Upgraded to B3 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Feb 11, 2009
Downgraded to C (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC3
Cl. M-1, Upgraded to B2 (sf); previously on Apr 10, 2012
Downgraded to Caa2 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Mar 15, 2011
Downgraded to 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:
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 6.3% in April 2014 from 7.5%
in April 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.
MORGAN STANLEY 2007-IQ13: S&P Affirms 'CCC-' Rating on 2 Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 12
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2007-IQ13, 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.
S&P's analysis included a review of the credit characteristics and
performance of all of the remaining assets in the pool, the
transaction structure, and the liquidity available to the trust.
The affirmations on the principal and interest certificates
reflect S&P's expectation that the available credit enhancement
for these classes will be within its estimate of the necessary
credit enhancement required for the current outstanding ratings.
The affirmations also reflect S&P's review of the credit
characteristics and performance of the remaining assets, as well
as the transaction structure.
While the available credit enhancement levels may suggest positive
rating movements on the class A-M certificates, S&P's affirmation
considers the performance of the largest loan in the transaction,
the 75-101 Federal Street loan ($210.0 million, 16.7%), which is
on the master servicer's watchlist for a low debt service coverage
of 0.76x due to a low occupancy rate of 76.0%. S&P also
considered the overall magnitude of loans on the master servicer's
watchlist ($492.9 million, 39.3%) in our analysis.
S&P affirmed its 'AAA (sf)' rating on the class X and X-Y IO
interest-only (IO) certificates based on its criteria for rating
IO securities.
Credit Enhancement Levels
Class Credit enhancement(%)
A-2 34.41
A-3 34.41
A-4 34.41
A-1A 34.41
A-M 21.35
A-J 9.42
B 6.81
C 5.50
D 4.20
E 3.05
X N/A
X-Y N/A
N/A-Not applicable.
RATINGS LIST
Morgan Stanley Capital I Trust 2007-IQ13
Commercial mortgage pass-through certificates series 2007-IQ13
Rating Rating
Class Identifier To From
A-1A 61753JAB5 AAA (sf) AAA (sf)
A-2 61753JAC3 AAA (sf) AAA (sf)
A-3 61753JAD1 AAA (sf) AAA (sf)
A-4 61753JAE9 AAA (sf) AAA (sf)
A-M 61753JAF6 BB+ (sf) BB+ (sf)
A-J 61753JAG4 B- (sf) B- (sf)
B 61753JAK5 CCC (sf) CCC (sf)
C 61753JAL3 CCC (sf) CCC (sf)
D 61753JAM1 CCC- (sf) CCC- (sf)
E 61753JAN9 CCC- (sf) CCC- (sf)
X 61753JAH2 AAA (sf) AAA (sf)
X-Y 61753JAJ8 AAA (sf) AAA (sf)
NEWSTAR ARLINGTON: Moody's Assigns '(P)B2' Rating on Class F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to nine
classes of notes to be issued by NewStar Arlington Senior Loan
Program LLC:
$193,500,000 Class A-1 Senior Secured Floating Rate Notes due
2025 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
$40,000,000 Class A-2 Senior Secured Floating Rate Notes due
2025 (the "Class A-2 Notes"), Assigned (P)Aaa (sf)
$32,750,000 Class B-1 Senior Secured Floating Rate Notes due
2025 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf)
$5,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2025
(the "Class B-2 Notes"), Assigned (P)Aa2 (sf)
$28,500,000 Class C-1 Secured Deferrable Floating Rate Notes due
2025 (the "Class C-1 Notes"), Assigned (P)A2 (sf)
$5,000,000 Class C-2 Secured Deferrable Fixed Rate Notes due
2025 (the "Class C-2 Notes"), Assigned (P)A2 (sf)
$28,000,000 Class D Secured Deferrable Floating Rate Notes due
2025 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$27,000,000 Class E Secured Deferrable Floating Rate Notes due
2025 (the "Class E Notes"), Assigned (P)Ba3 (sf)
$9,000,000 Class F Secured Deferrable Floating Rate Notes due
2025 (the "Class F Notes"), Assigned (P)B2 (sf)
The Class A-1 Notes, Class A-2 Notes, Class B-1 Notes, Class B-2
Notes, Class C-1 Notes, Class C-2 Notes, Class D Notes, Class E
Notes and Class F Notes are referred to herein, collectively, as
the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
NewStar Arlington is a managed cash flow SME CLO. The issued notes
will be collateralized by small and medium enterprise and broadly
syndicated loans. At least 95% of the portfolio must consist of
senior secured loans, cash and eligible investments. Up to 5% may
consist of second lien loans. At closing, the portfolio is
expected to be approximately 62.5% ramped and 100% ramped within
six months thereafter.
NewStar Financial, Inc. (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, no collateral purchases are allowed.
The transaction incorporates coverage tests, both par and
interest, 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:
Target Par Amount of $400,000,000
Diversity Score of 38
Weighted Average Rating Factor (WARF): 3300
Weighted Average Spread (WAS): 4.65%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 46.25%
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 additional sensitivity analysis which was an important
component in determining the provisional 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 3300 to 3795)
Rating Impact in Rating Notches:
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C-1 Notes: -2
Class C-2 Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 3300 to 4290)
Rating Impact in Rating Notches:
Class A-1 Notes: -1
Class A-2 Notes: -1
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C-1 Notes: -3
Class C-2 Notes: -3
Class D Notes: -2
Class E Notes: -1
Class F Notes: -3
The V Score for this transaction is Medium/High. Moody's assigned
this V Score in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009, available on
www.moodys.com. The underlying assets for this transaction are,
primarily, SME corporate loans, which receive Moody's credit
estimates, rather than publicly rated corporate loans. This
distinction is an important factor in the determination of this
transaction's V Score, since loans publicly rated by Moody's are
the basis for the CLO V Score Report.
In addition, several scores for sub-categories of the V Score
differ from the CLO sector benchmark scores because this is an SME
transaction. The scores for the quality of historical data for
U.S. SME loans and for disclosure of collateral pool
characteristics and collateral performance reflect higher
volatility. This results from lack of a centralized default
database for SME loans, as well as obligor-level information for
SME loans being more limited and less frequently provided to
Moody's than that for publicly rated companies. Moody's assessment
for the alignment of interests is low/medium, which is stronger
than the benchmark transaction. This is a result of the Manager's
strong interest in supporting this transaction since it provides
an important source of funding.
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.
OCP CLO 2014-6: S&P Assigns Prelim. BB Rating on Class D Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to OCP CLO 2014-6 Ltd./OCP CLO 2014-6 Corp.'s $909.75
million floating- and fixed-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 June 11,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the preference shares.
-- 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 transaction's 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 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 0.22%-12.75%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of up to
50% of available excess interest proceeds into principal
proceeds, which are available before paying subordinated
management fees, uncapped administrative expenses and fees;
collateral manager incentive fees; and preference shares
payments to principal proceeds to purchase additional
collateral obligations during the reinvestment period.
PRELIMINARY RATINGS ASSIGNED
OCP CLO 2014-6 Ltd./OCP CLO 2014-6 Corp.
Class Rating Amount
(mil. $)
A-1A AAA (sf) 365.50
A-1B AAA (sf) 193.00
A-1L(i) AAA (sf) 50.00
A-2A AA (sf) 63.75
A-2B AA (sf) 48.50
B (deferrable) A (sf) 68.50
C (deferrable) BBB (sf) 52.75
D (deferrable) BB (sf) 47.00
E (deferrable) B (sf) 20.75
Preference shares NR 92.00
(i) On the closing date, the co-issuers will enter into a credit
agreement in which the lenders will make a class A-1L loan.
The aggregate outstanding amount of the class A-1L loan may be
converted to class A-1C notes at the direction of the class A-
1A lender. Upon conversion, the aggregate outstanding amount
of the class A-1A notes will be increased by the current
outstanding principal amount of the class A-1A notes
converted.
NR-Not rated.
PACIFICA CDO V: Moody's Hikes Rating on Class D Notes to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Pacifica CDO V, Ltd.:
$25,650,000 Class B-1 Senior Secured Deferrable Floating Rate
Notes Due 2020, Upgraded to Aaa (sf); previously on October 22,
2013 Upgraded to Aa1 (sf)
$5,850,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes
Due 2020, Upgraded to Aaa (sf); previously on October 22, 2013
Upgraded to Aa1 (sf)
$18,750,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2020, Upgraded to Aa3 (sf); previously on October 22,
2013 Upgraded to A3 (sf)
$19,000,000 Class D Secured Deferrable Floating Rate Notes Due
2020, Upgraded to Ba1 (sf); previously on October 22, 2013
Upgraded to Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
$361,250,000 Class A-1 Senior Secured Floating Rate Notes Due
2020 (current outstanding balance of $71,991,554), Affirmed Aaa
(sf); previously on October 22, 2013 Affirmed Aaa (sf)
$28,750,000 Class A-2 Senior Secured Floating Rate Notes Due
2020, Affirmed Aaa (sf); previously on October 22, 2013 Affirmed
Aaa (sf)
$6,000,000 Type II Composite Notes Due 2020 (current rated
balance of $3,055,324), Affirmed Aaa (sf); previously on
October 22, 2013 Affirmed Aaa (sf)
Pacifica CDO V, Ltd., issued in January 2006, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in July
2012.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since November 2013. The Class A-1 notes
have been paid down by approximately 39.4% or $46.9 million since
November 2013. Based on the trustee's May 2014 report, the over-
collateralization (OC) ratios for the Class A, Class B, Class C
and Class D notes are reported at 190.1%, 144.8%, 126.9% and
112.7%, respectively, versus November 2013 levels of 161.3%,
132.9%, 120.3% and 109.8%, respectively.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 relative to the base case
modeling results, which may be different from the current public
ratings of the notes. Below is a summary of the impact of
different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Moody's Adjusted WARF -- 20% (2031)
Class A-1: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C: +3
Class D: +2
Type II Composite Notes: 0
Moody's Adjusted WARF + 20% (3047)
Class A-1: 0
Class A-2: 0
Class B-1: -1
Class B-2: -1
Class C: -2
Class D: -1
Type II Composite Notes: 0
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, the weighted
average recovery rate and weighted average spread, 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 $185.7 million, defaulted par of $7.8 million, a
weighted average default probability of 15.83% (implying a WARF of
2539), a weighted average recovery rate upon default of 48.69%, a
diversity score of 36 and a weighted average spread of 3.26%.
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of
the assets in the collateral pool. In addition, Moody's may assess
alternative recovery prospects for CLO securities. Although these
alternative recovery assumptions are generally derived from those
presented in Moody's methodology for rating Structured Finance
CDOs they may vary based on the specifics of the analysis of the
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
PARK PLACE 2005-WHQ2: Moody's Hikes Rating on Cl. M-4 Debt to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches from Park Place 2005-WHQ2 backed by Subprime mortgage
loans.
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ2
Cl. M-1, Upgraded to A3 (sf); previously on Mar 21, 2014
Downgraded to Baa3 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Apr 6, 2010
Downgraded to B1 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Sep 11, 2012
Confirmed at Caa2 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Ratings Rationale
The upgrades of the class M-1 and class M-2 bonds are primarily
due to correction of prior errors. Moody's March 2014 rating
action reflected incorrect information provided by the trustee
regarding previous tranche payments and outstanding interest
shortfalls on the bonds. The trustee has now corrected the
previous tranche payments and reversed the interest shortfalls.
The rating actions reflect these changes. The upgrades also take
into account the improving performance of the related pools and
reflect Moody's updated loss expectations for the pools.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.3% in May 2014 from 7.5% in
May 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.
PARK PLACE 2005-WHQ2: S&P Corrects Rating on Class M-3 Notes to B
-----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
classes A-1B, M-1, M-2, and M-3 from Park Place Securities Inc.'s
series 2005-WHQ2 and on classes A-6 and M-1 from Option One
Mortgage Loan Trust 2005-2 by raising them.
S&P raised its ratings because the trustee revised its remittance
reports to reflect that these classes have never experienced
interest shortfalls.
These transactions are supported by subprime collateral secured
primarily by first-liens on one- to four-family residential
properties. Credit support for these transactions is provided
from subordination, overcollateralization (when available), and
excess interest.
ECONOMIC OUTLOOK
When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
its view of how the loans will behave under various economic
conditions. Standard & Poor's baseline macroeconomic outlook
assumptions for variables that we believe could affect residential
mortgage performance are as follows:
-- A 6.4% unemployment rate for 2014, decreasing to 5.9% for
2015;
-- Home prices will increase 6% in 2014, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index;
-- Real GDP growth will be 2.5% in 2014 and 3.2% in 2015;
-- The 30-year mortgage rate will average 4.5% for 2014 and
then slightly increase in 2015; and
-- The inflation rate will be 1.9% in 2014 and 1.5% in 2015.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with Standard & Poor's downside
forecast, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects the following key assumptions:
-- Total unemployment rises to 7.0% in 2014 and then 7.1% in
2015;
-- Downward pressure causes just over 1.0% GDP growth in 2014,
with slightly higher gains in 2015;
-- Home price momentum slows as potential buyers are not able
to purchase property; and
-- The 30-year fixed mortgage rate falls slightly to 4.4% in
2014, but limited access to credit and pressure on home
prices largely prevents consumers from capitalizing on such
lower rates.
RATINGS CORRECTED
Park Place Securities Inc. (Series 2005-WHQ2)
Rating
Class CUSIP Current 4/22/14 Pre-4/22/14
A-1B 70069FHP5 AAA (sf) AA+ (sf) AAA (sf)
M-1 70069FHU4 AA+ (sf) CCC (sf) AA+ (sf)
M-2 70069FHV2 BBB- (sf) CCC (sf) BBB- (sf)
M-3 70069FHW0 B (sf) CCC (sf) B (sf)
Option One Mortgage Loan Trust 2005-2
Rating
Class CUSIP Current 4/22/14 Pre-4/22/14
A-6 68389FHA5 AAA (sf) CCC (sf) AAA (sf)
M-1 45254TLH5 BBB- (sf) CCC (sf) BBB- (sf)
PEAKS CLO 1: S&P Assigns Prelim. 'BB' Rating on Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Peaks CLO 1 Ltd./Peaks CLO 1 LLC's $127.75 million
floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of June 10,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's assessment of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding 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 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 0.2600%-13.8391%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
PRELIMINARY RATINGS ASSIGNED
Peaks CLO 1 Ltd./Peaks CLO 1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 53.40
A-2A AAA (sf) 15.00
A-2B AAA (sf) 3.75
B AA (sf) 16.00
C (deferrable) A (sf) 17.25
D (deferrable) BBB (sf) 9.75
E (deferrable) BB (sf) 8.50
F (deferrable) B (sf) 4.10
Subordinated notes NR 22.25
NR-Not rated.
PROTECTIVE LIFE 2007-PL: Fitch Affirms CCC Rating on 3 Certs
------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 19 classes of
Protective Finance Corporation REMIC commercial mortgage pass-
through certificates, series 2007-PL.
Key Rating Drivers
The upgrade is due to increased credit enhancement as a result of
additional paydown and scheduled loan amortization since Fitch's
last rating action.
Fitch modeled losses of 3% of the remaining pool; expected losses
on the original pool balance total 2.1%, including $5.3 million
(0.5% of the original pool balance) in realized losses to date.
Fitch has designated four loans (1.4%) as Fitch Loans of Concern,
which includes two specially serviced assets (3.4%).
As of the May 2014 distribution date, the pool's aggregate
principal balance has been reduced by 48.3% to $524.8 million from
$1.02 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting class S.
The largest specially serviced loan is Coachella Gateway Shopping
Center (3%), which is secured by a 206,837 square foot (sf) retail
shopping center located in Coachella, CA. As of May 2014, the
property is approximately 82% occupied with average rent of
$10psf. The property is anchored by Food 4 Less. There is minimal
rollover until 2016 when 19% of the leases roll.
Although occupancy at the property has improved, the borrower has
notified the special servicer that rents on new leases will be
insufficient to carry the debt service once the loan's current
interest-only modification expires (in August 2014). Per the
special servicer, the borrower is currently exploring refinancing
opportunities. Per REIS, as of first quarter-2014 (1Q'14) the Palm
Desert submarket vacancy is 17% with asking rent $15 psf.
The largest loan of concern is Stanwood Plaza (1.5%), which is
secured by a retail property located in Stanwood, WA. The largest
tenant is Quality Food Center whose lease expires in 2023. As of
December 2013, the property is 84.4% occupied with a YE 2012, the
debt service coverage ratio is 0.90x. An update on property
performance has been requested of the master servicer.
Rating Sensitivities
The Rating Outlook on classes A-3 through N remains Stable due to
increasing credit enhancement and continued paydown and
amortization. Upgrades to the junior classes are not likely due to
the smaller class sizes, single tenant exposure and properties
located in tertiary markets.
Fitch upgrades the following classes as indicated:
-- $5.1 million class B to 'AAAsf' from 'AA+sf'; Outlook Stable.
Fitch affirms the following classes and revises Rating Outlooks as
indicated:
-- $2.5 million class N at 'B-sf'; Outlook to Stable from
Negative.
Fitch also affirms the following classes as indicated:
-- $58.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $132.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $33.8 million class A-1A at 'AAAsf'; Outlook Stable;
-- $101.6 million class A-M at 'AAAsf'; Outlook Stable;
-- $102.9 million class A-J at 'AAAsf'; Outlook Stable;
-- $8.9 million class C at 'AAsf'; Outlook Stable;
-- $6.4 million class D at 'AA-sf'; Outlook Stable;
-- $7.6 million class E at 'A+sf'; Outlook Stable;
-- $6.4 million class F at 'Asf'; Outlook Stable;
-- $8.9 million class G at 'A-sf'; Outlook Stable;
-- $7.6 million class H at 'BBB+sf'; Outlook Stable;
-- $7.6 million class J at 'BBBsf'; Outlook Stable;
-- $8.9 million class K at 'BBsf'; Outlook Stable;
-- $5.1 million class L at 'Bsf'; Outlook Stable;
-- $2.5 million class M at 'Bsf'; Outlook Stable;
-- $2.5 million class O at 'CCCsf'; RE 100%;
-- $3.8 million class P at 'CCCsf'; RE 100%;
-- $2.5 million class Q at 'CCCsf'; RE 100%.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class S certificates. Fitch previously withdrew the
rating on the interest-only class IO certificates.
RAAC 2006-SP2: Moody's Raises Rating on Class M-1 Debt to 'Caa1'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
from two transactions backed by Scratch & Dent RMBS loans, issued
by RAAC.
Complete rating actions are as follows:
Issuer: RAAC 2006-SP2 Trust
Cl. M-1, Upgraded to Caa1 (sf); previously on May 4, 2009
Downgraded to Ca (sf)
Issuer: RAAC Series 2006-SP3 Trust
Cl. M-1, Upgraded to B2 (sf); previously on Jun 28, 2013 Upgraded
to Caa1 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are a result of improving credit
enhancement available to the bonds.
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 6.3% in April 2014 from 7.5%
in April 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.
RESIDENTIAL FUNDING: Moody's Raises Ratings on $47MM Subprime RMBS
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches from four transactions issued by Residential Funding
Corporation, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: RAMP Series 2002-RZ3 Trust
Cl. M-2, Upgraded to B2 (sf); previously on Mar 30, 2011
Downgraded to B3 (sf)
Issuer: RAMP Series 2003-RS2 Trust
Cl. A-II, Upgraded to Ba3 (sf); previously on Mar 30, 2011
Downgraded to B2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: RAMP Series 2004-RS1 Trust
M-II-1, Upgraded to Ba2 (sf); previously on Apr 30, 2012
Downgraded to Ba3 (sf)
Issuer: RASC Series 2003-KS9 Trust
Cl. A-I-4, Upgraded to B2 (sf); previously on Apr 5, 2011
Downgraded to Caa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
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.
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 6.3% in April 2014 from 7.5%
in April 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.
SDART 2012-4: Fitch Affirms 'BBsf' Rating on Class E Notes
----------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has taken the
following rating actions on the Santander Drive Auto Receivables
Trust 2012-4 transaction:
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B upgraded to 'AAAsf' from 'AAsf; Outlook Stable;
-- Class C upgraded to 'AAsf' from 'Asf'; Outlook to Positive
from Stable;
-- Class D at 'BBBsf'; Rating Watch Positive from Outlook Stable;
-- Class E affirmed at 'BBsf'; Outlook Stable.
Key Rating Drivers
The rating actions are based on available credit enhancement and
loss performance. The collateral pool continues to perform within
Fitch's expectations. Under the credit enhancement structure, the
securities are able to withstand stress scenarios consistent with
the current rating and make full payments to investors in
accordance with the terms of the documents.
Fitch's review is based on the initial base case cumulative net
loss (CNL) estimate of 15.80%. However, based on current loss
trends, Fitch projects CNL for this pool to be in the 14.20%
range.
Under Fitch's base recommended cash flow modeling scenario, class
B and C meet the threshold for a single-category upgrade. Placing
class D on Rating Watch Positive reflects Fitch's expectation that
this note will likely be eligible for a single-category upgrade
given additional amortization over the next six months. Further,
Fitch will continue to monitor the transaction and may take
additional rating actions within this timeframe.
The ratings reflect the quality of Santander Consumer USA, Inc.'s
retail auto loan originations, the adequacy of its servicing
capabilities, and the sound financial and legal structure of the
transaction.
RATING SENSITIVITY
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxy and impact available loss coverage
and multiples levels for the transaction. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In this review of the transaction, class A, B and C demonstrate
limited sensitivity to various loss-timing scenarios. Classes D
and E show muted growth in their respective rating loss multiples
under a back-ended loss timing scenario.
To date, the transaction has exhibited strong performance with
losses within Fitch's initial expectations, with rising loss
coverage and multiple levels consistent with the current ratings.
A material deterioration in performance would have to occur within
the asset pool to have potential negative impact on the
outstanding ratings.
Fitch's analysis of the Representation and Warranties (R&W) of
this transaction can be found in Santander Drive Auto Receivables
Trust 2012-4 -- Appendix. These R&W are compared to those of
typical R&W for the asset class as detailed in the special report
'Representations, Warranties, and Enforcement Mechanisms in Global
Structured Finance Transactions' dated April 17, 2012.
SDART 2014-3: Moody's Assigns (P)Ba2 Rating on Class E Notes
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Santander Drive Auto Receivables Trust
2014-3 (SDART 2014-3). This is the third SDART transaction of the
year for Santander Consumer USA Inc. (SCUSA).
The complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2014-3
Class A-1 Notes, Assigned (P)P-1 (sf)
Class A-2-A Notes, Assigned (P)Aaa (sf)
Class A-2-B Notes, Assigned (P)Aaa (sf)
Class A-3 Notes, Assigned (P)Aaa (sf)
Class B Notes, Assigned (P)Aa1 (sf)
Class C Notes, Assigned (P)Aa3 (sf)
Class D Notes, Assigned (P)Baa2 (sf)
Class E Notes, Assigned (P)Ba2 (sf)
Ratings Rationale
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SCUSA as
servicer.
Moody's median cumulative net loss expectation for the 2014-3 pool
is 17.0% and the Aaa level is 49.0%. The loss expectation was
based on an analysis of SCUSA's portfolio vintage performance as
well as performance of past securitizations, and current
expectations for future economic conditions
The 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 higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US job market and the market for used vehicles. Other
reasons for better-than-expected performance include changes to
servicing practices that enhance collections or refinancing
opportunities that result in prepayments.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US job market and the market for used vehicles. Other
reasons for worse-than-expected performance include poor
servicing, error on the part of transaction parties, inadequate
transaction governance and fraud.
SDART 2014-3: S&P Assigns Prelim. 'BB' Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Santander Drive Auto Receivables Trust 2014-3's
$1,058.82 million automobile receivables-backed notes series
2014-3.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of June 9,
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 availability of 52.17%, 45.67%, 36.68%, 31.09%, and
27.80% of credit support for the class A-1, A-2-A, A-2-B, A-
3 (collectively, the class A), B, C, D, and E notes,
respectively, based on stress cash flow scenarios (including
excess spread), which provide coverage of more than 3.30x,
2.85x, 2.25x, 1.90x, and 1.40x our 15.00%-16.00% expected
cumulative net loss.
-- The timely interest and principal payments made under
stressed cash flow modeling scenarios 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, B, and C notes will remain within one rating category of
the assigned preliminary ratings during the first year, and
S&P's ratings on the class D and E notes will remain within
two rating categories of the assigned preliminary ratings,
which is within the outer bounds of S&P's credit stability
criteria.
-- The originator/servicer's history in the subprime/specialty
auto finance business.
-- S&P's analysis of eight years of static pool data on
Santander Consumer USA Inc.'s lending programs.
-- The transaction's payment/credit enhancement and legal
structures.
PRELIMINARY RATINGS ASSIGNED
Santander Drive Auto Receivables Trust 2014-3
Class Rating Type Interest Amount
rate(i) (mil. $)(i)
A-1 A-1+ (sf) Senior Fixed 205.000
A-2-A AAA (sf) Senior Fixed 157.500
A-2-B AAA (sf) Senior Floating 157.500
A-3 AAA (sf) Senior Fixed 112.320
B AA (sf) Subordinate Fixed 123.520
C A (sf) Subordinate Fixed 152.940
D BBB+ (sf) Subordinate Fixed 91.220
E BB (sf) Subordinate Fixed 58.820
(i) The interest rates and actual sizes of these tranches will be
determined on the pricing date.
SHACKLETON 2014-VI: S&P Assigns Prelim. BB Rating on Class E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Shackleton 2014-VI CLO Ltd./ Shackleton 2014-VI CLO
LLC's $379 million floating- and fixed-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 June 9,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's assessment of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not including excess spread).
-- The cash flow structure, which can withstand the default
rate projected by Standard & Poor's CDO Evaluator model, as
assessed by Standard & Poor's using the assumptions and
methods outlined in its corporate collateralized debt
obligation (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 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 0.2228%-13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which during the reinvestment period will lead to the
reclassification of up to 50% of available excess interest
proceeds (before paying uncapped administrative expenses,
subordinate and incentive management fees, refinancing and
additional security issuance expenses, expense reserve
account top-up, hedge amounts, and subordinated note
payments) as principal proceeds to purchase additional
collateral assets or to pay principal on the notes
sequentially, at the collateral manager's option.
PRELIMINARY RATINGS ASSIGNED
Shackleton 2014-VI CLO Ltd./Shackleton 2014-VI CLO LLC
Class Rating Amount (mil. $)
A AAA (sf) 250.50
B-1 AA (sf) 20.00
B-2 AA (sf) 30.00
C (deferrable) A (sf) 31.25
D (deferrable) BBB (sf) 20.75
E (deferrable) BB (sf) 16.50
F (deferrable) B (sf) 10.00
Subordinated notes NR 36.25
NR-Not rated.
SOUTHFORK CLO: Moody's Affirms Ba1 Rating on $36MM Class C Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Southfork CLO Ltd:
$39,000,000 Class B Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2017, Upgraded to Aaa (sf);
previously on August 19, 2013 Upgraded to Aa1 (sf).
Moody's also affirmed the ratings on the following notes:
$42,500,000 Class A-2 Floating Rate Senior Secured Extendable
Notes Due 2017 (Current balance of $40,119,071), Affirmed Aaa
(sf); previously on August 19, 2013 Affirmed Aaa (sf);
$23,500,000 Class A-3a Floating Rate Senior Secured Extendable
Notes Due 2017, Affirmed Aaa (sf); previously on August 19, 2013
Affirmed Aaa (sf);
$2,500,000 Class A-3b Fixed Rate Senior Secured Extendable Notes
Due 2017, Affirmed Aaa (sf); previously on August 19, 2013
Affirmed Aaa (sf); and
$36,300,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2017, Affirmed Ba1 (sf);
previously on August 19, 2013 Upgraded to Ba1 (sf).
Southfork CLO Ltd., issued in March 2005, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in May 2012.
Ratings Rationale
The rating action on Class B notes is primarily a result of
deleveraging of the senior notes and/or an increase in the
transaction's over-collateralization ratios since the last rating
action in August 2013. The Class A-1a, A-1b and A-1g notes have
been fully paid down and the Class A-2 notes, currently the most
senior notes, have been paid down by approximately 6% or $2.4
million since the last rating action. Based on the trustee's April
21, 2014 report, the over-collateralization (OC) ratios for the
Class A, Class B and Class C notes are reported at 205.87%,
149.54% and 119.18%, respectively, versus July 2013 levels of
155.77%, 130.70%, and 113.68%, respectively. The trustee reported
overcollateralization ratios do not reflect the $37 million
principal payments distributed on the May 1, 2014 payment date.
The portfolio includes a number of investments in securities that
mature after the transaction's legal maturity date. Based on
Moody's calculations, securities that mature after the
transaction's legal maturity date currently make up approximately
24.7% of the performing collateral. These investments could expose
the notes to market risk in the event of liquidation when the
notes mature. In addition, the portfolio includes investments in a
material amount of thinly or untraded loans whose lack of
liquidity may pose additional risks relating to the issuer's
ultimate ability or inclination to pursue a liquidation of such
assets, especially if the sales can be transacted only at heavily
discounted price levels. Despite the increase in the OC ratio of
the Class C notes, Moody's affirmed the rating on the Class C
notes owing to potential 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 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.
7) Exposure to credit estimates: The deal contains a large number
of securities whose default probabilities Moody's has assessed
through credit estimates. If Moody's does not receive the
necessary information to update its credit estimates in a timely
fashion, the transaction could be negatively affected by any
default probability adjustments Moody's assumes in lieu of updated
credit estimates.
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, which may be different from the current public
ratings of the 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% (2558)
Class A-2: 0
Class A-3a: 0
Class A-3b: 0
Class B: 0
Class C: +1
Moody's Adjusted WARF + 20% (3837)
Class A-2: 0
Class A-3a: 0
Class A-3b: 0
Class B: 0
Class C: -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 $173 million, defaulted par
of $30.5 million, a weighted average default probability of 15.74%
(implying a WARF of 3197), a weighted average recovery rate upon
default of 49.64%, a diversity score of 21 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 addition, Moody's may assess
alternative recovery prospects for CLO securities. Although these
alternative recovery assumptions are generally derived from those
presented in Moody's methodology for rating Structured Finance
CDOs they may vary based on the specifics of the analysis of the
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets
with credit estimates that have not been updated within the last
15 months, which represent approximately 9% of the collateral
pool.
ST. PAUL'S CLO: S&P Lowers Rating on Class D Notes to 'B-'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its credit ratings on
St. Paul's CLO 1 B.V.'s class D and E notes. At the same time,
S&P has affirmed its ratings on the class A, B, and C notes.
The rating actions follow S&P's review of the transaction's
performance by conducting its credit and cash flow analysis and
assessing the transaction participants' support. In S&P's
analysis, it used data from the latest available trustee report
dated April 22, 2014.
"We conducted our cash flow analysis to determine the break-even
default rates (BDRs) for each rated tranche at each rating level.
In our analysis, we used the reported portfolio balance that we
consider to be performing (EUR279,874,021), the current weighted-
average spread (3.74%), and the weighted-average recovery rates
calculated in line with our 2009 criteria for corporate
collateralized debt obligations (CDOs). We incorporated various
cash flow stress scenarios using standard default patterns, and
levels, in conjunction with different interest rate stress
scenarios," S&P said.
The aggregate collateral balance has decreased by EUR11.47 million
since S&P's previous review on April 2, 2012. In S&P's view, this
has reduced the available credit enhancement for all of the
tranches. The decrease is mostly related to notional write-offs
due to restructured loans and an increase in defaulted assets.
The following factors have mitigated the decrease in credit
enhancement:
-- An increase in the pool's weighted-average spread to 374
basis points (bps) from 354 bps;
-- A decrease in the percentage of 'CCC' rated assets (debt
obligations rated 'CCC+', 'CCC', or 'CCC-'). Together with
the portfolio's shorter weighted-average life, this has
reduced the scenario default rates (SDRs).
Of the portfolio, 0.84% comprises non-euro-denominated loans,
which are hedged under a cross-currency swap agreement with a swap
counterparty. The transaction's documented downgrade remedies for
this cross-currency swap are not fully in line with S&P's current
counterparty criteria. In S&P's cash flow analysis, it considered
scenarios where the swap counterparty does not perform and where
the transaction is therefore exposed to changes in currency rates.
In S&P's opinion, the available credit enhancement for the class
A, B, and C notes is commensurate with its currently assigned
ratings, taking into account the results of S&P's credit and cash
flow analysis and the application of its current counterparty
criteria. S&P has therefore affirmed its ratings on these classes
of notes.
The application of the largest obligor default test constrained
S&P's ratings on the class D and E notes at lower rating levels.
This test is a supplemental stress test that S&P introduced in its
2009 corporate CDO criteria. S&P has therefore lowered its
ratings on the class D and E notes.
St Paul's CLO 1 is a cash flow collateralized loan obligation
transaction that securitizes loans granted to primarily
speculative-grade corporate firms. The transaction closed in May
2007 and is managed by Intermediate Capital Group PLC.
RATINGS LIST
Class Rating
To From
St. Paul's CLO 1 B.V.
EUR335.942 Million Secured Floating-Rate Notes
Ratings Lowered
D B- (sf) BB+ (sf)
E CCC (sf) B+ (sf)
Ratings Affirmed
A AA (sf)
B A+ (sf)
C BBB+ (sf)
UBS-BARCLAYS COMMERCIAL 2012-C2: Fitch Affirms B Rating on G Certs
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of UBS-Barclays Commercial
Mortgage Trust 2012-C2 (UBSBB 2012-C2) commercial mortgage pass-
through certificates.
Key Rating Drivers
The affirmations of UBSBB 2012-C2 are based on the stable
performance of the underlying collateral pool. As of the May 2014
remittance, the pool had no delinquent or specially serviced
loans. The pool's aggregate principal balance has been paid down
by 1.9% to $1.192 billion from $1.216 billion at issuance. Less
than 1% of the pool has not reported full year 2012 or 2013
financials. For those loans without updated financials, Fitch
applied a haircut to the issuance cash flow for modeling purposes.
Fitch modeled cash flow was approximately 8% higher than Fitch
issuance cash flow.
Ratings Sensitivity
The Rating Outlooks remain Stable for all classes. No rating
actions are expected unless there are material changes to property
occupancies or cash flows. The pool has maintained performance
consistent with issuance.
The only loan in the pool with significant performance variations
form issuance was the $26.5 million National Hotel Miami Beach
(2.2%), which is on the servicer watchlist. The property underwent
and significant renovation project over the past two years which
is expected to result in improved performance. In July 2013, The
City of Miami closed the Hotel as it discovered during the
inspections that the work approved by the City through the permit
process was different than the actual work performed by the
General Contractor(GC). Per the borrower, the GC did not seek new
permits to reflect the actual work. The property partially
reopened in August 2013, the historic tower reopened in January
2014, and the remaining 15 rooms were scheduled to be completed in
April 2014. Fitch requested first quarter 2014 financials on the
property via the 17g-5 provider several weeks ago, but has not yet
received any updated performance information. YE 2013 NOI was
negative, but the property should benefit from reopening and
renovation in 2014.
The largest loan of the pool (11.9%) is collateralized is a
874,426sf, 35-story building located in New York, NY at the
intersection of William Street and John Street. The property is
located five blocks north of the New York Stock Exchange and has
direct access to the newly constructed Fulton Street Transit
Center and the World Trade Center Path Station in the Financial
District neighborhood. The property was 95% occupied as of
December 2013. The property has new sponsorship after a joint
venture between Savanna Real Estate and KBS Realty Advisors closed
on the purchase of the property for $261.1 million in May 2014.
The second largest loan (8%) is secured by the Crystal Mall, a
783,280-sf (518,480 sf collateral) two-story enclosed regional
mall in Waterford, CT. The property was constructed in 1983-1984.
The mall has four anchors. Macy's and Sears are not part of the
collateral. JCPenney (17.1% of collateral NRA) and Bed Bath &
Beyond/Christmas Tree Shops (12.7% of NRA) are part of the
collateral. Simon Property Group, the loan sponsor, developed
Crystal Mall and completed an $8.6 million renovation in June
2012. As of YE 2013 the servicer-reported net operating income was
in line with Fitch's net operating income at issuance.
Fitch has affirmed the following classes:
-- $56.8 million class A-1 at 'AAAsf', Outlook Stable;
-- $174.8 million class A-2 at 'AAAsf', Outlook Stable;
-- $116.3 million class A-3 at 'AAAsf', Outlook Stable;
-- $479.7 million class A-4 at 'AAAsf', Outlook Stable;
-- $94.2 million class A-S-EC at 'AAAsf', Outlook Stable;
-- $63.8 million class B-EC at 'AAsf', Outlook Stable;
-- $45.6 million class C-EC at 'Asf', Outlook Stable;
-- $203.7 million class EC at 'Asf', Outlook Stable;
-- $24.3 million class D at 'BBB+sf', Outlook Stable;
-- $47.1 million class E at 'BBB-sf', Outlook Stable;
-- $22.8 million class F at 'BBsf', Outlook Stable;
-- $24.3 million class G at 'Bsf', Outlook Stable;
-- $945.5 million class X-A at 'AAAsf'; Outlook Stable;
The class A-S-EC, class B-EC and class C-EC certificates may be
exchanged for class EC certificates, and class EC certificates may
be exchanged for class A-S-EC, class B-EC and class C-EC
certificates. As of the June 2013 remittance all of the Class A-S-
EC, class B-EC and class C-EC certificates had been exchanged for
Class EC certificates.
Fitch does not rate the interest-only class X-B or class H
certificates.
ZOHAR III: S&P Affirms 'B-' Rating on Class A-2 Notes
-----------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on the class
A-1D, A-1R, A-1T, swingline, and A-2 notes from Zohar III Ltd., a
U.S. collateralized loan obligation (CLO) transaction managed by
Patriarch Partners LLC, on CreditWatch negative. The Zohar III
Ltd. transaction consists of mainly middle market loans from
distressed obligors.
The CreditWatch placements reflect an increase in obligors with
non-performing credit estimates. Since S&P's July 2013 rating
actions, it has assigned 'CC' credit estimates to six obligors
that in its previous analysis had been treated as performing, but
S&P now considers to be non-performing. These six represent about
22% of the assets in the collateral pool.
Another key factor in S&P's analysis was an increase in assets
from obligors for which it has limited information. S&P do not
rate most of the obligors in Zohar III's collateral pool--instead
they are credit-estimated for the purposes of S&P's CLO analysis
based on audited financial statements that the collateral manager
provided for each company. S&P generally require updated
information annually to maintain the credit estimate. If S&P do
not receive updated information, it may withdraw the credit
estimate.
In July 2013, there were about eight obligors within the
underlying pool, or approximately 24%, for which S&P did not have
either a current rating or a credit estimate based on annually
updated information. In S&P's previous analysis, it treated these
assets as performing and gave them limited recovery credit. As of
June 2014, there are now about 17 obligors within the underlying
pool without a current rating or credit estimate, or approximately
32%.
The CreditWatch placements further reflect a decrease in the
overcollateralization (O/C) available to support the notes since
S&P's July 2013rating actions. In the March 2014 monthly report,
the trustee reported a class A O/C ratio of 116.79%, compared with
120.05% in the June 2013 report. S&P notes that for many of the
aforementioned assets that we assigned a 'CC' credit estimate to,
the transaction documents still consider them to be performing
assets in order to calculate the O/C ratios.
The transaction exited its reinvestment period in March 2012 but
has only incrementally paid down the various class A-1 notes, pro
rata. After accounting for the March 2014 distribution, each of
the class A-1 notes stands at approximately 85.1% of its original
balance. The transaction's legal final maturity date is in April
2019, and S&P will continue to monitor the pace at which the
senior notes pay down. S&P noted that a number of the underlying
loans in the collateral pool have had their maturities extended.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them, and will take rating
actions as it deems necessary.
RATINGS LIST
Zohar III Ltd.
Rating Rating
Class Identifier To From
A-1R 989769AA2 A- (sf)/Watch Neg A- (sf)
A-1T 989769AB0 A- (sf)/Watch Neg A- (sf)
A-1D 989769AC8 A- (sf)/Watch Neg A- (sf)
A-2 989769AD6 B- (sf)/Watch Neg B- (sf)
Swingline A- (sf)/Watch Neg A- (sf)
* Fitch Takes Action on 1,108 Classes in 83 Alt-A RMBS Deals
------------------------------------------------------------
Fitch Ratings, on June 5, 2014, took various actions on 1,108
classes in 83 U.S. Alt A RMBS Re-REMIC transactions.
Rating Action Summary:
-- 1,072 classes affirmed;
-- 11 classes upgraded;
-- 25 classes downgraded.
Key Rating Drivers
The underlying collateral has improved moderately since the last
review. On average, projected Loss Severities (LS) for the
underlying Alt A transactions have declined by 1% in the base case
across all vintages. Probability of Default (PD) has also improved
leading to an overall decline in projected losses of approximately
1% for all rating stresses. This slight improvement is due in part
to the lower serious delinquency rate. Further, projected losses
continue to benefit from the rising home price environment
although the rate of increase has started to slow the past few
periods.
Even with the lowered loss projections, upgrades were generally
limited and made up only 1% of all rating actions. No class that
was previously rated 'CCCsf' or below was upgraded during this
review. Upgrades to investment grade ratings were limited for a
number of classes by long remaining lives. Upgrades to a smaller
number of classes were also limited because of interest shortfalls
on the underlying classes.
A large percentage of the investment grade downgrades were due to
interest shortfalls on the Re-REMIC classes. These classes are
still projected to recover the entire principal amount but are at
risk for not recouping existing shortfalls. The remainder of the
investment grade downgrades were driven by a deterioration in
credit performance. Many of these Re-REMIC classes are backed by
bonds that have already defaulted and are now projected to recover
less principal than previously. All other downgrades were
distressed bonds moving down the rating scale as default becomes
imminent.
Rating Sensitivities
Fitch analyzes each bond in a number of different scenarios to
determine the likelihood of full principal recovery and timely
interest. The scenario analysis incorporates various combinations
of the following stressed assumptions: mortgage loss, loss timing,
interest rates, prepayments, servicer advancing and loan
modifications.
The analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most likely
base-case scenario. Rating scenarios above 'CCCsf' are
increasingly more stressful and less likely outcomes. Although
many variables are adjusted in the stress scenarios, the primary
driver of the loss scenarios is the home price forecast
assumption. In the 'Bsf' scenario, Fitch assumes home prices
decline 10% below their long-term sustainable level. The home
price decline assumption is increased by 5% at each higher rating
category up to a 35% decline in the 'AAAsf' scenario.
Classes with a rating below 'CCCsf' are likely to default at some
point in the future. As default becomes more imminent, those
classes are expected to migrate towards 'Csf' and eventually
'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be
sensitive to future mortgage borrower behavior, which historically
has been strongly correlated with home price movements. Despite
recent positive trends, Fitch currently expects home prices to
decline in some areas before reaching a sustainable level. While
Fitch's ratings reflect this home price view, the ratings of
outstanding classes may be subject to revision to the extent
actual home price and mortgage performance trends differ from
those currently projected by Fitch.
The spreadsheet 'U.S. RMBS Re-REMIC Rating Actions for June 5,
2014' provides the contact information for the performance
analyst.
* Fitch Says Post-Crisis RMBS Delinquency Not Portending a Trend
----------------------------------------------------------------
The highest delinquency to date of any post-crisis U.S. RMBS pool
emerged last month due to a transfer of servicing and does not
point to more widespread post-crisis late-pay increases, according
to Fitch Ratings in its latest monthly prime jumbo trends report.
Sequoia 2014-1 reported 3.37% of borrowers were behind on their
payment. All of the delinquent mortgage loans in Sequoia 2014-1
had been recently transferred to Cenlar FSB. Fitch Ratings has
spoken with the issuer about the transfer.
'Early delinquency related to servicing transfers in recent RMBS
is typically due to the borrower mailing the payment to the wrong
address and generally doesn't result in longer term payment
issues,' said Managing Director Grant Bailey. In fact, only one
borrower became 60+ days delinquent of the 121 borrowers in recent
RMBS pools that were delinquent in the first three months.
One serious delinquency unrelated to a servicing transfer also
emerged last month in RMBS deals originated post-crisis (CSMC
2013-7; not rated by Fitch). The mortgage borrower in question has
a 756 FICO and a 57% loan-to-value. 'Of the 17 borrowers in recent
RMBS pools that went over 60+ days delinquent, only one did not
subsequently cure,' said Bailey.
Prepayment rates also rose to double-digits for nine recent
mortgage pools, reflecting mortgage rates that fell to their
lowest levels since last year. Overall constant payment rates
across all vintages remain near historical lows (6%).
* Moody's Hikes Ratings of $1.4BB Subprime RMBS Issued 2005-2006
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 38 tranches
from 17 subprime transactions backed by Subprime mortgage loans.
Complete rating action is as follows:
Issuer: Aames Mortgage Investment Trust 2005-4
Cl. M2, Upgraded to Ba1 (sf); previously on Aug 5, 2013 Upgraded
to Ba2 (sf)
Cl. M3, Upgraded to Caa1 (sf); previously on Sep 11, 2012 Upgraded
to Caa3 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R2
Cl. M-3, Upgraded to Ba1 (sf); previously on Feb 26, 2013 Upgraded
to Ba2 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Feb 26, 2013 Affirmed
Caa3 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R5
Cl. M-3, Upgraded to Ba3 (sf); previously on Mar 12, 2013 Affirmed
B2 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 12, 2013
Affirmed Ca (sf)
Issuer: Basic Asset Backed Securities Trust 2006-1
Cl. A-2, Upgraded to Ba1 (sf); previously on Sep 4, 2012
Downgraded to Ba3 (sf)
Cl. A-3, Upgraded to Ba3 (sf); previously on Sep 4, 2012 Confirmed
at B2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-1
Cl. AF-4, Upgraded to Baa3 (sf); previously on Oct 23, 2013
Upgraded to Ba2 (sf)
Cl. AF-5A, Upgraded to Ba2 (sf); previously on Oct 23, 2013
Upgraded to B1 (sf)
Cl. AF-5B, Upgraded to Ba2 (sf); previously on Oct 23, 2013
Upgraded to B1 (sf)
Underlying Rating: Upgraded to Ba2 (sf); previously on Oct 23,
2013 Upgraded to B1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. AF-6, Upgraded to Ba1 (sf); previously on Oct 23, 2013
Upgraded to Ba3 (sf)
Cl. MF-1, Upgraded to Caa1 (sf); previously on Mar 12, 2013
Upgraded to Caa3 (sf)
Cl. MV-4, Upgraded to Ba2 (sf); previously on Oct 23, 2013
Upgraded to B1 (sf)
Cl. MV-5, Upgraded to Caa2 (sf); previously on Oct 23, 2013
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-2
Cl. M-3, Upgraded to Ba1 (sf); previously on Oct 23, 2013 Upgraded
to Ba3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC4
Cl. M-5, Upgraded to B1 (sf); previously on Mar 14, 2013 Upgraded
to Caa1 (sf)
Cl. M-6, Upgraded to Caa3 (sf); previously on Mar 14, 2013
Affirmed C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-2
Cl. 1-A-1, Upgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-2, Upgraded to B3 (sf); previously on Apr 14, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)
Cl. 2-A-4, Upgraded to Caa1 (sf); previously on Apr 14, 2010
Downgraded to Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-8
Cl. 1-A, Upgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)
Issuer: Fieldstone Mortgage Investment Trust, 2005-3
Cl. 1-A, Upgraded to Baa3 (sf); previously on Nov 13, 2013
Upgraded to Ba2 (sf)
Cl. 2-A2, Upgraded to Ba2 (sf); previously on Nov 13, 2013
Upgraded to B1 (sf)
Cl. 2-A3, Upgraded to B1 (sf); previously on Nov 13, 2013 Upgraded
to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF14
Cl. A5, Upgraded to B3 (sf); previously on Apr 6, 2010 Downgraded
to Caa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF4
Cl. A-2, Upgraded to B2 (sf); previously on Apr 6, 2010 Downgraded
to Caa1 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Caa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF8
Cl. I-A-1, Upgraded to B1 (sf); previously on Apr 6, 2010
Downgraded to B2 (sf)
Cl. II-A-3, Upgraded to B3 (sf); previously on Apr 6, 2010
Downgraded to Caa2 (sf)
Cl. II-A-4, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Issuer: First NLC Trust 2005-1
Cl. A, Upgraded to B2 (sf); previously on Oct 4, 2013 Upgraded to
Caa1 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Issuer: Home Loan Mortgage Loan Trust 2006-1
Cl. A-2, Upgraded to Ba1 (sf); previously on Sep 18, 2013 Upgraded
to Ba3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: MASTR Asset Backed Securities Trust 2006-AM1
Cl. A-3, Upgraded to B2 (sf); previously on Jan 18, 2013 Upgraded
to Caa2 (sf)
Cl. A-4, Upgraded to B3 (sf); previously on Jan 18, 2013 Upgraded
to Caa3 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-2
Cl. A-1, Upgraded to B3 (sf); previously on Jul 14, 2010
Downgraded to Caa2 (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 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 6.3% in May 2014 from 7.5% in
May 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 $294.7MM of RMBS Issued 2005 to 2007
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 15 tranches
from four transactions backed by Alt-A RMBS loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: Greenpoint Mortgage Funding Trust 2005-HY1
Cl. 1-A1B, Upgraded to B3 (sf); previously on Jul 26, 2013
Upgraded to Caa2 (sf)
Cl. 2-A, Upgraded to Ba1 (sf); previously on Jul 26, 2013 Upgraded
to Ba3 (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2007-HF2
Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2010
Downgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-2XS
Cl. 1-A3, Upgraded to Ba1 (sf); previously on Aug 11, 2010
Downgraded to Ba2 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Aug 11,
2010 Downgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 1-A4, Upgraded to Ba2 (sf); previously on Aug 11, 2010
Downgraded to Ba3 (sf)
Underlying Rating: Upgraded to Ba2 (sf); previously on Aug 11,
2010 Downgraded to Ba3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 1-A5A, Upgraded to Baa3 (sf); previously on Aug 11, 2010
Downgraded to Ba2 (sf)
Cl. 1-A5B, Upgraded to Baa3 (sf); previously on Aug 11, 2010
Downgraded to Ba2 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Aug 11,
2010 Downgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 2-A1, Upgraded to B1 (sf); previously on Aug 27, 2012 Upgraded
to B3 (sf)
Underlying Rating: Upgraded to B1 (sf); previously on Aug 27, 2012
Upgraded to B3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 2-A2, Upgraded to B1 (sf); previously on Aug 27, 2012 Upgraded
to B3 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-9XS
Cl. 1-A3A, Upgraded to Ba1 (sf); previously on Aug 27, 2012
Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Aug 27,
2012 Upgraded to Ba3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 1-A3B, Upgraded to Ba1 (sf); previously on Aug 27, 2012
Upgraded to Ba2 (sf)
Cl. 1-A3C, Upgraded to B1 (sf); previously on Jul 24, 2013
Upgraded to B3 (sf)
Cl. 1-A3D, Upgraded to Ba1 (sf); previously on Aug 27, 2012
Upgraded to Ba3 (sf)
Cl. 1-A4, Upgraded to Baa3 (sf); previously on Aug 27, 2012
Upgraded to Ba2 (sf)
Cl. 2-A3, Upgraded to Caa1 (sf); previously on Aug 27, 2012
Upgraded to Caa3 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are a result of improving
collateral performance and credit enhancement available to bonds.
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 6.3% in April 2014 from 7.5%
in April 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 $61.7MM of RMBS Issued 2005 to 2007
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eight
tranches issued by three RMBS transactions. The collateral backing
these deals primarily consists of first lien, fixed and adjustable
rate "scratch and dent" residential mortgages.
Complete rating actions are as follows:
Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-C
Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 20, 2012
Upgraded to Baa3 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Jul 20, 2012 Upgraded
to Ba3 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-SC1
Cl. M-2, Upgraded to Baa3 (sf); previously on Jul 18, 2011
Downgraded to Ba1 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on Jul 18, 2011
Downgraded to Ba3 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on Aug 22, 2012
Confirmed at B2 (sf)
Cl. M-5, Upgraded to B3 (sf); previously on Aug 22, 2012 Confirmed
at Caa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2007-SP1
Cl. A-4, Upgraded to Baa3 (sf); previously on Apr 24, 2009
Downgraded to Ba2 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Jul 11, 2012
Downgraded to Caa2 (sf)
Ratings Rationale
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are primarily due to the build-up
in credit enhancement due to sequential pay structure, non-
amortizing subordinate bonds, overcollateralization, and
availability of excess spread. Performance has remained generally
stable from Moody's last review.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.3% in April 2014 from 7.5%
in April 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 $57MM RMBS Issued by Various Issuers
--------------------------------------------------------------
Moody's Investors Service, on June 9, 2014, upgraded the ratings
of 16 tranches and downgraded the ratings of two tranches from
eight transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: CitiFinancial Mortgage Securities Inc. 2003-1
Cl. MF-1, Upgraded to Ba3 (sf); previously on Jul 25, 2013
Confirmed at B1 (sf)
Cl. MF-2, Upgraded to Caa3 (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: CitiFinancial Mortgage Securities Inc. 2003-2
Cl. MF-1, Upgraded to Ba1 (sf); previously on Jul 25, 2013
Confirmed at Ba3 (sf)
Cl. MF-2, Upgraded to B3 (sf); previously on Jul 25, 2013
Confirmed at Caa1 (sf)
Cl. MV-2, Upgraded to B2 (sf); previously on Jul 25, 2013
Confirmed at Caa2 (sf)
Issuer: Conseco Finance Home Equity Loan Trust 2001-C
Cl. B-1, Upgraded to Ba1 (sf); previously on Aug 14, 2013
Upgraded to Ba2 (sf)
Cl. B-2, Upgraded to B1 (sf); previously on Aug 14, 2013
Upgraded to B3 (sf)
Issuer: Conseco Finance Home Equity Loan Trust 2001-D
Cl. M-2, Upgraded to Ba2 (sf); previously on Aug 14, 2013
Upgraded to B2 (sf)
Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 30, 2011
Downgraded to C (sf)
Issuer: Conseco Finance Home Equity Loan Trust 2002-A
Cl. B-1, Upgraded to Caa1 (sf); previously on Aug 14, 2013
Upgraded to Caa3 (sf)
Cl. B-2, Upgraded to Caa3 (sf); previously on Mar 30, 2011
Downgraded to C (sf)
Issuer: Conseco Finance Home Equity Loan Trust 2002-C
Cl. BV-1, Upgraded to Ba3 (sf); previously on Aug 14, 2013
Confirmed at B2 (sf)
Cl. BV-2, Upgraded to B1 (sf); previously on Aug 14, 2013
Confirmed at B3 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-6
Cl. M-2, Upgraded to Ba3 (sf); previously on Mar 15, 2011
Downgraded to B2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 15, 2011
Downgraded to Caa3 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: GE Capital Mtg Services Inc 1999-HE1
A6, Downgraded to Baa1 (sf); previously on Jul 3, 2013
Downgraded to A3 (sf)
A7, Downgraded to Baa1 (sf); previously on Jul 3, 2013
Downgraded to A3 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations. The downgrades are a result of
deteriorating performance and/or structural features resulting in
higher expected losses for the bonds than previously anticipated.
The 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 6.3% in April 2014 from 7.5%
in April 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 Withdraws Ratings on 51 Classes From 16 CDO Deals
-------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 43
classes from 14 collateralized loan obligation (CLO) transactions,
one class from one cash flow (CF) collateralized debt obligation
(CDO) backed by commercial mortgage-backed securities (CMBS), and
seven classes from one CF trust-preferred CDO transaction.
The withdrawals follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports:
-- AMMC CLO VI Ltd. (CF CLO): optional redemption in May 2014.
-- Ares VR CLO Ltd. (CF CLO): optional redemption in May 2014.
-- Atrium III (CF CLO): optional redemption in May 2014.
-- Ballyrock CLO 2006-1 Ltd. (CF CLO): optional redemption in
May 2014.
-- BlackRock Senior Income Series II (CF CLO): senior-most
tranche paid down, other rated tranches still outstanding.
-- Carlyle Azure CLO, Ltd. (CF CLO): last remaining rated
tranches paid down.
-- CIFC Funding 2013-IV, Ltd. (CF CLO): class X notes(i) paid
down, other rated tranches still outstanding.
-- Dekania CDO II Ltd. (CF trust-preferred CDO): auction call
redemption in May 2014.
-- Eagle Creek CLO Ltd. (CF CLO): senior-most tranche paid
down, other rated tranches still outstanding.
-- GSC Partners CDO Fund V Ltd. (CF CLO): optional redemption
in May 2014.
-- KKR Financial CLO 2006-1 Ltd. (CF CLO): senior-most tranche
paid down, other rated tranches still outstanding.
-- LCM III Ltd. (CF CLO): last remaining rated tranches paid
down.
-- LCM XV Ltd. Partnership (CF CLO): class X notes(i) paid
down, other rated tranches still outstanding.
-- LNR CDO 2002-1 Ltd. (CF CDO of CMBS): senior-most tranche
paid down, other rated tranches still outstanding.
-- Silver Creek Funding Ltd. (CF CLO): optional redemption in
May 2014.
-- Summit Lake CLO Ltd. (CF CLO): optional redemption in May
2014.
(i)An "X note" within a CLO is generally a note with a principal
balance intended to be repaid early in the CLO's life using
interest proceeds from the CLO's waterfall.
RATINGS WITHDRAWN
AMMC CLO VI Ltd.
Rating
Class To From
A-1-B NR AAA (sf)
A-2 NR AAA (sf)
B NR AAA (sf)
C NR AA+ (sf)/Watch Pos
D NR BB+ (sf)
Ares VR CLO Ltd.
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
D NR BBB+ (sf)
Atrium III
Rating
Class To From
A-1 NR AAA (sf)
A-2a NR AAA (sf)
A-2b NR AAA (sf)
B NR AAA (sf)
C NR AA (sf)
D-1 NR BBB (sf)
D-2 NR BBB (sf)
Ballyrock CLO 2006-1 Ltd.
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
D NR A+ (sf)
E NR BBB+ (sf)
BlackRock Senior Income Series II
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
Carlyle Azure CLO, Ltd.
Rating
Class To From
A-1L NR AAA (sf)
A-1LV NR AAA (sf)
A-2L NR AAA (sf)
A-3L NR AA+ (sf)
B-1L NR BBB+ (sf)
CIFC Funding 2013-IV, Ltd.
Rating
Class To From
X NR AAA (sf)
Dekania CDO II Ltd.
Rating
Class To From
A-1 NR A- (sf)
A-2 NR BBB+ (sf)
B NR BBB- (sf)
C-1 NR CCC (sf)
C-2 NR CCC (sf)
D-1 NR CCC- (sf)
D-2 NR CCC- (sf)
Eagle Creek CLO Ltd.
Rating
Class To From
A-1 NR AAA (sf)
GSC Partners CDO Fund V Ltd.
Rating
Class To From
C-1 NR A+ (sf)/Watch Pos
C-2 NR A+ (sf)/Watch Pos
2 NR A+ (sf)/Watch Pos
KKR Financial CLO 2006-1 Ltd.
Rating
Class To From
A-2a NR AAA (sf)
LCM III Ltd.
Rating
Class To From
B NR AAA (sf)
C NR A+ (sf)
D NR BB+ (sf)
LCM XV Ltd. Partnership
Rating
Class To From
X NR AAA (sf)
LNR CDO 2002-1 Ltd.
Rating
Class To From
B NR A (sf)
Silver Creek Funding Ltd.
Rating
Class To From
C NR CCC+ (sf)
Summit Lake CLO Ltd.
Rating
Class To From
A-1LB NR AAA (sf)
A-1LR NR AAA (sf)
A-2L NR AAA (sf)
A-3L NR AAA (sf)
B-1L NR BBB+ (sf)/Watch Pos
B-2L NR B+ (sf)/Watch Pos
*********
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
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than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
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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
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re-mailing and photocopying) is strictly prohibited without prior
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*** End of Transmission ***