/raid1/www/Hosts/bankrupt/TCR_Public/141123.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, November 23, 2014, Vol. 18, No. 326
Headlines
AERCO LIMITED: Moody's Lowers Rating on Subclass A-3 Notes to Ca
AGATE BAY 2014-3: S&P Assigns BB Rating on Class B-4 Notes
AMERICREDIT AUTOMOBILE 2014-4: Fitch to Rate Class E Notes 'BBsf'
AMERICREDIT AUTOMOBILE 2014-4: S&P Give (P)BB Rating on Cl. E Debt
AMMC CLO 15: Moody's Assigns (P)Ba3 Rating on $29MM Class E Notes
BEAR STEARNS 1999-C1: Moody's Cuts Rating on Cl. X Notes to Caa2
CLEAR LAKE: Moody's Affirms Ba2 Rating on $15.5MM Cl. D Notes
CREDIT SUISSE 2005-C1: Fitch Affirms CCC Rating on Cl. F Debt
COUNTRYWIDE HOME 2003-SD3: Moody's Cuts Cl. M2 Debt Rating to B1
CREDIT SUISSE 1998-C1: S&P Raises Rating on Class G Notes to BB+
GE COMMERCIAL 2007-C1: Moody's Affirms C Rating on 7 Certs
GMAC COMMERCIAL 2000-C1: Moody's Affirms Caa3 Rating on Cl X Debt
GOLDENTREE LOAN: Moody's Assigns B2 Rating on $13MM Cl. F Notes
GREYWOLF CLO IV: S&P Assigns Prelim. BB Rating on Class D Notes
GSC GROUP VIII: Moody's Hikes Rating on $13MM Cl. D Notes to Ba1
JP MORGAN 2013-C16: Fitch Affirms 'Bsf' Rating on Class F Certs
KILIMANJARO 2014-2: S&P Assigns 'BB-(sf)' Rating on Class C Notes
KINNEY HILL: S&P Affirms 'BB' Rating on Class C-1 Notes
MERRILL LYNCH 2005-CA17: Moody's Affirms Caa1 Rating on L Debt
MERRILL LYNCH 2006-1: Fitch Affirms CCC Rating on Class L Certs
MERRILL LYNCH 2006-CANADA: Moody's Affirms B3 Rating on Class L
MERRILL LYNCH 2007-CA21: Moody's Affirms Caa3 Rating on L Debt
OCEAN TRAILS V: S&P Assigns Prelim. BB Rating on Class E Notes
OCTAGON INVESTMENT X: S&P Affirms BB Rating on Class E Notes
OCTAGON INVESTMENT X: S&P Affirms BB Rating on Class E Notes
REALT 2006-1: Moody's Affirms B3 Rating on Class L Certs.
REALT 2006-3: Moody's Affirms Caa1 Rating on Class L Certs.
REGATTA V FUNDING: Moody's Assigns Ba2 Rating on Class D Notes
SANDELMAN REALTY I: Fitch Cuts Rating on Class G Debt to 'Dsf'
STONE TOWER VII: S&P Affirms BB+ Rating on Class C Notes
VOYA CLO 2014-4: Moody's Assigns (P)B2 Rating on $5MM Cl. E Notes
WACHOVIA BANK 2003-C6: Moody's Affirms Caa3 Rating on Cl. IO Debt
WACHOVIA BANK 2005-C16: Moody's Affirms Ca Rating on Cl. O Certs
WALL STREET II: Moody's Raises Rating on Cl. E Notes to Ba2
WFRBS 2011-C2: Moody's Affirms B2 Rating on Class F Notes
* Moody's Takes Action on $381MM RMBS Issued 2005 to 2007
* Moody's Takes Rating Action on $57MM RMBS Issued from 2003-2004
*********
AERCO LIMITED: Moody's Lowers Rating on Subclass A-3 Notes to Ca
----------------------------------------------------------------
Moody's has downgraded the rating of the Subclass A-3 notes issued
by AerCo Limited.
Issuer: AerCo Limited
Subclass A-3, Downgraded to Ca (sf); previously on Dec 11, 2013
Downgraded to Caa2 (sf)
Ratings Rationale
The downgrade reflects Moody's increased loss expectation for the
Subclass A-3 notes, measured as a percentage of the outstanding
note balance. Using the most recent appraisal values (assuming 10%
per annum depreciation since the February 2014 appraisal) plus the
reserve account as a rough proxy for expected Subclass A-3
principal paydown, noteholder recovery would be roughly half of
the outstanding Subclass A-3 balance. Currently, there are four
aircraft in the AerCo portfolio, whereas, as of December 16, 2013,
there were eight aircraft and five engines. As AerCo continues to
sell aircraft and distribute proceeds of the sales to noteholders,
the ratio of remaining Subclass A-3 paydown relative to the
remaining outstanding note balance will continue to decline.
The remaining portfolio consists of four aircraft with a weighted
average age of about 16 years. There are two Airbus 320-200, one
A321-200, and one Boeing 737-500, all manufactured between 1993
and 2000.
In its recent press release and its most recent quarterly report,
AerCo Limited announced that it expects to end all of its aircraft
leasing activities and to sell the trust's remaining assets by
sometime in the first quarter of 2015. Upon liquidation of the
trust's assets, AerCo will voluntarily enter a creditors' winding
up process, as recently directed by a majority of Subclass A-3
noteholders.
The principal methodology used in this rating was "Moody's
Approach To Pooled Aircraft-Backed Securitization" published in
March 1999.
Primary sources of uncertainty include the global economic
environment, aircraft lease income generating ability, aircraft
maintenance and other expenses to the trust, and valuation for the
aircraft backing the transaction.
Factors that would lead to an upgrade or downgrade of the rating:
Changes to aircraft values that differ from historical and current
trends. Passage of time, as the remaining expected Subclass A-3
paydown decreases relative to the remaining Subclass A-3
outstanding balance, causing the remaining expected loss to
increase as a percentage of outstanding note balance.
AGATE BAY 2014-3: S&P Assigns BB Rating on Class B-4 Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Agate
Bay Mortgage Trust 2014-3's $350.63 million mortgage pass-through
certificates series 2014-3.
The certificate issuance is a residential mortgage-backed
securities transaction backed by first-lien, fixed-rate
residential mortgage loans secured by one- to four-family
residential properties, condominiums, townhouses, and planned unit
development residences to prime borrowers.
The ratings reflect S&P's view of:
-- The high-quality collateral included in the pool;
-- The associated transaction participants in conjunction with
each of their roles; and
-- The credit enhancement provided and the associated
structural deal mechanics.
RATINGS ASSIGNED
Agate Bay Mortgage Trust 2014-3
Class Rating Amount (Mil. $)
A-1 AAA (sf) 333.704
A-2 AAA (sf) 311.076
A-3 AAA (sf) 233.307
A-4 AAA (sf) 233.307
A-5 AAA (sf) 77.769
A-6 AAA (sf) 62.215
A-7 AAA (sf) 15.554
A-8 AAA (sf) 248.861
A-9 AAA (sf) 248.861
A-10 AAA (sf) 62.215
A-11 AAA (sf) 15.554
A-12 AAA (sf) 46.661
A-13 AAA (sf) 22.628
A-14 AAA (sf) 22.628
A-X-1 AAA (sf) Notional
A-X-2 AAA (sf) Notional
A-X-3 AAA (sf) Notional
A-X-4 AAA (sf) Notional
A-X-5 AAA (sf) Notional
B-1 AA (sf) 2.138
B-2 A (sf) 4.811
B-3 BBB (sf) 3.385
B-4 BB (sf) 6.592
B-5 NR 5.702
NR--Not rated.
AMERICREDIT AUTOMOBILE 2014-4: Fitch to Rate Class E Notes 'BBsf'
-----------------------------------------------------------------
Fitch Ratings expects to assign these ratings and Rating Outlooks
to the notes issued by AmeriCredit Automobile Receivables Trust
(AMCAR) 2014-4:
-- $182,000,000 Class A-1 notes 'F1+sf';
-- $332,000,000 Class A-2A/A-2B notes 'AAAsf'; Outlook Stable;
-- $198,170,000 Class A-3 notes 'AAAsf'; Outlook Stable;
-- $76,710,000 Class B notes 'AAsf'; Outlook Stable;
-- $95,230,000 Class C notes 'Asf'; Outlook Stable;
-- $91,000,000 Class D notes 'BBBsf'; Outlook Stable;
-- $24,890,000 Class E notes 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Marginally Stronger Credit Quality: The 2014-4 pool displays
stronger credit quality relative to the prior 2014 and 2013 pools
based on the WA Fair Isaac Corp. (FICO) score and Internal Credit
Tiers. However, extended term contracts continue to make up the
majority of the pool at 89.9%. New vehicles total 48% of the
pool, relatively consistent with prior AMCAR transactions.
Sufficient Credit Enhancement: The cash flow distribution is a
sequential-pay structure. Initial hard credit enhancement (CE) is
consistent for classes A, B and C, although slightly higher for
classes D and E relative to the prior 11 transactions. The
reserve is 2.00% (non-declining) and initial overcollateralization
(OC) is 5.50%, growing to a target of 14.50% of the outstanding
pool balance (less the required reserve amount for the
distributing period). Excess spread has decreased to one of the
lowest levels seen to date, at 7.69% per annum.
Stable Portfolio/Securitization Performance: Losses on GM
Financial's managed portfolio and securitizations are stable and
relatively low, supported by the gradual economic recovery and
stable used vehicle values. The cumulative base case loss proxy
for this pool is 12.00%.
Stable Corporate Health: Fitch rates GM and GM Financial Company
Inc. 'BB+' with a Positive Rating Outlook. Fitch assessed the
potential impact of GM/GM-affiliated-brand vehicle recalls in
relation to this transaction; Fitch expects this to have limited
to no impact on the 2014-4 pool.
Consistent Origination/Underwriting/Servicing: AFSI demonstrates
adequate abilities as originator, underwriter, and servicer as
evidenced by historical portfolio and securitization performance.
Fitch deems AFSI capable of adequately servicing this series.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of GM Financial would not impair
the timeliness of payments on the securities.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce loss levels higher
than the base case and could result in potential rating actions on
the notes. Fitch evaluated the sensitivity of the ratings
assigned to each class of AmeriCredit Automobile Receivables Trust
2014-4 to increased losses over the life of the transaction.
Fitch's analysis found that each class of notes displays some
sensitivity to increased defaults and losses, with some classes
showing potential downgrades of up to two rating categories under
Fitch's moderate (1.5x base case loss) scenario. Some classes of
notes could experience downgrades of more than three rating
categories under Fitch's severe (2.5x base case loss) scenario.
AMERICREDIT AUTOMOBILE 2014-4: S&P Give (P)BB Rating on Cl. E Debt
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to AmeriCredit Automobile Receivables Trust 2014-4's $1.0
billion automobile receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Nov. 7,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 40.9%, 35.3%, 28.1%,
21.4%, and 17.9% credit support for the class A-1, A-2-A, A-
2-B, and A-3 (collectively, "the class A notes"), B, C, D,
and E notes, respectively (based on stressed cash flow
scenarios, including excess spread). This provides coverage
of more than 3.50x, 3.25x, 2.55x, 1.75x, and 1.58x S&P's
10.25%-10.75% expected cumulative net loss range for the
class A, B, C, D, and E notes, respectively. These credit
support levels are commensurate with the assigned
preliminary 'A-1+ (sf)' and 'AAA (sf)', 'AA+ (sf)', 'A+
(sf)', 'BBB (sf)', and 'BB+ (sf)' ratings on the class A,
B, C, D, and E notes, respectively.
-- S&P's expectation that under a moderate (or 'BBB') stress
scenario, its ratings on the notes would not decline by more
than one rating category from S&P's preliminary ratings (all
else being equal) over a 12-month period. S&P's ratings
stability criteria describe the outer bound of credit
deterioration within one year as one rating category in the
case of 'AAA' and 'AA' rated securities, and two rating
categories in the case of 'A', 'BBB', and 'BB' rated
securities.
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The timely interest and ultimate principal payments made
under the stressed cash flow modeling scenarios, which are
consistent with the assigned preliminary ratings.
-- The collateral characteristics of the securitized pool of
subprime auto loans.
-- General Motors Financial Co. Inc.'s (formerly known as
AmeriCredit Corp.; BBB-/Stable/--) extensive securitization
performance history since 1994. (On Sept. 25, 2014,
Standard & Poor's raised its long-term counterparty credit
rating on GM Financial to 'BBB-' from 'BB' after designating
the entity as a "core" subsidiary of General Motors Co.)
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
AmeriCredit Automobile Receivables Trust 2014-4
Class Rating Type Interest Amount Legal Final
rate(i) (mil. $) Maturity
A-1 A-1+(sf) Sr Fixed 182.00 12/8/2015
A-2 AAA(sf) Sr Fixed/ 332.00 4/9/2018
floating(ii)
A-3 AAA(sf) Sr Fixed 198.17 7/8/2019
B AA(sf) Sub Fixed 76.71 12/9/2019
C A+(sf) Sub Fixed 95.23 11/9/2020
D BBB(sf) Sub Fixed 91.00 11/9/2020
E(iii) BB(sf) Sub Fixed 24.89 3/8/2022
(i) The tranches' coupons will be determined on the pricing
date.
(ii) The class A-2 notes will be split into a fixed-rate class
A-2-A and a floating-rate class A-2-B. The size of each of
the class A-2-A and A-2-B will be determined at pricing.
The A-2-B coupon will be expressed as a spread to one-month
LIBOR.
(iii) Class E will be privately placed or retained and is not
included in the public offering amount.
AMMC CLO 15: Moody's Assigns (P)Ba3 Rating on $29MM Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
eight classes of notes to be issued by AMMC CLO 15, Limited (the
"Issuer" or "AMMC 15").
Moody's rating action is as follows:
$6,000,000 Class AX Amortizing Senior Secured Floating Rate Notes
due 2026 (the "Class AX Notes"), Assigned (P)Aaa (sf)
$320,000,000 Class A1 Senior Secured Floating Rate Notes due 2026
(the "Class A1 Notes"), Assigned (P)Aaa (sf)
$43,000,000 Class B1 Senior Secured Floating Rate Notes due 2026
(the "Class B1 Notes"), Assigned (P)Aa2 (sf)
$10,000,000 Class BF Senior Secured Fixed Rate Notes due 2026
(the "Class BF Notes"), Assigned (P)Aa2 (sf)
$10,5000,000 Class C1 Secured Deferrable Floating Rate Notes due
2026 (the "Class C1 Notes"), Assigned (P)A2 (sf)
$18,500,000 Class CF Secured Deferrable Fixed Rate Notes due 2026
(the "Class CF Notes"), Assigned (P)A2 (sf)
$29,000,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$29,000,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class AX Notes, the Class A1 Notes, the Class B1 Notes, the
Class BF Notes, the Class C1 Notes, the Class CF 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.
AMMC 15 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 95.0% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 5.0% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is expected to be at least 80%
ramped as of the closing date.
American Money Management Corporation (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer 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: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2700 to 3105)
Rating Impact in Rating Notches
Class AX Notes: 0
Class A1 Notes: 0
Class B1 Notes: -1
Class BF Notes: -1
Class C1 Notes: -1
Class CF 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 AX Notes: 0
Class A1 Notes: -1
Class B1 Notes: -2
Class BF Notes: -2
Class C1 Notes: -3
Class CF Notes: -3
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 Score provides 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. The V Score applies to the entire
transaction, rather than individual tranches.
BEAR STEARNS 1999-C1: Moody's Cuts Rating on Cl. X Notes to Caa2
----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
downgraded the rating on one class of Bear Stearns Commercial
Mortgage Securities Inc., Depositor Commercial Pass-Through
Certificates, Series 1999-C1 as follows:
Cl. I, Affirmed B1 (sf); previously on Dec 5, 2013 Upgraded to
B1 (sf)
Cl. X, Downgraded to Caa2 (sf); previously on Dec 5, 2013
Downgraded to Caa1 (sf)
Ratings Rationale
The rating on Class I was affirmed because the rating is
consistent with both Moody's expected loss and the cumulative
certificate loss from previously liquidated loans. Class I has had
an aggregate certificate loss of 1% based on its original balance.
The rating on the IO Class (Class X) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's base expected loss plus realized losses is now 1.5% of the
original pooled balance, the same as at last review.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description of Models Used
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.7. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, compared to 3 at Moody's last review.
Deal Performance
As of the October 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $6.1 million
from $478 million at securitization. The certificates are
collateralized by only two mortgage loans.
Neither loan is currently on the master servicer's watchlist or in
special servicing. Seven loans have liquidated from the pool,
contributing to an aggregate realized loss of $7.3 million.
Moody's received full year 2013 operating results for 100% of the
pool and Moody's weighted average conduit LTV is 9%, compared to
12% 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 9.6%.
Moody's actual and stressed conduit DSCRs are 3.68X and 12.20X,
respectively, compared to 3.40X and 9.01X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The largest loan remaining is the Eden Center Loan ($3.6 million -
- 58.5% of the pool). The loan is secured by a 175,000 square-foot
(SF) shopping center in Falls Church, Virginia. Major tenants
include Good Fortune Supermarket (which is expected to open by
January 2015) and Planet Fitness. The center's occupancy was 92%
leased as of September 2014 compared to 98% in December 2013. The
loan is fully amortizing and matures in June 2018. The loan has
amortized 67% since securitization and Moody's current LTV and
stressed DSCR are 7% and 15.02X, respectively, compared to 12% and
9.09X at last review.
The other remaining loan is the Regent Place Apartments Loan ($2.5
million -- 41.5% of the pool). The loan is secured by a 154-unit
multifamily complex located in central Los Angeles, California.
The complex was 99% leased as of December 2013 compared to 97% at
last review. The loan is fully amortizing and matures in August
2018. The loan has amortized approximately 66% since
securitization and Moody's current LTV and stressed DSCR are 12%
and 8.23X, respectively, compared to 15% and 6.29X at last review.
CLEAR LAKE: Moody's Affirms Ba2 Rating on $15.5MM Cl. D Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Clear Lake CLO, Ltd.:
$21,500,000 Class A-2 Floating Rate Senior Notes Due 2020,
Upgraded to Aaa (sf); previously on November 1, 2013 Affirmed
Aa1 (sf)
$27,000,000 Class B Floating Rate Deferrable Senior Subordinate
Notes Due 2020, Upgraded to Aa2 (sf); previously on November 1,
2013 Affirmed A2 (sf)
$20,000,000 Class C Floating Rate Deferrable Senior Subordinate
Notes Due 2020, Upgraded to Baa2 (sf); previously on November
1, 2013 Affirmed Ba1 (sf)
Moody's also affirmed the ratings on the following notes:
$343,000,000 Class A-1 Floating Rate Senior Notes Due 2020
(current outstanding balance of $217,340,290), Affirmed Aaa
(sf); previously on November 1, 2013 Affirmed Aaa (sf)
$15,500,000 Class D Floating Rate Deferrable Subordinate Notes
Due 2020 (current outstanding balance of $14,747,398), Affirmed
Ba2 (sf); previously on November 1, 2013 Affirmed Ba2 (sf)
Clear Lake CLO, Ltd., issued in January 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
December 2013.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization (OC) ratios since March 2014. The Class A-1
notes have been paid down by approximately 36.6% or $125.7 million
since that time. Based on the trustee's October 2014 report, the
OC ratios for the Class A, Class B, Class C and Class D notes are
reported at 132.8%, 119.3%, 110.9% and 105.5%, respectively,
versus March 2014 levels of 120.6%, 112.2%, 106.7% and 103.0%,
respectively.
The deal has also benefited from an improvement in the credit
quality of the portfolio since March 2014. Based on the trustee's
October 2014 report, the weighted average rating factor (WARF) is
currently 2384 compared to 2508 in March 2014.
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.
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% (1918)
Class A-1: 0
Class A-2: 0
Class B: +2
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (2876)
Class A-1: 0
Class A-2: 0
Class B: -2
Class C: -2
Class D: -2
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in 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 $317.1 million, no defaulted par, a weighted average
default probability of 15.0% (implying a WARF of 2397), a weighted
average recovery rate upon default of 48.9%, a diversity score of
57 and a weighted average spread of 3.0% (before accounting for
LIBOR floors).
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.
CREDIT SUISSE 2005-C1: Fitch Affirms CCC Rating on Cl. F Debt
-------------------------------------------------------------
Fitch Ratings has upgraded 2 classes and affirmed 13 classes of
Credit Suisse First Boston Mortgage Securities Corp. series 2005-
C1 (CSFB 2005-C1), commercial mortgage pass-through securities.
Key Rating Drivers
The upgrades are the result of significant paydown and increase in
credit enhancement since Fitch's last rating action; the pool has
paid down $343 million since the last review. The affirmations of
the junior classes are the result of sufficient credit enhancement
in light of the risk of adverse selection as the pool becomes more
concentrated as well as the risk of loans defaulting at their
upcoming maturity dates.
As of the October 2014 distribution date, the pool's aggregate
principal balance has been reduced by 64.9% to $530.4 million from
$1.51 billion at issuance. Of the original 166 loans, 68 loans
remain. The maturity schedule for the non-specially serviced, non-
defeased loans is as follows: prior to year-end 2014 (22 loans,
36.6%), 2015 (23 loans, 39.4%), and the remaining three loans
mature in 2024 and 2025 (1.5%). Twelve loans (24.74% of the pool)
are defeased with maturity dates in December 2014 and first-
quarter 2015.
There are eight loans (9.5%) in special servicing and one loan
(0.28%) that has passed its October 2014 maturity date and may
transfer to special servicing soon if not paid off. The eight
specially serviced loans include the third largest in the pool,
The Mall at Yuba City (6.04%), which became real estate owned
(REO) in January 2014. The modeled losses on the specially
serviced loans represent approximately half of total modeled
losses. Interest shortfalls are currently affecting classes P
through G.
Fitch modeled losses of 10.75% of the remaining pool; expected
losses on the original pool balance total 7.25%, including $52.4
million (3.5% of the original pool balance) in realized losses to
date.
The largest contributor to expected losses is the specially-
serviced The Mall at Yuba City (6% of the pool), which is a
305,887 square foot (sf) enclosed regional mall located in Yuba
City, CA. The loan transferred to the special servicer in March
2011 for imminent default and became REO in January 2014. The mall
is anchored by JCPenney, Sears, Forever 21 (non-collateral) and
Ross. The mall is the only regional mall in the trade area;
however cash flow has been below break-even after the bankruptcy
and subsequent departure of former department store Gottshalks in
early 2009. The 73,000 sf former anchor store is now owned and
occupied by Forever 21 (non-collateral).
According to property management and as reported by the special
servicer's recent appraisal, Forever 21's sales have lagged
company standards. Co-tenancy clauses could be exercised by
several in-line tenants should Forever 21 vacate. Sears recently
renewed their lease from 2014 to 2019 and the JCPenney lease
expires in March 2015. Fitch is awaiting receipt of tenant sales
reports from the special servicer. As of June 2014, the property
was 89% occupied and generated $1.03 million in net operating
income. Fitch's conservative value estimate is lower than the
March 2011 appraised value and indicates significant losses are
possible.
The next largest contributor to expected losses is the Coral
Island Shopping Center loan (2.1%), which is secured by a 45,486
sf neighborhood retail center in Staten Island, NY. Occupancy at
the property has improved to 89.0% as of first-quarter 2014 from
81.4% at year-end 2012; however, cash flow at the property remains
below breakeven. The largest tenant, CVS, occupies 20% of the net
rentable area, contributes 14.2% of the total revenues, and
expires in July 2015. A McDonald's ground lease, which accounts
for 7.5% of the total revenues, expires in 2018. The DSCR as of
year-end 2013 was 0.35x as reported by the master servicer. The
loan matures Nov. 11, 2014 and is current.
The third largest contributor to expected losses is the Rancho
Vista Industrial 5 & 6 loan (2.2%), which is secured by an 182,071
sf industrial portfolio located at Decision St and Specialty Drive
in San Diego, CA. Tenants include: Vision Quest (15%, expires
2018); Novo Engineering (11.3%, expires 2014); Athelsure (10%,
expires 2018); Sunset HWM (9%, expires 2015); and Orthodontic
(6.6%, expires 2017). As of year-end 2013, occupancy was reported
at 83% and the debt service coverage ratio (DSCR) was 0.75x. The
balloon loan matures December 11, 2014.
Rating Sensitivities
Rating Outlooks on classes A-4 and A-J are Stable as the 'AAAsf'
ratings are expected to be unchanged due to upcoming paydown. The
Rating Outlooks on classes B and C are Positive due to increasing
credit enhancement and continued expected paydown from
amortization and loan payoffs given the upcoming maturities. Fitch
ran additional stresses on the pool, including stresses on loans
with upcoming 2014 or 2015 maturities and DSCRs below 1.25x. Loans
with DSCRs below 1.25x may have difficulty securing refinancing
and have increased risk of transfer to the special servicer due to
maturity default.
Additional upgrades on classes B and C are possible with continued
paydown. Further upgrades on junior classes are limited by the
uncertain resolution of the specially serviced loans, the
potential increase in defaulted specially serviced assets due to
inability to refinance at maturity, and risk of adverse selection
as the pool continues to mature.
Fitch upgrades the following classes as indicated:
-- $92.5 million class A-J to 'AAAsf' from 'AAsf'; Outlook
Stable;
-- $43.4 million class B to 'Asf' from 'BBB-sf'; Outlook to
Positive from Stable.
Fitch affirms the following classes and revises Rating Outlooks
and REs as indicated:
-- $13.2 million class C at 'BBsf'; Outlook to Positive from
Negative;
-- $24.5 million class D at 'Bsf'; Outlook to Stable from
Negative;
-- $20.8 million class F at 'CCCsf'; RE 5%.
Fitch affirms the following classes as indicated:
-- $281.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $18.9 million class E at 'CCCsf', RE 100%;
-- $15.1 million class G at 'CCsf'; RE 0%;
-- $18.9 million class H at 'Csf'; RE 0%;
-- $1.9 million class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
Fitch does not rate the class P certificates. Fitch previously
withdrew the ratings on the interest-only class A-X and A-SP
certificates.
COUNTRYWIDE HOME 2003-SD3: Moody's Cuts Cl. M2 Debt Rating to B1
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class M2
from Countrywide Home Loan Trust 2003-SD3. The collateral backing
these deals primarily consists of first lien, fixed and adjustable
rate "scratch and dent" residential mortgages.
Issuer: Countrywide Home Loan Trust 2003-SD3
Cl. M-2, Downgraded to B1 (sf); previously on Jun 26, 2012
Confirmed at Baa2 (sf)
Ratings Rationale
The rating action is a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The downgrade action is primarily due to interest
shortfall in the amount of $11,507.92 for Class M-2 incurred in
recent months. Structural limitations in the transaction prevent
recoupment of missed interest payments for the tranche.
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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% 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.
CREDIT SUISSE 1998-C1: S&P Raises Rating on Class G Notes to BB+
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
F and G commercial mortgage pass-through certificates from Credit
Suisse First Boston Mortgage Securities Corp.'s series 1998-C1, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
The upgrades follow S&P's analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes F and G to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels.
The upgrades also follow S&P's views regarding the current and
future performance of the transaction's collateral, the deal's
structure, the available liquidity support, and the trust
balance's significant reduction since our April 2012 rating
actions, primarily because of the planned amortization of the
fully amortizing loans remaining in the pool.
While available credit enhancement levels suggest further positive
rating movements on classes F and G, S&P's analysis also
considered the pool's concentration in retail properties (91.9%),
which S&P considers to be a more volatile property type, the
effect of the five corrected mortgage loans' ($14.3 million,
10.7%) corrected mortgage fees on future liquidity available to
the trust, and the potential for future transfers to special
servicing that could increase interest shortfalls.
TRANSACTION SUMMARY
As of the Oct. 17, 2014, trustee remittance report, the collateral
pool balance was $134.4 million, which is 5.4% of the pool balance
at issuance. The pool currently includes 52 loans (reflecting
cross-collateralized and cross-defaulted loans), down from 324
loans at issuance. None of the loans are in special servicing, 10
loans ($13.9 million, 10.3%) are defeased, and two loans ($6.5
million, 4.8%) are on the master servicer's watchlist. The master
servicer, Key Bank N.A. (KeyBank), reported financial information
for 92.6% of the nondefeased loans in the pool, of which the
majority was year-end 2013 data.
S&P calculated a Standard & Poor's weighted average debt service
coverage (DSC)of 0.95x and loan-to-value (LTV) ratio of 47.2%
using a Standard & Poor's weighted average capitalization rate of
7.76%. The DSC, LTV, and capitalization rate calculations exclude
the 10 defeased loans and two non-reporting loans ($6.7 million,
5.0%). The top 10 nondefeased loans have an aggregate outstanding
pool trust balance of $77.1 million (57.3%). Using servicer-
reported numbers, S&P calculated a Standard & Poor's weighted
average DSC and LTV of 0.89x and 51.5%, respectively, for nine of
the top 10 nondefeased loans, excluding the non-reporting loan.
To date, the transaction has experienced $89.7 million in
principal losses, or 3.6% of the original pool trust balance.
The properties securing the underlying loans are concentrated
within the Staunton-Waynesboro, Baltimore-Columbia-Towson, and
Dayton metropolitan statistical areas (MSAs). Standard & Poor's
U.S. Public Finance group provides credit ratings on Staunton
City, Anne Arundel County, and Montgomery County, which
participate within those MSAs.
-- Staunton City in the Staunton-Waynesboro MSA: S&P considers
Staunton City's ('AA-/Stable', general obligation debt
rating) economy to be weak, with projected per capita
effective buying income at 89% of the U.S. The total market
value of all real estate within the city reached $2 billion
for 2014, down 3% from the prior year. The city's per
capita real estate market value was $73,536 for 2014. With
a population of 0.02 million, the city participates in the
Staunton-Waynesboro MSA in Virginia, which S&P considers to
be moderate. The city's unemployment rate for calendar year
2013 was 5%. The largest loan secured by property located
in Staunton City is the Best Buy Dist. Ctr. - Staunton VA
loan.
-- Anne Arundel County in the Baltimore-Columbia-Towson MSA:
S&P considers Anne Arundel County's ('AAA/Stable', general
obligation debt rating) economy to be very strong, with
projected per capita effective buying income at 149% of the
U.S. The total market value of all real estate within the
county reached $76 billion for 2013, down 5% from the prior
year. The county's per capita real estate market value was
$137,705 for 2013. With a population of 0.6 million, the
county participates in the Baltimore-Columbia-Towson MSA in
Maryland, which S&P considers to be strong.
-- The county's unemployment rate for calendar year 2013 was
6%. The largest loan secured by property located in Anne
Arundel County is the Hoyts Theatre - Linthicum MD loan.
-- Montgomery County in the Dayton MSA: S&P considers
Montgomery County's ('AA/Stable', general obligation debt
rating) economy to be adequate, with projected per capita
effective buying income at 91% of the U.S. The total market
value of all real estate within the county reached $27
billion for 2013. The county's per capita real estate
market value was $49,960 for 2013. With a population of 0.5
million, the county participates in the Dayton MSA in Ohio,
which S&P considers to be strong. The largest loan secured
by property located in Montgomery County is the Elder-
Beerman at the Dayton Mall loan.
CREDIT CONSIDERATIONS
As of the Oct. 17, 2014, trustee remittance report, no loans were
reported in special servicing. Two loans are on the master
servicer's watchlist, one of which is the Peachtree Corners
Shopping Center loan ($6.0 million, 4.5%). It is the sixth-largest
nondefeased loan in the pool and is secured by a 104,634-sq.-ft.
retail shopping center located in Norcross, Ga. The loan was
placed on the master servicer's watchlist because of a low
reported DSC, which declined to 0.89x for the six months ended
June 30, 2014, because operating expenses increased. The reported
occupancy was 87.2% for the same reporting period.
RATINGS LIST
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 1998-C1
due 05/17/2040
Rating Rating
Class Identifier To From
G 22540AGA0 BB+ (sf) B (sf)
F 22540AFZ6 AA- (sf) BBB+ (sf)
GE COMMERCIAL 2007-C1: Moody's Affirms C Rating on 7 Certs
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 18 classes
and downgraded the rating on one class in GE Commercial Mortgage
Corporation, Series 2007-C1 Trust, Commercial Mortgage Pass-
Through Certificates as follows:
Cl. A-1A, Affirmed A1 (sf); previously on Nov 15, 2013 Affirmed A1
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Nov 15, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Nov 15, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed A1 (sf); previously on Nov 15, 2013 Affirmed A1
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Nov 15, 2013 Affirmed
Aaa (sf)
Cl. A-J, Affirmed Caa2 (sf); previously on Nov 15, 2013 Downgraded
to Caa2 (sf)
Cl. A-JFL, Affirmed Caa2 (sf); previously on Nov 15, 2013
Downgraded to Caa2 (sf)
Cl. A-M, Affirmed Ba3 (sf); previously on Nov 15, 2013 Downgraded
to Ba3 (sf)
Cl. A-MFL, Affirmed Ba3 (sf); previously on Nov 15, 2013
Downgraded to Ba3 (sf)
Cl. A-MFX, Affirmed Ba3 (sf); previously on Dec 23, 2013 Assigned
Ba3 (sf)
Cl. B, Affirmed Caa3 (sf); previously on Nov 15, 2013 Downgraded
to Caa3 (sf)
Cl. C, Affirmed C (sf); previously on Nov 15, 2013 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Nov 15, 2013 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Nov 15, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Nov 15, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Nov 15, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Nov 15, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Nov 15, 2013 Affirmed C (sf)
Cl. X-C, Downgraded to B2 (sf); previously on Nov 15, 2013
Affirmed B1 (sf)
Ratings Rationale
The affirmations of the investment grade P&I classes are due to
key parameters, including Moody's loan-to-value (LTV) ratio,
Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges.
The ratings of the below investment grade P&I classes are
consistent with Moody's expected loss and thus are affirmed.
The IO class was downgraded due to the paydown and WARF of its
referenced classes.
Moody's rating action reflects a base expected loss of 15.9% of
the current balance compared to 17.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 15.9% of
the original pooled balance, compared 17.6% at last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of GECMC 2007-C1.
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 29 compared to 33 at Moody's last review.
Deal Performance
As of the October 10, 2014 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 33% to $2.66
billion from $3.95 billion at securitization. The Certificates are
collateralized by 151 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 47%
of the pool. Four loans, representing 5% of the pool, have been
defeased and are collateralized with U.S. Government Securities.
The largest defeased loan is the Mall of America Loan ($104
million -- 3.9% of the pool) which will be reflected as defeased
in the November 2014 remittance statement.
Twenty-six, representing 23% 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.
Thirty loans have been liquidated at a loss from the pool,
resulting in an aggregate realized loss of $204.9 million (36%
average loss severity). Twenty loans, representing 14% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Galleria Officentre Loan ($82.9 million --
3.1% of the pool), which is secured by a four building suburban
office complex that transferred to special servicing in August
2011 due to imminent default. The borrower was unable to refinance
the loan by the April 2012 loan maturity. As of February 2014, the
property was 68% leased, compared to 64% at last review. Currently
all property revenues are swept through to a cash managed account
and disbursed to the Borrower for operations per the discretion of
the Lender. Workout discussions occurred pursuant to a Pre
Negotiation Agreement. A non-binding term sheet for a loan
modification was executed. Additionally, a forbearance agreement
was executed pursuant to which the Borrower has paid a non-
refundable deposit and provided material legal enhancements in
favor of the Lender. The Borrower may close the modification in
accordance with the aforementioned term sheet prior to the
Forbearance Period Expiration of December 5, 2014.
The remaining specially serviced loans are secured by a mix of
property types. The master servicer has recognized a $174.3
million aggregate appraisal reduction for 16 of the 20 specially
serviced loans. Moody's has estimated a $223.6 million loss (59%
expected loss) for all of the specially serviced loans.
Moody's has assumed a high default probability for 17 poorly
performing loans representing 8.6% of the pool and has estimated a
$91.8 million loss (40% expected loss based on a 77% probability
default) from the troubled loans.
Moody's was provided with full year 2013 and partial year 2014
operating results for 96% and 63% of the pool, respectively.
Moody's weighted average conduit LTV is 112% compared to 114% at
Moody's prior review. The conduit portion of the pool excludes the
specially serviced loans, the troubled loans and the defeased
loans. Moody's net cash flow reflects a weighted average haircut
of 6% to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.0%.
Moody's actual and stressed conduit DSCRs are 1.68X and 1.11X,
respectively, compared to 1.58X and 1.02X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three conduit loans represent 24% of the pool. The largest
loan is the 666 Fifth Avenue A-Note Loan ($225.4 million -- 8.5%
of the pool), which represents a 20.5% pari-passu interest in a
$1.15 billion first mortgage loan. The loan is secured by a 1.5
million SF Class A office building located in Midtown Manhattan,
New York. The property was 87% leased as of March 2014 compared to
82% at last review. The loan transferred to special servicing in
March 2010 due to imminent monetary default. The borrower
requested a loan modification after the loan's $100 million
reserve was exhausted. In December 2011, the $1.215 billion was
bifurcated into a $1.1 billion A-Note and a $115 million B-Note.
The B-Note interest was reduced to 0%, while the A-Note interest
pay rate was initially reduced to 3%. The current A-Note pay rate
is 4.5% and the pay rate increases annually until it returns to
the original 6.353%. The property was recapitalized with $110
million of new equity as part of the modification. The borrower
contributed $30 million, while Vornado contributed $80 million.
The loan returned to the master servicer in March 2012 and is
performing under the modified terms. Moody's considers the B-Note
($23.6 million) as a troubled loan and recognized a loss against
it. Moody's LTV and stressed DSCR for the modified A-Note are 138%
and 0.63X, respectively, the same as at last review.
The second largest loan is the Wolfchase Galleria Loan ($225.0
million -- 8.5% of the pool), which is secured by the borrower's
interest in a 1.3 million SF enclosed regional mall located in
Memphis, Tennessee. The loan sponsor is Simon Property Group, Inc.
The mall is anchored by Macy's, Dillard's, Sears and J.C. Penney,
none of which are part of the loan collateral. As of June 2014,
the total mall and in-line space were 97% and 93% leased,
respectively, compared to 97% 92% respectively. Moody's LTV and
stressed DSCR are 121% and 0.74X, respectively, compared to 137%
and 0.65X at last review.
The third largest loan is the JP Morgan Portfolio Loan ($198.5
million -- 7.5% of the pool), which is secured by a 733,00 SF
office building and a 1,900 space parking garage located in
Phoenix, Arizona and a 429,000 SF office building located in
Houston, Texas. The collateral is 100% leased to JP Morgan through
March 31, 2021, which is four years beyond loan maturity. The loan
is interest-only throughout the term. Moody's LTV and stressed
DSCR are 129% and 0.73X, respectively, the same as at last review.
GMAC COMMERCIAL 2000-C1: Moody's Affirms Caa3 Rating on Cl X Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in GMAC Commercial Mortgage Securities, Inc. 2000-C1 as follows:
Cl. K, Affirmed Caa2 (sf); previously on Jan 9, 2014 Upgraded
to Caa2 (sf)
Cl. X, Affirmed Caa3 (sf); previously on Jan 9, 2014 Affirmed
Caa3 (sf)
Ratings Rationale
The rating on the P&I class was affirmed because it is consistent
with Moody's expected loss. The class has experienced a 9% loss
since securitization.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action does not anticipate a further loss. Moody's
base expected loss plus realized losses is now 6.3% of the
original pooled balance, the same as at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description Of Models Used
Moody's review used the excel-based Large Loan Model v 8.7. The
large loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, property type and sponsorship.
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 October 16, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 99.99% to $ 65,109
from $879.9 million at securitization. There is only one loan
remaining in this pool. The one loan is defeased and secured by US
government securities.
Thirty-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $31.6 million (for an average loss
severity of 19%).
GOLDENTREE LOAN: Moody's Assigns B2 Rating on $13MM Cl. F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by GoldenTree Loan Opportunities IX, Limited:
$409,500,000 Class A Senior Secured Floating Rate Notes due
2026 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
$39,750,000 Class B-1 Senior Secured Floating Rate Notes due
2026 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2
(sf)
$39,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2026
(the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf)
$30,500,000 Class C Mezzanine Deferrable Floating Rate Notes
due 2026 (the "Class C Notes"), Definitive Rating Assigned
A2 (sf)
$43,000,000 Class D Mezzanine Deferrable Floating Rate Notes
due 2026 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
$36,000,000 Class E Mezzanine Deferrable Floating Rate Notes
due 2026 (the "Class E Notes"), Definitive Rating Assigned
Ba3 (sf)
$13,000,000 Class F Mezzanine Deferrable Floating Rate Notes
due 2026 (the "Class F Notes"), Definitive Rating Assigned
B2 (sf)
The 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 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.
GoldenTree IX is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans, and up to 10% of the portfolio
may consist of second lien loans, DIP collateral obligations and
unsecured loans. The portfolio is approximately 67% ramped as of
the closing date.
GoldenTree Asset Management LP (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, 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: $650,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 3149
Weighted Average Spread (WAS): 3.90%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 50.0%
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 Upgrade or Downgrade of the Ratings:
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 3149 to 3621)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 3149 to 4094)
Rating Impact in Rating Notches
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 Score provides 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. The V Score applies to the entire
transaction, rather than individual tranches.
GREYWOLF CLO IV: S&P Assigns Prelim. BB Rating on Class D Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Greywolf CLO IV Ltd./Greywolf CLO IV LLC's $402.80
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 Nov. 7,
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 overcollateralization, excess spread, and 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 pay timely interest and
ultimate principal 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 0.2356%-12.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds
PRELIMINARY RATINGS ASSIGNED
Greywolf CLO IV Ltd./Greywolf CLO IV LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 269.18
A-2 AA (sf) 54.24
B (deferrable) A (sf) 31.78
C (deferrable) BBB (sf) 21.00
D (deferrable) BB (sf) 16.40
E (deferrable) B (sf) 10.20
Subordinated notes NR 34.55
NR--Not rated.
GSC GROUP VIII: Moody's Hikes Rating on $13MM Cl. D Notes to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by GSC Group CDO Fund VIII, Limited:
$19,400,000 Class B Deferrable Floating Rate Notes Due 2021,
Upgraded to Aaa (sf); previously on July 22, 2014 Upgraded to
Aa1 (sf)
$17,000,000 Class C Deferrable Floating Rate Notes Due 2021,
Upgraded to A2 (sf); previously on July 22, 2014 Upgraded to
Baa3 (sf)
$13,000,000 Class D Deferrable Floating Rate Notes Due 2021
(current outstanding balance of $9,152,596), Upgraded to Ba1
(sf); previously on July 22, 2014 Upgraded to Ba3 (sf)
Moody's also affirmed the ratings on the following notes:
$267,000,000 Class A-1 Floating Rate Senior Notes Due 2021
(current outstanding balance of $49,172,828), Affirmed Aaa
(sf); previously on July 22, 2014 Upgraded to Aaa (sf)
$14,000,000 Class A-2 Floating Rate Senior Notes Due 2021,
Affirmed Aaa (sf); previously on July 22, 2014 Upgraded to Aaa
(sf)
GSC Group CDO Fund VIII, Limited, issued in March 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in April 2014.
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 July 2014. The Class A-1 notes
have been paid down by approximately 32.8% or $24.0 million since
then. Based on the trustee's October 2014 report, the OC ratios
for the Class A, Class B, Class C and Class D notes are reported
at 170.5%, 139.4%, 120.3% and 112.0%, respectively, versus July
2014 levels of 142.0%, 124.6%, 112.5% and 106.9%, respectively.
Additionally, Moody's notes that the trustee reported OC ratios do
not reflect the October 17, 2014 payment distribution when $24.0
million of principal proceeds were used to pay down 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/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Exposure to credit estimates: The deal contains a 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% (2565)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3847)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -2
Class D: 0
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $118.7 million, defaulted
par of $11.6 million, a weighted average default probability of
17.7% (implying a WARF of 3206), a weighted average recovery rate
upon default of 51.1%, a diversity score of 26 and a weighted
average spread of 4.31% (before accounting for LIBOR floors).
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 credit estimates that have not been updated within the last
15 months, which represent approximately 1.3% of the collateral
pool. Additionally, for each credit estimates whose related
exposure constitutes more than 3% of the collateral pool, Moody's
applied a two-notch equivalent assumed downgrade to approximately
3.5% of the pool.
JP MORGAN 2013-C16: Fitch Affirms 'Bsf' Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMCC) commercial mortgage
pass-through certificates series 2013-C16.
Key Rating Drivers
The affirmations reflect the overall stable performance of the
pool. The pool has had no delinquent or specially serviced loans.
Three loans appear on the servicer watchlist (6.6% of the pool)
due to decreases in the debt service coverage ratio (DSCR);
however, none are Fitch Loans of Concern as the declines in DSCR
are due to rental concessions or other factors known at issuance.
Loans representing 27.7% of the pool reported year-end (YE) 2013
financial information.
As of the October 2014 distribution date, the pool's aggregate
principal balance has been reduced by 0.7% to $1.13 billion from
$1.14 billion at issuance. No loans are defeased.
The largest loan in the pool (11.96%) is secured by The Aire
located on the upper west side of Manhattan. The property is a
310-unit, 42-story luxury residential building constructed in 2010
that features numerous amenities and high-end finishes. Lincoln
Center and The Julliard School are located across the street from
The Aire, and Central Park, Riverside Park and The Shops at
Columbus Circle are within walking distance. The loan is subject
to a $90 million pari passu note which is part of the JPMCC 2013-
C17 transaction. The collateral is performing in line with
underwritten expectations with occupancy of 97% (as of September
2014) and a YE 2013 DSCR of 1.39x.
The next largest loan (6.96%) is secured by the Veritas
Multifamily Portfolio, a 45-property portfolio of multifamily
properties in San Francisco, CA. The portfolio contains 1,230
residential apartments and 22 commercial units across eight San
Francisco neighborhoods. The loan has a pari passu A-note for
total debt outstanding on the portfolio of $211.5 million. The
collateral is performing in line with underwritten expectations
with occupancy of 92% (as of June 2014) and a 1.43x DSCR.
The third largest loan (5.67%) is secured by Energy Center, a 39-
story, 757,275-square foot (sf) office tower located in New
Orleans, LA. Developed in 1984 and renovated in 2003 and 2009, the
property is located within walking distance of all of downtown New
Orleans and has convenient access to the city's federal buildings
and courthouses. As of June 2014, occupancy was reported to be 90%
and the DSCR was 2.04x, which is an increase from 1.94x at
issuance.
Rating Sensitivities
Rating Outlooks on classes A-1 through F remain Stable due to
overall stable collateral performance. No rating changes are
expected in the next few years unless there is a material
deterioration in occupancy or cash flow at any of the properties.
Additional information on rating sensitivity is available in the
report 'J.P. Morgan Chase Commercial Mortgage Securities Trust
2013-C16' (April 8, 2014), available at 'www.fitchratings.com'.
Fitch affirms the following classes as indicated:
-- $49.2 million class A-1 at 'AAAsf', Outlook Stable;
-- $236.6 million class A-2 at 'AAAsf', Outlook Stable;
-- $145 million class A-3 at 'AAAsf', Outlook Stable;
-- $276.2 million class A-4 at 'AAAsf', Outlook Stable;
-- $80.5 million class A-SB at 'AAAsf', Outlook Stable;
-- $871.3 million class X-A at 'AAAsf', Outlook Stable;
-- $73.8 million class X-B at 'AA-sf', Outlook Stable;
-- $83.8 million class A-S at 'AAAsf', Outlook Stable;
-- $73.8 million class B at 'AA-sf', Outlook Stable;
-- $41.2 million class C at 'A-sf', Outlook Stable;
-- $198.8 million class EC* at 'A-sf', Outlook Stable;
-- $56.8 million class D at 'BBB-sf', Outlook Stable;
-- $21.3 million class E at 'BBsf', Outlook Stable;
-- $11.4 million class F at 'Bsf', Outlook Stable.
* Class A-S, B and C certificates may be exchanged for a related
amount of class EC certificates, and class EC certificates may be
exchanged for class A-S, B and C certificates.
Fitch does not rate the class NR certificates or the interest-only
class X-C.
KILIMANJARO 2014-2: S&P Assigns 'BB-(sf)' Rating on Class C Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services said that it has assigned its
'BB-(sf)' preliminary rating to Kilimanjaro Re Ltd. Series 2014-2
Class C notes. The notes cover losses on a per-occurrence basis
from earthquakes (including fire following) in all 50 U.S. states,
the District of Columbia, Puerto Rico, and all provinces and
territories of Canada.
The preliminary rating is based on the lowest of the natural-
catastrophe (nat-cat) risk factor ('bb-') for the notes, the
rating on the assets in the reinsurance account ('AAAm'), and the
rating on the ceding insurer ('A+').
The modeling used AIR's most up-to-date industry exposure database
as of Dec. 31, 2013. The baseline probability of attachment,
expected loss, and probability of exhaustion are 2.26%, 1.46%, and
0.93%, respectively.
S&P stressed the exceedance probability (EP) curve in line with
the strengths and concerns of the transaction. The stress S&P
applied to the EP curve was slightly higher (primarily due to
exposure to the Cascadian subduction zone, potential losses
related to a tsunami and there not being a maximum time frame over
which an earthquake event could occur) than indicated by S&P's
criteria for an industry loss transaction. But this did not
result in a change to the preliminary rating once S&P applied
these stresses, since there is a significant spread between the
probability of attachment and the 'b+' nat-cat risk factor.
RATING LIST
New Rating
Kilimanjaro Re Ltd.
Sr notes series 2014-2 class C BB-(sf) prelim
KINNEY HILL: S&P Affirms 'BB' Rating on Class C-1 Notes
-------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on all of
the rated notes from Kinney Hill Credit Opportunities Fund Ltd., a
U.S. market value collateralized debt obligation (CDO), on
CreditWatch with negative implications, following a review of the
transaction ratings.
Market value securities rely on liquidating collateral as their
primary source of repayment, which is an inherent risk because the
underlying collateral's value fluctuates over time. Therefore,
S&P's analysis focuses on this potential market value fluctuation.
Since S&P's last review in March 2014, the composition of the
portfolio has remained similar, with the majority of the
underlying assets being non-investment-grade corporate securities.
S&P's criteria, updated in Sept. 2013, apply a more conservative
"haircut" to these securities. The haircut determines the price
depreciation applicable to financial assets backing rated notes.
However, according to the Aug. 2014 trustee report, the funded
amount of the A-1 notes has increased to $170 million from $105
million. This increase in liability funding is not mitigated by
the increase in assets due to the conservative haircuts applied to
the assets; therefore, it results in a lower calculated Market
Value Evaluator (MVE) ratio.
The CreditWatch placements reflect the quantitative analysis using
S&P's MVE, which indicated that the assets were insufficient to
support the current rating given the haircuts in the Sept. 2013
criteria. S&P considered that the manager did not intend to
incorporate the updated criteria into its transaction documents.
However, S&P did receive a representation from the fund manager
that the fund currently abides, and is expected to abide in the
future, by the asset limitations outlined in paragraph 52 of the
updated criteria, which S&P uses to calculate the fund's borrowing
base.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
RATINGS LIST
Kinney Hill Credit Opportunties Fund, Ltd.
US$550 million Kinney Hill Credit Opportunties Fund, Ltd.
Rating Rating
Class Identifier To From
A-1 497089AA0 A (sf)/Watch Neg A (sf)
B-1 497089AC6 BBB (sf)/Watch Neg BBB (sf)
C-1 497089AE2 BB (sf)/Watch Neg BB (sf)
D-1 497089AG7 BB- (sf)/Watch Neg BB- (sf)
MERRILL LYNCH 2005-CA17: Moody's Affirms Caa1 Rating on L Debt
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes
and upgrade the ratings on three classes in Merrill Lynch
Financial Assets Inc. Commercial Mortgage Pass Through
Certificates, Series 2005-Canada 17 (2005-CA17) as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Dec 5, 2013 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Dec 5, 2013 Upgraded to
Aaa (sf)
Cl. C, Upgraded to Aa1 (sf); previously on Dec 5, 2013 Upgraded to
Aa3 (sf)
Cl. D, Upgraded to A2 (sf); previously on Dec 5, 2013 Upgraded to
Baa1 (sf)
Cl. E, Upgraded to Baa1 (sf); previously on Dec 5, 2013 Upgraded
to Baa2 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Dec 5, 2013 Affirmed Ba1
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Dec 5, 2013 Affirmed Ba2
(sf)
Cl. H, Affirmed Ba3 (sf); previously on Dec 5, 2013 Affirmed Ba3
(sf)
Cl. J, Affirmed B2 (sf); previously on Dec 5, 2013 Affirmed B2
(sf)
Cl. K, Affirmed B3 (sf); previously on Dec 5, 2013 Affirmed B3
(sf)
Cl. L, Affirmed Caa1 (sf); previously on Dec 5, 2013 Affirmed Caa1
(sf)
Cl. XC, Affirmed Ba3 (sf); previously on Dec 5, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on the P&I classes A-2, B, and F through K 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 P&I class L was
affirmed because the rating is consistent with Moody's expected
loss.
The ratings on the P&I classes C through E were upgraded primarily
due to an increase in credit support since Moody's last review,
resulting from paydowns and amortization, as well as Moody's
expectation of additional increases in credit support resulting
from the payoff of loans approaching maturity that are well
positioned for refinance. The pool has paid down by 8% since
Moody's last review. In addition, loans constituting 53% of the
pool that have debt yields exceeding 11.0% are scheduled to mature
within the next 12 months.
The rating on the IO class XC was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 1.4% of the
current balance compared to 2.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.7% of the
original pooled balance, compared to 1.4% 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.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of MLFA 2005-CA17.
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 11, compared to 12 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 October 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 49% to $256 million
from $503 million at securitization. The certificates are
collateralized by 30 mortgage loans ranging in size from less than
1% to 21% of the pool, with the top ten loans constituting 81% of
the pool. Two loans, constituting 16% of the pool, have
investment-grade structured credit assessments. One loan,
constituting 1% of the pool, has defeased and is secured by
Canadian government securities.
Three loans, constituting 23% 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.
One loan has been liquidated from the pool, resulting in a
realized loss of $189 thousand (for an average loss severity of
11%). No loans are currently in special servicing and Moody's did
not identify any troubled loans.
Moody's received full year 2013 operating results for 83% of the
pool. Moody's weighted average conduit LTV is 68% compared to 73%
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 11.8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 8.9%.
Moody's actual and stressed conduit DSCRs are 1.66X and 1.50X,
respectively, compared to 1.60X and 1.40X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is the
College Square Loan ($21 million -- 8.2% of the pool), which is
secured by a 386,210 square foot (SF) anchored retail center in
Ottawa, Ontario. The property is anchored by Home Depot and
Loblaws. The property's occupancy was 100% as of July 2014, the
same as at Moody's last review and at securitization. Moody's
structured credit assessment and stressed DSCR are aaa (sca.pd)
and 2.39X, respectively, compared to aaa (sca.pd) and 2.30X at the
last review.
The other loan with a structured credit assessment is the InnVest
CMBS II Portfolio Loan ($19.5 million -- 7.6% of the pool), which
is secured by ten limited service hotels located in Quebec,
Ontario, New Brunswick, and Nova Scotia. The loan is 100% recourse
to the sponsor InnVest REIT, one of the largest Canadian public
hotel owners. Moody's credit assessment and stressed DSCR are a3
(sca.pd) and 1.96X, respectively, compared to a3 (sca.pd) and
2.11X at the last review.
The top three conduit loans represent 40% of the pool balance. The
largest loan is the TransGlobe Pooled Senior Loan ($54.6 million -
- 21.3% of the pool), which is secured by 25 multifamily
properties located across Ontario and Nova Scotia. The loan
represents a 55% pari passu interest in a first mortgage loan of
$99 million. There is also a $10.6 million B note held outside the
trust. Moody's LTV and stressed DSCR are 81% and 1.14X,
respectively, compared to 87% and 1.05X at the last review.
The second largest loan is the 2020 University Loan ($27.9 million
-- 10.9% of the pool), which is secured by a 446,000 SF office
property located in downtown Montreal, Quebec. The property is
undergoing a redevelopment of the bottom four floors, which
includes installing a four story curtain wall, new escalators,
moving the main entrance and adding basement parking. The
redevelopment is expected to be completed around the end of 2014.
As of April 2014, the property was 75% leased compared to 89% as
of July 2013. The decline in occupancy is primarily due to the
redevelopment project. Moody's LTV and stressed DSCR are 64% and
1.60X, respectively, compared to 79% and 1.31X at prior review.
The third largest loan is the Country Apartments Portfolio Loan
($20.7 million -- 8.1% of the pool), which is secured by seven
multifamily properties in Ontario. Performance is stable, and
weighted average occupancy as of year-end 2013 was 98%. Moody's
LTV and stressed DSCR are 61% and 1.56X, respectively, compared to
67% and 1.42X at prior review.
MERRILL LYNCH 2006-1: Fitch Affirms CCC Rating on Class L Certs
---------------------------------------------------------------
Fitch Ratings has affirmed the two remaining classes of Merrill
Lynch Floating Trust pass-through certificates, series 2006-1
(MLFT 2006-1). The affirmations of the distressed ratings are due
to continued credit risk associated with the outstanding loan.
Key Rating Drivers
As of the November 2014 remittance, the pool has paid down by 98%
since issuance. The one remaining loan, The Royal Holiday
Portfolio, is secured by six full-service hotels in Mexico. The
properties are located within five distinct tourist markets,
including Cancun, Cozumel, Ixtapa, Acapulco, and San Jose del
Cabo.
The loan has been in special servicing since February 2010 after
the borrower amended certain operating leases without lender
approval. The collateral's international location complicates the
workout, as both the U.S. and Mexican legal systems are involved
in the proceedings. Litigation surrounding the loan workout has
lead to a long resolution horizon.
Rating Sensitivities
Fitch has not obtained updated performance information from the
special servicer. The servicer has indicated that an updated
valuation will be available in the near future; in the event the
property values have declined considerably, further downgrades are
possible. Furthermore, if updated property performance information
does not become available, Fitch may withdraw the ratings due to
an inability to accurately analyze the loan collateral.
Fitch affirms the following classes:
-- $17.9 million class L at 'CCCsf'; RE 100%;
-- $47.1 million class M at 'Dsf'; RE 90%.
MERRILL LYNCH 2006-CANADA: Moody's Affirms B3 Rating on Class L
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on ten classes
and upgraded three classes in Merrill Lynch Financial Assets,
Inc., Series 2006-Canada 18 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aaa (sf); previously on Dec 12, 2013 Upgraded to
Aaa (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Dec 12, 2013 Affirmed
A1 (sf)
Cl. D, Upgraded to Baa1 (sf); previously on Dec 12, 2013 Affirmed
Baa2 (sf)
Cl. E, Upgraded to Baa2 (sf); previously on Dec 12, 2013 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Dec 12, 2013 Affirmed Ba1
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Dec 12, 2013 Affirmed Ba2
(sf)
Cl. H, Affirmed Ba3 (sf); previously on Dec 12, 2013 Affirmed Ba3
(sf)
Cl. J, Affirmed B1 (sf); previously on Dec 12, 2013 Affirmed B1
(sf)
Cl. K, Affirmed B2 (sf); previously on Dec 12, 2013 Affirmed B2
(sf)
Cl. L, Affirmed B3 (sf); previously on Dec 12, 2013 Affirmed B3
(sf)
Cl. XC, Affirmed Ba3 (sf); previously on Dec 12, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on nine P&I classes (A-2, A-3, B, F, G, H, J, K, L)
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 three P&I classes (C, D, E) we upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 6% since Moody's
last review.
The rating on the IO class was affirmed based on the credit
quality or WARF of the referenced classes.
Moody's rating action reflects a base expected loss of 2.1% of the
current balance compared to 2.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.2% of the
original pooled balance, compared to 1.4% 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.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of MLFA 2006-CAN18.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 20, the same as at Moody's last review.
Deal Performance
As of the October 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 42% to $345 million
from $590 million at securitization. The certificates are
collateralized by 57 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans constituting 57% of
the pool. No loans have investment-grade structured credit
assessments. One loan, constituting 2% of the pool, has defeased
and is secured by Canadian government securities.
Thirteen loans, constituting 25% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
No loans have been liquidated from the pool and currently no loans
are in special servicing. Moody's has assumed a high default
probability for two poorly performing loans, constituting 2% of
the pool, and has estimated an aggregate loss of $1.5 million (a
19% expected loss based on a 50% probability default) from these
troubled loans.
Moody's received full or partial year 2013 operating results for
88% of the pool. Moody's weighted average conduit LTV is 73%
compared to 76% 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 10.6% to
the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.53X and 1.43X,
respectively, compared to 1.55X and 1.38X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 30% of the pool balance. The
largest loan is the TransGlobe Pooled Senior Loan ($44.7 million -
- 12.9% of the pool), which represents a 45% pari-passu interest
in a $99.2 million A-note. There is also $10.6 million B-note held
outside the trust. The loan is secured by 25 multi-family
properties totaling 2,491 units located in Ontario and Nova
Scotia. Moody's LTV and stressed DSCR are 81% and 1.14X,
respectively, compared to 87% and 1.05X at the last review.
The second largest loan is the Anchored Retail Portfolio Loan
($35.8 million -- 10.4% of the pool), which is secured by 14
retail centers ranging in size from 6,054 square feet (SF) to
58,343 SF and totaling 369,618 SF. Thirteen of the properties are
located in Quebec and one is located in Ontario. Properties are
primarily anchored by Jean Coutu (34% of net rentable area), a
Canadian pharmacy chain, with leases maturing in 2020. Financial
performance improved in 2013 due to higher base rents and a slight
increase in occupancy since last review. The loan has amortized
15% since securitization. Moody's LTV and stressed DSCR are 88%
and 1.1X, respectively, compared to 110% and 0.89X at the last
review.
The third largest loan is the Halifax Marriott Loan ($23.7 million
-- 6.9% of the pool), which is secured by a six-story full service
hotel located on Halifax's waterfront at the northern edge of the
central business district. The property is connected to the
Halifax Casino via a pedestrian walkway. Performance declined
since last review due to a decrease occupancy and an increase in
operating expenses. At year-end 2013, the hotel's occupancy and
revenue per available room (RevPAR) were 63.9% and $103.04
compared to 65.8% and $108.67 at last review. The loan has
amortized 20% since securitization. Moody's LTV and stressed DSCR
are 81% and 1.47X, respectively, compared to 68% and 1.75X at the
last review.
MERRILL LYNCH 2007-CA21: Moody's Affirms Caa3 Rating on L Debt
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 13 classes
in Merrill Lynch Financial Assets Inc. Commercial Mortgage Pass-
Through Certificates, Series 2007-Canada 21 (2007-CA21) as
follows:
Cl. A-1, Affirmed Aaa (sf); previously on Dec 19, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Dec 19, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Dec 19, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Dec 19, 2013 Affirmed A2
(sf)
Cl. D, Affirmed Baa2 (sf); previously on Dec 19, 2013 Affirmed
Baa2 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Dec 19, 2013 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Dec 19, 2013 Affirmed Ba2
(sf)
Cl. G, Affirmed B1 (sf); previously on Dec 19, 2013 Affirmed B1
(sf)
Cl. H, Affirmed B2 (sf); previously on Dec 19, 2013 Affirmed B2
(sf)
Cl. J, Affirmed B3 (sf); previously on Dec 19, 2013 Affirmed B3
(sf)
Cl. K, Affirmed Caa2 (sf); previously on Dec 19, 2013 Affirmed
Caa2 (sf)
Cl. L, Affirmed Caa3 (sf); previously on Dec 19, 2013 Affirmed
Caa3 (sf)
Cl. XC, Affirmed Ba3 (sf); previously on Dec 19, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on the P&I classes A-1 through J were affirmed because
the transaction's key metrics, including Moody's loan-to-value
(LTV) ratio, Moody's stressed debt service coverage ratio (DSCR)
and the transaction's Herfindahl Index (Herf), are within
acceptable ranges.
The ratings on the P&I classes K and L were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class XC was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 2.8% of the
current balance compared to 2.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.1% of the
original pooled balance, compared to 1.8% at the last review.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published on September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of MLFA 2007-Canada 21.
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 19, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
Deal Performance
As of the October 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 26% to $284 million
from $385 million at securitization. The certificates are
collateralized by 32 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans constituting 61% of
the pool.
Four loans, constituting 11% 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 liquidated from the pool. Additionally, no loans are
currently in special servicing.
Moody's has assumed a high default probability for three poorly
performing loans, constituting 8% of the pool, and has estimated
an aggregate loss of $3.4 million (a 15% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2013 operating results for 91% of the
pool. Moody's weighted average conduit LTV is 82% compared to 84%
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 11% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.53X and 1.33X,
respectively, compared to 1.50X and 1.28X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 27% of the pool balance. The
largest loan is the GTA Industrial Portfolio Loan ($37.2 million -
- 13.1% of the pool) which is secured by eight industrial
properties, comprised of 18 buildings, located in the
Toronto/Mississauga area. As of July 2014, the portfolio was 87%
leased compared to 89% as of December 2012. The loan has amortized
approximately 13% since securitization and is full recourse to
Conundrum Industrial Property Fund. Moody's LTV and stressed DSCR
are 91% and 1.1X, respectively, essentially the same as at last
review.
The second largest loan is the McFarlane Tower Loan ($22.8 million
-- 8.0% of the pool), which is secured by an 18-story Class B
office building located in the Downtown West sub-market of
Calgary, Alberta. This loan represents a 52% pari-passu interest
in a $44 million first mortgage loan. As of July 2014, the
property was approximately 92% leased essentially the same as at
last review. Since last review, financial performance has
decreased due to lower base revenues and higher real estate taxes.
The loan has amortized approximately 13% since securitization and
DreamOffice REIT(former Dundee REIT), the sponsor, provided a
limited guarantee of up to 25% of the outstanding balance at
securitization. Moody's LTV and stressed DSCR are 97% and 1.06X,
respectively, compared to 87% and 1.18X at last review.
The third largest loan is the 550-11th Avenue Office Building Loan
($17.7 million -- 6.3% of the pool), which is secured by an 11-
story Class B office property located in the financial district of
downtown Calgary, Alberta. As of July 2014, the property was
approximately 84% leased compared to 97% at last review. The
decline in occupancy is largely due to departure of the 3rd
largest tenant whose lease expired in February 2014. The loan has
amortized approximately 13% since securitization and is full
recourse to the sponsor. Moody's LTV and stressed DSCR are 97% and
1.06X, respectively, compared to 99% and 1.04X at last review.
OCEAN TRAILS V: S&P Assigns Prelim. BB Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Ocean Trails CLO V/Ocean Trails CLO V LLC's $368.55
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 Nov. 6,
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 counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The asset 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 0.2316%-12.7531%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of a certain amount
of excess interest proceeds that are available before paying
subordinated asset management fees, uncapped administrative
expenses and fees, incentive asset management fees, and
subordinated note payments, to either pay the notes
according to the principal payment sequence or for the
purchase of additional collateral assets during the
reinvestment period, at the asset manager's discretion.
RATINGS LIST
Ocean Trails CLO V/Ocean Trails CLO V LLC
Class Preliminary rating Preliminary amount (mil.
$)
X AAA (sf) 2.80
A AAA (sf) 244.50
B AA (sf) 57.75
C A (sf) 25.00
D BBB (sf) 21.25
E BB (sf) 17.25
Subordinated notes NR 42.65
NR--Not rated.
OCTAGON INVESTMENT X: S&P Affirms BB Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-1R, B, C, and D notes from Octagon Investment Partners X
Ltd., a U.S. collateralized loan obligation (CLO) transaction
managed by Octagon Credit Investors LLC. S&P also affirmed its
rating on the class E notes. At the same time, S&P removed its
ratings on all six classes from CreditWatch, where S&P placed them
with positive implications on Aug. 29, 2014.
The upgrades mainly reflect paydowns to the class A-1 and A-1R
notes and a subsequent increase in the credit support available to
support the notes. Since S&P's June 2012 rating actions, the
class A-1 and A-1R notes have paid down a total of $159.03
million, leaving them at 49% of their original balances. The
class A-1R notes can be denominated in either U.S. dollars or
euros. Since S&P's June 2012 rating actions, the euro-denominated
A-1R notes have paid in full with proceeds from euro-denominated
assets. The class A-1R euro-denominated notes' previously had an
outstanding amount of EUR4.43 million. There are currently no
euro-denominated assets in the portfolio. Although the
transaction is no longer in its reinvestment period, it can still
reinvest principal proceeds as long as certain conditions are met.
In addition, the upgrades also reflect an improvement in the
overcollateralization (O/C) available to support the notes,
primarily due to the aforementioned paydowns. The trustee
reported these increased O/C ratios in the Oct. 2014 monthly
report compared with the June 2012 O/C ratios:
-- The class A/B O/C ratio was 137.21%, up from 122.54%.
-- The class C O/C ratio was 122.92%, up from 114.74%.
-- The class D O/C ratio was 113.76%, up from 109.35%.
-- The class E O/C ratio was 106.52%, up from 104.87%.
S&P affirmed its rating on the class E notes to reflect the
available credit support consistent with 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 Oct.
2014 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, as
well as on recoveries upon default under various interest rate and
macroeconomic scenarios. In addition, S&P considered the
transaction's ability to pay timely interest 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 the rating actions.
S&P will continue to review its ratings on the notes and assess
whether they remain consistent with the credit enhancement
available to support them and will take further rating actions as
S&P deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Octagon Investment Partners X Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AA+(sf)/Watch Pos AAA (sf) 18.03% AAA (sf)
A-1R AA+ (sf)/Watch Pos AAA (sf) 18.03% AAA (sf)
B AA (sf)/Watch Pos AAA (sf) 1.72% AAA (sf)
C A (sf)/Watch Pos AA- (sf) 2.62% AA- (sf)
D BBB (sf)/Watch Pos BBB+ (sf) 3.81% BBB+ (sf)
E BB (sf)/Watch Pos BB (sf) 1.31% 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.
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-1R AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) AA- (sf)
D BBB+ (sf) BBB (sf) BBB+ (sf) A- (sf) BBB+ (sf)
E BB (sf) B+ (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) AAA (sf) AAA (sf)
A-1R AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
C AA- (sf) AA- (sf) BBB+ (sf) AA- (sf)
D BBB+ (sf) BBB+ (sf) B+ (sf) BBB+ (sf)
E BB (sf) B+ (sf) CC (sf) BB (sf)
RATINGS RAISED AND REMOVED FROM CREDIWATCH
Octagon Investment Partners X Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-1R AAA (sf) AA+ (sf)/Watch Pos
B AAA (sf) AA (sf)/Watch Pos
C AA- (SF) A (sf)/Watch Pos
D BBB+ (SF) BBB (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM CREDITWATCH
Octagon Investment Partners X Ltd.
Rating
Class To From
E BB (sf) BB (sf)/Watch Pos
OCTAGON INVESTMENT X: S&P Affirms BB Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-1R, B, C, and D notes from Octagon Investment Partners X
Ltd., a U.S. collateralized loan obligation (CLO) transaction
managed by Octagon Credit Investors LLC. S&P also affirmed its
rating on the class E notes. At the same time, S&P removed its
ratings on all six classes from CreditWatch, where S&P placed them
with positive implications on Aug. 29, 2014.
The upgrades mainly reflect paydowns to the class A-1 and A-1R
notes and a subsequent increase in the credit support available to
support the notes. Since S&P's June 2012 rating actions, the
class A-1 and A-1R notes have paid down a total of $159.03
million, leaving them at 49% of their original balances. The
class A-1R notes can be denominated in either U.S. dollars or
euros. Since S&P's June 2012 rating actions, the euro-denominated
A-1R notes have paid in full with proceeds from euro-denominated
assets. The class A-1R euro-denominated notes' previously had an
outstanding amount of EUR4.43 million. There are currently no
euro-denominated assets in the portfolio. Although the
transaction is no longer in its reinvestment period, it can still
reinvest principal proceeds as long as certain conditions are met.
In addition, the upgrades also reflect an improvement in the
overcollateralization (O/C) available to support the notes,
primarily due to the aforementioned paydowns. The trustee
reported these increased O/C ratios in the Oct. 2014 monthly
report compared with the June 2012 O/C ratios:
-- The class A/B O/C ratio was 137.21%, up from 122.54%.
-- The class C O/C ratio was 122.92%, up from 114.74%.
-- The class D O/C ratio was 113.76%, up from 109.35%.
-- The class E O/C ratio was 106.52%, up from 104.87%.
S&P affirmed its rating on the class E notes to reflect the
available credit support consistent with 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 Oct.
2014 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, as
well as on recoveries upon default under various interest rate and
macroeconomic scenarios. In addition, S&P considered the
transaction's ability to pay timely interest 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 the rating actions.
S&P will continue to review its ratings on the notes and assess
whether they remain consistent with the credit enhancement
available to support them and will take further rating actions as
S&P deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Octagon Investment Partners X Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AA+(sf)/Watch Pos AAA (sf) 18.03% AAA (sf)
A-1R AA+ (sf)/Watch Pos AAA (sf) 18.03% AAA (sf)
B AA (sf)/Watch Pos AAA (sf) 1.72% AAA (sf)
C A (sf)/Watch Pos AA- (sf) 2.62% AA- (sf)
D BBB (sf)/Watch Pos BBB+ (sf) 3.81% BBB+ (sf)
E BB (sf)/Watch Pos BB (sf) 1.31% 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.
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-1R AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) AA- (sf)
D BBB+ (sf) BBB (sf) BBB+ (sf) A- (sf) BBB+ (sf)
E BB (sf) B+ (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) AAA (sf) AAA (sf)
A-1R AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
C AA- (sf) AA- (sf) BBB+ (sf) AA- (sf)
D BBB+ (sf) BBB+ (sf) B+ (sf) BBB+ (sf)
E BB (sf) B+ (sf) CC (sf) BB (sf)
RATINGS RAISED AND REMOVED FROM CREDIWATCH
Octagon Investment Partners X Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-1R AAA (sf) AA+ (sf)/Watch Pos
B AAA (sf) AA (sf)/Watch Pos
C AA- (SF) A (sf)/Watch Pos
D BBB+ (SF) BBB (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM CREDITWATCH
Octagon Investment Partners X Ltd.
Rating
Class To From
E BB (sf) BB (sf)/Watch Pos
REALT 2006-1: Moody's Affirms B3 Rating on Class L Certs.
---------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fourteen
classes and upgraded the ratings on two classes in Real Estate
Asset Liquidity Trust, Commercial Mortgage Pass-Through
Certificates, Series 2006-1 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jan 9, 2014 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jan 9, 2014 Affirmed Aaa
(sf)
Cl. B, Upgraded to Aaa (sf); previously on Jan 9, 2014 Affirmed
Aa2 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Jan 9, 2014 Affirmed A2
(sf)
Cl. D-1, Affirmed Baa2 (sf); previously on Jan 9, 2014 Affirmed
Baa2 (sf)
Cl. D-2, Affirmed Baa2 (sf); previously on Jan 9, 2014 Affirmed
Baa2 (sf)
Cl. E-1, Affirmed Baa3 (sf); previously on Jan 9, 2014 Affirmed
Baa3 (sf)
Cl. E-2, Affirmed Baa3 (sf); previously on Jan 9, 2014 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Jan 9, 2014 Affirmed Ba1
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Jan 9, 2014 Affirmed Ba2
(sf)
Cl. H, Affirmed Ba3 (sf); previously on Jan 9, 2014 Affirmed Ba3
(sf)
Cl. J, Affirmed B1 (sf); previously on Jan 9, 2014 Affirmed B1
(sf)
Cl. K, Affirmed B2 (sf); previously on Jan 9, 2014 Affirmed B2
(sf)
Cl. L, Affirmed B3 (sf); previously on Jan 9, 2014 Affirmed B3
(sf)
Cl. XC-1, Affirmed Ba3 (sf); previously on Jan 9, 2014 Affirmed
Ba3 (sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Jan 9, 2014 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The ratings on P&I classes A-1, A-2, D-1, D-2, E-1 and E-2 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 B and C were upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 14% since Moody's last
review.
The ratings on P&I classes F, G, H, J, K and L were affirmed
because the ratings are consistent with Moody's expected loss.
The ratings on the IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 2.1% of the
current balance, compared to 1.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.1% of the
original pooled balance, compared to 0.9% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of REALT 2006-1.
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 16, compared to 13 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 October 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 51% to $195 million
from $396 million at securitization. The certificates are
collateralized by 46 mortgage loans ranging in size from 1% to
12.9% of the pool, with the top ten loans constituting 56% of the
pool. One loan, constituting 4% of the pool, has an investment-
grade structured credit assessments. Five loans, constituting 17%
of the pool, have defeased and are secured by Canadian government
securities.
Eleven loans, constituting 17% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
No loans have been liquidated from the pool and no loans are
currently in special servicing.
Moody's has assumed a high default probability for one poorly
performing loan, constituting 1.5% of the pool.
Moody's received full or partial year 2013 operating results for
90% of the pool. Moody's weighted average conduit LTV is 67%,
compared to 69% 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 11% to the
most recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.58X and 1.83X,
respectively, compared to 1.54X and 1.71X 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 Royal Centre
Loan ($7.8 million -- 4% of the pool), which is secured by a
eight-story office building with ground floor retail, located just
outside of Toronto. The largest tenant, Royal Bank of Canada (Aa3
senior unsecured, negative outlook) is leased through May 2021. As
of June 2014, the property was 92% occupied compared to 88% at
last review. Moody's structured credit assessment and stressed
DSCR are aaa (sca.pd) and 2.36X, respectively, compared to aaa
(sca.pd) and 2.32X at the last review.
The top three conduit loans represent 26% of the pool balance. The
largest loan is the Dominion Square Loan ($25million -- 12.9% of
the pool), which is secured by a 12-story, class B office building
with retail space. As of April 2014, the property was 88% leased
compared to 97% at last review. Moody's LTV and stressed DSCR are
80% and 1.21X, respectively, compared to 88% and 1.11X at the last
review.
The second largest loan is the Innvest Portfolio Loan ($13 million
-- 7% of the pool), which is secured by two cross-collateralized,
full-service hotels in Ontario. One of the properties is on the
watchlist for low DSCR and a continued decline in occupancy.
Moody's LTV and stressed DSCR are 69% and 1.65X, respectively,
compared to 80% and 1.43X at the last review.
The third largest loan is the Sandman Portfolio Loan ($12.5
million -- 6% of the pool), which is secured by three hotels in
British Columbia and one in Alberta. Moody's LTV and stressed DSCR
are 30% and 4.26X, respectively, compared to 35% and 3.70X at the
last review.
REALT 2006-3: Moody's Affirms Caa1 Rating on Class L Certs.
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on sixteen
classes in Real Estate Asset Liquidity Trust, Commercial Mortgage
Pass-Through Certificates, Series 2006-3 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Dec 19, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Dec 19, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Dec 19, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Dec 19, 2013 Affirmed A2
(sf)
Cl. D-1, Affirmed Baa2 (sf); previously on Dec 19, 2013 Affirmed
Baa2 (sf)
Cl. D-2, Affirmed Baa2 (sf); previously on Dec 19, 2013 Affirmed
Baa2 (sf)
Cl. E-1, Affirmed Baa3 (sf); previously on Dec 19, 2013 Affirmed
Baa3 (sf)
Cl. E-2, Affirmed Baa3 (sf); previously on Dec 19, 2013 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Dec 19, 2013 Affirmed Ba1
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Dec 19, 2013 Affirmed Ba2
(sf)
Cl. H, Affirmed B1 (sf); previously on Dec 19, 2013 Downgraded to
B1 (sf)
Cl. J, Affirmed B2 (sf); previously on Dec 19, 2013 Downgraded to
B2 (sf)
Cl. K, Affirmed B3 (sf); previously on Dec 19, 2013 Downgraded to
B3 (sf)
Cl. L, Affirmed Caa1 (sf); previously on Dec 19, 2013 Downgraded
to Caa1 (sf)
Cl. XC-1, Affirmed Ba3 (sf); previously on Dec 19, 2013 Affirmed
Ba3 (sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Dec 19, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on eight 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 six on the P&I classes were affirmed because the
ratings are consistent with Moody's expected loss.
The ratings on the two IO classes were affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 3.0% of the
current balance, compared to 2.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.0% of the
original pooled balance, compared to 1.7% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of REALT 2006-3.
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 22, compared to 24 at Moody's last review.
Deal Performance
As of the October 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $264.5
million from $426 million at securitization. The certificates are
collateralized by 43 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans constituting 58% of
the pool. Three loans, constituting 22% of the pool, have
investment-grade structured credit assessments. One loan,
constituting 1% of the pool, has defeased and is secured by
Canadian government securities.
Six loans, constituting 17% 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.
One loan has been liquidated from the pool, resulting in a
realized loss of $769,844 (for an average loss severity of 36%).
No loans are currently in special servicing.
Moody's has assumed a high default probability for two poorly
performing loans, constituting 3% of the pool, and has estimated
an aggregate loss of $1.1million (a 15% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full or partial year 2013 operating results for
90% of the pool. Moody's weighted average conduit LTV is 76%,
compared to 78% 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 13% to the
most recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.40X and 1.50X,
respectively, compared to 1.44X and 1.42X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is the
Clearbrook Town Square Loan ($26.7 million -- 10% of the pool),
which is secured by a 188,000 square foot community shopping
center located in Abbotsford, British Columbia. The center was 98%
leased as of December 2013, compared to 99% at Moody's prior
review. The center is anchored by Canada Safeway, which leases 30%
of the premises through October 2017. Moody's structured credit
assessment and stressed DSCR are baa2 (sca.pd) and 1.46X,
respectively, compared to baa2 and 1.20X at the last review.
The second largest loan with a structured credit assessment is the
Suncor Building Loan ($16.9 million -- 6.4% of the pool), which is
secured by a 126,000 square foot industrial property located in
Fort McMurray, Alberta. The largest tenant, Suncor Energy, is
rated A3 -- stable outlook and leases 97% of the premises through
November 2018. Suncor Energy is a Canadian integrated energy
company based in Calgary, Alberta and they specialized in the
production of synthetic crude from oil sands. Moody's structured
credit assessment and stressed DSCR are baa2 (sca.pd) and 1.29X,
respectively, compared to baa2 (sca.pd) and 1.37X at the last
review.
The third largest loan with a structured credit assessment is the
Harry Rosen Building Loan ($14.5 million -- 5.5% of the pool),
which is secured by a 34,000 square foot single tenant retail
building located in Toronto, Ontario. Harry Rosen is a privately
owned Canadian retail chain of 15 high-end men's clothing stores
which account for an estimated 40% of the high-end menswear market
in Canada. This property is the flagship store and is located on
Bloor Street, the most expensive retail space in Canada. Moody's
structured credit assessment and stressed DSCR are aa1 (sca.pd)
and 1.84X, respectively, compared to aa1 (sca.pd) and 1.81X at the
last review.
The top three conduit loans represent 20% of the pool balance. The
largest loan is the Beedie Group - Langley Loan ($18.6 million --
7% of the pool), which is secured by a five building, 306,000
square foot industrial portfolio located in Langley, British
Columbia. As of March 2014, the property was 100% occupied, same
as at last review and securitization. Moody's LTV and stressed
DSCR are 67% and 1.29X, respectively, compared to 70% and 1.24X at
the last review.
The second largest loan is the Park Lane Mall and Terraces Loan
($17.5 million -- 6.6% of the pool), which is secured by a 265,000
square foot office and retail center located in Halifax, Nova
Scotia. As of December 2013, the property was 80% occupied,
compared to 95% at last review. Moody's LTV and stressed DSCR are
55% and 1.78X, respectively, compared to 57% and 1.71X at the last
review.
The third largest loan is the Opus Hotel Loan ($15.8 million -- 6%
of the pool), which is secured by a 96-key boutique hotel located
in Vancouver, British Columbia. The loan is on the watchlist due
to previous delinquency and was in special servicing from 2008 to
2009. The borrower and the servicer worked out a payment plan to
bring the loan current. Moody's LTV and stressed DSCR are 157% and
0.83X, respectively, compared to 135% and 0.96X at the last
review.
REGATTA V FUNDING: Moody's Assigns Ba2 Rating on Class D Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Regatta V Funding Ltd.:
Moody's rating action is as follows:
$227,000,000 Class A-1A Floating Rate Notes due 2026 (the "Class
A-1A Notes"), Definitive Rating Assigned Aaa (sf)
$95,500,000 Class A-1B Floating Rate Notes due 2026 (the "Class
A-1B Notes"), Definitive Rating Assigned Aaa (sf)
$20,000,000 Class A-2A Floating Rate Notes due 2026 (the "Class
A-2A Notes"), Definitive Rating Assigned Aa2 (sf)
$20,000,000 Class A-2B1 Floating Rate Notes due 2026 (the "Class
A-2B1 Notes"), Definitive Rating Assigned Aa1 (sf)
$17,800,000 Class A-2B2 Floating Rate Notes due 2026 (the "Class
A-2B2 Notes"), Definitive Rating Assigned Aa3 (sf)
$26,000,000 Class B Deferrable Floating Rate Notes due 2026 (the
"Class B Notes"), Definitive Rating Assigned A2 (sf)
$26,000,000 Class C Deferrable Floating Rate Notes due 2026 (the
"Class C Notes"), Definitive Rating Assigned Baa3 (sf)
$27,700,000 Class D Deferrable Floating Rate Notes due 2026 (the
"Class D Notes"), Definitive Rating Assigned Ba2 (sf)
The Class A-1A Notes, the Class A-1B Notes, the Class A-2A Notes,
the Class A-2B1 Notes, the Class A-2B2 Notes, the Class B Notes,
the Class C Notes, and the Class D 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.
Regatta V 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 and
unsecured loans. The portfolio is expected to be at least 85%
ramped as of the closing date.
Napier Park Global Capital (US) LP (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: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.88%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2800 to 3220)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1B Notes: 0
Class A-2A Notes: -2
Class A-2B1 Notes: -2
Class A-2B2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 2800 to 3640)
Rating Impact in Rating Notches
Class A-1A Notes: -1
Class A-1B Notes: -1
Class A-2A Notes: -4
Class A-2B1 Notes: -3
Class A-2B2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D 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 Score provides 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 Score applies to the entire transaction,
rather than individual tranches.
SANDELMAN REALTY I: Fitch Cuts Rating on Class G Debt to 'Dsf'
--------------------------------------------------------------
Fitch Ratings has downgraded to 'D' and subsequently withdrawn the
rating on the last remaining rated class of Sandelman Realty CRE
CDO I, LTD (Sandelman Realty CRE CDO I). There are no remaining
assets in the transaction.
Key Rating Drivers
Since the last rating action, the CDO has effectively liquidated
with the disposal of the last remaining asset -- a 22% interest in
the REO Sawgrass Marriott Golf Resort & Spa, a full-service hotel
located in Ponte Vedra Beach, FL. The asset was resolved at a
recovery of approximately 60% to the CDO.
Per the October 2014 Note Valuation Report from the Trustee, the
principal proceeds were used to pay in full classes E and F and
partially pay off class G. Class G has a remaining balance of $2.2
million.
Fitch downgrades the following class:
-- $2.2 million class G to 'Dsf' from 'Csf'; RE 0% and withdrawn.
Classes A-1 through F and S have paid in full.
STONE TOWER VII: S&P Affirms BB+ Rating on Class C Notes
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1 and A-3 notes, affirmed its rating on the class A-2 notes from
Stone Tower CLO VII Ltd., and removed the three aforementioned
classes from CreditWatch, where they were placed with positive
implications on Aug. 29, 2014. Concurrently, S&P also affirmed
its 'A- (sf)' rating on the class B notes, and its 'BB+ (sf)'
rating on the class C notes from the same transaction. Stone
Tower CLO VII Ltd., managed by Stone Tower Debt Advisors, is a
collateralized loan obligation (CLO) transaction that closed in
August 2007.
The transaction recently exited its reinvestment period in
Sept. 2014. The upgrades reflect an increase in credit support to
the notes at their previous rating levels. In addition to the
underlying collateral's stable credit quality, the transaction had
a shorter weighted average life, and increased recoveries across
rating levels, notably at the 'AAA' and 'AA' levels.
Improvements are also evident in the increased
overcollateralization ratios across the rating categories since
S&P's previous rating actions in March 2012.
Despite the class B and C notes failing the largest-obligor
default test at the 'A' and 'BB' rating levels, respectively, the
affirmations of the ratings for these tranches take into account
the cash flow results that suggest higher ratings, the
transaction's improvements since S&P's last rating actions, and
its belief that the credit support available is commensurate with
the current rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Stone Tower CLO VII.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AA+(sf)/Watch Pos AAA (sf) 8.68% AAA (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf) 13.30% AA+ (sf)
A-3 AA- (sf)/Watch Pos AA+ (sf) 2.90% AA+ (sf)
B A- (sf) A+ (sf) 2.97% A- (sf)
C BB+ (sf) BB+ (sf) 2.04% 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.
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) AAA (sf) AA+ (sf)
A-3 AA+ (sf) AA (sf) AA (sf) AA+ (sf) AA+ (sf)
B A+ (sf) A- (sf) A (sf) AA- (sf) A- (sf)
C 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) AA (sf) AA+ (sf)
A-3 AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf)
B A+ (sf) A+ (sf) BBB (sf) A- (sf)
C BB+ (sf) BB (sf) B+ (sf) BB+ (sf)
RATING RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Stone Tower CLO VII Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-3 AA+ (sf) AA- (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM CREDITWATCH POSITIVE
Stone Tower CLO VII Ltd.
Rating
Class To From
A-2 AA+ (sf) AA+ (sf)/Watch Pos
RATINGS AFFIRMED
Stone Tower CLO VII Ltd.
Class Rating
B A- (sf)
C BB+ (sf)
VOYA CLO 2014-4: Moody's Assigns (P)B2 Rating on $5MM Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Voya CLO
2014-4, Ltd.
$325,000,000 Class A-1 Floating Rate Notes due 2026 (the "Class
A-1 Notes"), Assigned (P)Aaa (sf)
$31,600,000 Class A-2a Floating Rate Notes due 2026 (the "Class
A-2a Notes"), Assigned (P)Aa2 (sf)
$25,000,000 Class A-2b Fixed Rate Notes due 2026 (the "Class A-
2b Notes"), Assigned (P)Aa2 (sf)
$22,300,000 Class B Deferrable Floating Rate Notes due 2026 (the
"Class B Notes"), Assigned (P)A2 (sf)
$30,100,000 Class C Deferrable Floating Rate Notes due 2026 (the
"Class C Notes"), Assigned (P)Baa3 (sf)
$26,800,000 Class D Deferrable Floating Rate Notes due 2026 (the
"Class D Notes"), Assigned (P)Ba3 (sf)
$5,000,000 Class E Deferrable Floating Rate Notes due 2026 (the
"Class E Notes"), Assigned (P)B2 (sf)
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating (if any) may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Class A-1 Notes, the Class A-2a
Notes, the Class A-2b Notes, the Class B Notes, the Class C Notes,
the Class D Notes and the Class E Notes (collectively, the "Rated
Notes") address the expected losses posed to the holders of the
Rated Notes. The provisional ratings reflect the risks due to
defaults on the underlying portfolio of loans, the transaction's
legal structure, and the characteristics of the underlying assets.
Voya 2014-4 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% of the portfolio must be
invested in senior secured loans and eligible investments and up
to 10% of the portfolio may consist of second lien loans and
unsecured loans. The underlying collateral pool is expected to be
approximately 75% ramped as of the closing date.
Voya Alternative Asset Management LLC ("Voya" or the "Manager")
will direct the selection, acquisition and disposition of
collateral on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the
transaction's four year reinvestment period. Thereafter, purchases
are permitted using principal proceeds from unscheduled principal
payments and proceeds from sales of credit risk obligations and
credit improved obligations, and are subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue one class of
subordinated notes. The transaction incorporates interest and par
coverage tests which, if triggered, divert interest and principal
proceeds to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash-flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount of $500,000,000
Diversity of 60
WARF of 2720
Weighted Average Spread of 3.65%
Weighted Average Coupon of 7.0%
Weighted Average Recovery Rate of 47%
Weighted Average Life of 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 an increased
default probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), holding all other factors equal:
Percentage Change in WARF -- increase of 15% (from 2720 to 3128)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2a Notes: -2
Class A-2b Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2720 to 3536)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2a Notes: -3
Class A-2b Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
Class E 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.
Moody's V Score provides 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 Score applies to the entire transaction,
rather than individual tranches.
WACHOVIA BANK 2003-C6: Moody's Affirms Caa3 Rating on Cl. IO Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes of Wachovia Bank Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2003-C6 as follows:
Cl. N, Affirmed Aaa (sf); previously on Dec 19, 2013 Upgraded to
Aaa (sf)
Cl. O, Affirmed B1 (sf); previously on Dec 19, 2013 Upgraded to B1
(sf)
Cl. IO, Affirmed Caa3 (sf); previously on Dec 19, 2013 Downgraded
to Caa3 (sf)
Ratings Rationale
The rating on Class N was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The rating on Class O was affirmed at B1 (sf) due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges along with
concerns of interest shortfalls from clawbacks of outstanding
advances and special servied loans.
The rating on the IO class (Class IO) was affirmed based on the
credit performance (or the weighted average rating factor) of the
referenced classes.
Moody's rating action reflects a base expected loss of 9.5% of the
current balance, compared to 10.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.7% of the
original pooled balance, compared to 0.8% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of WBCMT 2003-C6.
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 5, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
Deal Performance
As of the October 15, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $14.7
million from $953 million at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 5% to
28% of the pool. One loan, constituting 15% of the pool, has
defeased and is secured by US government securities.
One loan, constituting 9% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Six loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $5.6 million. One loan,
the Trader's Joe's Plaza Loan ($4.1 million -- 28.1% of the pool)
is currently in special servicing. The loan is secured by a 45,000
square foot (SF) retail property located in Las Vegas, Nevada. The
loan transferred to special servicing in July 2013 due to maturity
default and the Borrower filed for Chapter 11 Bankruptcy in March
2014. The special servicer indicated the Bankruptcy proceedings
are ongoing. The property was 63% leased as of August 2014
compared to 74% leased as of December 2012. The property is
anchored by Trader Joe's which represents 28% of the rentable area
and has a lease expiration in October 2015.
Moody's received full or partial year 2013 operating results for
80% of the pool. Moody's weighted average conduit LTV is 75%,
compared to 80% at Moody's last review. Moody's conduit component
excludes loans with structured credit assessments, defeased loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 26% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 0.95X and 1.52X,
respectively, compared to 0.92X and 1.40X 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.
As of the October 2014 remittance statement, the deal has
cumulative interest shortfalls of $751,389. Due to clawbacks of
property protection advances from a previously modified loan,
Class O did not receive any of its scheduled interest payments
from the May 2014 through the September 2014 payment dates, had
cumulative shortfalls of $114,206 in September 2014. As of the
October 2014 remittance statement, all advances associated with
the modified loan were reimbursed and the outstanding interest
shortfalls to Class O were reduced to $72,263. Interest shortfalls
are caused by special servicing fees, including workout and
liquidation fees, appraisal entitlement reductions (ASERs), loan
modifications and extraordinary trust expenses.
The top three conduit loans represent 43% of the pool balance. The
largest conduit loan is the Rite Aid -- Las Vegas, NV Loan ($2.75
million -- 18.7% of the pool), which is secured by a 17,000 SF
retail property located in Las Vegas, Nevada. The property is
fully leased to Rite Aid, which subleases the space to Dollar
General. The loan is fully amortizing and matures in June 2023.
The loan and lease are co-terminous. Due to the single tenant
nature of the property, Moody's incorporated a lit/dark analysis
for this property. Moody's LTV and stressed DSCR are 85% and
1.27X, respectively, compared to 91% and 1.19X at last review.
The second largest conduit loan is the Bailey Building Loan ($2.05
million -- 14.0% of the pool), which is secured by a 45,000 SF
office located in Montgomery, Alabama. The property is 78% leased
as of September 2014, the same as at last review. All of the
leases at the property roll prior to the loan maturity date in
August 2018. Property performance declined in 2013 due to a
decrease in rental revenue. Moody's LTV and stressed DSCR are 83%
and 1.24X, respectively, compared to 64% and 1.62X at last review.
The third largest conduit loan is the Rite Aid -- Bayville, NJ
Loan ($1.4 million - 9.8% of the pool), which is secured by an
11,000 SF retail property located in Bayville, New Jersey. The
property is fully leased to Rite Aid through September 2018 (the
same as the loan maturity date). The loan is not fully amortizing,
but has amortized 35% since securitization. Due to the single
tenant nature of the property, Moody's incorporated a lit/dark
analysis for this property. Moody's LTV and stressed DSCR are 86%
and 1.26X, respectively, compared to 87% and 1.25X at last review.
WACHOVIA BANK 2005-C16: Moody's Affirms Ca Rating on Cl. O Certs
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five classes
and affirmed ten classes in Wachovia Bank Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-
C16 as follows:
Cl. A-J, Affirmed Aaa (sf); previously on May 22, 2014 Affirmed
Aaa (sf)
Cl. B, Affirmed Aaa (sf); previously on May 22, 2014 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on May 22, 2014 Upgraded to
Aaa (sf)
Cl. D, Affirmed Aaa (sf); previously on May 22, 2014 Upgraded to
Aaa (sf)
Cl. E, Upgraded to Aaa (sf); previously on May 22, 2014 Upgraded
to Aa2 (sf)
Cl. F, Upgraded to Aa2 (sf); previously on May 22, 2014 Upgraded
to A1 (sf)
Cl. G, Upgraded to A1 (sf); previously on May 22, 2014 Upgraded to
A3 (sf)
Cl. H, Upgraded to Baa3 (sf); previously on May 22, 2014 Upgraded
to Ba2 (sf)
Cl. J, Upgraded to Ba3 (sf); previously on May 22, 2014 Upgraded
to B1 (sf)
Cl. K, Affirmed B3 (sf); previously on May 22, 2014 Affirmed B3
(sf)
Cl. L, Affirmed Caa1 (sf); previously on May 22, 2014 Affirmed
Caa1 (sf)
Cl. M, Affirmed Caa2 (sf); previously on May 22, 2014 Affirmed
Caa2 (sf)
Cl. N, Affirmed Caa3 (sf); previously on May 22, 2014 Affirmed
Caa3 (sf)
Cl. O, Affirmed Ca (sf); previously on May 22, 2014 Affirmed Ca
(sf)
Cl. X-C, Affirmed Ba3 (sf); previously on May 22, 2014 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on five P&I classes were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 72% since Moody's last
review.
The ratings on P&I classes A-J, B, C and D were affirmed because
the transaction's key metrics, including Moody's loan-to-value
(LTV) ratio, Moody's stressed debt service coverage ratio (DSCR)
and the transaction's Herfindahl Index (Herf), are within
acceptable ranges.
The ratings on P&I classes K through O were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class, Class X-C, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 5.8% of the
current balance compared to 2.3% at Moody's prior review. Moody's
base expected loss plus realized losses is now 2.0% of the
original pooled balance compared to 2.2% at the prior review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Methodology Underlying the Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of WBCMT 2005-C16.
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 11 compared to 31 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 October 20, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 85% to $308 million
from $2.1 billion at securitization. The Certificates are
collateralized by 49 mortgage loans ranging in size from less than
1% to 18% of the pool, with the top ten loans (excluding
defeasance) representing 51% of the pool. Eight loans,
representing 22% of the pool have defeased and are secured by US
Government securities.
Thirty loans, representing 64% 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.
Thirteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $23 million (64% loss severity on
average). Four loans, representing 6% of the pool, are in special
servicing. The largest specially serviced loan is the Randall's
Center Southview Loan ($7.6 million -- 2.5% of the pool), which is
secured by a 115,000 square foot (SF) retail center located in
Houston, Texas. The property is currently REO and was 84% leased
as of December 2013. The servicer has recognized an approximately
$4.1 million appraisal reduction for this loan, while Moody's
estimates a $4.8 million loss.
The remaining three specially serviced loans are also secured by
retail properties. Moody's estimates an aggregate $8.4 million
loss for the specially serviced loans (44% expected loss on
average).
Moody's has assumed a high default probability for one poorly-
performing loan representing 2.8% of the pool and has estimated a
minimal loss on this loan.
Moody's received full-year 2013 operating results for 100% of the
pool and full or partial year 2014 operating results for 84%.
Moody's weighted average conduit LTV is 88% compared to 83% 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 14% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.33X and 1.19X,
respectively, compared to 1.38X and 1.20X at the last review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 18% of the pool
balance. The largest loan is the AON Office Loan ($53.7 million --
17.6% of the pool), which is secured by a 412,000 SF class A
office complex in Glenview, Illinois, a northern suburb of
Chicago. The property was 100% leased as of December 2013, the
same as at last review. Property performance has remained stable
and the loan is benefiting from amortization. AON Corporation is
the largest tenant, leasing 93% of net rentable area (NRA) through
April 2017. At this review, Moody's analysis incorporated a
lit/dark analysis to account for the potential risk of the
property being vacant following the lease expiration of the
current anchor tenant. Moody's LTV and stressed DSCR are 89% and
1.21X, respectively, compared to 88% and 1.13X at the last review.
The second largest loan is the Beach Shopping Center Loan ($35.7
million -- 11.7% of the pool), which is secured by a 229,000 SF
retail property located in Peekskill, New York, part of
Westchester County. As of June 2014, the property was 93% leased
compared to 96% leased at last review. The largest tenant is Stop
& Shop, occupying approximately 29% of the NRA. Moody's LTV and
stressed DSCR are 97% and 0.98X, respectively, compared to 97% and
0.97X at the last review.
The third largest loan is the Casa Bandera Apartments Loan ($11.2
million -- 3.7% of the pool), which is secured by a 232-unit
multifamily property in Las Cruces, New Mexico, and directly
across the street from New Mexico State University. The property
was 91% leased as of June 2014. Moody's LTV and stressed DSCR are
93% and 1.02X, respectively, compared to 84% and 1.12X at the last
review.
WALL STREET II: Moody's Raises Rating on Cl. E Notes to Ba2
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by One Wall Street CLO II Ltd.:
$15,500,000 Class C Deferrable Mezzanine Notes Due 2019,
Upgraded to Aa1 (sf); previously on March 26, 2014 Upgraded to
A2 (sf)
$16,000,000 Class D Deferrable Mezzanine Notes Due 2019,
Upgraded to Baa1 (sf); previously on March 26, 2014 Upgraded to
Ba1 (sf)
$10,500,000 Class E Deferrable Junior Notes Due 2019, Upgraded
to Ba2 (sf); previously on March 26, 2014 Affirmed B1 (sf)
Moody's also affirmed the ratings on the following notes:
$244,000,000 Class A-1 Senior Term Notes Due 2019 (current
outstanding balance of $72,091,806), Affirmed Aaa (sf);
previously on March 26, 2014 Affirmed Aaa (sf)
$50,000,000 Class A-2 Senior Delayed Draw Notes Due 2019
(current outstanding balance of $14,772,911), Affirmed Aaa
(sf); previously on March 26, 2014 Affirmed Aaa (sf)
$34,000,000 Class B Senior Notes Due 2019, Affirmed Aaa (sf);
previously on March 26, 2014 Upgraded to Aaa (sf)
One Wall Street CLO II Ltd., issued in March 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in April 2013.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization (OC) ratios since March 2014. The Class A-1 and
A-2 notes have been paid down by approximately 53.8% or $101.3
million since that time. Based on the trustee's October 2014
report, the OC ratios for the Class A/B, Class C, Class D and
Class E notes are reported at 137.2%, 124.0%, 112.8% and 106.5%,
respectively, versus February 2014 levels of 124.5%, 116.3%,
109.0% and 104.7%, respectively. Moody's notes that the OC ratios
from the trustee's October 2014 report do not reflect the $24.7
million paydown on the October 22, 2014 payment date.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on the trustee's October 2014
report, securities that mature after the notes do currently make
up approximately 6.0% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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% (2040)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +1
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3059)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
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 $173.7 million, defaulted
par of $3.1 million, a weighted average default probability of
14.14% (implying a WARF of 2550), a weighted average recovery rate
upon default of 50.26%, a diversity score of 41 and a weighted
average spread of 3.28%.
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.
WFRBS 2011-C2: Moody's Affirms B2 Rating on Class F Notes
---------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 11 classes
in WFRBS Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2011-C2 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jan 30, 2014 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jan 30, 2014 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jan 30, 2014 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jan 30, 2014 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jan 30, 2014 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Jan 30, 2014 Affirmed A2
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jan 30, 2014 Affirmed
Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Jan 30, 2014 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Jan 30, 2014 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jan 30, 2014 Affirmed
Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Jan 30, 2014 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on nine 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 two IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 1.5% of the
current balance compared to 1.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.4% of the
original pooled balance, compared to 1.7% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The 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.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of WFRBS 2011-C2.
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 18 compared to 21 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 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 October 20, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $1.24 billion
from $1.30 billion at securitization. The certificates are
collateralized by 50 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans constituting 53% of
the pool. Five loans, constituting 15% of the pool, have
investment-grade structured credit assessments. Six loans,
constituting 13% of the pool, have defeased and are secured by US
government securities.
Four loans, constituting 6% 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.
One loan, constituting 1% of the pool, is currently in special
servicing. The specially serviced loan is the Campus South and
Oakbrook Loan ($10 million -- 1% of the pool), which is secured by
two suburban office properties totaling 86,000 square feet (SF)
located 20 miles outside of Washington, D.C. in Reston, Virginia.
The loan transferred to special servicing on September 5, 2013 due
to imminent monetary default. The property was 68% leased as of
October 2014 compared to 70% as of June 2013. Moody's has
estimated a high probability of default for this loan.
Moody's received full year 2013 operating results for 100% of the
pool and partial year 2014 operating results for 99% of the pool.
Moody's weighted average conduit LTV is 78% compared to 85% 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 11% 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 1.67X and 1.32X,
respectively, compared to 1.58X and 1.22X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The first loan with a structured credit assessment is the Borgata
Ground Lease Loan ($59 million -- 5% of the pool), which is
secured by five parcels of land underlying portions of the Borgata
Hotel Casino & Spa Complex in Atlantic City, New Jersey. The
property is leased pursuant to four separate ground leases, all of
which expire in December 2070. Moody's value was stressed due to
ongoing concerns about casino revenue in Atlantic City. According
to the NJ Division of Gaming Enforcement, second quarter year-to-
date casino revenue dropped by approximately 20% between 2011 and
2014. Moody's structured credit assessment is baa2 (sca.pd)
compared to baa1 (sca.pd) at the last review.
The second loan with a structured credit assessment is the
Westfield Westland Mall Loan ($54 million -- 4% of the pool),
which is secured by 225,000 square feet (SF) of net rentable area
(NRA) contained within a 829,000 SF super regional mall located in
Hialeah, Florida. The mall is anchored by Macy's, Sears and JC
Penney, all of which are owned by the respective tenants and not
included in the collateral. The property as of June 2014 was 97%
leased, the same as at last review. Moody's structured credit
assessment and stressed DSCR are baa1 (sca.pd) and 1.67X,
respectively, compared to baa2 (sca.pd) and 1.64X at the last
review.
The third loan with a structured credit assessment is the Port
Charlotte Town Center Loan ($38 million -- 3% of the pool), which
is secured by 490,000 SF of NRA contained within a 774,000 SF
super regional mall in Port Charlotte, Florida. The mall contains
five anchors and a movie theater. The property is located along
Tamiami Trail (US 141). Occupancy as of June 2014 was 91% compared
to 88% at last review. Moody's structured credit assessment and
stressed DSCR are baa3 (sca.pd) and 1.47X, respectively, compared
to baa3 (sca.pd) and 1.37X at the last review.
The fourth loan with a structured credit assessment is the
Showcase Mall Phase II Loan ($23 million -- 2% of the pool), which
is secured by 42,000 SF of the Showcase Mall, a 332,000 SF retail
project fronting Las Vegas Boulevard and adjacent to the MGM. The
property is leased to two tenants (Grand Canyon Shops and Adidas)
as well as a kiosk leased to Vegas.com. Performance has remained
stable. Moody's structured credit assessment and stressed DSCR are
baa1 (sca.pd) and 1.63X, respectively, compared to baa1 (sca.pd)
and 1.78X at the last review.
The fifth loan with a structured credit assessment is the Hilton
Garden Inn Loan ($10 million -- 1% of the pool), which is secured
by a 160-room, full service hotel located off of Camino Real, the
main commercial thoroughfare connecting San Jose and the San
Francisco peninsula. The borrower developed the property in 1999
for $14.2 million, excluding the value of the land which the
family has owned since 1952. Moody's structured credit assessment
and stressed DSCR are aa3 (sca.pd) and 3.25X, respectively,
compared to a1 (sca.pd) and 3.21X at the last review.
The top three conduit loans represent 26% of the pool balance. The
largest loan is the Hollywood & Highland Loan ($159 million -- 13%
of the pool), which is secured by three five-story multi-tenant
retail buildings and one six-story theater located on Hollywood
Blvd in Los Angeles, California. Tenants include retail shops,
restaurants/eateries, nightclubs, one multi-screen cinema, a grand
ballroom, a bowling alley, and a large event theater. The
previously signed ten-year agreement with Cirque du Soleil was
terminated, resulting in a temporary decline in operating
performance that has since recovered. As of June 2014, the retail
space was 86% leased, the same as at last review. Moody's LTV and
stressed DSCR are 75% and 1.23X, respectively, compared to 97% and
0.95X at the last review.
The second largest loan is The Arboretum Loan ($87 million -- 7%
of the pool), which is secured by a Wal-Mart anchored retail
center totaling 563,000 SF located in Charlotte, North Carolina.
The property consists of 12 single-story buildings, five pad
sites, and a 16-screen movie theater. As of June 2014, the
property was 99% leased, the same as at last review. Moody's LTV
and stressed DSCR are 101% and 0.96X, respectively, compared to
102% and 0.95X at the last review.
The third largest loan is the Rentar Plaza Loan ($79 million -- 6%
of the pool), which is secured by a 1,567,000 SF mixed-use
property located in Middle Village, NY. Property uses include
warehouse/distribution (64% of NRA), retail (32%) and office (4%).
The property has been 100% leased since securitization. Moody's
LTV and stressed DSCR are 76% and 1.32X, respectively, compared to
73% and 1.37X at the last review.
* Moody's Takes Action on $381MM RMBS Issued 2005 to 2007
---------------------------------------------------------
Moody's Investors Service has upgraded the rating of 14 tranches
and downgraded the ratings of ten tranches from ten transactions
backed by Alt-A loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: American Home Mortgage Investment Trust 2005-2
Cl. I-A-3, Downgraded to C (sf); previously on Aug 23, 2010
Downgraded to Caa3 (sf)
Issuer: Banc of America Alternative Loan Trust 2006-3
Cl. 6-A-1, Downgraded to Ba2 (sf); previously on Nov 30, 2011
Downgraded to Baa3 (sf)
Issuer: Banc of America Funding 2005-B Trust
Cl. 3-A-3A, Upgraded to Ba3 (sf); previously on Jul 8, 2010
Downgraded to B2 (sf)
Cl. 3-A-3B, Upgraded to Ba3 (sf); previously on Aug 8, 2012
Confirmed at B2 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-2
Cl. I-M-1, Upgraded to B2 (sf); previously on Jul 23, 2013
Upgraded to Caa1 (sf)
Cl. II-A-2b, Upgraded to Caa2 (sf); previously on Aug 10, 2012
Downgraded to C (sf)
Issuer: Bear Stearns ALT-A Trust 2005-4
Cl. I-A-1, Upgraded to Baa3 (sf); previously on Jul 23, 2013
Upgraded to Ba1 (sf)
Cl. I-A-2, Upgraded to Ba2 (sf); previously on Jan 21, 2014
Upgraded to B1 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-7
Cl. I-1A-1, Upgraded to Ba1 (sf); previously on Jul 23, 2013
Upgraded to Ba3 (sf)
Cl. I-1A-2, Upgraded to B3 (sf); previously on Jan 21, 2014
Upgraded to Caa2 (sf)
Cl. I-2A-2, Upgraded to Ba3 (sf); previously on Jul 23, 2013
Upgraded to B2 (sf)
Cl. I-2A-3, Upgraded to B3 (sf); previously on Jan 21, 2014
Upgraded to Caa2 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-7
Cl. 7-A-1-1, Upgraded to Ba1 (sf); previously on Aug 8, 2012
Upgraded to Ba2 (sf)
Cl. 7-A-1-2, Upgraded to B1 (sf); previously on Jan 13, 2014
Upgraded to B2 (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2005-A2
Cl. 1-A-1, Upgraded to Ba2 (sf); previously on Aug 6, 2013
Upgraded to B1 (sf)
Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Aug 6, 2013
Upgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-14
Cl. 1-A1, Downgraded to Caa1 (sf); previously on Feb 7, 2014
Downgraded to B2 (sf)
Cl. 1-A7, Downgraded to Caa1 (sf); previously on Feb 7, 2014
Downgraded to B2 (sf)
Cl. AX, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B3 (sf)
Cl. PAX, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2007-2 Trust
Cl. 3-A-3, Downgraded to Caa3 (sf); previously on Sep 1, 2010
Downgraded to Caa2 (sf)
Cl. 3-A-4, Downgraded to Caa3 (sf); previously on Sep 1, 2010
Downgraded to Caa2 (sf)
Cl. 3-A-5, Downgraded to Caa3 (sf); previously on Sep 1, 2010
Downgraded to Caa2 (sf)
Cl. C-X, Downgraded to Caa3 (sf); previously on Sep 1, 2010
Downgraded to Caa2 (sf)
Ratings Rationale
The majority of 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 due to an
increase in enhancement available to the bonds. The ratings
downgraded are due to weaker performance of the underlying
collateral.
The rating action on American Home 2005-2 Class I-A-3 is based on
modification of the indenture with respect to allocation of losses
to this tranche. The prospectus supplement ("prosup") allows for
losses to be allocated first to Class I-A-3 and then to Class I-A-
2, but the indenture previously stated the reverse. The indenture
has now been amended to conform to the prosup, and the action
reflects this modification.
The rating action on Bear Stearns 2005-2 Class II-A-2b reflects a
correction to the modeling of the loss allocation waterfall. Once
subordinate tranches are depleted, the prosup states that Class
II-A-2b supports Class II-A-2a in terms of loss allocation, while
the PSA is silent regarding any such support. In previous rating
actions, Moody's considered the loss allocation rules as detailed
in the prosup, but the securities administrator has confirmed that
it is currently following the PSA. The error has now been
corrected, and the rating action reflects this change.
The downgrades of WaMu 2007-2 Classes 3-A-3, 3-A-4, and 3-A-5
reflect correction of a prior error. These exchangeable classes
are linked to, and should carry the same rating as, WaMu 2007-2
Class 3-A-1, but they were missed from Moody's February 5,2014
rating action in which Class 3-A-1 was downgraded to Caa3 (sf).
The error has now been corrected, and the rating actions reflect
this change. The rating of interest-only tranche Class C-X was
also downgraded to Caa3 (sf) in accordance with Moody's
methodology for rating Interest-Only (IO) securities, which
dictates that the rating for this tranche must be capped at the
highest-rated tranche in the deal.
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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% 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.
* Moody's Takes Rating Action on $57MM RMBS Issued from 2003-2004
-----------------------------------------------------------------
Moody's Investors Service, on Nov. 7, 2014, downgraded the rating
of one tranche and upgraded the ratings of eight tranches from
five subprime RMBS transactions backed by Subprime mortgage loans.
Complete rating action is as follows:
Issuer: First Franklin Mortgage Loan Trust 2004-FF11
Cl. M-2, Upgraded to Baa3 (sf); previously on Nov 13, 2013
Upgraded to Ba2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FFH4
Cl. M-7, Upgraded to Caa2 (sf); previously on Mar 5, 2013 Affirmed
Ca (sf)
Issuer: MASTR Asset Backed Securities Trust 2003-OPT2
Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 1, 2013
Affirmed B3 (sf)
Issuer: MASTR Asset Backed Securities Trust 2004-WMC1
Cl. M-2, Upgraded to B3 (sf); previously on Apr 17, 2013 Upgraded
to Caa1 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on May 3, 2012 Upgraded
to Ca (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 11, 2011
Downgraded to C (sf)
Issuer: MASTR Asset Backed Securities Trust 2004-WMC3
Cl. M-3, Upgraded to Ba3 (sf); previously on Apr 1, 2013 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Apr 1, 2013 Upgraded
to Caa3 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Apr 1, 2013 Affirmed
C (sf)
Ratings Rationale
The rating actions reflect recent performance of the underlying
pools and Moody's updated loss expectations on the pools. The
upgrade actions are a result of improving performance of the
related pools and/or improving credit enhancement on the bonds due
to continued availability of spread and failure of performance
triggers. The downgrade is result of 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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% 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.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com by e-mail.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to the nation's bankruptcy courts. The
list includes links to freely downloadable of these small-dollar
petitions in Acrobat PDF documents.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2014. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***