/raid1/www/Hosts/bankrupt/TCR_Public/141221.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, December 21, 2014, Vol. 18, No. 354
Headlines
ARROYO I: Fitch Raises Rating on Class C-2 Notes to 'Bsf'
ASSET SECURITIZATION 1997-D4: Moody's Rates Cl. PS-1 Certs 'Caa2'
ASSET SECURITIZATION 1997-D5: Moody's Rates Cl. PS-1 Certs 'Caa3'
BEAR STEARNS 2002-PBW1: Moody's Affirms Caa3 Rating on X-1 Certs
BEAR STEARNS 2006-PWR13: Fitch Lowers Rating on F Notes to 'Csf'
BLUEMOUNTAIN CLO 2014-2: S&P Affirms 'B' Rating on Class F Notes
BLUE HERON II: Fitch Affirms 'Csf' Rating on 6 Note Classes
CAREFREE PORTFOLIO 2014-CARE: S&P Gives Prelim B- Rating on F Debt
CGCMT 2010-RR2: Moody's Affirms Caa1 Rating on Cl. JP-A4B Certs
COMM 2007-C9: S&P Affirms CCC- Rating on Class E57-3 Notes
COMM 2014-CCRE21: Fitch Expects to Rate Class E Notes 'BB+sf'
COMM 2014-FL5: S&P Assigns 'B-' Rating on Class HFL2 Notes
COPPER RIVER: Moody's Raises Rating on $23.8MM Notes to Ba1
DIVERSIFIED ASSET I: Fitch Affirms 'BBsf' Rating on 2 Notes
ENERGY XXI: Fitch Affirms 'B' Issuer Default Rating
GS MORTGAGE 2006-CC1: Moody's Affirms Ca Rating on Class A Certs
GS MORTGAGE 2013-GC10: DBRS Confirms 'BB' Rating on Class E Certs
FIRSTMAC MORTGAGE: S&P Gives Prelim BB Rating on Class B-3 Notes
ING IM CLO 2011-1: S&P Raises Rating on Class D Notes to BB+
JP MORGAN 2005-LDP3: S&P Lowers Rating on Class F Notes to 'D'
JP MORGAN 2010-C1: Fitch Cuts Rating on $9MM Class F Debt to 'Bsf'
JP MORGAN 2010-C1: Moody's Cuts Rating on Class H Certs to Caa3
JP MORGAN-CIBC 2006-RR1: Moody's Affirms Ca Rating on A-1 Secs.
KEY COMMERCIAL 2007-SL1: Moody's Affirms C Rating on 2 Classes
KINDER MORGAN 2002-6: S&P Raises $10.5MM Certs Rating From 'BB'
LB-UBS COMMERCIAL 2007-C1: Fitch Raises Rating on A-J Notes to B
MERCER FIELD: Fitch Affirms 'BBsf' Rating on Class E Notes
PALISADES CDO: Moody's Raises Rating on 2 Note Classes to Ba1
PREFERREDPLUS TRUST ELP-1: S&P Raises Rating on 2 Notes From BB
RBSCF TRUST 2009-RR1: Moody's Affirms Ba1 Rating on JPMCC-A3 Debt
SELKIRK 2013-1: DBRS Confirms 'B' Rating on Class F Notes
SOLSTICE ABS III: Moody's Hikes Rating on $Cl. A-2 Notes to Caa3
STRATS TRUST 2004-6: S&P Lowers Rating on 2 Note Classes to BB
UBS-BARCLAYS 2012-C4: DBRS Confirms 'B' Rating on Class F Debt
WACHOVIA BANK 2004-C11: Moody's Affirms C Rating on 3 Certs
WFRBS 2013-C18: DBRS Confirms 'B' Rating on Class F Notes
WFRBS 2014-C25: DBRS Finalizes 'BB' Rating on Class E Certs
*********
ARROYO I: Fitch Raises Rating on Class C-2 Notes to 'Bsf'
---------------------------------------------------------
Fitch Ratings has upgraded three classes and assigned Rating
Outlooks to two classes of notes issued by Arroyo I CDO, Ltd., as:
-- $262,022 class B notes to 'AAAsf' from 'AAsf', Outlook
Stable;
-- $10,673,643 class C-1 notes to 'Bsf' from 'CCCsf', Outlook
Stable assigned;
-- $18,883,867 class C-2 notes to 'Bsf' from 'CCCsf', Outlook
Stable assigned.
KEY RATING DRIVERS
The upgrades are due to continued deleveraging of the capital
structure increasing credit enhancement (CE) levels available to
the notes and the stable performance of the portfolio.
Since Fitch's last rating action in February 2014, the credit
quality of the collateral has remained stable, with one asset
comprising approximately 2.7% of the portfolio downgraded 1 notch
and 8.7% upgraded a weighted average of 1.6 notches.
Approximately 60% of the current portfolio has a Fitch-derived
rating below investment grade and 36.1% has a rating in the
'CCCsf' rating category or lower, compared to 62.9% and 38.5%,
respectively, at last review.
The class B notes have received approximately $3.9 million in
principal repayment, since the last review, leaving 0.7% of the
original balance outstanding. These notes are now fully supported
by the cash in the principal collection account. Fitch expects
these notes to be paid in full on the next semi-annual payment
date in August 2015. As such, the notes are upgraded to 'AAA'.
The Outlook reflects Fitch's expectation of a stable performance
until the notes are fully paid down.
The class C notes are currently receiving their periodic interest
payments. The CE level to these notes has increased since Fitch's
last review to 43.5% from 39.8%. The notes are now able to pass
the 'Bsf' rating stress in 8 of the 12 scenarios of Fitch's cash
flow analysis. The upgrade of the class C notes is in line with
the breakeven levels from the cash flow model.
The Stable Outlook reflects the available cushion in the modeling
results to protect the notes against potential deterioration in
the credit quality of the underlying portfolio.
RATING SENSITIVITIES
The class B notes have limited rating sensitivity given their CE
level and the likelihood for the class to pay in full on the next
payment period.
The class C notes have downward rating sensitivity with respect to
further negative migration and defaults beyond those projected in
the SF PCM as well as increasing concentration in assets of a
weaker credit quality. Continuing amortization accompanied by
better than expected cash flows from distressed assets could lead
to an upgrade.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model (SF PCM) for
projecting future default levels for the underlying portfolio.
These default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under various
default timing and interest rate stress scenarios.
ASSET SECURITIZATION 1997-D4: Moody's Rates Cl. PS-1 Certs 'Caa2'
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
Asset Securitization Corporation, Commercial Mortgage Pass-Through
Certificates, Series 1997-D4 as follows:
Cl. PS-1, Affirmed Caa2 (sf); previously on Jan 10, 2014
Affirmed Caa2 (sf)
Ratings Rationale
The rating of the IO class, Class PS-1, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes The IO class is the only outstanding
Moody's-rated class in this transaction.
Factors that would lead to an upgrade or downgrade of the rating:
The rating of an IO class is based on the credit performance of
its referenced classes. An IO class may be upgraded based on a
lower weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description of Models Used
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.7. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Deal Performance
As of the November 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $43.0
million from $1.4 billion at securitization. The Certificates are
collateralized by two mortgage loans representing 12% and 88% of
the pool.
No loans are currently on the master servicer's watchlist.
Twenty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $28.4 million (20% loss severity on
average). One loan, representing 12% of the pool, is currently in
special servicing. Moody's estimates an aggregate $4.2 million
loss for the specially serviced loan (83% expected loss).
Moody's was provided with full year 2012 and full year 2013
operating results for the one non-specially serviced and non-
defeased loan in the pool. This loan is the Kmart Distribution
Center Loan ($37.9 million -- 88% of the pool), which is secured
by two warehouse/distribution centers totaling 2.8 million square
feet (SF). The loan is fully amortizing. One property is located
in Brighton, Colorado, which is approximately 22 miles northeast
of Denver and the second property is located in Greensboro, North
Carolina. The properties are 100% leased to Kmart through March
2022. Moody's analysis reflects the single-tenant risk. Moody's
LTV and stressed DSCR are 62% and 1.75X, respectively, compared to
56% and 1.91X at prior review.
ASSET SECURITIZATION 1997-D5: Moody's Rates Cl. PS-1 Certs 'Caa3'
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
Asset Securitization Corporation, Commercial Mortgage Pass-Through
Certificates, Series 1997-D5 as follows:
Cl. PS-1, Affirmed Caa3 (sf); previously on Jan 10, 2014
Downgraded to Caa3 (sf)
Ratings Rationale
The rating of the IO class, Class PS-1, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes. The IO class is the only outstanding
Moody's-rated class in this transaction.
Factors that would lead to an upgrade or downgrade of the rating:
The rating of an IO class is based on the credit performance of
its referenced classes. An IO class may be upgraded based on a
lower weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
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 ASC 1997-D5.
Description of Models Used
Moody's review utilized the excel-based CMBS Conduit Model v 2.64
which is used for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR and Moody's property quality
grade (which reflects the capitalization rate used by Moody's to
estimate Moody's value). Conduit model results at the B2 (sf)
level are driven by a paydown analysis based on the individual
loan level Moody's LTV ratio. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Negative pooling, or adding credit enhancement at
the credit assessment level, is incorporated for loans with
similar credit assessments in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3, compared to 4 at prior review.
In cases where 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. These aggregated
proceeds are then further adjusted for any pooling benefits
associated with loan level diversity, other concentrations and
correlations.
Deal Performance
As of the November 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $38.0
million from $1.8 billion at securitization. The Certificates are
collateralized by fifteen mortgage loans ranging in size from less
than 1% to 40% of the pool. Eight loans, representing 81% of the
pool have defeased and are secured by US Government securities.
One loan, representing 2% of the pool, is on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Twenty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $103 million (66% loss severity on
average).
There are currently no loans in special servicing.
Moody's was provided with full year 2013 and full or partial year
2014 operating results for 100% of the pool. Moody's weighted
average conduit LTV is 39% compared to 48% at Moody's prior
review. Moody's conduit component excludes loans with credit
assessments, defeased and CTL loans and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 14% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.03X and 3.08X,
respectively, compared to 0.92X and 2.47X at prior review. Moody's
actual DSCR is based on Moody's NCF and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The top three conduit loans represent 15% of the pool balance. The
largest loan is the 2080 North Black Horse Pike Loan ($3.8 million
-- 10% of the pool), which is secured by a 135,000 square foot
(SF) single tenant retail property in Williamstown, New Jersey
located approximately 24 miles southeast of Philadelphia. This
loan is fully-amortizing and is fully leased to Sam's Club (Wal-
Mart Stores) through October 2019, which is coterminous with the
maturity date of the loan. Moody's LTV and stressed DSCR are 48%
and 2.25X, respectively, compared to 47% and 2.31X at prior
review.
The second largest loan is the Value City -- Gurnee Loan ($970,000
-- 3% of the pool), which is secured by a 80,000 SF single tenant
retail property in Gurnee, Illinois located approximately 40 miles
north of Chicago. This loan is fully-amortizing and is fully
leased to Value City (American Signature, Inc.) through August
2017, which is coterminous with the maturity date of the loan.
Moody's analysis reflects the single tenant risk. Moody's LTV and
stressed DSCR are 33% and 3.24X, respectively, compared to 43% and
2.53X at prior review.
The third largest loan is the Southwind Apartments Loan ($740,000
-- 2% of the pool), which is secured by a 96 unit apartment
building in Bellevue, Nebraska located approximately six miles
south of Omaha. The property was 96% leased as of June 2014.
Moody's LTV and stressed DSCR are 23% and 4.40X, respectively,
compared to 25% and 4.18X at prior review.
BEAR STEARNS 2002-PBW1: Moody's Affirms Caa3 Rating on X-1 Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Bear Stearns Commercial Mortgage Securities Trust, Commercial
Mortgage Pass-Through Certificates, Series 2002-PBW1 as follows:
Cl. H, Affirmed Caa1 (sf); previously on Jan 24, 2014 Affirmed
Caa1 (sf)
Cl. X-1, Affirmed Caa3 (sf); previously on Jan 24, 2014
Affirmed Caa3 (sf)
Ratings Rationale
The rating on the P&I class was affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced class.
Moody's rating action reflects no additional expected trust loss,
the same as at Moody's last review. Moody's realized losses is now
5.1% of the original pooled balance, compared to 4.9% 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 paydown or amortization, loan
defeasance or an improvement in property performance.
Factors that could lead to a downgrade of the ratings include a
decline in property performance, an increase in realized and
expected losses from the loan and potential interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description of Models Used
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of one, 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 November 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 99.9% to $795,000
from $921 million at securitization. The certificates are
collateralized by one mortgage loan. The remaining loan, the First
and Cedar Building Loan ($794,911), is secured by a 45,000 square
foot office building located in Seattle, Washington. The property
was 71% leased as of October 2014 compared to 55% as of September
2013. The loan is fully amortizing and matures March 2017. The
loan has amortized 76% since securitization. Moody's LTV and
stressed DSCR are 24% and 6.52X, respectively, compared to 31% and
3.23X at last review.
The remaining loan is on the master servicer's watchlist due to
low occupancy. 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.
Eleven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $47 million (for an average loss
severity of 79%).
BEAR STEARNS 2006-PWR13: Fitch Lowers Rating on F Notes to 'Csf'
----------------------------------------------------------------
Fitch Ratings has affirmed the super senior and mezzanine classes
of Bear Stearns Commercial Mortgage Securities Trust, 2006-PWR13,
commercial mortgage pass-through certificates, and downgraded two
distressed classes.
Key Rating Drivers
The downgrade of the distressed classes is due to greater
certainty of losses associated with specially serviced loans and
increased losses from performing loans with performance declines.
Fitch modeled slightly lower losses of 8.3% for the remaining
pool; expected losses of the original pool are at 9.8%, including
losses already incurred to date. Approximately 40% of the non-
specially serviced loans have a Fitch stressed loan to value
greater than 90%. Fitch has designated 137 loans (45.9% of the
pool) as Loans of Concern. In total, there are nine loans (5.3%
of the pool) in special servicing, including one (0.1%) that is
real estate owned (REO).
As of the November 2014 distribution date, the pool's aggregate
principal balance has been reduced by approximately 24.4% to $2.20
billion from $2.91 billion at issuance. Realized losses to date
have been $103.5 million (3.6% of the pool's original balance).
Classes J through P have been depleted due to realized losses
associated with loan dispositions and restructured loans and
realized losses have reached class H as of the November 2014
distribution. Excluding the specially serviced loans,
approximately 83.5% of the remaining pool, or $1.92 billion, is
scheduled to mature in the next 24 months.
Rating Sensitivities
The Negative Outlook on class A-J reflects the likelihood of
deterioration of credit enhancement due to higher than modeled
losses on disposition of defaulted assets, modified or highly
levered loans remaining in the pool. In addition, a top 10 loan,
First Industrial Portfolio (2.2%) transferred to special servicing
in June 2014, though remains current as of November 2014. There
are also 137 loans considered Fitch loans of Concern as indicated
above.
The largest contributor to modeled loss is secured by an
industrial warehouse facility located in Phillipsburg, NJ (1% of
the pool balance). The loan transferred to special servicing in
July 2010 due to monetary default and has a receiver in place.
The most recent reported occupancy was 45% with a valuation
significantly below the trust debt amount.
The second largest contributor to modeled loss is a specially
serviced loan secured by a neighborhood retail center (0.9% of the
pool) located in Sparks, NV outside of Reno. The property lost
Target in 2010 and is currently less than 50% occupied. A receiver
is in place and the former Target space remains vacant.
The third largest contributor to modeled loss is Paces West (3.5%
of the pool). The loan was modified and split between an A-note
and B-note, or hope note and the property's occupancy was reported
as 78.4% as of June 2014. Though occupancy is near underwritten
levels, operating cash flow has remained significantly below.
Fitch has downgraded these classes as indicated:
-- $40 million class D to 'CCsf' from 'CCCsf', RE 0%;
-- $32.7 million class F to 'Csf' from 'CCsf', RE 0%.
Fitch has affirmed these classes:
-- $1.1 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $301.3 million class A-1A at 'AAAsf'; Outlook Stable;
-- $290.7 million class A-M at 'AAAsf'; Outlook Stable;
-- $232.5 million class A-J at 'BBsf'; Outlook Negative;
-- $65.4 million class B at 'CCCsf', RE 100%;
-- $29.1 million class C at 'CCCsf', RE 60%;
-- $29.1 million class E at 'CCsf', RE 0%;
-- $32.7 million class G at 'Csf', RE 0%;
-- $16.4 million class H at 'Dsf', RE 0%.
Classes J, K, L, M, N and O are affirmed at 'Dsf', RE 0% due to
realized losses. Classes A-1, A-2, A-3 and A-AB have paid in
full. Fitch does not rate the fully depleted class P. Fitch
previously withdrew the rating on the interest-only classes X-1
and X-2.
BLUEMOUNTAIN CLO 2014-2: S&P Affirms 'B' Rating on Class F Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
BlueMountain CLO 2014-2 Ltd./BlueMountain CLO 2014-2 LLC's $511.15
million fixed- and floating-rate notes following the transaction's
effective date as of Sept. 18, 2014.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of its review based on the information presented to S&P.
S&P believes the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of S&P's criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P added.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as S&P deems
necessary.
RATINGS AFFIRMED
BlueMountain CLO 2014-2 Ltd./BlueMountain CLO 2014-2 LLC
Class Rating Amount
(mil. $)
A AAA(sf) 340.00
B-1 AA(sf) 43.05
B-2 AA(sf) 17.00
C (deferrable) A(sf) 45.25
D (deferrable) BBB(sf) 27.30
E (deferrable) BB(sf) 22.25
F (deferrable) B(sf) 16.30
BLUE HERON II: Fitch Affirms 'Csf' Rating on 6 Note Classes
-----------------------------------------------------------
Fitch Ratings has affirmed seven classes of notes issued by Blue
Heron Funding II Ltd. (Blue Heron II), as:
-- $133,651,451 class A notes at 'Csf';
-- $17,205,585 class B notes at 'Csf';
-- $34,409,633 class C notes at 'Csf';
-- $22,947,538 class D notes at 'Csf';
-- $19,103,328 class E notes at 'Csf';
-- $19,103,328 class E Additional Interest at 'Csf';
-- $3,986,875 Certificates at 'AAAsf'/Outlook Stable;
KEY RATING DRIVERS
The affirmations are due to the continued under collateralization
of the notes as well as the deleveraging of the capital structure
being in line with Fitch's prior expectations.
Since Fitch's last rating action in December 2013, the portfolio
balance has declined to $116.9 million from $143.9 million. The
class A notes have amortized by 26.5 million. Writedowns in the
portfolio have left the entire capital structure of Blue Heron II
with negative credit enhancement (CE) levels. Principal proceeds
have been needed intermittently to cover shortfalls in interest
collections for accrued interest to the class A, B and C notes,
which had also contributed to the erosion of CE.
The class A, B and C notes are rated to the timely receipt of
interest and continue to receive accrued interest distributions,
from a combination of interest and principal collections. The
class D and E notes, and class E additional interest are no longer
receiving interest distributions due to failing class A/B/C
coverage tests.
The expected losses exceed the class A, B, C, D, E, and E
Additional Interest's CE level and the probability of default was
evaluated without factoring potential further losses from the
currently performing collateral of each portfolio. In the absence
of mitigating factors, these classes were affirmed at 'Csf'.
The certificates are rated to the ultimate receipt of principal,
where coupon payments received in the interest waterfall are
applied to reduce the outstanding rated balance. While these
distributions are no longer being made due to failing coverage
tests and are not expected to resume in the future, the principal
of the certificates is protected by a Certificate Protection
Asset, which is a zero-coupon bond with a face value of $6 million
maturing in April 2030, that was issued by Resolution Funding
Corporation, a U.S. government agency. As per the terms of the
transaction, no party to the transaction other than the
certificate-holders have claim against the Certificate Protection
Asset. Therefore, the certificates are affirmed at 'AAAsf' and
retain their Stable Outlook.
RATING SENSITIVITIES
The notes have limited sensitivity to further negative migration
given their highly distressed rating levels. However, there is
potential for non-deferrable classes to be downgraded to 'Dsf'
should they experience any interest payment shortfalls.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model (SF PCM) for
projecting future default levels for the underlying portfolio.
These default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under various
default timing and interest rate stress scenarios.
CAREFREE PORTFOLIO 2014-CARE: S&P Gives Prelim B- Rating on F Debt
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to the Carefree Portfolio Trust 20140-CARE $650 million
commercial mortgage pass-through certificates.
The certificate issuance is a commercial mortgage-backed
securities transaction backed by a two-year floating-rate
commercial mortgage loan totaling $650 million with three one-year
extension options, secured by the fee interests, leasehold
interests, and pledge of equity in 68 manufactured housing
communities, extended-stay recreational vehicle communities, or
vacation/leisure recreational vehicle communities across seven
states and Canada.
The preliminary ratings are based on information as of Dec. 4,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect Standard & Poor's Ratings
Services' view of the collateral's historical and projected
performance, the sponsors' and managers' experience, the trustee-
provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS LIST
Carefree Portfolio Trust 2014-CARE
Class Prelim rating Prelim amount ($)
A AAA (sf) 310,200,000
X-CP B- (sf) 552,500,000*
X-EXT B- (sf) 650,000,000*
B AA- (sf) 92,100,000
C A- (sf) 55,100,000
D BBB- (sf) 56,900,000
E BB- (sf) 75,900,000
F B- (sf) 59,800,000
* Notional balance. The notional balance of the class X-CP
certificates will be equal to the aggregate balance of the class
B, C, D, E, and F certificates, plus a $212,700,000 portion of
class A certificates.
CGCMT 2010-RR2: Moody's Affirms Caa1 Rating on Cl. JP-A4B Certs
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following certificates issued by CGCMT 2010-RR2 Trust,
Resecuritization Pass-Through Certificates, Series 2010-RR2
("CGCMT 2010-RR2"):
Cl. CS-A3A, Affirmed Aaa (sf); previously on Jan 10, 2014 Affirmed
Aaa (sf)
Cl. CS-A3B, Affirmed Aa1 (sf); previously on Jan 10, 2014 Affirmed
Aa1 (sf)
Cl. JP-A4A, Affirmed Baa2 (sf); previously on Jan 10, 2014
Downgraded to Baa2 (sf)
Cl. JP-A4B, Affirmed Caa1 (sf); previously on Jan 10, 2014
Downgraded to Caa1 (sf)
Ratings Rationale
Moody's has affirmed the ratings on the transaction because its
key transaction metrics are commensurate with existing ratings.
The affirmation is the result of Moody's on-going surveillance of
commercial real estate resecuritization (CRE Non-Pooled ReRemic)
transactions.
CGCMT 2010-RR2 is a non-pooled Re-Remic pass through trust
("resecuritization") backed by two ring-fenced commercial mortgage
backed security (CMBS) certificates: 4.0% of the Class A-3 issued
by Credit Suisse Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2006-C5 (the "Group I Underlying
Security"); and 8.5% of the Class A-4 issued by J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates, Series 2008-C2 (the "Group II Underlying
Security"). Both the Group I (CSMC 2006-C5) certificates and the
Group II (JPMCC 2008-C2) certificates are backed by fixed-rate
mortgage loans secured by first liens on commercial and
multifamily properties.
Moody's has affirmed the ratings on the both Group I Underlying
Security and Group II Underlying Security. The affirmations
reflected a base expected loss of 8.4% of the current balance for
the underlying CSMC 2006-C5 transaction and 17.4% for the
underlying JPMCC 2008-C2 transaction.
Updates to key parameters, including the constant default rate
(CDR), the constant prepayment rate (CPR), the weighted average
life (WAL), and the weighted average recovery rate (WARR), did not
materially change the expected loss estimate of the resecuritized
classes.
The Group I Underlying Security (A-3 of CSMC 2006-C5) and the
Group II Underlying Security (A-4 of JPMCC 2008-C2) have WALs of
1.7 years and 3.0 years, respectively, assuming a CDR of 0% and
CPR of 0%. For delinquent loans (30+ days, REO, foreclosure,
bankrupt), Moody's assumes a fixed WARR of 40% while a fixed WARR
of 50% for current loans. Moody's also ran a sensitivity analysis
on the classes assuming a WARR of 40% for current loans. This
impacts the modeled ratings of the Group I and Group II
certificates by 0 to 1 notch downward.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating Resecuritizations" published in February 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the certificates are subject to uncertainty,
because they are sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that are subject to change. The servicing decisions of the master
and special servicer and surveillance by the operating advisor
with respect to the collateral interests and oversight of the
transaction will also affect the performance of the rated
certificates.
Because the credit quality of the resecuritization depends on that
of the underlying CMBS certificates, whose credit quality in turn
depends on the performance of the underlying commercial mortgage
pool, any change to the ratings on the underlying certificates
could lead to a review of the ratings of the certificate.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and certain commercial real estate property
markets. Commercial real estate property values continue to
improve modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
COMM 2007-C9: S&P Affirms CCC- Rating on Class E57-3 Notes
----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 21
classes of commercial mortgage pass-through certificates from COMM
2007-C9, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
S&P's affirmations on the pooled principal- and interest-paying
certificates follow its 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 the
current and future performance of the remaining assets in the
pool, the transaction's structure, the liquidity available to the
trust, and the results of S&P's cash flow analysis.
The affirmations also reflect S&P's expectation that the available
credit enhancement for these classes will be within S&P's estimate
of the necessary credit enhancement required for the current
ratings.
The affirmation of S&P's 'AAA (sf)' rating on class A-AB considers
the results of its cash flow analysis, which indicated that the
bond should receive its full principal repayment with time
tranching.
S&P's rating actions on the class E57 rake certificates follow its
analysis of the 135 East 57th Street loan ($82.1 million mortgage
loan, split into a $67.1million senior pooled component and a
$15.0 million subordinate nonpooled component). The loan's $15.0
million subordinate nonpooled component represents the sole
collateral for the rake certificates. The loan is secured by the
leasehold interest in a 427,483-sq.-ft. class A office building in
the Plaza District submarket of Manhattan. Reported occupancy at
the property was 50.1% as of April 30, 2014, and the reported
effective gross income was insufficient to cover operating
expenses for 2013.
S&P affirmed its 'AAA (sf)' rating on the class X-S interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the Nov. 10, 2014, trustee remittance report, the collateral
pool balance was $2.41 billion, which is 83.4% of the pool balance
at issuance. The pool currently includes 81 loans and one real
estate-owned (REO) asset (reflecting crossed loans), down from 108
loans at issuance, three ($32.3 million, 1.3%) are with the
special servicer, and 23 ($602.5 million, 25.0%) are on the master
servicers' combined watchlist. The master servicers, Berkadia
Commercial Mortgage LLC (Berkadia) and KeyBank Real Estate Capital
(KeyBank), reported financial information for 94.5% of the loans
in the pool, of which 61.8% was year-end 2013 data.
S&P calculated a Standard & Poor's weighted average debt service
coverage (DSC)of 1.23x and loan-to-value (LTV) ratio of 97.1%
using a Standard & Poor's weighted average capitalization rate of
7.53%. The DSC, LTV, and capitalization rate calculations exclude
the three specially serviced assets, one ground-lease loan ($23.5
million, 1.0%), one nonreporting loan ($8.9 million, 0.4%), and
one subordinate B hope note ($4.9 million, 0.2%). The top 10
loans have a $1.5 billion (61.4%) aggregate outstanding pool trust
balance.
Using servicer-reported numbers, S&P calculated a Standard &
Poor's weighted average DSC and LTV of 1.19x and 99.0%,
respectively, for the top 10 loans.
The properties securing the underlying loans are concentrated
within the New York-Newark-Jersey City, Washington-Arlington-
Alexandria, and Miami-Fort Lauderdale-West Palm Beach metropolitan
statistical area (MSAs). Standard & Poor's U.S. Public Finance
Group provides credit ratings on New York City, Arlington County,
and Miami-Dade County, which participate within these MSAs.
To date, the transaction has experienced $53.8 million in
principal losses, or 1.9% of the original pool trust balance. S&P
expects losses to reach approximately 2.4% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the three specially
serviced assets' eventual resolution.
CREDIT CONSIDERATIONS
As of the Nov. 10, 2014, trustee remittance report, three assets
in the pool were with the special servicer, Situs Holdings LLC
(Situs). Details of the specially serviced assets are given:
The Davis Commons Apartments loan ($14.0 million, 0.6%) has $17.9
million in total reported exposure and is secured by a 180-unit
multifamily property located in Charlotte, N.C. The loan was
transferred to Situs on April 6, 2010, due to monetary default
because occupancy declined at the property. Situs indicated that
it has filed for foreclosure. As of Aug. 2014, occupancy was
87.2% per the servicer reporting files. An $115,858 appraisal
reduction amount(ARA) is in effect against this loan and S&P
expects a minimal loss (less than 25%) upon its eventual
resolution.
The 510 Township Road REO asset ($13.6 million, 0.5%) has $17.1
million in total reported exposure and is an 86,909-sq.-ft.
suburban office in Blue Bell,Pa. The loan was transferred to
Situs on Jan. 6, 2010, due to payment default. The borrower had
indicated that they did not have the financial wherewithal to
carry this property any longer, which then became REO on July 25,
2012, and is currently 68.0% occupied, per servicer reports. A
$6.5 million ARA is in effect against this asset and S&P expects a
significant loss (60% or greater) upon its eventual resolution.
The 110 Shawmut Road loan ($4.7 million, 0.2%) has $4.8 million in
total reported exposure and is secured by a 70,350-sq.-ft.
industrial flex building in Canton, Mass. The loan was
transferred to Situs on Sept. 9, 2014, due to maturity default
(the loan matured on Sept. 1, 2014). The property is currently
71.3% occupied, per servicer reports, and the reported DSC was
0.96x for year-end 2013. S&P expects a minimal loss upon its
eventual resolution.
RATINGS LIST
COMM 2007-C9
Commercial mortgage pass-though certificates series 2007-C9
Rating Rating
Class Identifier To From
A-AB 20047RAD5 AAA (sf) AAA (sf)
A-4 20047RAE3 AA (sf) AA (sf)
A-1A 20047RAF0 AA (sf) AA (sf)
AM 20047RAG8 BBB+ (sf) BBB+ (sf)
A-J 20047RAH6 BB (sf) BB (sf)
B 20047RAJ2 BB- (sf) BB- (sf)
C 20047RAK9 B+ (sf) B+ (sf)
D 20047RAL7 B+ (sf) B+ (sf)
E 20047RAM5 B+ (sf) B+ (sf)
F 20047RAN3 B (sf) B (sf)
XS 20047RAP8 AAA (sf) AAA (sf)
AM-FL 20047RAQ6 BBB+ (sf) BBB+ (sf)
AJ-FL 20047RBK8 BB (sf) BB (sf)
G 20047RAR4 B (sf) B (sf)
H 20047RAS2 B- (sf) B- (sf)
J 20047RAT0 B- (sf) B- (sf)
K 20047RAU7 B- (sf) B- (sf)
L 20047RAV5 CCC+ (sf) CCC+ (sf)
E57-1 20047RBC6 BB- (sf) BB- (sf)
E57-2 20047RBD4 B+ (sf) B+ (sf)
E57-3 20047RBE2 CCC- (sf) CCC- (sf)
COMM 2014-CCRE21: Fitch Expects to Rate Class E Notes 'BB+sf'
-------------------------------------------------------------
Fitch Ratings has issued a presale report on Deutsche Bank
Securities, Inc.'s COMM 2014-CCRE21 Commercial Mortgage Trust
Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as:
-- $30,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $91,176,000 class A-2 'AAAsf'; Outlook Stable;
-- $49,250,000 class A-SB 'AAAsf'; Outlook Stable;
-- $185,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $221,965,000 class A-4 'AAAsf'; Outlook Stable;
-- $629,974,000a class X-A 'AAAsf'; Outlook Stable;
-- $52,583,000b class A-M 'AAAsf'; Outlook Stable;
-- $46,398,000b class B 'AA-sf'; Outlook Stable;
-- $136,099,000b class PEZ 'A-sf'; Outlook Stable;
-- $37,118,000b class C 'A-sf'; Outlook Stable;
-- $85,516,000ac class X-B 'A-sf'; Outlook Stable;
-- $40,211,000ac class X-C 'BBB-sf'; Outlook Stable;
-- $40,211,000c class D 'BBB-sf'; Outlook Stable;
-- $8,248,000c class E 'BB+sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Class A-M, B and C certificates may be exchanged for class
PEZ certificates, and class PEZ certificates may be exchanged
for class A-M, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Dec. 4, 2014. Fitch does not expect to rate the
$27,839,000 interest-only class X-D, the $18,559,000 interest-only
class X-E, the $24,745,357 interest-only class X-F, the
$19,591,000 class F, the $10,310,000 class G, the $8,249,000 class
H, or the $24,745,357 class J certificates.
The certificates represent the beneficial ownership interest in
the trust, primary assets of which are 59 loans secured by 79
commercial properties having an aggregate principal balance of
approximately $824.8 million, as of the cutoff date. The loans
were contributed to the trust by German American Capital
Corporation, Cantor Commercial Real Estate Lending, L.P., KeyBank
National Association, Natixis Real Estate Capital LLC, UBS Real
Estate Securities, Inc., and Pillar Funding LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 58.2% of the properties
by balance, cash flow analysis of 82.9%, and asset summary reviews
on 82.9% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: This transaction has higher leverage than
other recent Fitch-rated fixed-rate deals. The pool's Fitch DSCR
of 1.17x is slightly below the first-half 2014 average of 1.19x.
The pool's Fitch LTV of 111.0% exceeds the first-half 2014 average
of 105.6%.
Limited Amortization: The pool is scheduled to amortize by only
9.8% of the initial pool balance prior to maturity. Ten loans
(32.7%), including four of the top 10 loans, are full-term
interest only (IO), and 21 loans (34.6%) are partial IO. Fitch-
rated transactions in the first half of 2014 had an average full-
term IO percentage of 18.3% and a partial IO percentage of 37.8%.
High Hotel and Multifamily Concentration: Hotel properties
comprise 19.8% of the pool, which is greater than the 2013 and
first-half 2014 averages of 14.7% and 13.3%, respectively.
Multifamily properties comprise of 25.6% of the pool, which is
greater than the 2013 and first-half 2014 averages of 17.2% and
12.1%, respectively. Hotels have the highest probability of
default in Fitch's multiborrower model, whereas multifamily
properties have the lowest probability of default in Fitch's
multiborrower model.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 17.2% below
the most recent net operating income (NOI; for properties for
which a recent NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans, and could result in potential
rating actions on the certificates. Fitch evaluated the
sensitivity of the ratings assigned to COMM 2014-CCRE21
certificates and found that the transaction displays slightly
above average sensitivity to further declines in NCF. In a
scenario in which NCF declined a further 20% from Fitch's NCF, a
downgrade of the junior 'AAAsf' certificates to 'A-sf' could
result. In a more severe scenario, in which NCF declined a
further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'BBBsf' could result. The presale report includes
a detailed explanation of additional stresses and sensitivities on
pages 68 - 69.
The master servicer will be Midland Loan Services, a Division of
PNC Bank, National Association, rated 'CMS1' by Fitch. The
special servicer will be LNR Partners, LLC, rated 'CSS1-'.
COMM 2014-FL5: S&P Assigns 'B-' Rating on Class HFL2 Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to COMM
2014-FL5 Mortgage Trust's $557.1 million commercial mortgage pass-
through certificates.
The certificate issuance is a commercial mortgage-backed
securities transaction backed by six floating-rate loans secured
by the fee interest in 20 limited-service, extended-stay, select-
service, and full-service hotels called the K Hospitality
Portfolio, the fee interest in 16 skilled nursing and assisted
living facilities called the Sava II Portfolio, the fee and
leasehold interest in the Hilton Fort Lauderdale hotel, the fee
interest in a suburban office property called Park Central, the
fee and leasehold interest in the Marriott Fairview Park hotel,
and the leasehold interest in 10 office, retail, and parking
garages properties called the Peachtree Center Portfolio. The
Sava II Portfolio loan is not pooled.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and managers' experience, the
trustee-provided liquidity, the loans' terms, and the
transaction's structure.
RATINGS ASSIGNED
COMM 2014-FL5 Mortgage Trust
Class Rating(i) Amount ($)
A AAA (sf) 210,399,000
X-CP(ii) BBB- (sf) 377,863,000(ii)
X-EXT(ii) BBB- (sf) 377,863,000(ii)
B AA- (sf) 60,706,000
C A (sf) 31,547,000
D BBB- (sf) 75,211,000
KH1(iii) BB- (sf) 32,750,000
KH2(iii) B (sf) 21,045,200
HFL1(iii) BB- (sf) 16,772,000
HFL2(iii) B- (sf) 11,959,000
MFP1(iii) BB- (sf) 10,375,000
MFP2(iii) B (sf) 5,098,000
PC1(iii) BB- (sf) 9,197,000
PC2(iii) B (sf) 3,390,000
PCH(iii) BB (sf) 8,632,000
SV1(iii) AAA (sf) 25,622,000
SV-X-CP(ii) BBB- (sf) 60,000,000(ii)
SV-X-EXT(ii) BBB- (sf) 60,000,000(ii)
SV2(iii) AA (sf) 10,018,000
SV3(iii) A (sf) 10,365,000
SV4(iii) BBB- (sf) 13,995,000
(i) The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii) Notional balance.
(iii) Loan-specific class.
COPPER RIVER: Moody's Raises Rating on $23.8MM Notes to Ba1
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Copper River CLO Ltd.:
$49,000,000 Class B Senior Secured Floating Rate Notes Due
2021, Upgraded to Aaa (sf); previously on January 8, 2014
Upgraded to Aa2 (sf)
$47,600,000 Class C Secured Deferrable Floating Rate Notes Due
2021, Upgraded to Aa3 (sf); previously on January 8, 2014
Affirmed A3 (sf)
$35,000,000 Class D Secured Deferrable Floating Rate Notes Due
2021, Upgraded to Baa1 (sf); previously on January 8, 2014
Affirmed Baa3 (sf)
$23,800,000 Class E Secured Deferrable Floating Rate Notes Due
2021, Upgraded to Ba1 (sf); previously on January 8, 2014
Affirmed Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
$137,670,000 Class A-1A Senior Secured Floating Rate Notes Due
2021 (current outstanding balance of $77,496,467.46), Affirmed
Aaa (sf); previously on January 8, 2014 Affirmed Aaa (sf)
$180,000,000 Class A-1B Senior Secured Delay Settle Floating
Rate Notes Due 2021 (current outstanding balance of
$101,324,646.93), Affirmed Aaa (sf); previously on January 8,
2014 Affirmed Aaa (sf)
$165,000,000 Class A-2A Senior Secured Floating Rate Notes Due
2021 (current outstanding balance of $84,869,152.90), Affirmed
Aaa (sf); previously on January 8, 2014 Affirmed Aaa (sf)
$18,330,000 Class A-2B Senior Secured Floating Rate Notes Due
2021, Affirmed Aaa (sf); previously on January 8, 2014 Upgraded
to Aaa (sf)
Copper River 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
January 2014.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
overcollateralization ratios (OCs) since the last rating action in
January 2014. The Class A-1A and A-1B notes have been paid down by
approximately 43.7% or $138.8 million and the Class A-2A notes
have been paid down by approximately 48.6% or $80.1 million since
January 2014. Based on the trustee's November 2014 report, the
Class A/B, Class C, Class D, and Class E OC ratios are reported at
154.37%, 134.97%, 123.54%, 116.82%, respectively, versus January
2014 levels of 133.05%, 122.45%, 115.68%, and 111.49%,
respectively.
Nevertheless, the credit quality of the portfolio has
deteriorated. Based on Moody's calculations, the weighted average
rating factor is currently 3532 compared to 3383 in January 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.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes 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% (2826)
Class A-1A: 0
Class A-1B: 0
Class A-2A: 0
Class A-2B: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +2
Moody's Adjusted WARF + 20% (4239)
Class A-1A: 0
Class A-1B: 0
Class A-2A: 0
Class A-2B: 0
Class B: -1
Class C: -2
Class D: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in 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 $510.9 million, defaulted
par of $3.0 million, a weighted average default probability of
26.04% (implying a WARF of 3532), a weighted average recovery rate
upon default of 50.13%, a diversity score of 45 and a weighted
average spread of 4.19% (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.
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 2.6% of the collateral
pool.
DIVERSIFIED ASSET I: Fitch Affirms 'BBsf' Rating on 2 Notes
-----------------------------------------------------------
Fitch Ratings has affirmed two classes of notes issued by
Diversified Asset Securitization Holdings I, L.P. (DASH I), as:
-- $17,706,513 class A-1 notes at 'BBsf'; Outlook Stable
-- $3,655,014 class A-2 notes at 'BBsf'; Outlook Stable
Key Rating Drivers
The affirmations are due to continued deleveraging of the capital
structure being in line with Fitch's prior expectations and the
stable performance of the portfolio.
Since Fitch's last rating action in April 2014, the credit quality
of the collateral has remained stable, with one asset comprising
approximately .4% of the portfolio downgraded three notches and
17.0% upgraded a weighted average of one notch. Approximately
50.5% of the current portfolio has a Fitch derived rating below
investment grade and 33.3% has a rating in the 'CCCsf' rating
category or lower, compared to 50.4% and 34.0%, respectively, at
last review.
The class A-1 and A-2 notes (class A notes) have received
approximately $2.6 million in principal repayment, since the last
review, leaving 8.1% of the original balance outstanding. In
addition to principal amortization the notes have also been
benefiting from excess spread redirected to cure the failing class
A overcollateralization (OC) test. The CE level to these notes
has increased since Fitch's last review to 56.6% from 53.8%.
While the par-based CE has improved since last review, the
increasing high single obligor concentration and adverse selection
remain meaningful concerns. As of the October 2014 Trustee
report, the current portfolio is comprised of 15 performing
obligors. The notes are passing at higher rating levels in
Fitch's cash flow model, however, given that the transaction has
not accelerated, there is a potential for principal to be leaked
to pay class B interest as the class A OC test is currently in
compliance.
The Stable Outlook reflects the available cushion in the modeling
results to protect the notes against potential deterioration in
the credit quality of the underlying portfolio.
RATING SENSITIVITIES
The class A notes have downward rating sensitivity with respect to
further negative migration and defaults beyond those projected in
the SF PCM as well as increasing concentration in assets of a
weaker credit quality. Continuing amortization accompanied by
better than expected cash flows from distressed assets could lead
to an upgrade.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model (SF PCM) for
projecting future default levels for the underlying portfolio.
These default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under various
default timing and interest rate stress scenarios.
ENERGY XXI: Fitch Affirms 'B' Issuer Default Rating
---------------------------------------------------
Fitch Ratings has affirmed EXXI's ratings as follows:
Energy XXI Gulf Coast Inc.
-- Issuer Default Rating (IDR) at 'B';
-- Senior secured revolver at 'BB/RR1';
-- Senior unsecured notes at 'B/RR4'.
Energy XXI LTD
-- IDR at 'B-';
-- Convertible perpetual preferred at 'CCC/RR6';
-- Convertible notes at 'CCC/RR6'.
The Rating Outlook has been revised to Negative from Stable.
Approximately $3.9 billion in debt is affected by this rating
action.
Key Rating Drivers
EXXI ratings are supported by a clearer path to operational
stability as well as stable, though elevated, credit metrics after
the acquisition of EPL Oil & Gas in 2014. Positive operating
trends are offset by the recent upheaval in global crude markets
leading to lower oil prices and subsequent challenges for EXXI in
implementing its deleveraging plan.
The Negative Outlook is driven by uncertainties around the length
and depth of the crude downturn, with several follow-on effects.
These include the ability of the company to renew hedges at
reasonable levels in 2016, uncertainty on execution and timing of
potential asset sales, as well as the possibility of lower overall
liquidity following future redeterminations of the bank borrowing
base.
Credit Concerns
EXXI remains highly leveraged after the EPL acquisition, and
management's intention to meaningfully deleverage with free cash
flow will likely be delayed given current oil market conditions.
Fitch expects consolidated debt/EBITDA under 5.0x in FY15. While
Fitch believes that current and projected credit metrics are
appropriate for the rating category, headroom in the rating has
effectively been eliminated. Additionally, while EXXI has 60% of
expected oil production for calendar 2015 hedged, 2016 oil hedges
are minimal at around 5% of run-rate production, and the current
forward curve remains at levels where it would be unattractive for
the company to meaningfully hedge. In our base case, Fitch
anticipates that production volumes will be flat to modestly
positive given the expected resolution of recent operational
issues. To the extent that current volumes are not sustained Fitch
would view this as a credit negative given limited overall
headroom in the rating.
Free Cash Flow
Management currently expects to spend $680 million for capex in
FY15. As much of this spending was front-loaded Fitch anticipates
limited oil-price related changes to FY15 spending, as well as
free cash flow of -$150 million in FY15. However, given the
company's ability to sustain production levels with lower capex
levels, Fitch anticipates positive free cash flow along with
modest debt reduction in FY16 and FY17 in a $70-$75 WTI price
environment. In a lower oil price environment, cash burn should be
manageable in the near term given the company's current liquidity
position, though leverage metrics could be stressed.
Liquidity
As of Sept. 30, EXXI had $119.5M in cash and $525.7M available on
the credit facility, leading to approximately $645 million in
available liquidity. In our base case ($75/WTI), liquidity should
be adequate given anticipated free cash flow in FY16 and FY17.
Under more challenging conditions (WTI $55-65), Fitch anticipates
liquidity to be adequate in the near term. EXXI has approximately
60% of calendar 2015 oil volumes hedged at an average of
approximately $84/bbl, leading to higher-than-market operating
cash flow. Near term cash burn rates should remain manageable if
crude is sustained above $50/bbl. Capital expenditures would
likely be revised downward in the event of oil prices sustained
under $65/bbl, temporarily increasing liquidity through lower
capex and less cash burn. Potential cash burn rates at various
crude prices are factored into the liquidity analysis and overall
outlook.
Crude Oil Scenarios
Fitch ran a number of price scenarios to capture what EXXI might
look like in a sustained downside oil case. In cases with prices
sustained above $65/bbl free cash flow was neutral to slightly
positive and liquidity concerns were not material. In a sustained
downside case, and without meaningful hedge protection in calendar
2016, credit metrics and liquidity could become challenged. Fitch
will monitor the continuing developments in crude markets,
improvements in operating costs, hedge positions, and liquidity in
assessing EXXI credit quality. While Fitch rates through the cycle
to a long-term oil base case of $75/bbl, uncertainty around near-
term elements, including asset sale proceeds and liquidity,
factors into the rating and outlook.
Recent Financial Performance
As calculated by Fitch, LTM EBITDA was $752 million, leading to
consolidated LTM debt/EBITDA of 5.2x. LTM interest coverage was
3.8x. Leverage metrics have been elevated post-acquisition but
remain in line for the rating category. Quarterly production
volumes were up 27% for the quarter ended Sept. 30, generating
additional cash flow and helping to mitigate market concerns about
lower production volumes after the EPL acquisition. With the
current production profile and cost structure, Fitch calculates
EXXI crude oil breakeven at approximately $65/bbl. When combined
with the company's liquidity position, these factors should enable
the company to weather a period of lower oil prices. Fitch also
expects further improvements in the cost structure as one-time
items work through the P&L, infrastructure and debottlenecking
issues are resolved, and rig day rates are renegotiated in 2015.
Rating Senstivities
Negative: Future developments that could lead to negative rating
action include:
-- Consolidated debt/EBITDA sustained over 5.0x and/or negative
free cash flow in FY16 driven by sustained lower oil prices;
-- Failure to maintain current production levels leading to
debt/flowing barrel above $70,000;
-- Inability to maintain adequate liquidity through free cash flow
or asset sales;
-- Inability to meaningfully hedge 2016 oil volumes.
Positive: Future developments that may lead to positive rating
actions include:
-- Sustained increases in overall production levels with positive
free cash flow generation and subsequent debt reduction;
-- Demonstrated commitment to lower debt levels leading to mid-
cycle Debt/EBITDA below 3.5x;
-- Upgrades are not considered probable in the near term given
headwinds from lower crude prices, as well as limited capacity
to pay down material amounts of debt.
GS MORTGAGE 2006-CC1: Moody's Affirms Ca Rating on Class A Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on the following
notes issued by GS Mortgage Securities Corporation II, Commercial
Mortgage Pass-Through Certificates, Series 2006-CC1 ("GSMS 2006-
CC1"):
Cl. A, Affirmed Ca (sf); previously on Dec 11, 2013 Affirmed
Ca (sf)
Ratings Rationale
The affirmation is due to key transaction parameters performing
within levels commensurate with the existing ratings levels. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
Re-REMIC) transactions.
GS Mortgage Securities Corporation II, Series 2006-CC1 is a static
cash transaction. The transaction is wholly backed by a portfolio
of commercial mortgage backed securities (CMBS). As of the
trustee's 21 November 2014 report, the aggregate note balance of
the transaction, including preferred shares, has decreased to
$254.2 million from $291.6 million at the last review. The paydown
is directed to the senior most outstanding class of notes as a
result of amortization of the underlying collateral and recoveries
from defaulted collateral. Currently, classes A through M have
been either partially or fully written down as a result of
realized losses on the underlying collateral.
The pool contains thirty assets totaling $166.1 million (65.3% of
the collateral pool balance) that are listed as defaulted
securities as of the trustee's 21 November 2014 report. Moody's
does expect significant losses to occur on the defaulted
securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 6,119,
compared to 6,335 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (5.9% compared to 0.6% at last
review), A1-A3 (4.4% compared to 2.3% at last review), Baa1-Baa3
(3.8% compared to 8.4%% at last review), Ba1-Ba3 (11.5% compared
to 9.5% at last review), B1-B3 (10.6% compared to 19.0% at last
review) and Caa1-Ca/C (63.8% compared to 60.2% at last review).
Moody's modeled a WAL of 3 years same as that at last review. The
WAL is based on assumptions about extensions on the underlying
collateral.
Moody's modeled a fixed WARR of 0%, as compared to 4.4% at last
review.
Moody's modeled a MAC of 100%, same as that as last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will
also affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes in any one or combination
of the key parameters may have rating implications on certain
classes of rated notes. However, in many instances, a change in
key parameter assumptions in certain stress scenarios may be
offset by a change in one or more of the other key parameters.
Rated notes are particularly sensitive to changes in recovery
rates of the underlying collateral and credit assessments.
However, in light of the performance indicators noted above,
Moody's believes that it is unlikely that the ratings announced
are sensitive to any further changes.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and certain commercial real estate property
markets. Commercial real estate property values continue to
improve modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
GS MORTGAGE 2013-GC10: DBRS Confirms 'BB' Rating on Class E Certs
-----------------------------------------------------------------
DBRS Inc. has confirmed all Commercial Mortgage Pass-Through
Certificates, Series 2013-GC10 issued by GS Mortgage Securities
Trust 2013-GC10 as follows:
Class A-1 at AAA (sf)
Class A-2 at AAA (sf)
Class A-3 at AAA (sf)
Class A-4 at AAA (sf)
Class A-5 at AAA (sf)
Class A-AB at AAA (sf)
Class A-S at AAA (sf)
Class X-A at AAA (sf)
Class X-B at AAA (sf)
Class B at AA (high) (sf)
Class C at A (high) (sf)
Class D at BBB (sf)
Class E at BB (sf)
Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stability of the
pool, which has experienced collateral reduction of 2.1% since
issuance as a result of scheduled loan amortization. At issuance,
the pool consisted of 61 fixed-rate loans secured by 93 commercial
properties. As of the November 2014 remittance, all of the
original 61 loans remain in the pool with an aggregate outstanding
principal balance of $841,424,804. The top 15 loans continue to
exhibit stable performance with a weighted-average (WA) debt
service coverage ratio (DSCR) and WA debt yield of 1.61 times (x)
and 9.3%, respectively, based on the current balance and the most
recent year-end reporting available for the individual loans.
There are four loans on the servicer's watchlist, representing
3.0% of the current pool balance. However, only one of these
loans is above 1.0% of the current pool balance. Another loan
that is not on the watchlist but has reported a significant cash
flow decline over the DBRS UW level is highlighted below.
Sheraton Raleigh (Prospectus ID#10, representing 2.6% of the
current pool balance) is secured by a 17-story, 353-key, full-
service hotel located in downtown Raleigh, North Carolina. The
property is well located in Raleigh's CBD submarket, within two
miles of major interstates as well as the main campus for North
Carolina State University. The YE2013 DSCR was reported at 0.60x,
a decline from the DBRS UW DSCR of 1.73x, as a result of extensive
renovations that were completed on the common area meeting space
and the restaurant in April 2013. In addition, room renovations
were scheduled in 2013 with upgrades made to soft goods, wallpaper
and carpeting. This is reflective of a 65.1% decline from DBRS UW
NCF at issuance as a result of slower traffic and a higher expense
base. However, the July 2014 servicer commentary indicates that
the occupancy and effective gross income have improved
significantly from increased revenue per available room (RevPAR)
as a result of the renovations. The October 2014 Smith Travel
Research report shows the subject is outperforming its competitive
set on the average daily rate (ADR) metric, at $136.56 compared to
the competitors ADR of $129.84. However, the subject falls behind
on the occupancy and RevPAR metrics, as the subject was 63.7%
occupied with a RevPAR of $86.94, compared to the competitive
set's occupancy of 70.4% and RevPAR of $91.44. The occupancy
remains relatively flat from issuance and the performance is
expected to stabilize for the remainder of the year as a result of
the completed renovations. For the purpose of this review, DBRS
modeled this loan with an increased probability of default and
this loan will be monitored for further cash flow decline.
Hewlett Shopping Center (Prospectus ID#26, representing 1.2% of
the current pool balance) is secured by a small, unanchored retail
property in Hewlett, New York, just north of Long Beach. The loan
is on the servicer's watchlist as a result of Loehmann's,
representing 51.7% of the NRA, vacating the property following
their bankruptcy filing in December 2013. The tenant was
originally on a lease scheduled to expire in June 2015. As a
result of the tenant's departure at the property, the Q3 2014 DSCR
dropped to 0.79x from the modeled DSCR at issuance of 1.38x. The
borrower serviced the sprinkler/fire alarm system, which also
contributed to the decline in DSCR due to the increase in
operating expenses. According to the October 2014 rent roll, the
property is 50.2% occupied with major tenants including Citibank
(16.6% of NRA, November 30, 2023, lease expiry), JPMorgan Chase &
Co. (16.6% of NRA, August 31, 2017, lease expiry) and Pantano's
(10.6% of NRA, 6/30/2023 lease expiry). According to the
servicer, the vacant space is currently listed for lease. This
loans remains current and DBRS will continue to monitor and
provide updates as information becomes available.
FIRSTMAC MORTGAGE: S&P Gives Prelim BB Rating on Class B-3 Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to six classes of prime residential mortgage-backed
securities (RMBS) to be issued by Firstmac Fiduciary Services Pty
Ltd. as trustee for Firstmac Mortgage Funding Trust No.4 Series
3PP-2014.
The preliminary ratings reflect:
-- S&P's view of the credit risk of the underlying collateral
portfolio, including the fact that this is a closed
portfolio, which means no further loans will be assigned to
the trust after the closing date.
-- S&P's view that the credit support is sufficient to
withstand the stresses it applies. This credit support
comprises lenders' mortgage insurance to 55.5% of the
portfolio, which covers 100% of the face value of these
loans, accrued interest, and reasonable costs of
enforcement, as well as note subordination for all rated
notes.
-- S&P's expectation that the various mechanisms to support
liquidity within the transaction, including an amortizing
liquidity reserve equal to 0.9% of the invested amount of
all notes that is to be provided through note overissuance,
principal draws, a spread reserve that builds from available
excess spread, and 24 months' timely payment cover on
approximately 44.4% of loans in the portfolio, are
sufficient under S&P's stress assumptions to ensure timely
payment of interest.
-- The extraordinary expense reserve of A$150,000, funded from
day one by Firstmac Ltd., available to meet extraordinary
expenses. The reserve will be topped up via excess spread
if drawn.
-- S&P's view of the underwriting standards and centralized
approval processes of the originator, Firstmac Ltd.,
together with S&P's view on the servicing standards of
Firstmac Ltd. as the servicer of the loans.
-- The fixed-to-floating interest-rate swap provided by
National Australia Bank Ltd. to hedge the mismatch between
receipts from fixed-rate mortgage loans and the variable-
rate RMBS.
The issuer has informed Standard & Poor's (Australia) Pty Limited
that the issuer will not be publicly disclosing all relevant
information about the structured finance instruments that are
subject to this rating report.
PRELIMINARY RATINGS ASSIGNED
Class Rating Amount
(A$ mil.)
A-1 AAA (sf) 595.0
A-2 AAA (sf) 35.0
AB AAA (sf) 43.0
B-1 AA- (sf) 16.0
B-2 A (sf) 4.0
B-3 BB 4.9
C NR 2.1
NR--Not rated.
ING IM CLO 2011-1: S&P Raises Rating on Class D Notes to BB+
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2, B, C, and D notes from ING IM CLO 2011-1 Ltd., a
collateralized loan obligation (CLO) transaction managed by Voya
Alternative Asset Management. At the same time, Standard & Poor's
removed these ratings from CreditWatch, where they were placed
with positive implications on Nov. 17, 2014. In addition,
Standard & Poor's affirmed its 'AAA (sf)' rating on the class A-1
notes from the same transaction.
The upgrades of the class A-2, B, C, and D notes reflect the
increased credit support following the paydowns to the class A-1
notes.
The transaction has been in its amortization phase since the
reinvestment period ended in June 2014. According to the Oct.
2014 trustee report, the class A notes had paid down by $30.03
million and were at 88.45% of their original balance. The
paydowns increased the credit support by improving the
overcollateralization (O/C) levels for each class.
According to the Oct. 2014 trustee report, the transaction does
not have any defaulted obligations in the underlying collateral
pool, and less than 2% of rated collateral is in the 'CCC'
category.
S&P's affirmation of the ratings on the class A-1 notes reflects
the availability of adequate credit support at the current rating
level.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
ING IM CLO 2011-1 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion (i) rating
A-1 AAA (sf) AAA (sf) 20.25% AAA (sf)
A-2 AA (sf)/Watch Pos AAA (sf) 5.68% AAA (sf)
B A (sf)/Watch Pos AA+ (sf) 1.27% AA+ (sf)
C BBB (sf)/Watch Pos A- (sf) 2.21% A- (sf)
D BB (sf)/Watch Pos BB+ (sf) 5.81% BB+ (sf)
(i) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated scenarios in
which it made negative adjustments of 10% to the current
collateral pool's recovery rates relative to each tranche's
weighted average recovery rate. S&P also generated other
scenarios by adjusting the intra- and inter-industry correlations
to assess the current portfolio's sensitivity to different
correlation assumptions in the 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 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA- (sf) AA- (sf) AA+ (sf) AA+ (sf)
C A- (sf) BBB+ (sf) BBB+ (sf) A+ (sf) A- (sf)
D BB+ (sf) BB- (sf) BB+ (sf) BB+ (sf) BB+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
B AA+ (sf) AA (sf) A (sf) AA+ (sf)
C A- (sf) BBB+ (sf) BB+ (sf) A- (sf)
D BB+ (sf) BB+ (sf) B (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM CREDITWATCH
ING IM CLO 2011-1 Ltd.
Rating Rating
Class To From
A-2 AAA (sf) AA (sf)/Watch Pos
B AA+ (sf) A (sf)/Watch Pos
C A- (sf) BBB (sf)/Watch Pos
D BB+ (sf) BB (sf)/Watch Pos
RATING AFFIRMED
ING IM CLO 2011-1 Ltd.
Class Rating
A-1 AAA (sf)
JP MORGAN 2005-LDP3: S&P Lowers Rating on Class F Notes to 'D'
--------------------------------------------------------------
Various Rating Actions Taken On JPMorgan Chase Commercial Mortgage
Securities Corp. Series 2005-LDP3
NEW YORK (Standard & Poor's) Dec. 4, 2014
Standard & Poor's Ratings Services raised its ratings on three
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Corp. series 2005-
LDP3, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P lowered its rating on the class F
certificates and affirmed its ratings on seven other classes from
the same transaction.
The rating actions on the principal- and interest-paying
certificates 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 assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-J, B, and C 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 and available
liquidity support.
The downgrade on class F to 'D (sf)' from 'CCC+ (sf)' reflects the
outstanding interest shortfalls to the class since July 2014. In
addition, S&P expects the accumulated interest shortfalls to
remain outstanding for the foreseeable future.
The affirmations on the principal- and interest-paying
certificates reflect S&P's expectation that the available credit
enhancement for these classes will be within its estimate of the
necessary credit enhancement required for the current ratings.
The affirmations also reflect S&P's views regarding the current
and future performance of the transaction's collateral, the
transaction structure, and liquidity support available to the
classes. S&P also considered that 99.7% of the collateral will
mature in 2015.
S&P affirmed its 'AAA (sf)' ratings on the class X-1 interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the Nov. 17, 2014, trustee remittance report, the collateral
pool balance was $1.09 billion, which is 53.9% of the pool balance
at issuance. The pool currently includes 171 loans (reflecting
cross-collateralized and cross-defaulted loans), down from 210
loans at issuance. Of these assets, 17 ($80.4 million, 7.4%) are
defeased and 35 ($131.9 million, 12.1%) are on the master
servicer's watchlist. The master servicer, Berkadia Commercial
MortgageLLC (Berkadia), reported financial information for 99.0%
of the nondefeased loans in the pool, of which 0.6% was year-end
2012 data, and the remainder was partial-year 2013 and partial-
year 2014 data.
S&P calculated a Standard & Poor's weighted average debt service
coverage (DSC)of 1.55x and loan-to-value (LTV) ratio of 75.6%
using a Standard & Poor's weighted average capitalization rate of
7.78%. The DSC, LTV, and capitalization rate calculations exclude
17 defeased loans ($80.4 million, 7.4%). The top 10 loans have an
aggregate outstanding pool trust balance of $422.4 million
(38.7%). Using servicer-reported numbers, S&P calculated a
Standard & Poor's weighted average DSC and LTV of 1.81x and 74.0%,
respectively, for the top 10 loans.
The properties securing the underlying loans are concentrated
within the Los Angeles-Long Beach-Anaheim metropolitan statistical
area (MSAs). Standard & Poor's U.S. Public Finance Group provides
a credit rating on Los Angeles County, which participates within
the MSA.
S&P considers Los Angeles County's (AA/Stable GO debt rating)
economy to be strong, with projected per capita effective buying
income at 99% of the U.S. The total market value of all real
estate within the county reached $1,130 billion for 2014, up 5%
from the prior year. The county's per capita real estate market
value was $11,3346 for 2014. With a population of 10 million, the
county participates in the Los Angeles-Long Beach-Anaheim MSA in
California, which S&P considers to be strong. The county's
unemployment rate for calendar year 2013 was 10%. Some of the
loans secured by properties located in the Los Angeles County
include the Encino Financial Center, Avco Center, and Heritage
Park Apartments loans.
To date, the transaction has experienced $108.3 million in
principal losses, or 5.4% of the original pool trust balance.
CREDIT CONSIDERATIONS
As of the Nov. 17, 2014, trustee remittance report, none of the
assets in the pool were with the special servicer, C-III Asset
Management LLC (C-III) and 35 loans ($131.9 million, 12.1%) are on
the master servicer's watchlist. The sole top 10 loan that
appears on the master servicer's watchlist is the ninth-largest
loan in the transaction, the Charles Center South loan.
The Charles Center South loan ($24.6 million, 2.3%) appears on the
watchlist due to a low DSC as well as large tenants at the
property with lease expirations in the near-term. According to
the watchlist comments, the tenant, United States of America,
which occupies 56,995 sq. ft. or 19% of gross leasable area (GLA),
has a lease which is scheduled to expire on Dec. 9, 2014.
In addition, Peter T Nicholl Esq., who occupies 32,733 sq. ft. or
11% of GLA, has a lease which expired on Sept. 30, 2014, and
Shapiro Sher Guinot & Sandler, P.A., which occupies 24,166 sq. ft.
or 8% of GLA, has a lease which is scheduled to expire on Dec. 31,
2014. Based on conversations with Berkadia, United States of
America and Peter T. Nicholl Esq. have renewed or are expected to
renew their lease, while Shapiro Sher Guinot & Sandler, P.A. will
vacate the property upon lease expiration. The reported occupancy
was 78.8% as of Sept. 30, 2014, and the DSC was 0.86x as of
March 31, 2014.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP3
Rating Rating
Class Identifier To From
A-4A 46625YSG9 AAA (sf) AAA (sf)
A-4B 46625YSH7 AAA (sf) AAA (sf)
A-SB 46625YSK0 AAA (sf) AAA (sf)
A-J 46625YSM6 AA- (sf) A (sf)
B 46625YSN4 A- (sf) BBB+ (sf)
C 46625YSP9 BBB+ (sf) BBB (sf)
D 46625YSQ7 BB (sf) BB (sf)
X-1 46625YSR5 AAA (sf) AAA (sf)
A-1A 46625YSS3 AAA (sf) AAA (sf)
E 46625YST1 B+ (sf) B+ (sf)
F 46625YSU8 D (sf) CCC+ (sf)
JP MORGAN 2010-C1: Fitch Cuts Rating on $9MM Class F Debt to 'Bsf'
------------------------------------------------------------------
Fitch Ratings has downgraded three classes of JP Morgan Chase
Commercial Mortgage Securities Trust commercial mortgage pass
through certificates, series 2010-C1 and revised the Rating
Outlooks on two classes.
Key Rating Drivers
The downgrades are primarily driven by the performance of The
Gateway at Salt Lake City (19.1% of the pool), the largest loan in
the pool, which is performing below expectations.
The subject property is a 623,972 square foot (sf) retail center
located in downtown Salt Lake City, UT that is anchored by Dick's
Sporting Goods, Barnes & Noble and Gateway Theaters. The property
has suffered a steady decline in occupancy since 2012 when City
Creek, a nearby retail center opened and immediately put pressure
on Gateway's operations, luring certain tenants away from the
subject property. As of September 2014, the Gateway was 77.4%
occupied, compared to 83% at YE2013, 85.5% at YE2012 and 93% at
YE2011. The property was 96.4% occupied at issuance. Since Fitch's
last review in July 2014, the property NOI continues to decline as
a result of lower occupancy and an increase in tenants paying
percentage rent, as allowed by existing co-tenancy clauses. Per
the September 2014 rent roll, leases representing approximately
30% of the property are paying a percentage rent. NOI as of
trailing 12 month (TTM) ending September 2014 dropped 12% from YE
2013. Total mall sales were down 16% for the same period. The
servicer reported the annualized 3Q 2014 DSCR was 0.78x, compared
to 1.09x at YE2013 and 1.36x at YE2012. Fitch calculated DSCR as
of TTM ending September 2014 was 0.95x.
Fitch also has concerns over the performance of the 13th largest
loan, Aquia Office Building (2.9%), which is secured by a 97,990sf
office property located in Stafford, VA. Per the November 2014
rent roll, the property was 91.5% occupied. The largest tenant,
TASC, occupies 62,184 SF (63% NRA) with a lease expiring in
December 2014. Per the servicer, the tenant will vacate upon lease
expiration. A new tenant has executed a four year lease to take
over part of TASC's space (14,784 SF, representing 15% of NRA),
effective May 2015. As a result, the occupancy rate is expected to
drop to 28.5% in January 2015 and subsequently increase to 44%
after the new tenant takes occupancy. Per the servicer, the YE2014
pro forma NOI DSCR without TASC is 0.14x and the 2015 pro forma
NOI DSCR with 8 months of rent from the new tenant is 0.41x.
Fitch modeled losses of 4.7% of the remaining pool; expected
losses on the original pool balance total 3.2%. As of the November
2014 distribution date, the pool's certificate balance has paid
down 32.9% to $480.9 million from $716.3 million at issuance.
There are currently 26 loans in the pool collateralized by 64
properties. No loans are special serviced or delinquent. At
Fitch's previous rating action, one loan was in special servicing,
it has since paid off in full. One loan is defeased (3.5%).
Rating Sensitivities
The Rating Outlooks for classes A1 through C remain Stable; the
majority of the pool has maintained performance consistent with
issuance and many of the loans have low leverage. In addition,
34.3% of the pool matures in 2015, most of which are expected to
pay off at maturity. The Negative Rating Outlooks for classes D, E
and F indicate that future downgrades are possible if the
performance of the Gateway at Salt Lake City loan deteriorates
further. Ratings on distressed classes may subject to further
downgrades when losses are allocated.
Fitch downgrades the following classes:
-- $9 million class F to 'Bsf' from 'BBsf'; Outlook Negative;
-- $7.2 million class G to 'CCCsf' from 'B+sf'; RE30%
-- $6.3 million class H to 'CCCsf' from 'B-sf'; RE 0%.
Fitch affirms the following classes and revises Outlooks as
indicated:
-- $180.7million class A-1 at 'AAAsf'; Outlook Stable;
-- $131.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $61.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- Interest Only class X-A at 'AAAsf'; Outlook Stable.
-- $16.1 million class B at 'AAsf'; Outlook Stable;
-- $26.9 million class C at 'A-sf'; Outlook Stable;
-- $14.3 million class D at 'BBBsf'; Outlook to Negative from
Stable;
-- $16.1 million class E at 'BBB-sf'; Outlook to Negative from
Stable.
Fitch does not rate classes NR and X-B.
JP MORGAN 2010-C1: Moody's Cuts Rating on Class H Certs to Caa3
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of five
classes and affirmed seven classes of J.P. Morgan Chase Commercial
Mortgage Securities Trust, Commercial Pass-Through Certificates,
Series 2010-C1 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Feb 26, 2014 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Feb 26, 2014 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Feb 26, 2014 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Feb 26, 2014 Affirmed Aa2
(sf)
Cl. C, Affirmed A3 (sf); previously on Feb 26, 2014 Affirmed A3
(sf)
Cl. D, Affirmed Baa2 (sf); previously on Feb 26, 2014 Affirmed
Baa2 (sf)
Cl. E, Downgraded to Ba2 (sf); previously on Feb 26, 2014 Affirmed
Baa3 (sf)
Cl. F, Downgraded to B2 (sf); previously on Feb 26, 2014 Affirmed
Ba2 (sf)
Cl. G, Downgraded to Caa1 (sf); previously on Feb 26, 2014
Affirmed B1 (sf)
Cl. H, Downgraded to Caa3 (sf); previously on Feb 26, 2014
Affirmed B3 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Feb 26, 2014 Affirmed
Aaa (sf)
Cl. X-B, Downgraded to B1 (sf); previously on Feb 26, 2014
Affirmed Ba3 (sf)
Ratings Rationale
The ratings on the P&I classes were downgraded due to anticipated
losses from troubled loans that are higher than Moody's had
previously expected. The downgrades also reflect the risk of
future interest shortfalls from troubled loans. The downgrades
stem primarily from declining performance at the Gateway Salt
Lake, a troubled mall which secures the largest loan in the pool.
The Gateway loan, following substantial deal paydown, now
represents 20% of the pool balance. The loan is discussed in
greater detail below.
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO Class X-A was affirmed because the credit
performance of the referenced classes are consistent with Moody's
expectations.
The rating on the IO Class X-B was downgraded due to a decline in
the weighted average rating factor or WARF of its referenced
classes.
Moody's rating action reflects a base expected loss of 6.2% of the
current balance compared to 1.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.2% of the
original pooled balance, compared to 1.3% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
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 JPMCC 2010-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 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 13, compared to 20 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 November 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 33% to $481 million
from $716 million at securitization. The certificates are
collateralized by 29 mortgage loans ranging in size from less than
1% to 20% of the pool, with the top ten loans (excluding
defeasance) constituting 66% of the pool. Three loans,
constituting 17% of the pool, have investment-grade structured
credit assessments. One loan, constituting 4% of the pool, has
defeased and is secured by US government securities.
Two 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.
No loans have liquidated from the pool and there are no loans
currently in special servicing.
Moody's has assumed a high default probability for the largest
loan in the pool, the Gateway Salt Lake Loan, which is secured by
an open-air shopping mall in downtown Salt Lake City. The loan is
discussed in greater detail below.
Moody's received full year 2013 operating results for 100% of the
pool, and partial year 2014 operating results for 38% of the pool.
Moody's weighted average conduit LTV is 69%, compared to 74% 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 13.2% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.76X and 1.60X,
respectively, compared to 1.60X 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 Cole
Portfolio ($42 million -- 9% of the pool). The loan is secured by
a portfolio of 16 cross-collateralized retail properties located
across ten U.S. states. All properties are occupied by single
tenants, which include Walgreens, FedEx, and LA Fitness. Portfolio
NOI performance has been stable for the past three years of
reporting. Moody's structured credit assessment and stressed DSCR
are baa3 (sca.pd) and 1.64X, respectively, unchanged from the last
review.
The second largest loan with a structured credit assessment is the
Berry Plastics Portfolio ($26 million -- 5% of the pool), which is
secured by a portfolio industrial properties occupied by a single
tenant. The properties are located in Evansville, Indiana,
Lawrence, Kansas, and Baltimore, Maryland and total 1,404,986
square feet. The leases with Berry Plastics expire eight years
beyond the scheduled loan maturity. The loan metrics have improved
since securitization due to improved financial performance as well
as amortization of the loan balance. Moody's structured credit
assessment and stressed DSCR are a3 (sca.pd) and 2.03X,
respectively, compared to baa2 (sca.pd) and 1.98X at the last
review.
The third loan with a structured credit assessment is the 4075
Channel Drive Loan ($15 million -- 3% of the pool). The loan is
secured by a 119,000 square foot freight truck terminal and
distribution facility located in West Sacramento, California. The
property is 100% leased to FedEx through June 22, 2021. FedEx
Corporation has a Senior Unsecured rating of Baa1, stable outlook.
Moody's structured credit assessment and stressed DSCR are baa1
(sca.pd) 1.92X, unchanged from the last review.
The top conduit loans represent 32% of the pool balance. The
largest loan is the Gateway Salt Lake Loan ($96 million -- 20% of
the pool), which is secured by a 623,973 square-foot open-air
lifestyle shopping mall in Salt Lake City, Utah. The mall,
developed in 2001, has suffered from intense competition with the
newer City Creek Center mall, which opened in 2012 just 0.6 miles
from the subject property. Gateway has lost important tenants to
the competing shopping center, including the only Apple store in
Salt Lake City, and occupancy has fallen to 78% as of September
2014 reporting, down from 96% at securitization. The retail
center's largest tenants, which serve as non-traditional anchors,
are Dick's Sporting Goods, Gateway Theaters (a movie theater), and
Barnes and Noble. Each of the top three tenants has a lease set to
expire within 6 months of the scheduled loan maturity date of
April 1, 2017. Barnes and Noble is on a percentage lease. The loan
sponsor, Retail Properties of America, announced in its Q3 2014
SEC filings that it had written down its carrying value for the
property. The move followed the REIT's decision to abandon a plan
to upgrade the property and an acknowledgement that further
decline in performance at the property was expected. Total sales
at the property for the January -- October 2014 period were down
approximately 20% from the same period in 2013. The loan is
currently on the master servicer's watchlist. Moody's has
identified this loan as troubled and has factored into its
analysis an elevated loss for the loan.
The second largest loan is the Columbia Center I & II Loan ($34
million -- 6% of the pool). The loan is secured by a 507,000
square foot office property in Troy, Michigan, a suburb north of
Detroit. The property was 90% leased as of March 2014, compared to
87% leased at Moody's last review and at securitization. The
largest tenant at the property, a law firm which occupies 29,000
square feet, or 6% of the property net rentable area (NRA),
recently renewed its lease through October 2019. Moody's LTV and
stressed DSCR are 48% and 2.12X, respectively, unchanged from the
last review.
The third largest loan is the Helgesen Industrial Portfolio ($29
million -- 6% of the pool). The loan is secured by a portfolio of
five warehouse / distribution facilities in Wisconsin and
Illinois. The properties ranges from 45,000 sqaure feet to 648,000
square feet for a total of 1,436,000 square feet. The portfolio
was 94% occupied as of September 2014. The loan benefits from
amortization. Moody's LTV and stressed DSCR are 45% and, 2.29X,
respectively, compared to 48% and 2.15X at the last review.
JP MORGAN-CIBC 2006-RR1: Moody's Affirms Ca Rating on A-1 Secs.
---------------------------------------------------------------
Moody's Investors Service has affirmed the rating on the following
certificate issued by J.P. Morgan-CIBC Commercial Mortgage-Backed
Securities Trust 2006-RR1
("JPMorgan-CIBC 2006-RR1"):
Cl. A-1, Affirmed Ca (sf); previously on Feb 19, 2014 Affirmed
Ca (sf)
Ratings Rationale
Moody's has affirmed the rating on the transaction because its key
transaction metrics are commensurate with existing ratings. The
affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO &
Re-Remic) transactions.
JPMorgan-CIBC 2006-RR1 is a static cash transaction backed by a
portfolio of commercial mortgage-backed securities (CMBS) (100% of
the collateral pool balance). As of the trustee's October 23, 2014
report, the aggregate certificate balance of the transaction,
including preferred shares, is $186.1 million, compared to $238.3
million at last review, due to full and partial realized losses
and pre-payments in the form of amortization and recoveries from
the underlying CMBS collateral.
No assets are identified as defaulted as of the trustee's October
23, 2014 report.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO & Re-Remic transactions: the weighted
average rating factor (WARF), the weighted average life (WAL), the
weighted average recovery rate (WARR), and Moody's asset
correlation (MAC). Moody's typically models these as actual
parameters for static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO & Re-
Remic pool. Moody's has updated its assessments for the collateral
it does not rate. The rating agency modeled a bottom-dollar WARF
of 6635, compared to 6733 at last review. The current ratings on
the Moody's-rated collateral and the assessments of the non-
Moody's rated collateral follow: Aaa-Aa3 (7.4%, compared to 5.1%
at last review); A1-A3 (1.9%, compared to 6.1% at last review);
Baa1-Baa3 (2.9%, compared to 3.8% at last review); Ba1-Ba3 (8.9%,
compared to 7.1% at last review); B1-B3 (0.5%, compared to 1.7% at
last review); and Caa1-Ca/C (78.3%, compared to 76.3% at last
review).
Moody's modeled a WAL of 2.6 years, the same last review. The WAL
is based on assumptions about extensions on the underlying loans
in the CMBS collateral.
Moody's modeled a fixed WARR of 0.0%, compared to 5.5% at last
review.
Moody's modeled a MAC of 0.0%, the same as at last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the certificates is subject to uncertainty,
because it is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that are subject to change. The servicing decisions of the master
and special servicer and surveillance by the operating advisor
with respect to the collateral interests and oversight of the
transaction will also affect the performance of the rated
certificate.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the rated
certificate, although a change in one key parameter assumption
could be offset by a change in one or more of the other key
parameter assumptions. The rated certificate is particularly
sensitive to changes in the recovery rates of the underlying
collateral and credit assessments. Increasing the recovery rates
of 100% of the collateral pool by 5.0% would result in an average
modeled rating movement on the rated certificate of one notch
upward (e.g., one notch upward implies a ratings movement of Baa3
to Baa2). Increasing the recovery rate of 100% of the collateral
pool by 10.0% would result in an average modeled rating movement
on the rated certificate of one notch upward (e.g., one notches
upward implies a ratings movement of Baa3 to Baa2).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and certain commercial real estate property
markets. Commercial real estate property values continue to
improve modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
KEY COMMERCIAL 2007-SL1: Moody's Affirms C Rating on 2 Classes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes,
downgraded the rating on one class and affirmed the ratings on
five classes in Key Commercial Mortgage Securities Trust,
Commercial Mortgage Pass-Through Certificates, Series 2007-SL1 as
follows:
Cl. A-1A, Upgraded to A1 (sf); previously on Jan 10, 2014 Affirmed
A3 (sf)
Cl. A-2, Upgraded to A1 (sf); previously on Jan 10, 2014 Affirmed
A3 (sf)
Cl. B, Affirmed Ba1 (sf); previously on Jan 10, 2014 Affirmed Ba1
(sf)
Cl. C, Affirmed Caa1 (sf); previously on Jan 10, 2014 Affirmed
Caa1 (sf)
Cl. D, Affirmed Ca (sf); previously on Jan 10, 2014 Affirmed Ca
(sf)
Cl. E, Affirmed C (sf); previously on Jan 10, 2014 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Jan 10, 2014 Affirmed C (sf)
Cl. X, Downgraded to B2 (sf); previously on Jan 10, 2014
Downgraded to B1 (sf)
Ratings Rationale
The ratings on P&I classes A-1A and A-2 were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 32% since
Moody's last review.
The rating on P&I class B 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 ratings
on the remaining P&I classes were affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO Class (Class X) was downgraded due to a
decline in the credit performance (or the weighted average rating
factor or WARF) of its referenced classes due to the paydown of
more highly rated classes.
Moody's rating action reflects a base expected loss of 10.4% of
the current balance compared to 6.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.8% of the
original pooled balance, compared to 6.4% 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 Key 2007-SL1.
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 33 compared to 45 at Moody's last review.
Deal Performance
As of the November 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 75% to $58.4
million from $237.5 million at securitization. The certificates
are collateralized by 50 mortgage loans ranging in size from less
than 1% to 10% of the pool, with the top ten loans constituting
40% of the pool.
Twenty-four loans, constituting 49% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Fourteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $10 million (for an average loss
severity of 67%). One loan, constituting 4% of the pool, is
currently in special servicing. The Gateway Plaza Loan ($2.3
million -- 4% of the pool) is secured by a 112,00 square foot
retail property located 70 miles Northeast of Cleveland in
Conneaut, Ohio. The loan transferred to special servicing in April
2014 and the servicer is moving forward with foreclosing on the
property. Moody's expects a loss from this loan.
Moody's has assumed a high default probability for 13 poorly
performing loans, constituting 33% of the pool, and has estimated
a loss from these troubled loans.
Moody's received full year 2013 operating results for 94% of the
pool. Moody's weighted average conduit LTV is 74% compared to 86%
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 9.6%.
Moody's actual and stressed conduit DSCRs are 1.54X and 1.55X,
respectively, compared to 1.33X and 1.33X 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 conduit loan, 212th Street Plaza & Valley Self-Storage
($5.8 million -- 10% of the pool), is secured by a 72,000 square
foot mixed-use retail strip center and self-storage buildings. The
loan has been on the watchlist for several years for low DSCR. The
majority of the self-storage units are leased by coporations at
lower rates causing the decline in DSCR. Moody's LTV and stressed
DSCR are 135% and 0.78X, respectively, compared to 144% and 0.73X
at the last review.
KINDER MORGAN 2002-6: S&P Raises $10.5MM Certs Rating From 'BB'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on Corporate-
Backed Trust Certificates Kinder Morgan Debenture-Backed Series
2002-6's $10.574 million corporate-backed trust certificates
series 2002-6 to 'BBB-' from 'BB'. Simultaneously, S&P removed
the rating from CreditWatch, where it placed it with positive
implications on Aug. 14, 2014.
S&P's rating on the certificates is dependent on its rating on the
underlying security, Kinder Morgan Inc.'s $150 million 7.45%
debentures due March 1, 2098 ('BBB-').
The rating action reflects the Nov. 20, 2014, raising of S&P's
rating on the underlying security to 'BBB-' from 'BB', and its
subsequent removal from CreditWatch, where S&P placed it with
positive implications on Aug. 11, 2014.
S&P may take subsequent rating actions on this transaction due to
changes in its rating assigned to the underlying security.
LB-UBS COMMERCIAL 2007-C1: Fitch Raises Rating on A-J Notes to B
----------------------------------------------------------------
Fitch Ratings has upgraded one class, revised the outlook of one
class and affirmed 15 classes of LB-UBS Commercial Mortgage Trust
series 2007-C1 (LBUBS 2007-C1).
KEY RATING DRIVERS
The upgrade and outlook revision is due to a decrease in Fitch's
expected losses, primarily from lower realized losses on the
Bethany Portfolio than anticipated at Fitch's last review. Fitch
modeled losses of 10.6% of the remaining pool; expected losses on
the original pool balance total 11.8%, including $175 million
(4.7% of the original pool balance) in realized losses to date.
Fitch has designated 27 loans (14.5%) as Fitch Loans of Concern,
which includes 13 specially serviced assets (6.5%).
As of the November 2014 distribution date, there are 109 loans
remaining from the original 146 loans and the pool's aggregate
principal balance has been reduced by 32.2% to $2.54 billion from
$3.75 billion at issuance. Per the servicer reporting, six loans
(2.7% of the pool) are defeased. Interest shortfalls are
currently affecting classes G through T and class BMP.
The largest contributor to expected losses is the 1745 Broadway
loan (13.4% of the pool), which is secured by a 636,598 square
foot (sf) class A office in the midtown west submarket of New
York, NY. The building is 100% occupied by Random House, which
uses this location as its headquarters. Random House (parent
company and guarantor is Bertelsman AG [rated 'BBB+' by Fitch])
occupies its space pursuant to a triple net lease with 53%
expiring in June 2023 and 47% expiring in June 2018. The loan is
scheduled to mature in November 2017 and Random House's lease is
significantly below market. The year-end 2013 servicer-reported
debt service coverage ratio (DSCR) was 1.13x. Fitch's analysis
used the year-end 2013 servicer-reported net operating income
(NOI) and a stressed cap rate; however, given the strong location
and long term, investment grade tenant, losses may not be
incurred.
The next largest contributor to expected losses is the Del Amo
Financial Center loan (2.1%), which is secured by a 348,185 sf
office property located in Torrance, CA. The servicer reported a
NOI DSCR as of year-end 2013 of .77x, down from .88x at year-end
2012 and .98 at year-end 2011. The decrease in DSCR was due to
the upgrades and repairs of the freight elevator and plumbing
systems. The occupancy as of June 2014 was 64% with rollover of
approximately 30% possible for 2014 through 2015. Concessions are
currently being offered which depend on the tenant and the length
of the lease.
The third largest contributor to expected losses is the specially-
serviced Eastland Mall loan (1.5%), which is secured by a 245,471
sf and two pad sites ground leased by JC Penny and Firestone of a
1,020,765 sf enclosed mall located in Columbus OH. The loan was
transferred to the Special Servicer in October 2012 and became
real estate owned (REO) in July 2014. The servicer reported
occupancy as of September 2014 was 58% for the entire property and
82% for the inline, which has resulted in a low NOI DSCR of 0.85x
as of year-end 2013.
RATING SENSITIVITIES
The Rating Outlooks on classes A-3 and A-1A are Stable due to
sufficient credit enhancement and continued paydown. The Rating
Outlook on class A-M was revised to Positive from Stable due to
lowered expected losses. Although the top five loans represent
54% of the remaining pool, given their strong locations and
generally stable performance, they are likely to pay off at
maturity. Should losses remain stable or be significantly lower
than expected, future upgrades to the A-M class are possible.
Downgrades to the distressed classes (below 'B') are likely as
additional losses are realized.
Fitch upgrades these classes and assigns a Rating Outlook as
indicated:
-- $315.6 million class A-J to 'Bsf' from 'CCCsf', Outlook
Stable.
Fitch affirms these classes and assigns or revises Rating Outlooks
and REs as indicated:
-- $1.1 billion class A-4 at 'AAAsf', Outlook Stable;
-- $424 million class A-1A at 'AAAsf', Outlook Stable;
-- $371.3 million class A-M at 'Asf', Outlook to Positive from
Stable;
-- $27.8 million class B at 'CCCsf', RE 100%;
-- $55.7 million class C at 'CCsf', RE 15%;
-- $37.1 million class D at 'CCsf', RE 0%;
-- $18.6 million class E at 'CCsf', RE 0%;
-- $32.5 million class F at 'Csf', RE 0%;
-- $32.5 million class G at 'Csf', RE 0%;
-- $41.8 million class H at 'Csf', RE 0%;
-- $41.8 million class J at 'Csf', RE 0%;
-- $4.7 million class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%.
Fitch does not rate the class P, Q, S, T and BMP certificates.
Classes A-1, A-2, A-3, and A-AB have paid in full. Fitch
previously withdrew the ratings on the interest-only class X-CP,
X-W and X-CL certificates.
MERCER FIELD: Fitch Affirms 'BBsf' Rating on Class E Notes
----------------------------------------------------------
Fitch Ratings has affirmed five classes of notes, as well as the
exchangeable combination notes, issued by Mercer Field CLO LP
(Mercer Field CLO).
Key Rating Drivers
The rating affirmations are based on the stable credit enhancement
levels on the transaction, stable performance of the portfolio and
the cushions available in Fitch's cash flow modeling results. As
of the Nov. 14, 2014 report, the transaction continues to pass all
of its coverage and primary collateral quality tests. Fitch's
cash flow analysis also indicates each class of notes is passing
all 12 interest rate and default timing scenarios at or above
their current rating level.
The loan portfolio par amount plus principal cash is approximately
$1.07 billion, compared to the balance of $1.06 billion in the
last review in Nov. 2013, resulting in relatively stable credit
enhancement levels. The weighted average spread (WAS) of the
portfolio has tightened to 4.7% from 5.2% in the last review,
relative to a minimum WAS trigger of 4.6%, as reported by the
trustee. The portfolio is invested in 98.0% senior secured loans
and 2.0% senior secured bonds, and approximately 88.9% of the
portfolio has strong recovery prospects or a Fitch-assigned
recovery rating of 'RR2' or higher.
No assets have defaulted in the portfolio and the weighted average
rating factor still remains in the 'B/B-' range. The trustee
currently reports the 'CCC' concentration at 1.6% of the portfolio
versus a maximum allowance of 7.5%, based on Fitch's ratings and
S&P ratings. However, Fitch considers 9.6% of the collateral
assets to be rated in the 'CCC' category, according to Fitch's
Issuer Default (IDR) Equivalency Map, versus 19.3% of the loan
portfolio in the last review. Of the 9.6% 'CCC' concentration,
approximately 5.5% is not publicly rated.
The ratings of the Mercer Field CLO notes and combination notes
are not expected to experience rating volatility in the near term,
supporting their Stable Outlooks.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to the following: asset
defaults, portfolio migration, including assets being downgraded
to 'CCC', portions of the portfolio being placed on Rating Watch
Negative, OC or IC test breaches, or breach of concentration
limitations or portfolio quality covenants. Fitch conducted
rating sensitivity analysis on the closing date of Mercer Field
CLO, incorporating increased levels of defaults and reduced levels
of recovery rates, among other sensitivities.
Mercer Field CLO is an arbitrage cash flow collateralized loan
obligation (CLO) that is managed by Guggenheim Partners Investment
Management, LLC (GPIM). The transaction remains in its
reinvestment period, which is scheduled to end in December 2016.
The exchangeable combination notes consist of underlying
components from the class C, class D and class E notes, the
unrated income notes and a Fannie Mae (FNMA) principal-only strip
scheduled to mature in May 2030 (the underlying specified
security).
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various combinations of default timing and interest rate
stress scenarios, as described in the report 'Global Rating
Criteria for Corporate CDOs'. The cash flow model was customized
to reflect the transaction's structural features.
Initial Key Rating Drivers and Rating Sensitivity are further
described in the New Issue Report published on Jan. 18, 2013. A
comparison of the transaction's Representations, Warranties, and
Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that
asset class is available by accessing the reports and links
indicated below.
Fitch has affirmed these ratings:
-- $556,500,000 class A notes at 'AAAsf'; Outlook Stable;
-- $154,350,000 class B notes at 'AAsf'; Outlook Stable;
-- $78,750,000 class C notes at 'Asf'; Outlook Stable;
-- $65,100,000 class D notes at 'BBBsf'; Outlook Stable;
-- $60,480,000 class E notes at 'BBsf'; Outlook Stable;
-- $288,864,367 exchangeable combination notes at 'BBB-sf';
Outlook Stable.
Fitch does not rate the income notes.
PALISADES CDO: Moody's Raises Rating on 2 Note Classes to Ba1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by Palisades CDO, Ltd.:
$366,000,000 CLASS A-1A FLOATING RATE NOTES DUE JULY 2039
(current outstanding balance of $29,327,196), Upgraded to Ba1
(sf); previously on May 19, 2014 Upgraded to B1 (sf);
$6,000,000 CLASS A-1B 4.69% NOTES DUE JULY 2039 (current
outstanding balance of $480,774), Upgraded to Ba1 (sf);
previously on May 19, 2014 Upgraded to B1 (sf).
Ratings Rationale
The rating actions are primarily due to the deleveraging of the
senior notes and an increase in the transaction's over-
collateralization (OC) ratios since May 2014. The Class A-1A notes
have paid down by approximately 25.2%, or $10.0 million since May
2014. A small portion of proceeds for deleveraging of the senior
notes were received from defaulted assets and from diversion of
interest proceeds due to the failure of the Class A/B OC test.
Based on Moody's calculation, the Class A-1 OC ratio is currently
at 382.3%, compared to 301.7% in May 2014.
The deal has also benefited from an improvement in the credit
quality of the underlying portfolio since May 2014. Based on
Moody's calculation, the weighted average rating factor is
currently 3163, compared to 3341 on May 2014.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in March 2014.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the commercial and
residential real estate property markets. Although the commercial
real estate property markets are gaining momentum, consistent
growth will be unlikely until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The residential real estate property market
is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, and excess interest proceeds
will continue and at what pace. Faster deleveraging than Moody's
expects could have a significant impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming limited recoveries, and therefore,
realization of any recoveries exceeding Moody's expectation in the
future would positively impact the notes' ratings.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM v.2.14.1 to model the loss distribution for SF CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios define the reference pool's loss distribution. Moody's
then uses the loss distribution as an input in the CDOEdge cash
flow model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Ba1 and below ratings notched up by two rating notches:
Class A-1A: +3
Class A-1B: +3
Ba1 and below ratings notched down by two notches:
Class A-1A: -2
Class A-1B: -2
PREFERREDPLUS TRUST ELP-1: S&P Raises Rating on 2 Notes From BB
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on classes A
and B from PreferredPLUS Trust Series ELP-1's $40.754 million
fixed-rate preferred plus trust certificates series ELP-1 to
'BBB-' from 'BB'. Simultaneously, S&P removed the ratings from
CreditWatch, where it placed them with positive implications on
Aug. 14, 2014.
S&P's ratings on the certificates are dependent on its rating on
the underlying security, Kinder Morgan Inc.'s $1.1 billion 7.75%
medium-term notes due Jan. 15, 2032 ('BBB-').
The rating actions reflect the Nov. 20, 2014, raising of S&P's
rating on the underlying security to 'BBB-' from 'BB', and its
subsequent removal from CreditWatch, where S&P placed it with
positive implications on Aug. 11, 2014.
S&P may take subsequent rating actions on this transaction due to
changes in its rating assigned to the underlying security.
RATINGS RAISED AND REMOVED FROM CREDITWATCH
PreferredPLUS Trust Series ELP-1
Rating
Class To From
A BBB- BB/Watch Pos
B BBB- BB/Watch Pos
RBSCF TRUST 2009-RR1: Moody's Affirms Ba1 Rating on JPMCC-A3 Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following certificates issued by RBSCF Trust, Pass-Through
Certificates, Series 2009-RR1 ("RBSCF 2009-RR1"):
Cl. JPMCC-A, Affirmed Baa2 (sf); previously on Jan 10, 2014
Downgraded to Baa2 (sf)
Cl. JPMCC-A1, Affirmed A2 (sf); previously on Jan 10, 2014
Affirmed A2 (sf)
Cl. JPMCC-A2, Affirmed A2 (sf); previously on Jan 10, 2014
Affirmed A2 (sf)
Cl. JPMCC-A3, Affirmed Ba1 (sf); previously on Jan 10, 2014
Downgraded to Ba1 (sf)
Cl. JPMCC-A4, Affirmed A2 (sf); previously on Jan 10, 2014
Affirmed A2 (sf)
Cl. JPMCC-A5, Affirmed Baa3 (sf); previously on Jan 10, 2014
Downgraded to Baa3 (sf)
Ratings Rationale
Moody's has affirmed the ratings on the transaction because its
key transaction metrics are commensurate with existing ratings.
The affirmation is the result of Moody's on-going surveillance of
commercial real estate resecuritization (CRE Non-Pooled ReRemic)
transactions.
RBSCF 2009-RR1 is a non-pooled Re-Remic pass through trust
("resecuritization") originally backed by two ring-fenced
commercial mortgage backed security (CMBS) certificates: 25.7% of
the Class A-3 issued by Credit Suisse Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2007-C4 (the
"Underlying CSMC Securities"); and 15.6% of the Class A-4 issued
by J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2008-C2 (the
"Underlying JPMCC Securities"). Both the Group CSMC certificates
and the Group JPMCC certificates are backed by fixed-rate mortgage
loans secured by first liens on commercial and multifamily
properties.
Moody's has affirmed the ratings on the Underlying JPMCC
Securities. The affirmation reflected a base expected loss of
17.4% of the current balance for the underlying JPMCC 2008-C2
transaction. The Underlying CSMC Securities have fully amortized.
Updates to key parameters, including the constant default rate
(CDR), the constant prepayment rate (CPR), the weighted average
life (WAL), and the weighted average recovery rate (WARR), did not
materially change the expected loss estimate of the resecuritized
classes.
The Underlying JPMCC Securities have WAL of 3.0 years, assuming a
CDR of 0% and CPR of 0%. For delinquent loans (30+ days, REO,
foreclosure, bankrupt), Moody's assumes a fixed WARR of 40% while
a fixed WARR of 50% for current loans. Moody's also ran a
sensitivity analysis on the classes assuming a WARR of 40% for
current loans. This impacts the modeled ratings of the Group JPMCC
certificates by 0 to 1 notch downward.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating Resecuritizations" published in February 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the certificates are subject to uncertainty,
because they are sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that are subject to change. The servicing decisions of the master
and special servicer and surveillance by the operating advisor
with respect to the collateral interests and oversight of the
transaction will also affect the performance of the rated
certificates.
Because the credit quality of the resecuritization depends on that
of the underlying CMBS certificates, whose credit quality in turn
depends on the performance of the underlying commercial mortgage
pool, any change to the ratings on the underlying certificates
could lead to a review of the ratings of the certificate.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and certain commercial real estate property
markets. Commercial real estate property values continue to
improve modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
SELKIRK 2013-1: DBRS Confirms 'B' Rating on Class F Notes
---------------------------------------------------------
DBRS Inc. has confirmed all ratings of the following classes of
asset-backed notes issued by Selkirk 2013-1:
Class A2 at AAA (sf)
Class IO at AAA (sf)
Class B at AA (low) (sf)
Class C at A (low) (sf)
Class D at BBB (low) (sf)
Class E at BB (low) (sf)
Class F at B (low) (sf)
All trends are Stable. Class A2, IO, B, C, D, E and F have been
retained by AIG.
The underlying collateral consists of 53 seasoned, fixed-rate
loans secured by 65 commercial and multifamily properties
comprising a total transaction balance of $852.7 million. Since
the deal closed in December 2013, two loans have prepaid from the
pool. In addition to these prepayments, scheduled amortization on
the remaining loans has contributed to a total collateral
reduction of 7.4% as of the November 2014 remittance.
There are currently two loans on the servicer's watchlist,
representing 6.1% of the current pool balance. The smaller of the
two loans has been flagged for the lease expiration of a large
tenant. The upcoming lease expiration was known at the time of
securitization, and DBRS was able to confirm that the lease in
question had been renewed. The largest loan on the watchlist is
the second-largest loan in the pool, Mission Towers II (Prospectus
ID#2, 6.0% of the current pool balance). This loan is secured by
a Class A office property located in Santa Clara, California. The
loan has also been flagged for the upcoming lease expiration of a
major tenant. WebEx leases 57.3% of the net rentable area through
an agreement scheduled to expire on December 31, 2014. The space
is being marketed on CoStar as available for rent beginning
January 1, 2015. In addition to WebEx vacating, another tenant
occupying the fifth floor has executed a termination option.
Santa Clara is situated in the heart of Silicon Valley, a
relatively liquid market for office space within the state of
California. The submarket vacancy for Class A office space was
12.3% as of Q3 2014, according to CoStar. The sponsor is an
experienced owner and operator of commercial real estate and owns
the neighboring building, Mission Towers I. According to the
servicer, several existing tenants in the Mission Towers I and
Mission Towers II building have expressed interest in expanding
into the WebEx space, and half of the fifth floor has already been
re-leased. In addition, there is a tenant improvement/leasing
commission reserve with a current balance of $6.5 million to
further aid in re-leasing space at the property.
SOLSTICE ABS III: Moody's Hikes Rating on $Cl. A-2 Notes to Caa3
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Solstice ABS III, Ltd.
$107,500,000 Class A-2 Senior Secured Floating Rate Notes due
2033 (current outstanding balance of $11,729,271), Upgraded to
Caa3 (sf); previously on July 23, 2009 Downgraded to Ca (sf)
Solstice ABS III, Ltd., issued in November 2003, is a
collateralized debt obligation backed primarily by a portfolio of
RMBS and CDO assets originated in 2002 to 2004.
Ratings Rationale
The rating action is due primarily to the deleveraging of the
Class A-2 notes. The Class A-2 notes have paid down by
approximately 45%, or $9.4million, since April 2014. The paydown
of the Class A-2 notes is partially the result of interest
payments and principal prepayments from certain assets treated as
defaulted by the trustee in amounts materially exceeding
expectations. Accordingly, Moody's have assumed the deal will
continue to benefit from potential recoveries on defaulted
securities, some of which have experienced significant price
increases in the last two years. Additionally, Moody's notes that
$13.4 million out of $55.3 million of assets treated as defaulted
by the trustee is currently rated Caa (sf) or above.
Since July 20, 2009, the transaction has been under an "Event of
Default" (EoD) , according to Section 5.1(j) of the indenture. The
EOD was triggered by the transaction's class A notes
overcollateralization failing below 100%.
As post EOD remedies, the noteholders subject to voting rights may
direct the Trustee to accelerate and liquidate the transaction.
Moody's believes the likelihood of the declaration of liquidation
is low because 66-2/3% of each class of Notes voting separately is
required.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the residential real
estate property markets. The residential real estate property
market is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, and excess interest proceeds
will continue and at what pace. Faster deleveraging than Moody's
expects could have a significant impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming limited recoveries, and therefore,
realization of any recoveries exceeding Moody's expectation in the
future would positively impact the notes' ratings.
4) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors Moody's rates Caa1 or lower, especially if they jump to
default. Because of the deal's lack of granularity, Moody's
supplemented its analysis with a individual scenario analysis.
Loss and Cash Flow Analysis:
Moody's typically applies a Monte Carlo simulation framework in
Moody's CDOROM(TM) to model the loss distribution for SF CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios define the reference pool's loss distribution. Moody's
then uses the loss distribution as an input in a CDOEdge(TM) cash
flow model to calculate expected losses on the rated notes.
Moody's supplemented its analysis on this deal by estimating that
the expected losses of the notes could be reduced by excess
interest proceeds applied to pay down the senior notes, as well as
by potential recoveries realized from defaulted assets (based on a
range of assumed market values). Moody's determined the current
ratings in part based on these adjusted expected losses.
The deal's ratings are not expected to be sensitive to the typical
range of changes (plus or minus two rating notches on Caa-rated
assets) in the rating quality of the collateral that Moody's
tests, and no sensitivity analysis was performed.
STRATS TRUST 2004-6: S&P Lowers Rating on 2 Note Classes to BB
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on classes
A-1 and A-2 of the $12.5 million fixed-rate callable certificates
issued by STRATS for United States Cellular Corp. Securities
Series 2004-6 to 'BB' from 'BB+'.
S&P's ratings on the two series are dependent solely on the rating
on the underlying security, United States Cellular Corp.'s 6.70%
senior notes due Dec. 15, 2033 ('BB'). The rating actions follow
the Nov. 24, 2014, lowering of S&P's rating on Chicago-based
Telephone & Data Systems Inc. and its majority-owned wireless
subsidiary, United States Cellular Corp., to 'BB' from 'BB+'.
S&P may take additional rating actions on the transaction to
reflect changes to its rating on the underlying security.
RATINGS LOWERED
STRATS Trust for United States Cellular Corp. Securities,
Series 2004-6
Rating Rating
Class To From
A-1 BB BB+
A-2 BB BB+
UBS-BARCLAYS 2012-C4: DBRS Confirms 'B' Rating on Class F Debt
--------------------------------------------------------------
DBRS Inc. has confirmed all classes of UBS-Barclays Commercial
Mortgage Trust 2012-C4 as follows:
Class A-1 at AAA (sf)
Class A-2 at AAA (sf)
Class A-3 at AAA (sf)
Class A-4 at AAA (sf)
Class A-5 at AAA (sf)
Class X-A at AAA (sf)
Class X-B at AAA (sf)
Class A-AB at AAA (sf)
Class A-S at AAA (sf)
Class B at AA (low) (sf)
Class C at A (low) (sf)
Class D at BBB (low) (sf)
Class E at BB (sf)
Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the pool since issuance. The pool consists of 89 loans secured by
131 multifamily and commercial properties. As of the November 2014
remittance, the pool had a balance of approximately $1.4 billion,
representing a collateral reduction of 1.9% since issuance due to
scheduled loan amortization. According to YE2013 reporting, the
pool had a weighted-average (WA) debt service coverage ratio
(DSCR) and WA debt yield of 1.88 times (x) and 11.4%,
respectively.
At issuance, DBRS assigned an investment-grade shadow rating to
one loan, 1000 Harbor Boulevard (Prospective ID#53, 0.5% of the
current pool balance). DBRS has confirmed that the performance of
this loan remains consistent with investment-grade loan
characteristics.
As of November 2014 remittance, there were eight loans on the
servicer's watchlist, representing 6.4% of the current pool
balance. Three of these loans, representing 3.7% of the pool, are
only on the watchlist for minor deferred maintenance items, as
opposed to material performance issues. The largest loan on the
servicer's watchlist, which has been flagged for performance-
related issues, is highlighted below.
The Bedford Green loan (Prospectus ID#11, 2.1% of the current
pool) is secured by a 121,199 sf grocery-anchored retail center
located in Bedford Hills, New York. The loan was placed on the
servicer's watchlist due to a YE2013 DSCR of 0.86x, which was
caused by a low rental rate for the anchor tenant and a decline in
occupancy. The anchor tenant, ShopRite (31.6% of the NRA),
previously paid a rental rate of $9.58 psf; however, as of January
2014, its rental rate was reset to $23.53 psf (85.0% of market
rent), according to terms in the tenant's lease. The subject's
occupancy rate declined after the former second-largest tenant,
Mavis Tire Supply (Mavis) (17.9% of the NRA), vacated the property
at lease expiration in December 2012, leaving the space dark until
August 2013. As of August 2013, approximately two-thirds of
Mavis' former space was leased to Premier Collection for one year
at $3.74 psf, compared to Mavis' former rental rate of $5.90 psf.
According to the June 2014 rent roll, property occupancy rebounded
to 97.2% and the average rental rate was $21.70 psf, compared with
$17.62 at YE2013. As a result of Shoprite's increased rental
revenue and the decrease in vacancy, the Q1 2014 DSCR improved to
1.13x.
The DBRS analysis included an in-depth review of the 15 largest
loans in the transaction, the shadow-rated loan and the loans on
the servicer's watchlist, which collectively represent 63.8% of
the current pool balance.
WACHOVIA BANK 2004-C11: Moody's Affirms C Rating on 3 Certs
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on three
classes, affirmed ten classes and downgraded one class of Wachovia
Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2004-C11 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Apr 3, 2014 Affirmed
Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on Apr 3, 2014 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Apr 3, 2014 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on Apr 3, 2014 Upgraded to
Aaa (sf)
Cl. D, Upgraded to Aa2 (sf); previously on Apr 3, 2014 Upgraded to
A1 (sf)
Cl. E, Upgraded to A1 (sf); previously on Apr 3, 2014 Upgraded to
A3 (sf)
Cl. F, Upgraded to Baa1 (sf); previously on Apr 3, 2014 Upgraded
to Baa2 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Apr 3, 2014 Upgraded to
Ba1 (sf)
Cl. H, Affirmed B3 (sf); previously on Apr 3, 2014 Affirmed B3
(sf)
Cl. J, Affirmed Caa3 (sf); previously on Apr 3, 2014 Affirmed Caa3
(sf)
Cl. K, Affirmed C (sf); previously on Apr 3, 2014 Downgraded to C
(sf)
Cl. L, Affirmed C (sf); previously on Apr 3, 2014 Downgraded to C
(sf)
Cl. M, Affirmed C (sf); previously on Apr 3, 2014 Affirmed C (sf)
Cl. X-C, Downgraded to B1 (sf); previously on Apr 3, 2014 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on classes D, E and F were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 36% since Moody's last
review.
The ratings classes A-1A, A-5, B, C and G 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 five remaining P&I classes
were affirmed because the ratings are consistent with Moody's
expected loss.
The rating on the IO Class (Class X-C) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 3.6% of the
current balance, compared to 7.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.5% of the
original pooled balance, compared to 4.1% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The 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
The pool has a Herf of three, compared to five at Moody's last
review. 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. These aggregated proceeds are then further adjusted
for any pooling benefits associated with loan level diversity,
other concentrations and correlations.
Deal Performance
As of the November 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 80% to $208.3
million from $1.04 billion at securitization. The certificates are
collateralized by 6 mortgage loans ranging in size from 3% to 45%
of the pool. One loan constituting 8% of the pool, has an
investment-grade structured credit assessment. The Four Seasons
Town Centre loan had an investment grade structured credit
assessment at last review and was removed due to performance
declines. This loan is described in more detail below.
No loans are on the master servicer's watchlist.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $19 million. Two loans, constituting 7%
of the pool, are currently in special servicing. The largest
specially serviced loan is the 10400 Eaton Place Loan ($8.4
million -- 4.0% of the pool), which is secured by a 103,000 square
foot (SF) office property located in Fairfax, Virginia. The loan
was transferred to special servicing in February 2014 due to
imminent maturity default. As of February 2014, the property was
58% leased.
The other specially serviced loan is the Plaza 75 Shopping Center
Loan ($5.3 million -- 2.5% of the pool), which is secured by
retail center in Phoenix, Arizona. The loan transferred to special
servicing in February 2014 due to imminent maturity default and
became REO in September 2014. Several major tenants vacated their
spaces and as of May 2014 the property was only 51% leased.
Moody's estimates an aggregate $5.4 million loss for the specially
serviced loans (39% expected loss on average).
Moody's received full year 2012 and 2013 operating results for
100% of the pool.
The loan with an investment grade structured credit assessment is
the University Mall Loan ($16.5 million -- 7.9% of the pool),
which is secured by a 653,600 SF mall located in Tuscaloosa,
Alabama. The property is located three miles southeast of downtown
Tuscaloosa and two miles south of the University of Alabama. The
property is the dominant mall in the Tuscaloosa market. Anchor
tenants include JC Penney and Belk. As of September 2014 the total
mall was 95% leased compared to 96% at last review. Moody's
structured credit assessment and stressed DSCR are aa1 (sca.pd)
and 1.97X, respectively, compared to aa1 (sca.pd) and 2.37X at
last review.
The largest loan is the Brass Mill Center & Commons Loan ($93.1
million -- 44.7% of the pool), which is secured by an 864,200 SF
enclosed mall and outdoor community center located in Waterbury,
Connecticut. The subject is not the dominant mall in the area. The
enclosed mall is anchored by JC Penney, Burlington Coat Factory,
Macy's and Sears (Macy's and Sears are not part of the
collateral). As of June 2014, the enclosed mall portion had a
total and inline occupancy of 96% and 95%, respectively, and the
community center was 100% leased. The loan's maturity date was
extended 2.5 years to April 2016 as part of the restructuring of
the loan as part of the GGP's bankruptcy plan. Moody's LTV and
stressed DSCR are 87% and 1.18X, respectively, the same as at last
review.
The second largest loan is the Four Seasons Town Centre Loan
($72.8 million -- 35.0% of the pool), which is secured by a
928,400 SF mall in Greensboro, North Carolina. The loan's Sponsor
is General Growth Properties (GGP). Major tenants include JC
Penney and Belk, however Belk announced it will vacate the
property in February 2015. The mall is also shadow anchored by
Dillard's. Total mall and inline occupancy as of July 2014 was 93%
and 82%, respectively, compared to 93% and 75% at the last review.
Belk vacating the property will cause the total mall occupancy to
decrease and may trigger co-tenancy clauses among several inline
tenants. The loan's maturity date was extended 3.5 years to June
2017 as part of the restructuring of the loan as part of GGP's
bankruptcy plan. Moody's has removed the investment grade
structured credit assessment due to concerns about the decline in
performance. Moody's LTV and stressed DSCR are 68% and 1.54X,
respectively, compared to 56.3% and 1.73X at the last review.
The next largest remaining performing loan is the Sports Authority
Corporate Headquarters Loan ($12.2 million -- 5.8% of the pool),
which is secured by a 210,200 SF office building located in
Englewood, Colorado. The property is fully leased Sports Authority
through July 2018 and serves as its corporate headquarters. Due to
the single tenant nature of the property, Moody's included a
"lit/dark" analysis. Moody's LTV and stressed DSCR are 70% and
1.59X, respectively.
WFRBS 2013-C18: DBRS Confirms 'B' Rating on Class F Notes
---------------------------------------------------------
DBRS Inc. has confirmed all classes of WFRBS Commercial Mortgage
Trust 2013-C18 as follows:
Class A-1 at AAA (sf)
Class A-2 at AAA (sf)
Class A-3 at AAA (sf)
Class A-4 at AAA (sf)
Class A-5 at AAA (sf)
Class A-S at AAA (sf)
Class A-SB at AAA (sf)
Class X-A at AAA (sf)
Class B at AA (low) (sf)
Class C at A (low) (sf)
Class PEX at A (low) (sf)
Class D at BBB (low) (sf)
Class E at BB (sf)
Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the stable performance of the
pool since issuance. The collateral consists of 67 fixed-rate
loans secured by 73 commercial and multifamily properties. As of
the November 2014 remittance, the pool had a balance of $1.03
billion, representing a collateral reduction of 0.6% since
issuance due to scheduled loan amortization. At issuance, DBRS
assigned an investment-grade shadow rating to two loans, Garden
State Plaza (Prospectus ID#1, 14.5% of the current pool) and The
Outlet Collection -- Jersey Gardens (Prospectus ID#3, 13.6% of the
current pool balance). DBRS has confirmed that the performance of
these loans remain consistent with the investment-grade loan
characteristics.
As of the November 2014 remittance report, there was one loan on
the servicer's watchlist, representing 1.0% of the current pool
balance. The Renaissance Apartments (Prospectus ID#22) is secured
by a 142-unit apartment building located in downtown Atlanta,
Georgia. This loan was added to the servicer's watchlist after
the Q2 2014 debt service coverage ratio (DSCR) decreased to 1.03x
as a result of an increase in expenses. According to the
servicer, the increase was a result of many factors, including a
rise in cost for utilities, insurance premiums, professional fees
and general administrative costs. According to the June 2014 rent
roll, the property was 95.1% occupied with average rental rates of
approximately $1,170/unit. According to the Reis Q3 2014
multifamily market report for the Midtown submarket, the subject
compares similarly to the submarket, which reports average rents
of $1,340/unit and average vacancy of 4.2% for properties built
from 2000 to 2009.
The DBRS analysis included an in-depth review of the 15 largest
loans in the transaction and the loan on the servicer's watchlist,
which collectively represent 75.7% of the current pool balance.
WFRBS 2014-C25: DBRS Finalizes 'BB' Rating on Class E Certs
-----------------------------------------------------------
DBRS Inc. has finalized provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2014-C25 to be issued by WFRBS Commercial Mortgage Trust 2014-C21
(the Trust):
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class X-E at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable.
Classes X-C, X-D, X-E, D, E and F have been privately placed
pursuant to Rule 144A.
Classes X-A, X-B, X-C, X-D and X-E balances are notional. DBRS
ratings on interest-only (IO) certificates address the likelihood
of receiving interest based on the notional amount outstanding.
DBRS considers the IO certificates' position within the
transaction payment waterfall when determining the appropriate
rating.
Up to the full certificate balance of the Class A-S, Class B and
Class C certificates may be exchanged for Class PEX certificates.
Class PEX certificates may be exchanged for up to the full
certificate balance of the Class A-S, Class B and Class C
certificates.
The collateral consists of 59 fixed-rate loans secured by 73
commercial and multifamily properties. The largest loan in the
pool, St. Johns Town Center, representing 11.4% of the pool, was
shadow-rated AA (low) by DBRS. The conduit pool was analyzed to
determine the provisional ratings, reflecting the long-term
probability of loan default within the term and its liquidity at
maturity. When the cut-off loan balances were measured against
the DBRS Stabilized Net Cash Flow and their respective actual
constants, there was only one loan, representing 3.3% of the total
pool, with a term debt service coverage ratio (DSCR) below 1.15
times (x), a threshold indicative of a higher likelihood of mid-
term default. Additionally, to assess refinance risk, given the
current low interest rate environment, DBRS applied its refinance
constants to the balloon amounts, resulting in 48.0% of the pool
having refinance DSCRs below 1.00x. While the pool has a
relatively high concentration of loans suffering from elevated
refinance risk, the largest loan in the pool, St. Johns Town
Center, which represents 11.4% of the pool, has a large $146.5
million B-note, which depresses whole loan credit metrics for the
pool. Based on the A-note only, the DBRS Refinance DSCR for the
pool is higher, at 1.11x.
The transaction has a large concentration of loans sponsored by
Simon Property Group, including the two largest loans in the pool,
St. Johns Town Center and Colorado Mills, which represent 22.8% of
the pool. Simon Property Group is one of the largest retail
owners in the world, and as of Q3 2014, the company had a market
capitalization of $87 billion and owned 228 retail assets in the
United States, Europe and Asia. DBRS modeled Simon Property Group
as Strong, decreasing the probability of default for the loans.
Additionally, four loans, representing 20.6% of the pool
(including two in the top ten), are structured as IO for the full
loan term. An additional 27 loans, representing 55.2% of the
pool, have partial IO periods ranging from 12 to 66 months. The
transaction's scheduled amortization by maturity at -10.7% is
above other recent conduit transactions.
The DBRS sample included 27 of the 59 loans in the pool,
representing 73.2% of the pool by loan balance. Of the sampled
loans, one loan was given Excellent property quality and three
loans were given Above Average property quality, while five loans
were given Below Average property quality. DBRS considers the
pool to be relatively diverse based on loan size, with a
concentration profile equivalent to a pool of 25 equal-sized
loans.
The ratings assigned to the Certificates by DBRS are based
exclusively on the credit provided by the transaction structure
and underlying trust assets. All classes will be subject to
ongoing surveillance, which could result in upgrades or downgrades
by DBRS after the date of issuance.
*********
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 ***