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T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, August 30, 2009, Vol. 13, No. 240
Headlines
ABACUS 2004-1: S&P Downgrades Ratings on Two Classes to 'D'
ABACUS 2005-1: S&P Downgrades Ratings on Class B Notes to 'D'
ABACUS 2006-11: S&P Downgrades Ratings on Class A Notes to 'D'
ABN AMRO: Moody's Reviews 'B3' Rating on $850 Mil. Securities
ACA ABS: Moody's Cuts Ratings on Three Classes of 2004-1 Notes
ACA ABS: Moody's Downgrades Ratings on Two Classes of 2002-1 Notes
ALADDIN SYNTHETIC: S&P Withdraws 'CCC-' Rating on Series A-1 Notes
ALLENTOWN AREA: S&P Corrects Rating on 1998A Bonds to 'BB-'
AMERICREDIT PRIME: Moody's Confirms Ratings on 2007-2-M Tranches
ANSONIA CDO: Moody's Reviews Ratings on Eight 2006-1 Notes
ARES IIIR/IVR: Moody's Downgrades Ratings on $565 Mil. Notes
ARTUS LOAN: Moody's Downgrades Ratings on 2007-I Notes
ASPEN VALLEY: S&P Raises Rating on 2003 Bonds to 'Aaa' From 'Ba3'
AUCTION RATE: Moody's Reviews Ratings on Two 2007-1 Certs.
AUCTION RATE: Moody's Reviews Ratings on Two 2007-2 Certificates
AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2006-3 Certs.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2006-4 Certs.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2006-12 Certs.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2007-3 Certs.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2007-4 Certs.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2007-5 Certs.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two Certificates
BABSON CLO: Moody's Downgrades Ratings on Various 2005I Notes
BAC AAH: Moody's Reviews Ratings on $70 Mil. Custodial Receipts
BAC AAH: Moody's Reviews Ratings on Various Custodial Receipts
BANC OF AMERICA: Fitch Affirms Ratings on Various 2007-1 Notes
BANC OF AMERICA: Moody's Affirms Ratings on Seven 2005-2 Certs.
BAYTEX ENERGY: Moody's Puts B3 Rating on Mulled C$150MM Notes
BEAR STEARNS: Fitch Takes Rating Actions on 2006-PWR14 Certs.
BEAR STEARNS: Moody's Affirms Ratings on 14 2004-PWR4 Certificates
BEAR STEARNS: Moody's Reviews Ratings on Eight 2006-BBA7 Certs.
BLACKROCK SENIOR: Moody's Upgrades Ratings on Class B Senior Notes
CALLIDUS DEBT: Moody's Downgrades Ratings on Three Classes
CAPITAL ONE: Fitch Affirms Ratings on Various Classes of Notes
CAPMARK VI: Fitch Takes Rating Actions on Five Classes of Notes
CENT CDO: Moody's Downgrades Ratings on Various Classes of Notes
CLAREGOLD TRUST: Moody's Affirms Ratings on Seven 2007-2 Certs.
COMM 2006-C7: Fitch Takes Various Rating Actions on 14 Certs.
COSO GEOTHERMAL: Moody's Cuts Ratings on Trust Certs. to 'Ba1'
CREDIT SUISSE: S&P Downgrades Ratings on 22 2007-C5 Securities
FAIRWAY LOAN: Moody's Downgrades Ratings on Various Classes
FENWAY I: Moody's Downgrades Ratings on Two Classes of Notes
FORD CREDIT: S&P Assigns Initial Rating on $2.227 Bil. Notes
FORE CLO: Moody's Downgrades Ratings on Two 2007-I Notes
GALE FORCE: Moody's Downgrades Ratings on Four Classes of Notes
GE COMMERCIAL: S&P Downgrades Ratings on 21 2007-C1 Securities
GLACIER FUNDING: Moody's Downgrades Ratings on Three Classes
GOLDENTREE CAPITAL: Moody's Upgrades Ratings on Various Classes
GRANITE VENTURES: Moody's Downgrades Ratings on Two Classes
GREENWICH CAPITAL: Moody's Keeps Ratings on Seven 2005-GG3 Certs.
GREENWICH CAPITAL: S&P Cuts Ratings on 2006-RR1 Certs. to 'D'
GRESHAM STREET: Moody's Downgrades Rating on Three Classes
GS MORTGAGE: Fitch Affirms Ratings on 2007-GG10 Certificates
GS MORTGAGE: Moody's Reviews Ratings on 13 2004-GG2 Certificates
JERSEY STREET: Moody's Downgrades Ratings on Three Classes
JP MORGAN: Moody's Downgrades Ratings on 11 Securities
KATONAH 2007-I: Moody's Downgrades Ratings on 2007-1 Notes
KATONAH X: Moody's Downgrades Ratings on Two Classes of Notes
KIMBERLITE CDO: S&P Puts Ratings on CDOs on CreditWatch Negative
LANDMARK V: Moody's Downgrades Ratings on Class A-2L Notes
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 15 2006-C7 Securities
LITTLEFIELD: Fitch Downgrades Ratings on Tax COs to 'BB'
MAINE EDUCATIONAL: Moody's Downgrades Ratings on Six Classes
MAPS CLO: Moody's Downgrades Ratings on Various Classes of Notes
MARQUETTE US/EUROPEAN: Moody's Downgrades Ratings on Various Notes
MARLBOROUGH STREET: Moody's Downgrades Ratings on Various Notes
MERRILL LYNCH: Moody's Affirms Ratings on 2000-Canada 3 Certs.
MERRILL LYNCH: Moody's Affirms Ratings on Eight 2005-MCP1 Certs.
MERRILL LYNCH: S&P Downgrades Ratings on 15 2006-C2 Securities
MERRILL SERIES: Moody's Reviews Ratings on Two Certs. to 'B3'
MIDWEST FAMILY: Moody's Reviews Ratings on Various Taxable Bonds
MONUMENT PARK: Moody's Downgrades Ratings on Various Classes
MORGAN STANLEY: Fitch Corrects Ratings on Class Q to 'B-/LS5'
MORGAN STANLEY: Fitch Downgrades Ratings on 2006-HQ9 Certificates
MORGAN STANLEY: Moody's Reviews Ratings on 19 2007-IQ14 Certs.
MORGAN STANLEY: S&P Downgrades Ratings on 16 2007-TOP27 Securities
MORGAN STANLEY: S&P Withdraws 'CCC+' Rating on Junior Notes
NELSON RE: Moody's Continues Review on 'B3' Rating on Class G
PASS-THROUGH AUCTION: Moody's Reviews Ratings on 2007-1 Certs.
PHOENIX CDO: Moody's Downgrades Ratings on Two Classes of Notes
PIONEER VALLEY: Moody's Cuts Rating on Class X Notes to 'Ba1'
PREFERRED PASS-THROUGH: Moody's Reviews Ratings on Two Certs.
PREFERRED WACHOVIA: Moody's Reviews Ratings on Two 2006-B Certs.
PUTNAM STRUCTURED: Moody's Downgrades Rating on Class A-2 Notes
RESTRUCTURED ASSET: S&P Withdraws Ratings on 2005-10-C Certs.
SAN GABRIEL: Moody's Downgrades Ratings on Four Classes of Notes
SASCO NET: Fitch Junks Ratings on Three Classes of 2003-BC2 Notes
STANFIELD ARNAGE: Moody's Downgrades Ratings on Three Classes
STEDMAN LOAN: Moody's Downgrades Ratings on Various Classes
STEERS THAYER: Moody's Downgrades Ratings on Various Notes
STONE TOWER: Moody's Downgrades Ratings on Various Classes
STRUCTURED INVESTMENTS: Moody's Cuts Rating on $3 Mil. Notes
STRUCTURED ASSET: Moody's Downgrades Ratings on 2002-4H Certs.
STUYVESANT CDO: Moody's Cuts Ratings on $25 Mil. Notes to 'Ba1'
TAYLOR BEAN: Moody's Reviews Ratings on 50 Tranches From Six Deals
TEXAS STATE AFFORDABLE HOUSING: S&P Cuts Rating on Bonds to 'B'
TCW GLOBAL: Fitch Downgrades Ratings on Two Tranches
TCW SELECT: Moody's Downgrades Ratings on Three Classes of Notes
VFN SERIES: Moody's Downgrades Ratings on Series 2008-2 Notes
VINACASA CLO: Moody's Downgrades Ratings on Four Classes of Notes
WACHOVIA BANK: Fitch Puts Ratings on 2005-C20 Certs. on Neg. Watch
WHITEHORSE I: Moody's Downgrades Ratings on Various Classes
* Moody's Reviews Ratings on 36 CMBS Deals for Likely Downgrades
* S&P Changes CreditWatch on Two Emerging Market Synthetic SFs
* S&P Downgrades Ratings on 14 Tranches From Four CDO Transactions
* S&P Downgrades Ratings on 34 Classes From Five Prime Jumbo RMBS
* S&P Downgrades Ratings on 251 Classes From 24 Prime Jumbo RMBS
* S&P Downgrades Ratings on Nine Classes From Four re-Remic RMBS
*********
ABACUS 2004-1: S&P Downgrades Ratings on Two Classes to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class B and C notes issued by ABACUS 2004-1 Ltd., and then
withdrew its rating on the class C notes.
The lowered ratings follow a number of recent credit events within
the transaction's underlying portfolio. Specifically, write-downs
in the underlying reference portfolio have caused the class B note
to incur a partial principal loss. S&P lowered and withdrew its
rating on the class C notes because they have incurred a full
principal loss.
Rating Lowered
ABACUS 2004-1 Ltd.
Rating
------
Class To From
----- -- ----
B D CCC-
Rating Lowered And Withdrawn
ABACUS 2004-1 Ltd.
Rating
------
To Interim From
-- ------- ----
C NR D CCC-
ABACUS 2005-1: S&P Downgrades Ratings on Class B Notes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on one class
of notes issued by ABACUS 2005-1 CB1 Ltd. and withdrew its ratings
on six other classes from the same transaction.
The lowered rating follows a number of recent credit events within
the transaction's underlying portfolio. Specifically, write-downs
in the underlying reference portfolio have caused the class B note
to incur a partial principal loss. S&P withdrew its ratings on
six classes of notes as they have incurred full principal losses.
Rating Lowered
ABACUS 2005-1 CB1 Ltd.
Rating
------
Class To From
----- -- ----
B D CCC-
Ratings Withdrawn
ABACUS 2005-1 CB1 Ltd.
Rating
------
Class To From
----- -- ----
C NR D
D NR D
E-1 NR D
E-2 NR D
F NR D
G NR D
ABACUS 2006-11: S&P Downgrades Ratings on Class A Notes to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A notes from Abacus 2006-11 Ltd. to 'D' from 'CCC-'. At the same
time, S&P withdrew its 'D' ratings on classes A-2 ser1, A-2 ser2,
B, B ser2, C, and D notes, as these classes have incurred full
principal losses.
The lowered rating follows a number of recent write-downs of
underlying reference entities, which have caused the notes to
incur a principal loss.
Rating Lowered
Abacus 2006-11 Ltd.
Rating
------
Class To From
----- -- ----
A D CCC-
Ratings Withdrawn
Abacus 2006-11 Ltd.
Rating
Class To From
A-2 ser1 NR D
A-2 ser2 NR D
B NR D
B ser2 NR D
C NR D
D NR D
NR - Not rated.
ABN AMRO: Moody's Reviews 'B3' Rating on $850 Mil. Securities
-------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these trust securities issued by ABN
AMRO North America Holding Preferred Capital Repackaging Trust I:
-- $850,000,000 6.523% Fixed/Floating Noncumulative Trust
Securities, B3 placed under review for possible upgrade;
previously on 4/14/2009 downgraded to B3;
The transaction is a structured note whose rating changes with the
rating of the Acquired Securities and the Swap Counterparty. The
rating action is a result of the change of the rating of Floating
Rate Non-Cumulative Company Preferred Securities each issued by
Underlying Obligors. Each Underlying Obligor is an indirect
subsidiary of ABN AMRO North America Holding Company. The
Acquired Securities consisting of Floating Rate Non-Cumulative
Company Preferred Securities placed under review for possible
upgrade at B3 on 8/17/2009.
ACA ABS: Moody's Cuts Ratings on Three Classes of 2004-1 Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of notes issued by ACA ABS 2004-1,
Limited. The notes affected by the rating action are:
-- US$315,000,000 Class A-1 Senior Secured Floating Rate Notes
Due 2039, Downgraded to A1; previously on 12/22/2008
Downgraded to Aa2 Placed Under Review for Possible Downgrade
-- US$49,500,000 Class A-2 Senior Secured Floating Rate Notes
Due 2039, Downgraded to Ba1; previously on 2/4/2009
Downgraded to Baa1
-- US$47,250,000 Class B Senior Secured Floating Rate Notes Due
2039, Downgraded to Caa2; previously on 2/4/2009 Downgraded
to B2
ACA ABS 2004-1, Limited is a collateralized debt obligation backed
by a portfolio with the highest concentrations in Residential ABS
Securities (56%).
The rating downgrade actions reflect deterioration in the credit
quality of the underlying portfolio due to the recent rating
actions taken with respect to RMBS assets. Credit deterioration
of the collateral pool is observed through a decline in the
average credit rating (as measured by an increase in the weighted
average rating factor), an increase in the dollar amount of
defaulted securities, and failure of the coverage tests, among
other measures. The ratings of approximately 62% of the
underlying assets have been downgraded since Moody's last review
of the transaction in February 2009. The trustee reports that the
WARF of the portfolio is 1149 as of June 30, 2009 and also reports
defaulted assets in the amount of $16.8 million. In addition, the
Trustee reports that the transaction is currently failing one or
more coverage tests, including the Class A/B Overcollateralization
Ratio Test.
The actions also take into consideration the risk of the
transaction experiencing an Event of Default. As provided in
Section V of the Indenture dated May 27, 2004 during the
occurrence and continuance of an Event of Default, certain parties
to the transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes,
including the sale and liquidation of the assets. The severity of
losses of certain tranches may be different depending on the
timing and outcome of liquidation.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
ACA ABS: Moody's Downgrades Ratings on Two Classes of 2002-1 Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of two classes of notes issued by ACA ABS 2002-1, Limited.
The notes affected by the rating action are:
-- Class A First Priority Senior Secured Floating Rate Notes,
due August 1, 2034, Downgraded to A1; previously on 2/18/2009
Downgraded to Aa2
-- Class B Second Priority Senior Secured Floating Rate Notes,
due August 1/37, Downgraded to Caa3; previously on 2/18/2009
Downgraded to Caa1
ACA ABS 2002-1, Limited is a collateralized debt obligation backed
by a portfolio with the highest concentrations in Residential ABS
Securities (51%).
The rating downgrade actions reflect deterioration in the credit
quality of the underlying portfolio due to the recent rating
actions taken with respect to RMBS assets. Credit deterioration
of the collateral pool is observed through a decline in the
average credit rating (as measured by an increase in the weighted
average rating factor), an increase in the dollar amount of
defaulted securities, and failure of the coverage tests, among
other measures. The ratings of approximately 40% of the
underlying assets have been downgraded since Moody's last review
of the transaction in February 2009. The trustee reports that the
WARF of the portfolio is 1398 as of June 30, 2009, and also
reports defaulted assets in the amount of $7.5 million. In
addition, the Trustee reports that the transaction is currently
failing one or more coverage tests, including the Class A/B
Overcollateralization Ratio Test.
The actions also take into consideration the risk of the
transaction experiencing an Event of Default. As provided in
Section V of the Indenture dated July 29, 2002, during the
occurrence and continuance of an Event of Default, certain parties
to the transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes,
including the sale and liquidation of the assets. The severity of
losses of certain tranches may be different depending on the
timing and outcome of liquidation.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
ALADDIN SYNTHETIC: S&P Withdraws 'CCC-' Rating on Series A-1 Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC-' rating on
the series A-1 notes issued by Aladdin Synthetic CDO II SPC, a
synthetic collateralized debt obligation transaction. The rating
was previously on CreditWatch with negative implications.
The withdrawal follows the receipt of a zero redemption option
notice, referencing the redemption of the notes as permitted by
section 9.9 of the indenture dated Dec.19, 2006.
Rating Withdrawn
Aladdin Synthetic CDO II SPC
Rating Balance (JPY)
------ -------------
Series To From Current Original
------ -- ---- ------- --------
A-1 NR CCC-/Watch Neg 0.00 2,000,000,000
NR - Not rated.
ALLENTOWN AREA: S&P Corrects Rating on 1998A Bonds to 'BB-'
-----------------------------------------------------------
Standard & Poor's Ratings Services corrected and lowered its long-
term rating to 'BB-' from 'BB+' on Allentown Area Hospital
Authority, Pennsylvania's series 1998A bonds, issued for Sacred
Heart Hospital of Allentown. The outlook is negative. On
Feb. 27, 2009, S&P lowered the underlying rating on the series
1998A bonds to 'BB-' from 'BB+'.
Due to an administrative error, S&P did not revise its long-term
rating on the series 1998A bonds, which are on parity with the
other bonds issued by Allentown Area Hospital Authority.
AMERICREDIT PRIME: Moody's Confirms Ratings on 2007-2-M Tranches
----------------------------------------------------------------
Moody's has confirmed ratings of three tranches from the
AmeriCredit Prime Automobile Receivables Trust 2007-2-M auto loan
transaction sponsored by AmeriCredit Financial Services, Inc. The
decision considered the increase in the level of credit
enhancement relative to future losses in addition to cash
contribution by the depositor to the trust assets. Performance
over the last six-months has demonstrated signs of stabilization.
Cumulative losses as a percentage of the pool that has liquidated
(original pool balance -- current pool balance), an indicator of
projected lifetime loss trajectories, have also shown signs of
leveling off. The rating actions conclude the review of the
securities that were previously placed on review for possible
downgrade on March 16, 2009.
Although Moody's currently projects the transaction to incur
cumulative lifetime net losses of 12.75% versus initial
expectation of 4.00% to 5.50%, cash and over collateralization
relative to future expected losses has increased as the
transaction has paid down. Initial credit support in the form of
cash reserve and overcollateralization comprised of 3.50% of the
initial pool balance in addition to approximately 4.50% per annum
of projected gross annual excess spread, compared to original
future expected losses of 4.00%-5.50%. Currently credit support
in the form of cash reserve and overcollateralization is
approximately 7.50% compared to future expected losses of
approximately 6.25%, both measured as a percentage of the initial
pool balance. Gross excess spread is projected to be
approximately 4.50% per annum. The pool factor of the transaction
is approximately 52% and both the overcollateralization and the
reserve account are at the required target levels.
On June 4, 2009, amendments were made to the transaction that
included credit performance triggers and to increase in the amount
required in the spread (reserve) account from 3.5% to 4.0% of the
initial pool balance. Moody's analysis included consideration of
the above mentioned amendment including provisions in the
transaction , that could give MBIA, as controlling party, the
ability to change the cash flow allocation between the senior
classes. Principal payments are currently allocated sequentially
between the Class A notes. However, under certain circumstances,
if an event of default occurs, the controlling party may elect to
change the Class A notes to be paid pro-rata instead of
sequentially. Such an event is considered unlikely, however, if
it occurs, it could put more reliance on the claims paying ability
of MBIA, the financial guarantor of the securities. The current
tranche factor for the Class A-3 is approximately 80% and for
Class A-4-A and A-4-B is 100%.
Complete rating actions are:
Issuer: AmeriCredit Prime Automobile Receivables Trust 2007-2-M
-- Pool Current Expected Cumulative Net Losses: 12.75% (as a
percentage of the original loan pool balance)
Class Description: Cl A-3
-- Current Rating: Confirmed at Baa2; previously on 3/16/2009
Baa2 placed on Review for Possible Downgrade;
-- Financial Guarantor: MBIA (B3; previously on 2/18/2009
Downgraded to B3 from Baa1)
-- Underlying Rating: Confirmed at Baa2; previously on 3/16/2009
Baa2 placed on Review for Possible Downgrade;
Class Description: Cl A-4-A
-- Current Rating: Confirmed at Baa2; previously on 3/16/2009
Baa2 placed on Review for Possible Downgrade;
-- Financial Guarantor: MBIA (B3; previously on 2/18/2009
Downgraded to B3 from Baa1)
-- Underlying Rating: Confirmed at Baa2; previously on 3/16/2009
Baa2 placed on Review for Possible Downgrade;
Class Description: Cl A-4-B
-- Current Rating: Confirmed at Baa2; previously on 3/16/2009
Baa2 placed on Review for Possible Downgrade;
-- Financial Guarantor: MBIA (B3; previously on 2/18/2009
Downgraded to B3 from Baa1)
-- Underlying Rating: Confirmed at Baa2; previously on 3/16/2009
Baa2 placed on Review for Possible Downgrade;
ANSONIA CDO: Moody's Reviews Ratings on Eight 2006-1 Notes
----------------------------------------------------------
Moody's Investors Service downgraded one class and placed eight
classes of Notes issued by Ansonia CDO 2006-1, Ltd., on review for
possible downgrade due to an Event of Default caused by the non-
payment of full interest on certain classes, deterioration in the
credit quality of the underlying portfolio, and the uncertainty
surrounding potential Collateral liquidation in the current
environment.
Ansonia CDO 2006-1, Ltd., is a collateralized debt obligation
backed by a portfolio of cash collateral in commercial mortgage
backed securities, commercial real estate collateralized debt
obligations, and Real Estate Investment Trust debt. As of the
July 28, 2009 payment date, CMBS collateral comprised
approximately 94% of the portfolio with 19% of the CMBS
concentrated in 2006 vintage securitizations. REIT debt comprises
5% of the portfolio with CRE CDO collateral constitutes the
remaining 1%.
As of the July 28, 2009 payment date, the Trustee reported that
over 69% of the collateral was classified as Credit Impaired
Securities, in sharp contrast to the less than 5% Credit Impaired
Securities reported as of January 28, 2009. Per the Indenture,
payments or recoveries of interest with respect to Credit Impaired
Securities will be excluded from Interest Proceeds and will be re-
classified as Principal Proceeds. Beginning on April 28, 2009,
the significant increase in the percentage of Credit Impaired
Securities has resulted in interest shortfalls to the accrued
interest for the Class E Note, Class F Note, and Class G Note.
Only the Class A Note received timely payment of its accrued
interest and beginning on June 29, 2009, there was a interest
payment default on the Class B Note, which Moody's rate, along
with Class A, to timely payment of interest (i.e. Non-PIKable).
As provided in Article V of the Indenture, during the occurrence
and continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral Debt Securities
and the Notes, including liquidation. Moody's notes that the
transaction is exposed to a significant concentration of CMBS
assets, the majority of which have low speculative-grade ratings.
It also has a limited exposed to CRE CDOs with low speculative-
grade ratings. Both types of assets have shown depressed market
valuations recently which could lead to low recovery rates were a
sale and liquidation of the Collateral to occur.
The downgrade action reflects the increased expected loss
associated with Class B due to the non-payment of interest. In
addition, all classes are being placed on review for possible
downgrade due to the diminished credit quality on the underlying
portfolio and the uncertainty surrounding the potential for the
Trustee to be directed to liquidate the Collateral. The
possibility that the Collateral may be liquidated in the current
environment could result in much higher loss severities that in
Moody's view would be inconsistent with the current ratings.
-- Class A-FL, $205,087,643, Floating Rate Notes Due 2046, on
review for possible downgrade; previously on 3/6/2009
downgraded to Ba3 from Aaa
-- Class A-FX, $76,148,051, Fixed Rate Notes Due 2046, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Ba3 from Aaa
-- Class B, $57,479,000, Fixed Rate Notes Due 2046, downgraded
to Caa1 from B2 and placed on review for further possible
downgrade; previously on 3/6/2009 downgraded to B2 from Aa2
-- Class C, $34,285,000, Fixed Rate Notes Due 2046, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa1 from A1
-- Class D, $16,134,000, Fixed Rate Notes Due 2046, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa1 from A3
-- Class E, $18,151,000, Fixed Rate Notes Due 2046, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa2 from Baa1
-- Class F, $24,201,000, Fixed Rate Notes Due 2046, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa2 from Baa3
-- Class G, $30,252,000, Fixed Rate Notes Due 2046, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa2 from Ba1
-- Class H, $26,218,000, Fixed Rate Notes Due 2046, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa3 from Ba2
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March, 6 2009.
ARES IIIR/IVR: Moody's Downgrades Ratings on $565 Mil. Notes
------------------------------------------------------------
Moody's downgrades the ratings of $565 MM notes issued by Ares
IIIR/IVR CLO Ltd.:
-- US$50,000,000 Class A-1 Variable Funding Floating Rate Notes
(current balance of $49,113,876), Downgraded to Aa3;
previously on March 8, 2007 Assigned Aaa;
-- US$446,300,000 Class A-2 Senior Secured Floating Rate Notes
(current balance of $438,390,457), Downgraded to Aa3;
previously on March 8, 2007 Assigned Aaa;
-- US$42,000,000 Class B Senior Secured Floating Rate Notes,
Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$31,500,000 Class E Secured Deferrable Floating Rate Notes,
Downgraded to Caa3; previously on March 13, 2009 Downgraded
to Caa2 and Placed Under Review for Possible Downgrade;
-- US$4,000,000 Combination Notes (current balance of
$3,676,648), Downgraded to B1; previously on March 4, 2009
Baa2 Placed Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$42,000,000 Class C Senior Secured Deferrable Floating Rate
Notes, Confirmed at Ba1; previously on March 13, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$35,000,000 Class D Secured Deferrable Floating Rate Notes,
Confirmed at B1; previously on March 13, 2009 Downgraded to
B1 and Placed Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the Class E overcollateralization test.
In particular, the weighted average rating factor has increased
over the last year and is currently 2825 as of the last trustee
report, dated July 9, 2009. Based on the same report, defaulted
securities total about $34 million, accounting for roughly 5% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 13% of the underlying portfolio.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for high-yield corporate
bonds and second lien loans will be below their historical
averages, consistent with Moody's research. Other assumptions
used in Moody's CLO monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
July 17, 2009. Due to the impact of all aforementioned stresses,
key model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Ares IIIR/IVR CLO Ltd., issued in March of 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
ARTUS LOAN: Moody's Downgrades Ratings on 2007-I Notes
------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Artus Loan Fund 2007-I, Ltd.:
-- US$780,000,000 Class A-1L Floating Rate Notes Due 2018
(current balance of $763,211,914), Downgraded to A1;
previously on November 15, 2007 Assigned Aaa;
-- US$42,000,000 Class A-2L Floating Rate Notes Due 2018,
Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$52,000,000 Class A-3L Floating Rate Notes Due 2018,
Downgraded to Ba2; previously on March 13, 2009 Downgraded to
Ba1 and Placed Under Review for Possible Downgrade;
-- US$35,000,000 Class B-1L Floating Rate Notes Due 2018,
Downgraded to B2; previously on March 13, 2009 Downgraded to
B1 and Placed Under Review for Possible Downgrade;
-- US$28,000,000 Class B-2L Floating Rate Notes Due 2018
(current balance of $27,490,495), Downgraded to Caa3;
previously on March 13, 2009 Downgraded to Caa2 and Placed
Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the Class B-1L and Class B-2L
overcollateralization tests. In particular, the weighted average
rating factor has increased over the last year and is currently
3240 versus a test level of 2650 as of the last trustee report,
dated August 5, 2009. Based on the same report, defaulted
securities total about $60 million, accounting for roughly 6% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 21% of the underlying portfolio.
Moody's also assessed the collateral pool's elevated concentration
risk in debt obligations of companies in the banking, finance,
real estate, and insurance industries, which Moody's views to be
more strongly correlated in the current market environment.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 2009. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Artus Loan Fund 2007-I, Ltd., issued in November of 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
ASPEN VALLEY: S&P Raises Rating on 2003 Bonds to 'Aaa' From 'Ba3'
-----------------------------------------------------------------
Moody's Investors Service has upgraded to Aaa/VMIG 1 from Ba3/S.G.
the rating assigned to Aspen Valley Hospital District Variable
Rate Demand Revenue Bonds Series 2003, in conjunction with the
issuance of a confirming letter of credit, scheduled for
August 27, 2009, provided by the Federal Home Loan Bank of Topeka
to provide additional security to the Bonds. In addition, on
August 27, 2009, the letter of credit currently securing the Bonds
will be replaced with the delivery of alternate irrevocable direct
pay letter of credit provided by Vectra Bank Colorado, N.A. Upon
the delivery of the CLOC, the rating will reflect the credit
quality of FHLB Topeka as provider of the CLOC and the structure
and legal protections of the transaction, which ensures timely
payment of debt service and purchase price payments to
bondholders. The FHLB Topeka CLOC is confirming the Vectra Bank
Colorado N.A. LOC.
Moody's does not maintain a rating on Vectra Bank Colorado N.A.
Moody's maintains a long-term rating of Aaa and short-term rating
of P-1 on FHLB Topeka.
Interest Rate Modes And Payment
Upon the substitution of the underlying LOC and the delivery of
the CLOC, the Bonds will continue to bear interest in the weekly
rate mode and pay interest semiannually on each April 15 and
October 15. Upon conversion, in whole, to the monthly, semi-
annual, annual, five year or fixed rate modes the bonds will be
subject to mandatory tender. Moody's rating applies to bonds in
the weekly rate mode only.
Flow of Funds
For principal and interest, the paying agent is instructed to draw
under the underlying letter of credit by 12 noon Pacific time on
the second business day preceding each payment date. If the LOC
bank does not honor a conforming draw or the LOC is repudiated,
the paying agent is instructed to effect a mandatory tender of the
Bonds on the payment date. The paying agent is further instructed
to draw on the CLOC by 9:00 a.m., on the payment date for the
payment of purchase price.
For payment of purchase price, the paying agent is instructed to
draw under the underlying letter of credit by 8:00 a.m., Pacific
time on the business day preceding the purchase date, to the
extent that remarketing proceeds receives are insufficient. If
the LOC bank does not honor a conforming draw by 2:00 p.m.,
Pacific time or the LOC is repudiated, the paying agent is
instructed to effect a mandatory tender of the Bonds on the
payment date. The paying agent is further instructed to draw on
the CLOC by 9:00 a.m., on the payment date for the payment of
purchase price.
The Underlying And Confirming Letters Of Credit
The underlying letter of credit provided by Vectra Bank Colorado
N.A. is sized for full principal plus up to 208 days of interest
at the maximum rate of 8%, and will provide for sufficient
coverage for the Bonds while they bear interest in the weekly
mode. The letter of credit is governed by the Uniform Customs and
Practice for Documentary Credits (2007 Revision), Publication No.
600 of the International Chamber of Commerce.
The CLOC provided by FHLB Topeka is sized for full principal plus
up to 208 days of interest at the maximum rate of 8%, and will
provide for sufficient coverage for the Bonds while they bear
interest in the weekly mode. The confirming letter of credit is
subject to the International Standby Practices 1998 (ISP98).
Draws on The Underlying And Confirming Letters Of Credit
Conforming draws under the underlying letter of credit for
principal, interest and purchase price received by Vectra Bank
Colorado N.A. by 12:00 p.m., Los Angeles time on a business day,
will be honored by 10:00 a.m., Los Angeles time, on the next
business day. Conforming draws received after 12:00 p.m., Los
Angeles time will be honored by the bank by 10:00 a.m., Los
Angeles time the second succeeding business day.
Conforming draws under the confirming letter of credit for
principal, interest and purchase price received by FHLB Topeka by
9:00 am Topeka, Kansas time on a business day, will be honored by
2:00 p.m., Topeka, Kansas time, on the same business day.
Reinstatement Of Interest Draws
Draws made under the underlying letter of credit for interest
shall be reinstated on the tenth business day following the
honoring of an interest drawing unless the paying agent receives
notice from the Bank within seven business days of such drawing
that there will be no reinstatement. Upon receipt of such notice,
the paying agent shall effect a mandatory tender four business
days following the receipt of notice. The CLOC is not subject to
reinstatement.
Reimbursement Agreement Defaults
Vectra Bank Colorado N.A. as the provider of the underlying letter
of credit may deliver written notice to the trustee stating that
an event of default has occurred and is continuing under the
reimbursement agreement between Vectra Bank Colorado N.A. and the
borrower (Aspen Valley Hospital District) and direct a mandatory
purchase of the Bonds. Upon receipt of such notice, the trustee
shall effect a mandatory tender of the Bonds not less than five
business days nor more than twenty-nine days following the paying
agent's receipt of such notice.
Expiration/Termination Of The Letters Of Credit
The letter of credit provided by Vectra Bank Colorado N.A. will
expire on October 30, 2010.
The confirming letter of credit provided by FHLB Boston expires
upon the earliest of: of (a) November 5, 2010, the stated
expiration date; (b) upon the termination or expiration of the
underlying letter of credit; or (c) one year after (i) any form of
insolvency, liquidation, receivership or conservatorship
proceedings are commenced with respect to the bank providing the
underlying letter of credit or (ii) a receiver, conservator or
liquidator is appointed for bank providing the underlying letter
of credit.
Mandatory Tenders
The Bonds are subject to mandatory tender: (i) on the date the
interest rate on the Bonds is converted to another mode; (ii) on
the earlier of (1) two business days or (2) 5 calendar days prior
to delivery date of a substitute CLOC or LOC; (iii) four business
days following the trustee's receipt of notice from the letter of
credit bank stating that the interest component of the LOC will
not be reinstated; (iv) within 60 days of the occurrence of any
form of insolvency, liquidation, receivership or conservatorship
proceedings with respect to the letter of credit bank or the
appointment of a receiver, conservator or liquidator for the bank;
(v) two business days following the repudiation of the letter of
credit; (vi) not less than five business days and not more than
twenty nine days following the paying agent's receipt of notice
from the Bank of an event of default under the reimbursement
agreement and directing a mandatory tender of the Bonds; and (vii)
fifteen days preceding the stated expiration date of the letter of
credit or confirming letter of credit.
Mandatory Redemptions
The Bonds are subject to mandatory sinking fund redemptions.
The last rating action with respect to this transaction was on
April 21, 2009, when the long-term rating was downgraded to Ba3
from A2. For more information, see the original new issue report
dated October 9, 2003, or the rating update report for the
substitution of the underlying letter of credit dated October 1,
2008.
AUCTION RATE: Moody's Reviews Ratings on Two 2007-1 Certs.
----------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Rate Securities Trust 2007-1:
-- $60,000,000 Class A Auction Rate Trust Certificates, B3
placed under review for possible upgrade; previously on
4/15/2009 downgraded to B3;
-- $15,000,000 Class B Leveraged Trust Certificates, B3 placed
under review for possible upgrade; previously on 4/15/2009
downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Merrill Lynch's Series 5 Floating
Rate Non Cumulative Preferred Stock, which was placed under review
for possible upgrade at B3 on 8/17/2009.
AUCTION RATE: Moody's Reviews Ratings on Two 2007-2 Certificates
----------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Rate Securities Trust 2007-2:
-- $40,000,000 Class A Auction Rate Trust Certificates, B3
placed under review for possible upgrade; previously on
4/15/2009 downgraded to B3;
-- $10,000,000 Class B Leveraged Trust Certificates, B3 placed
under review for possible upgrade; previously on 4/15/2009
downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Bank of America's Series E Floating
Rate Non-Cumulative Preferred Stock, which was placed under review
for possible upgrade at B3 on 8/17/2009.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2006-3 Certs.
------------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Pass-Through Trust 2006-3:
-- $120,000,000 Class A Certificates, B3 placed under review for
possible upgrade; previously on 4/14/2009 downgraded to B3;
-- $30,000,000 Class B Certificates, B3 placed under review for
possible upgrade; previously on 4/14/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Merrill Lynch's Series 4 Floating
Rate Non-Cumulative Preferred Stock, which was placed under review
for possible upgrade at B3 on 8/17/2009.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2006-4 Certs.
------------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Pass-Through Trust 2006-4:
-- $120,000,000 Class A Certificates, B3 placed under review for
possible upgrade; previously on 4/14/2009 downgraded to B3;
-- $30,000,000 Class B Certificates, B3 placed under review for
possible upgrade; previously on 4/14/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Merrill Lynch's Series 4 Floating
Rate Non-Cumulative Preferred Stock, which was placed under review
for possible upgrade at B3 on 8/17/2009.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2006-12 Certs.
---------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Pass-Through Trust 2006-12:
-- $70,000,000 Class A Certificates, B3 placed under review for
possible upgrade; previously on 4/14/2009 downgraded to B3;
-- $35,000,000 Class B Certificates, B3 placed under review for
possible upgrade; previously on 4/14/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Bank of America's Series D Non-
Cumulative Preferred Stock, which was placed under review for
possible upgrade at B3 on 8/17/2009.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2007-3 Certs.
--------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Pass-Through Trust 2007-3:
-- $120,000,000 Class A Certificates, B3 placed under review for
possible upgrade; previously on 4/14/2009 downgraded to B3;
-- $30,000,000 Class B Certificates, B3 placed under review for
possible upgrade; previously on 4/14/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Merrill Lynch's Series 5 Floating
Rate Non-Cumulative Preferred Stock, which was placed under review
for possible upgrade at B3 on 8/17/2009.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2007-4 Certs.
--------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Pass-Through Trust 2007-4:
-- $120,000,000 Class A Certificates, B3 placed under review for
possible upgrade; previously on 4/15/2009 downgraded to B3;
-- $30,000,000 Class B Certificates, B3 placed under review for
possible upgrade; previously on 4/15/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Merrill Lynch & Co, Inc.'s Series 5
Floating Rate Non-Cumulative Preferred Stock, which was placed
under review for possible upgrade at B3 on 8/17/2009.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2007-5 Certs.
------------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Pass-Through Trust 2007-5:
-- $112,000,000 Class A Certificates, B3 placed under review for
possible upgrade; previously on 4/15/2009 downgraded to B3;
-- $28,000,000 Class B Certificates, B3 placed under review for
possible upgrade; previously on 4/15/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Bank of America's Series E Floating
Rate Non-Cumulative Preferred Stock, which was placed under review
for possible upgrade at B3 on 8/17/2009.
AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two Certificates
-----------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Auction
Pass-Through Trust 2007-2:
-- $120,000,000 Class A Certificates, B3 placed under review for
possible upgrade; previously on 4/15/2009 downgraded to B3;
-- $30,000,000 Class B Certificates, B3 placed under review for
possible upgrade; previously on 4/15/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Merrill Lynch & Co, Inc.'s Series 5
Floating Rate Non-Cumulative Preferred Stock, which was placed
under review for possible upgrade at B3 on 8/17/2009.
BABSON CLO: Moody's Downgrades Ratings on Various 2005I Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Babson CLO Ltd. 2005-I:
-- US$85,000,000 Class A-1A Revolving Senior Notes Due 2019,
Downgraded to Aa2; previously on May 24, 2005 Assigned Aaa
-- US$563,000,000 Class A-1B-1 Floating Rate Senior Notes Due
2019, Downgraded to Aa1; previously on May 24, 2005 Assigned
Aaa
-- US$15,000,000 Class A-1B-2 Fixed Rate Senior Notes Due 2019,
Downgraded to A1; previously on May 24, 2005 Assigned Aaa
-- US$34,000,000 Class A-2 Floating Rate Senior Notes Due 2019,
Downgraded to A2; previously on Mar 4, 2009 Aa2 Placed Under
Review for Possible Downgrade
-- US$46,800,000 Class C-1 Deferrable Mezzanine Notes Due 2019
(current balance of $42,454,066), Downgraded to B2;
previously on Mar 18, 2009 Downgraded to B1 and Remains On
Review for Possible Downgrade
-- US$9,200,000 Class C-2 Deferrable Mezzanine Notes Due 2019
(current balance of $8,345,671), Downgraded to B2;
previously on Mar 18, 2009 Downgraded to B1 and Remains On
Review for Possible Downgrade
-- US$20,000,000 Class Q-1 Combination Notes Due 2019 (current
balance of $13,678,112), Downgraded to Baa2; previously on
Mar 4, 2009 A2 Placed Under Review for Possible Downgrade
-- US$8,000,000 Class Q-2 Combination Notes Due 2019 (current
balance of $4,283,602), Downgraded to Ba3; previously on Mar
4, 2009 Baa3 Placed Under Review for Possible Downgrade
-- US$3,000,000 Class Q-3 Combination Notes Due 2019 (current
balance of $1,702,991), Downgraded to Ba3; previously on Mar
4, 2009 Baa3 Placed Under Review for Possible Downgrade
Additionally, Moody's has confirmed the ratings of these notes:
-- US$30,000,000 Class B-1 Deferrable Floating Rate Mezzanine
Notes Due 2019, Confirmed at Ba1; previously on Mar 18, 2009
Downgraded to Ba1 and Remains On Review for Possible
Downgrade
-- US$16,000,000 Class B-2 Deferrable Fixed Rate Mezzanine Notes
Due 2019, Confirmed at Ba1; previously on Mar 18, 2009
Downgraded to Ba1 and Remains On Review for Possible
Downgrade
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the Class C overcollateralization test.
In particular, the weighted average rating factor has increased
over the last year and is currently 2988 versus a test level of
2530 as of the last trustee report, dated July 3, 2009. Based on
the same report, defaulted securities currently held in the
portfolio total about $66.5 million, accounting for roughly 7.6%
of the collateral balance, and securities rated Caa1 or lower make
up approximately 14% of the underlying portfolio.
Moody's also assessed the collateral pool's elevated concentration
risk in debt obligations of companies in the banking, finance,
real estate, and insurance industries, which Moody's views to be
more strongly correlated in the current market environment.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 2009. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Babson CLO Ltd. 2005-I, issued in March of 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
BAC AAH: Moody's Reviews Ratings on $70 Mil. Custodial Receipts
---------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these custodial receipts issued by BAC
AAH Capital Funding LLC XI:
$70,000,000 Money Market Preferred Stock Custodial Receipts, Bank
of America Corporation, Series XI, relating to Floating Rate
Noncumulative Company Preferred Securities XI issued by BAC AAH
Capital Funding LLC XI, B3 placed under review for possible
upgrade; previously on 5/28/2009 downgraded to B3.
The transaction is a structured note whose rating is based on the
rating of the Deposited Stock as well as the legal structure of
the transaction.
BAC AAH: Moody's Reviews Ratings on Various Custodial Receipts
--------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these custodial receipts issued by BAC
AAH Capital Funding LLC X:
-- $70,000,000 Money Market Preferred Stock Custodial Receipts,
Bank of America Corporation, Series X, relating to Floating
Rate Noncumulative Company Preferred Securities X issued by
BAC AAH Capital Funding LLC X, B3 placed under review for
possible upgrade; previously on 5/28/2009 downgraded to B3.
The transaction is a structured note whose rating is based on the
rating of the Deposited Stock as well as the legal structure of
the transaction.
BANC OF AMERICA: Fitch Affirms Ratings on Various 2007-1 Notes
--------------------------------------------------------------
Fitch Ratings affirms and assigns Loss Severity Ratings to Banc of
America Commercial Mortgage Securities, Inc., series 2007-1:
-- $15 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $293 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $444 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $68.5 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $698.7 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $637 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- Interest-only class XW at 'AAA'; Outlook Stable;
-- $214.5 million class A-MFX at 'AAA/LS3'; Outlook Stable;
-- $100 million class A-MFL at 'AAA/LS3'; Outlook Stable;
-- $259.5 million class A-J at 'BBB/LS3'; Outlook Negative;
-- $27.5 million class B at 'BBB-/LS5'; Outlook Negative;
-- $35.4 million class C at 'BB/LS5'; Outlook Negative;
-- $27.5 million class D at 'BB/LS5'; Outlook Negative;
-- $39.3 million class E at 'B/LS5'; Outlook Negative;
-- $39.3 million class F at 'B/LS5'; Outlook Negative;
-- $35.4 million class G at 'B-/LS5'; Outlook Negative;
-- $35.4 million class H at 'B-/LS5'; Outlook Negative;
-- $39.3 million class J at 'B-/LS5'; Outlook Negative;
-- $7.9 million class K at 'B-/LS5'; Outlook Negative;
-- $11.8 million class L at 'B-/LS5'; Outlook Negative;
-- $7.9 million class M at 'B-/LS5'; Outlook Negative;
-- $3.9 million class N at 'B-/LS5'; Outlook Negative;
-- $7.9 million class O at 'B-/LS5'; Outlook Negative;
-- $11.8 million class P at 'CCC/RR6'.
Fitch does not rate the $39.3 million class Q.
The Loss Severity Ratings are based on Fitch's recognized losses
of 6.2%.
BANC OF AMERICA: Moody's Affirms Ratings on Seven 2005-2 Certs.
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of seven classes,
confirmed three classes and downgraded eleven classes of Banc of
America, Commercial Mortgage Pass-Through Certificates, Series
2005-2. On July 30, 2009, Moody's placed 14 classes on review for
possible downgrade due to concerns about a decline in the pool's
credit quality. The action concludes that review. Classes A-J, B
and C are confirmed based on the existing key parameters for the
deal. Classes D through O are downgraded due to higher expected
losses resulting from anticipated losses from loans in special
servicing, increased leverage and increased loan concentration.
On July 30, 2009, classes A-J through P were placed on review for
possible downgrade. The action concludes that review. The rating
action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the August 10, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 11%
to $1.4 billion from $1.6 billion at securitization. The
Certificates are collateralized by 85 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top 10 loans
representing 47% of the pool. Four loans, representing 14% of the
pool, had investment grade underlying ratings at securitization
and last review. However, because of increased leverage, these
loans no longer have underlying ratings and are now analyzed as
part of the conduit pool. One loan, representing 0.7% of the
pool, has defeased and is collateralized with U.S. Government
securities.
Fifteen loans, representing 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's 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. Not all loans on the
watchlist are delinquent or have significant issues.
The pool has not experienced any losses to date. Three loans,
representing 4% of the pool, are currently in special servicing.
Moody's estimates an aggregate loss of $13 million for the
specially serviced loans (23% loss severity on average).
Moody's was provided with full-year 2008 operating results for 99%
of the pool. Moody's weighted average loan to value ratio for the
total pool is 102% compared to 96% at last review.
Moody's stressed debt service coverage ration for the pool is 1.0X
compared to 1.03X at last review. Moody's stressed DSCR is based
on Moody's net cash flow and a 9.25% stressed rate applied to the
loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, 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 circumstance. The credit neutral Herf
score is 40. The pool has a Herf of 30 compared to 33 at last
review.
There were five loans with underlying ratings at last review.
Fashion Mall ($160.4 million original balance) paid off at
maturity in January 2008. The remaining four loans no longer have
underlying ratings due to increased leverage and are now analyzed
as part of the conduit pool. The largest loan that originally had
an underlying rating is the Phoenix Plaza I & II Loan
($77.0 million -- 5.3%), which is secured by two office buildings
totaling 834,826 square feet in Phoenix, Arizona. The property
was 92% occupied as of December 2008 compared to 96% at last
review. The downtown Phoenix office market has weakened since
securitization, with the Class A vacancy rate increasing from 15%
at securitization to 25% as of the second quarter of 2009. The
loan is interest-only for the entire term and matures in October
2009. Moody's LTV and stressed DSCR are 81% and 1.24X,
respectively, compared to 71% and 1.44X at last review.
The remaining three loans that formerly had underlying ratings are
each secured by a single tenant office building leased to American
Express Travel Related Services Company, Inc. (Moody's senior
unsecured rating of parent company is A3, negative outlook)
through 2014 or 2015. Each loan is interest-only for the entire
term and has an anticipated repayment date in early 2010, with a
scheduled final maturity date, and balloon payment due, in late
2014 or early 2015. The performance of these properties has been
stable. Moody's original valuation reflected the credit quality
of the tenant as well as a lit/dark analysis based on then-current
market conditions and a high probability of American Express
renewing its leases, which would facilitate the refinancing of the
properties. Moody's used the same approach in this valuation,
however, weaker real estate market conditions, a lower credit
rating for American Express and the expectation of a lower renewal
probability has resulted in increased leverage. At ecuritization,
American Express had a senior unsecured rating of A1, stable
outlook.
The largest loan secured by a building leased to American Express
is the American Express Building - MN Loan ($56.1 million --
3.8%), which is secured by a 541,542 square foot Class A office
building located in Minneapolis, Minnesota. The building is
leased by American Express through November 1, 2014. The ARD is
January 1, 2010. Moody's LTV and stressed DSCR are 77% and 1.06X,
respectively, compared to 65% and 1.06X at last review.
The second largest loan is the American Express Building - UT Loan
($30.1 million -- 2.1%), which is secured by a 395,787 square foot
office building located in Taylorsville, Utah. The building is
leased by American Express through March 31, 2015. The ARD is
April 1, 2010. Moody's LTV and stressed DSCR are 82% and 0.99X,
respectively, compared to 70% and 0.99X at last review.
The third largest loan is the American Express Building - ON Loan
($25.4 million -- 1.7%), which is secured by a 306,710 square foot
office building located in Markham, Ontario. The building is
leased by American Express through January 31, 2015. The ARD is
March 1, 2010. Moody's LTV and stressed DSCR are 81% and 1.02X,
respectively, compared to 68% and 1.02X at last review
The three largest conduit loans represent 20% of the pool. The
largest conduit loan is the New York University Housing Loan
($110.0 million -- 7.5%), which is secured by a 264-unit, 17-story
student housing property located in the Tribeca sub-market of New
York City. The Property is 100% master leased to New York
University. Performance has been stable. Moody's LTV and
stressed DSCR are 113% and 0.76X, respectively, compared to 113%
and 0.81X at last review.
The second largest conduit loan is the Canyon Ranch Loan
($95.0 million -- 5.9%), which is secured by two resort hotels
containing a total of 315 rooms. The resorts are located in
Arizona and Massachusetts. Performance has deteriorated due to
declines in occupancy and revenues. Moody's LTV and stressed DSCR
are 87% and 1.30X, respectively, compared to 78% and 1.40X at last
review.
The third largest conduit loan is the Regents Square I & II Loan
($88.6 million -- 5.5%), which is secured by a 307,450 square foot
office portfolio located in the La Jolla sub-market of San Diego,
California. The property was 75% occupied as of April 2009
compared to 96% at last review. Occupancy is expected to decline
further in 2009 due to near-term lease expirations. The loan is
interest-only for the entire term. Moody's LTV and stressed DSCR
are 139% and 0.70X, respectively, compared to 134% and 0.75X at
last review.
Moody's rating action is:
-- Class A-3, $226,758,616, affirmed at Aaa; previously affirmed
at Aaa on 6/11/2007
-- Class A-4, $206,700,000, affirmed at Aaa; previously affirmed
at Aaa on 6/11/2007
-- Class A-AB, $51,850,099,000, affirmed at Aaa; previously
affirmed at Aaa on 6/11/2007
-- Class A-5, $478,931,000, affirmed at Aaa; previously affirmed
at Aaa on 6/11/2007
-- Class A-M, $164,234,000, affirmed at Aaa; previously affirmed
at Aaa on 6/11/2007
-- Class X-C, Notional, affirmed at Aaa; previously affirmed at
Aaa on 6/11/2007
-- Class X-P, Notional, affirmed at Aaa; previously affirmed at
Aaa on 6/11/2007
-- Class A-J, $108,805,000, confirmed at Aaa; previously placed
on review for downgrade on 7/30/2009
-- Class B, $43,111,000, confirmed at Aa2; previously placed on
review for possible downgrade on 7/30/2009
-- Class C, $16,423,000, confirmed at Aa3; previously placed on
review for possible downgrade on 7/30/2009
-- Class D, $28,741,000, downgraded to A3 from at A2; previously
placed on review for possible downgrade on 7/30/2009
-- Class E, $16,423,000, downgraded to Baa1 from A3; previously
placed on review for possible downgrade on 7/30/2009
-- Class F, $20,530,000, downgraded to Baa2 from Baa1;
previously placed on review for possible downgrade on
7/30/2009
-- Class G, $18,477,000, downgrade to Baa3 from Baa2; previously
placed on review for possible downgrade on 7/30/2009
-- Class H, $18,476,000, downgraded to Ba2 from Baa3; previously
placed on review for possible downgrade on 7/30/2009
-- Class J, $8,212,000, downgraded to Ba3 from Ba1; previously
placed on review for possible downgrade on 7/30/2009
-- Class K, $6,159,000, downgraded to B1 from Ba2; previously
placed on review for possible downgrade on 7/30/2009
-- Class L, $6,159,000, downgraded to B2 from Ba3; previously
placed on review for possible downgrade on 7/30/2009
-- Class M, $4,106,000, downgraded to Caa2 from B1; previously
placed on review for possible downgrade on 7/30/2009
-- Class N, $2,053,000, downgraded to Caa2 from B2; previously
placed on review for possible downgrade on 7/30/2009
-- Class P, $10,265,000, downgraded to Caa3 from B3; previously
placed on review for possible downgrade on 7/30/2009
BAYTEX ENERGY: Moody's Puts B3 Rating on Mulled C$150MM Notes
-------------------------------------------------------------
Moody's Investors Service assigned a B3 rating to Baytex Energy
Trust's proposed offering of C$150 million of senior subordinated
notes due 2016. Moody's also affirmed Baytex Energy Ltd.'s B1
Corporate Family Rating and Probability of Default Rating, and the
B3 rating on Baytex's existing US$180 million of senior
subordinated notes. Concurrent with the bond issue, Moody's will
move the CFR and PDR of Baytex Energy Ltd. to Baytex Energy Trust,
as the trust will now be the top most legal entity within the
corporate family having rated debt. The rating outlook is stable.
Proceeds from the proposed notes offering, along with funds drawn
from the company's revolver, will be used to fund the redemption
price on these senior subordinated notes of its subsidiary, Baytex
Energy Ltd.: 9.625% due July 15, 2010 and 10.5% due February 15,
2011. Upon full redemption, Moody's will withdraw the B3 rating
on the 9.625% notes.
While the new debt issue will not increase Baytex's overall debt
burden, it will increase the proportion of secured debt relative
to subordinated debt. However, the change in the ratio of secured
debt to subordinated debt is not material enough to impact the
debt ratings under Moody's Loss Given Default Methodology. The
new notes will be issued at the Baytex Energy Trust level but will
have substantially the same guarantee package as the existing
Baytex Energy Ltd. notes, and the new subordinated notes and
existing subordinated notes will rank pari-passu.
Baytex's B1 Corporate Family Rating rating reflects its relatively
small reserves, short reserve life in terms of proved developed
reserves, exposure to light/heavy differentials given Baytex's
heavy oil weighted production bias, and the near dated (June,
2010) maturity of its revolving facility. The CFR is supported by
the company's favorable leverage on a both debt to average daily
production and debt to PD reserves basis, its stable production
profile and reasonable F&D costs, and the ability to maintain a
solid leveraged full-cycle ratio even during a subdued oil price
environment. The rating also considers Baytex's income trust
structure, including substantial quarterly distributions, and the
company's somewhat acquisitive nature. Baytex has made several
small scale acquisitions in the past three years but has also used
a significant amount of equity financing to maintain a relatively
conservative capital structure.
The stable outlook reflects Baytex's relatively steady-state
production profile, reasonable leverage and Moody's expectation
that the company will keep its financial policies and capital
structure largely unchanged following its transition to a
corporate legal entity structure from an income trust.
Assignments:
Issuer: Baytex Energy Trust
-- Senior Subordinated Regular Bond/Debenture, Assigned B3,
LGD5, 87%
Moody's last rating action was on September 19, 2006 when the PDR
was assigned.
Baytex Energy Ltd. is a Calgary, Alberta-based independent
exploration and production company focused on heavy oil with
primary assets in Western Canada.
BEAR STEARNS: Fitch Takes Rating Actions on 2006-PWR14 Certs.
-------------------------------------------------------------
Fitch Ratings has downgraded, removed from Rating Watch Negative,
and assigned Rating Outlooks and Loss Severity ratings to 14
classes of commercial mortgage pass-through certificates from Bear
Stearns Commercial Mortgage Securities Trust 2006-PWR14. A
detailed list of rating actions follows at the end of this
release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch foresees potential losses
could reach as high as 6.23% for this transaction should market
conditions not recover. The rating actions are based on losses of
5.73%, including 100% of the term losses and 25% of the losses
anticipated to occur at maturity; the 5.73% recognizes all of the
losses anticipated in the next five years. Of the recognized
losses, 45.4% were on loans reviewed in detail.
Given the significant remaining term to maturity, Fitch's actions
do not account for the full magnitude of possible maturity losses.
The bonds with Negative Outlooks indicate classes that may be
downgraded in the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 62.6% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
Approximately 12.8% of the mortgages mature within the next five
years: 0% in 2010, 9.6% in 2011, 0.2% in 2012, 2.9% in 2013, and
0.1% in 2014. All losses associated with these loans are fully
recognized in the rating actions.
Fitch identified 47 Loans of Concern (19.9%) within the pool, 10
of which (5.9%) are specially serviced. Of the specially serviced
loans, two (4.1%) are current. Of the current loans, Phillips at
Sunrise Shopping Center is expected to be transferred back to the
master servicer. Two (4.1%) of the specially serviced loans,
including the Phillips at Sunrise, are within the transaction's
top 15 loans (35%) by unpaid principal balance.
Seven of the loans (13.2%) within the top 15 are expected to
default during the term, with loss severities ranging from 18% to
31%. The largest contributors to loss are: Phillips at Sunrise
Shopping Center (2.7%), Sycamore Center (2.7%) and Drury Inn
Portfolio (1.4%)
Phillips at Sunrise Shopping Center is a 414,082 sf retail center
located in Massapequa, New York. The property was approximately
100% occupied at issuance but recently lost Circuit City following
the company's bankruptcy. As of an April 2009 rent roll, the
property was approximately 78.9% leased. The loan has been in
special servicing since March 2009 after the borrower requested
relief when a major tenant filed bankruptcy. Per the special
servicer, the property is in good condition and the loan is
expected to transfer back to the master servicer within 30-45
days. As of September 2008, the reported DSCR was approximately
1.29 times (x). The sponsors are Philip Pilevsky and Norman
Stark.
Sycamore Center is a 384,239 sf retail center located in
Cincinnati, OH. At issuance the property was 100% occupied. As
of a July 2009 rent roll, the property is approximately 88%
leased. The loan was structured with five years interest only,
followed by amortization on a 30-year schedule. As of the first
quarter of 2009 1Q'09, the DSCR was 1.27x, compared to 1.46x as of
YE 2008. The sponsors are Richard Pachulski, Isaac Pachulski, A.
Stuart Rubin and Nathan Rubin.
The Drury Inn Portfolio includes three hotels and 453 units under
the Best Western and Drury Inn Flags. The hotels are located in
San Antonio and Albuquerque. Performance and cash flow continue
to decline. As of September 2008, the portfolio reported a DSCR
of 1.93x compared to the current 1Q'09 DSCR of 0.99x. The
occupancies for the first quarter 2009 range between 48.3% and
71.7%, all lower than first quarter 2008.
Fitch has downgraded, removed from Rating Watch Negative and
assigned Rating Outlooks, LS and Recovery Ratings as indicated:
-- $222.1 million class A-J to 'BBB/LS3' from 'AAA'; Outlook
Stable;
-- $46.3 million class B to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $24.7 million class C to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $37 million class D to 'B/LS5' from 'A'; Outlook Negative;
-- $21.6 million class E to 'B/LS5' from 'A-'; Outlook Negative;
-- $24.7 million class F to 'B-/LS5' from 'BBB+'; Outlook
Negative;
-- $24.7 million class G to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $24.7 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $9.3 million class J to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $6.2 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $9.3 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $3.1 million class M to 'B-/LS5' from 'B+'; Outlook Negative;
-- $6.2 million class N to 'B-/LS5' from 'B'; Outlook Negative;
-- $6.2 million class O to 'CCC/RR6' from 'B-'.
Additionally, Fitch has affirmed these classes and Rating Outlooks
and assigned LS ratings as indicated:
-- $75.1 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $170.7 billion class A-2 at 'AAA/LS1'; Outlook Stable;
-- $68.9 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $125.1 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $950.9 billion class A-4 at 'AAA/LS1'; Outlook Stable;
-- $295.6 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $246.8 million class A-M at 'AAA/LS3'; Outlook Stable.
Fitch does not rate these classes:
-- $25 million class P.
BEAR STEARNS: Moody's Affirms Ratings on 14 2004-PWR4 Certificates
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 14 classes and
downgraded three classes of Bear Stearns Commercial Mortgage
Securities Trust, Commercial Mortgage Pass-Through Certificates,
Series 2004-PWR4. The downgrades are due to realized losses and
increased credit quality dispersion. The rating action is the
result of Moody's on-going surveillance of commercial mortgage
backed securities transactions.
As of the August 11, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 11%
to $845.7 million from $955.0 million at securitization. The
Certificates are collateralized by 72 mortgage loans ranging in
size from less than 1% to 16% of the pool, with the top 10 non-
defeased loans representing 55% of the pool. The pool includes
two loans with investment grade underlying ratings, representing
26% of the pool. Eight loans, representing 14% of the pool, have
defeased and are collateralized by U.S. Government securities.
Fifteen loans, representing 20% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's 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.
One loan has been liquidated from the pool, resulting in a
$3.0 million realized loss. There are currently no loans in
special servicing.
Moody's was provided with full-year 2008 operating results for 95%
of the pool, excluding the defeased loans. Moody's weighted
average loan to value ("LTV") ratio is 92%, compared to 89% at
Moody's prior full review in February 2007. The pool has
experienced increased credit quality dispersion since
securitization. Based on Moody's analysis 32% of the pool has a
LTV greater than 100% compared to 19% at last review and 9% at
securitization. Approximately 3% of the pool has an LTV in excess
of 120% compared to 0% at last review and securitization.
Moody's stressed debt service coverage ratio is 1.21X, essentially
the same as at last review. Moody's stressed DSCR is based on
Moody's net cash flow and a 9.25% stressed rate applied to the
loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, 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, excluding defeased loans, has a Herf of 15
compared to 17 at last review.
The largest loan with an underlying rating is the Shell Plaza Loan
($131.6 million -- 15.6%), which is secured by a 1.8 million
square foot Class A office complex located in downtown Houston,
Texas. The major tenants are Shell Oil Company (Moody's long term
issuer rating Aa2 -- stable outlook; 69% of the net rentable area;
lease expiration December 2015) and Baker Botts (16% NRA; lease
expiration December 2027). As of December 2008 the property was
99% occupied compared to 98% at last review. The loan sponsor is
Hines Sumisei U.S. Core Office Fund, a partnership between Hines
and Sumitomo Life Realty, a subsidiary of Sumitomo Life.
Performance has been stable. Moody's current underlying rating
and stressed DSCR are Aaa and 2.37X, respectively, compared to Aaa
and 2.30X at last review.
The second largest loan with an underlying rating is the GIC
Office Portfolio Loan ($84.4 million -- 10.0%), which is a pari
passu interest in a $696.4 million first mortgage loan. The loan
is secured by 12 office properties totaling 6.4 million square
feet and located in seven states. The highest geographic
concentrations are Chicago (39% of the NRA), suburban Philadelphia
(17%), and San Francisco (12%). As of December 2008, the
portfolio was 92% occupied, essentially the same as at last
review. The Chicago concentration is comprised of two buildings -
- the AT&T Corporate Center (1.5 million square feet; 24%) and the
USG Building (928,000 square feet; 14%). The performance of these
properties has declined significantly since last review due to the
weakness of the Chicago office market. The portfolio's largest
tenant, AT&T (10%), expired on March 31, 2009, and based on the
most recent available information it appears that AT&T vacated
their premises. The portfolio's reported 2008 year-end NOI was 6%
lower than at securitization due to lower rental revenues and
increased operating expenses and is expected to decline further in
2009 due to AT&T's lease expiration. The loan sponsor is Prime
Plus Investments, Inc., a private REIT wholly owned by the
Government of Singapore Investment Corporation (Realty) Pte Ltd.
Moody's current underlying rating and stressed DSCR are Baa2 and
1.44X, respectively, compared to A2 and 1.55X at last review.
The top three conduit loans represent 15% of the pool. The
largest conduit loan is the 40 Landsdowne Street Loan
($51.9 million -- 6.1%), which is secured by a 215,000 square foot
Class A office/biotechnology building located in an industrial
park that abuts the main campus of the Massachusetts Institute of
Technology in Cambridge, Massachusetts. The property is 100.0%
leased to Millennium Pharmaceuticals, Inc. through July 2020.
The loan was structured with a 25-year amortization schedule and
has amortized by approximately 6% since last review. Moody's LTV
and stressed DSCR are 79% and 1.35X, respectively, compared to 86%
and 1.24X at last review.
The second largest conduit loan is the One North State Street Loan
($40.6 million -- 4.8%), which is secured by a 168,000 square foot
retail condominium unit situated in a 675,000 square foot mixed
use property located in downtown Chicago, Illinois. The property
was 100% occupied as of December 2008, similar to last review.
Major tenants include TJ Maxx (42% GLA; lease expiration January
2012) and Filene's Basement (34% GLA; lease expiration January
2012). The loan is on the servicer's watchlist due to the
bankrupcy of Filene's Basement. Filene's filed Chapter 11
bankruptcy in May 2009 but did not include this store in its
initial list of store closings. Although the property's
performance has been stable since securitization, Moody's analysis
incorporates a stressed cash flow reflecting a potential increase
in vacancy if Filene's closes this store. Moody's LTV and
stressed DSCR are 116% and 0.93X, respectively, compared to 91%
and 1.19X at last review.
The third largest conduit loan is the Alexandria East Coast
Portfolio Loan ($34.8 million -- 4.1%), which is secured by five
office buildings located in Massachusetts, Pennsylvania and New
Jersey. The portfolio totals 205,000 square feet and was 88%
occupied as of December 2008 compared to 100% at last review. One
property is 100% vacant (25,000 square feet) while the other
properties are 100% occupied. The loan is on the servicer's
watchlist due to November 30, 2009 lease expiration of Genaera
Corporation, which occupies one of the buildings (21,000 square
feet). Moody's analysis incorporates a stressed cash flow
reflecting a potential increase in the portfolio's vacancy rate.
Moody's LTV and stressed DSCR are 94% and 1.16X, respectively,
compared to 75% and 1.46X at last review.
Moody's rating action is:
-- Class A-1, $811,030, affirmed at Aaa; previously affirmed at
Aaa on 2/27/2007
-- Class A-2, $106,000,000, affirmed at Aaa; previously affirmed
at Aaa on 2/27/2007
-- Class A-3, $630,914,000, affirmed at Aaa; previously affirmed
at Aaa on 2/27/2007
-- Class X, Notional, affirmed at Aaa; previously affirmed at
Aaa on 2/27/2007
-- Class B, $19,098,000, affirmed at Aa2; previously affirmed at
Aa2 on 2/27/2007
-- Class C, $8,356,000, affirmed at Aa3; previously affirmed at
Aa3 on 2/27/2007
-- Class D, $14,324,000, affirmed at A2; previously affirmed at
A2 on 2/27/2007
-- Class E, $9,549,000, affirmed at A3; previously affirmed at
A3 on 2/27/2007
-- Class F, $9,549,000, affirmed at Baa1; previously affirmed at
Baa1 on 2/27/2007
-- Class G, $8,356,000, affirmed at Baa2; previously affirmed at
Baa2 on 2/27/2007
-- Class H, $10,743,000, affirmed at Baa3; previously affirmed
at Baa3 on 2/27/2007
-- Class J, $3,581,000, affirmed at Ba1; previously affirmed at
Ba1 on 2/27/2007
-- Class K, $4,774,000, affirmed at Ba2; previously affirmed at
Ba2 on 2/27/2007
-- Class L, $4,775,000, affirmed at Ba3; previously affirmed at
Ba3 on 2/27/2007
-- Class M, $2,387,000, downgraded to B2 from B1; previously
affirmed at B1 on 2/27/2007
-- Class N, $2,388,000, downgraded to B3 from B2; previously
affirmed at B2 on 2/27/2007
-- Class P, $2,387,000, downgraded to Caa1 from B3; previously
affirmed at B3 on 2/27/2007
BEAR STEARNS: Moody's Reviews Ratings on Eight 2006-BBA7 Certs.
---------------------------------------------------------------
Moody's Investors Service placed eight classes of Bear Stearns
Commercial Mortgage Securities Inc., Commercial Mortgage Pass-
Through Certificates, Series 2006-BBA7 on review for possible
downgrade due to the decline in performance of the two remaining
loans, the Columbia Sussex Portfolio Loan ($549.0 million --
93.1%) and the CPI Hilton Portfolio Loan ($40.5 million -- 6.9%).
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
The Columbia Sussex Loan is secured by fourteen full-service hotel
properties in ten states, Washington, D.C. and Toronto, Canada
with a total of 5,821 rooms. At securitization, ten of the
properties in the portfolio had Wyndham flags. Currently, the
portfolio is branded by six Westin flags, two Sheraton flags,
three Hilton flags, two Marriott flags and one Wyndham flag.
RevPAR for the portfolio declined approximately 16%, from $108.02
(year-to-date ending June 2008) to $87.55 (year-to-date ending
June 2009), compared to Moody's RevPAR of $107.34 at
securitization. Income from operations declined approximately 29%
during the same periods. The properties have been negatively
impacted by the world-wide recession, and the improvement in
portfolio performance expected at securitization from re-branding
all but one of the properties, in conjunction with extensive
capital spending projects, has not materialized.
The CPI Hilton Portfolio Loan is secured by five limited service
hotel properties including four Hilton Garden Inns and one
Homewood Suites. The properties are located in five states and
have a total of 944 rooms. RevPAR for the portfolio declined
approximately 20%, from $80.10 (year-too-date ending July 2008) to
$63.73 (year-to-date ending July 2009). Moody's RevPAR at
securitization was $71.10.
Both remaining loans matured in October 2007, and with extension
options have final maturies in October 2010.
As of the August 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 16%
to $589.5 million from $700.0 million at securitization as a
result of the pay off of three loans originally in the pool and
scheduled amortization.
Based on Moody's preliminary analysis, the pool's weighted average
loan to value ratio has increased since last review due to a
decline in loan performance. Moody's review will focus on
potential losses from the specially serviced loan and the overall
pool performance.
Moody's rating action is:
-- Class B, $30,900,138, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aa1 on
2/24/2009
-- Class C, $22,799,698, currently rated A2, on review for
possible downgrade; previously downgraded to A2 from Aa2 on
2/24/2009
-- Class D, $21,000,000, currently rated A3, on review for
possible downgrade; previously downgraded to A3 from Aa3 on
2/24/2009
-- Class E, $21,000,000, currently rated Baa1, on review for
possible downgrade; previously downgraded to Baa1 from A1 on
2/24/2009
-- Class F, $20,125,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from A2 on
2/24/2009
-- Class G, $36,823,448, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa1 on
2/24/2009
-- Class H, $16,551,552, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa2 on
2/24/2009
-- Class J, $8,803,668, currently rated Ba3, on review for
possible downgrade; previously downgraded to Ba3 from Baa3 on
2/24/2009
BLACKROCK SENIOR: Moody's Upgrades Ratings on Class B Senior Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded its
rating of this class of notes issued by BlackRock Senior Income
Series III plc:
-- US$8,600,000 Class B Second Senior Secured Notes, Upgraded to
B2; previously on Oct. 23, 2008 Downgraded to Caa1 and
Remained On Review for Possible Downgrade
In taking this rating action, Moody's took into consideration the
fact that (i) the Class B noteholders are now the controlling
class of the transaction following the redemption in full of the
senior credit facility and (ii) the execution by the Issuer of a
waiver agreement with the required Class B noteholders and
required Class C noteholders. According to the waiver agreement,
the required noteholders have waived the events of default due to
the failure of certain over-collateralization tests that occurred
in October 2008. Pursuant to the waiver agreement, all proceeds
from the underlying assets generated by their amortizations or by
opportunistic sales and not used to pay certain expenses and
interest on the most senior class of notes, will be used to repay
the notes in full in order of priority. The waiver agreement has
a termination date of December 31, 2009 and, at the controlling
party's sole discretion, can be extended for up to three
additional six-month periods ending on June 30, 2011. The rating
action also took into consideration the revised modeling
assumptions that were described in the publication noted below.
As of July 31, 2009, Moody's Class B Over-Collateralization ratio
for this transaction was 106%.
BlackRock Senior Income Series III plc is a market value
collateralized loan obligation backed primarily by bank loans.
CALLIDUS DEBT: Moody's Downgrades Ratings on Three Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Callidus Debt Partners CLO Fund
II, Ltd.:
-- US$246,000,000 Class A Senior Secured Floating Rate Notes Due
2015 (current balance of $204,991,748), Downgraded to A1;
previously on Dec 17, 2008 Upgraded to Aaa;
-- US$11,500,000 Class C-1 Secured Floating Rate Notes Due 2015
(current balance of $11,698,154), Downgraded to Ca;
previously on Mar 20, 2009 Downgraded to B2 and Remains On
Review for Possible Downgrade;
-- US$10,000,000 Class C-2 Secured Fixed Rate Notes Due 2015
(current balance of $10,154,767), Downgraded to Ca;
previously on Mar 20, 2009 Downgraded to B2 and Remains On
Review for Possible Downgrade.
Additionally, Moody's has confirmed the ratings of these notes:
-- US$13,500,000 Class B Senior Secured Deferrable Floating Rate
Notes Due 2015, Confirmed at Baa3; previously on Mar 20, 2009
Downgraded to Baa3 and Remains On Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
The rating actions reflect the adverse impact of the
aforementioned stresses, as well as credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a decline in the average credit rating (as measured by the
weighted average rating factor), an increase in the dollar amount
of defaulted securities, and an increase in the proportion of
securities from issuers rated Caa1 and below. In particular, the
weighted average rating factor has increased over the last year
and is currently 2698 versus a test level of 2595 as of the last
trustee report, dated July 10, 2009. Based on the same report,
defaulted securities total about $11.6 million, accounting for
roughly 4.9% of the collateral balance, and securities rated Caa1
or lower make up approximately 12% of the underlying portfolio.
(Due to the impact of all aforementioned stresses, key model
inputs used by Moody's in its analysis, such as par, weighted
average rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.)
Moody's also assessed the collateral pool's elevated concentration
risk in debt obligations of companies in the banking, finance,
real estate, and insurance industries, which Moody's views to be
more strongly correlated in the current market environment.
The rating on Class A Notes reflects the actual underlying rating
of the Class A Notes. This underlying rating is based solely on
the intrinsic credit quality of the Class A Notes in the absence
of the guarantee from Ambac Assurance Corporation, whose insurance
financial strength rating was downgraded from Ba3 to Caa2 on
July 29, 2009. The above action is a result of, and is consistent
with, Moody's modified approach to rating structured finance
securities wrapped by financial guarantors as described in the
press release dated November 10, 2008, titled "Moody's modifies
approach to rating structured finance securities wrapped by
financial guarantors."
Callidus Debt Partners CLO Fund II, Ltd., issued in 2003, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
CAPITAL ONE: Fitch Affirms Ratings on Various Classes of Notes
--------------------------------------------------------------
Fitch Ratings has affirmed these classes of Capital One Multi-
Asset Execution Note Trust:
-- Class A notes at 'AAA'; Rating Outlook Stable;
-- Class B notes at 'A'; Rating Outlook Negative;
-- Class C notes at 'BBB'; Rating Outlook Negative;
-- Class D notes at 'BB'; Rating Watch Negative.
The affirmation is based on some notable changes in trust
performance. The gross yield has improved for three consecutive
months up to 20.69% for the July collection month after hitting a
low of 18.05% in April. Although part of the improvement is
driven by seasonality and day count, there seem to be sustainable
benefits brought by the re-pricing initiatives implemented earlier
2009. Fitch expects the positive impact of pricing change on
yield to continue through the second half of 2009.
Monthly payment rate, a measure of how quickly consumers are
paying off their debt, also exhibited some improvement. It was at
18.34% in the July collection month compared to 15.49% four months
ago. Excluding seasonality, the improvement is largely driven by
the addition of approximately $2 billion in small business credit
card receivables in May. The small business assets had an average
payment rate of 32% in 2008, almost twice that of the consumer
card portfolio.
Despite the improvement in gross yield and MPR, Fitch still has
concerns about the trust's elevated charge-off and delinquency
rate. The gross charge-off stood at 10.7% in July, and the
percentage of receivables that are 60 or more days delinquent was
4.04% during this period after declining for three months,
indicating that an elevated level of charge-offs will persist over
the near-term. Fitch has performed stress testing using elevated
charge-off rates when evaluating the existing ratings given the
available credit enhancement and structural protections afforded
to investors.
Excess spread, a measure of a trust's ability to generate
profitability, had experienced significant downward pressure in
2009. It bounced back to 6.15% in July due to the improving
yield. At the end of the July collection month, the class D
reserve account trapped a full 1% of the outstanding principal
balances, while the deposit in the class C reserve account was
released as the three-month average excess spread went back to
5.06%. The recent volatility in excess spread is not consistent
with Fitch's original assumption, and class C and D notes may not
derive as much enhancement as originally anticipated from the
excess spread account. Therefore, despite the improvement in
excess spread, the Rating Outlook for the class C notes remains
Negative, and the class D Notes remain on Negative Watch.
Fitch's analysis included a comparison of observed performance
trends over the past few months to Fitch's base case expectations
for each outstanding rating category. As part of its ongoing
surveillance efforts, Fitch will continue to monitor the
performance of these trusts.
CAPMARK VI: Fitch Takes Rating Actions on Five Classes of Notes
---------------------------------------------------------------
Fitch Ratings assigns Recovery Ratings, downgrades, and withdraws
the ratings of five classes of notes issued by Capmark VI
Ltd./Capmark VI Delaware Corp. A detailed list of rating actions
follows at the end of the release.
Capmark VI declared an event of default on Aug. 6, 2008 when the
Principal Coverage Ratio fell below 100%. Subsequently, the
revolving facility as the controlling class notified the trustee
that they were exercising the right to direct the trustee to sell
and liquidate the collateral. The Final Distribution occurred on
July 20, 2009.
The liquidation proceeds from the cash assets in the portfolio
were insufficient to fully pay the credit default swap and
interest rate swap termination payments. As a result, the
Revolving Facility had to be drawn upon to fund the remaining swap
termination payments, and make some credit protection payments.
Prior to the final distribution date, a total of 67.0% of the
original notional balance of the Revolving Facility had been drawn
upon. On the final distribution date, there were insufficient
proceeds to fully repay the drawn portion of the Revolving
Facility. The unpaid portion of the drawn amount represents a
loss to the tranche and corresponds to Fitch's Recovery Rating of
'RR5' (11-30%). The Revolving Facility, class A-1, and class A-2
received full commitment fee and interest payments due. Classes
A-1, A-2, B, and C notes received no principal payments.
Distributions received by classes A-1, A-2, B, and C notes are
consistent with 'RR6' (0-10%).
Capmark VI is a hybrid collateralized debt obligation that closed
on July 26, 2006, with a portfolio selected by Capmark Investments
L.P. The reference portfolio is composed of 55.3% residential
mortgage-backed securities from the 2004-2007 vintages, 28.3%
commercial mortgage-backed securities, 9.9% CDOs, 4.4% Real Estate
Investment Trusts, 1.6% asset-backed securities, and 0.5%
Alternative-A RMBS.
Fitch has taken these rating actions:
-- $245,368,967 Revolving Facility downgraded to 'D/RR5' from
'CCC'; withdrawn;
-- $25,000,000 class A-1 notes downgraded to 'D/RR6' from 'CC';
withdrawn;
-- $52,000,000 class A-2 notes downgraded to 'D/RR6' from 'CC';
withdrawn;
-- $20,953,247 class B notes downgraded to 'D/RR6' from 'C';
withdrawn;
-- $12,904,817 class C notes downgraded to 'D/RR6' from 'C';
withdrawn.
CENT CDO: Moody's Downgrades Ratings on Various Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Cent CDO 12 Limited:
-- US$459,600,000 Class A Floating Rate Senior Notes Due 2020;
Downgraded to Aa2; previously on December 19, 2006 Assigned
Aaa;
-- US$28,800,000 Class B Floating Rate Senior Notes Due 2020,
Downgraded to A3; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$22,800,000 Class E Deferrable Floating Rate Junior Notes
Due 2020, Downgraded to Caa3; previously on March 17, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$32,400,000 Class C Deferrable Floating Rate Mezzanine
Notes Due 2020, Confirmed at Ba1; previously on March 17,
2009 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$22,800,000 Class D Deferrable Floating Rate Mezzanine
Notes Due 2020, Confirmed at B1; previously on March 17, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities and an
increase in the proportion of securities from issuers rated Caa1
and below. In particular, the weighted average rating factor has
increased over the last year and is currently 2838 versus a test
level of 2830 as of the last trustee report, dated July 10, 2009.
Based on the same report, defaulted securities total about
$43.5 million, accounting for roughly 7% of the collateral
balance, and securities rated Caa1 or lower make up approximately
7.7% of the underlying portfolio (due to the impact of all
aforementioned stresses, key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, may be different from the
trustee's reported numbers).
Cent CDO 12 Limited, issued in December of 2006, is a
collateralized loan obligation senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
CLAREGOLD TRUST: Moody's Affirms Ratings on Seven 2007-2 Certs.
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of seven classes
and downgraded six classes of ClareGold Trust Commercial Mortgage
Pass-Through Certificates, Series 2007-2. Moody's is downgrading
all the below-investment grade classes due to higher expected
losses for the pool resulting from increased leverage. The pool's
overall increase in leverage is largely due to the decline in
performance of the pool's largest loan, the Holiday Portfolio,
which represents 16% of the transaction. The investment grade
rated classes are affirmed based on the existing key parameters of
the deal, however, any further decline of the Holiday Portfolio
loan could negatively impact the ratings of the investment grade
rated classes despite the loan being full recourse to the sponsor.
The action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the August 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by 4% to
$455.3 million from $475.4 million at securitization. The
Certificates are collateralized by 69 mortgage loans ranging in
size from less than 1% to 16% of the pool, with the top 10 loans
representing 56% of the pool. Three loans, representing 16% of
the pool, have investment grade underlying ratings.
Eight loans, representing 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's 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.
The pool has not experienced any losses since securitization and
currently there are no loans in special servicing.
Moody's was provided with full-year 2007 and 2008 operating
results for 93% and 75% of the pool, respectively. Moody's
weighted average loan to value ratio for the conduit component is
99% compared to 89% at securitization.
Moody's stressed debt service coverage ratio is 1.03X compared to
1.08X at securitization. Moody's stressed DSCR is based on
Moody's net cash flow and a 9.25% stressed rate applied to the
loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including the risk of multiple-notch
downgrades under adverse circumstances. The credit neutral Herf
score is 40. The pool has a Herf of 19 compared to 20 at
securitization.
The largest loan with an underlying rating is The Grosvenor
Building ($31.2 million -- 6.9%), which is secured by a Class A
office building located in downtown Vancouver, British Columbia.
The property was 93% occupied as of February 2009 compared to 98%
at securitization. Performance has been stable despite the
decline in occupancy. Moody's current underlying rating and
stressed DSCR are Baa3 and 1.39X, respectively, compared to Baa3
and 1.24X at securitization.
The second loan with an underlying rating is Wonderland Centre
($22.3 million -- 4.9%), which is secured by an anchored retail
center located in London, Ontario. The property was 100% occupied
as of September 2008, the same as at securitization. Moody's
current underlying rating and stressed DSCR are Baa3 and 1.27X,
respectively, compared to Baa3 and 1.17X at securitization.
The third loan with an underlying rating is Victoria Place
Shopping Centre ($18.3 million -- 4.0%), which is secured by a
139,600 square foot community shopping center located in London,
Ontario. The property was 100% occupied as of February 2009
compared to 97% at securitization. The loan is full recourse to
RioCan REIT, the largest real estate investment trust in Canada.
Moody's current underlying rating and stressed DSCR are Baa2 and
0.98X, respectively, compared to Baa2 and 0.99X at securitization.
The top three conduit exposures represent 28.3% of the pool. The
largest conduit loan is the Holiday Portfolio ($71.6 million --
15.7%), which is secured by four independent living properties
located in different provinces in Canada. The portfolio was
approximately 89% occupied as of December 2008 compared to 93% at
securitization. The portfolio's performance has declined due to
the drop in occupancy and increased expenses. The property's net
operating income has declined 12% since securitization. The loan
is interest-only throughout its entire five year term. Moody's
LTV and stressed DSCR are 132% and 0.74X, respectively, compared
to 98% and 0.95X at securitization.
The second largest conduit loan is the Complexe University Loan
($41.2 million -- 9.0%), which is secured by two adjacent Class B
office buildings located in downtown Montreal. The properties
were 99% occupied as of April 2009, essentially the same as at
securitization. Moody's LTV and stressed DSCR are 85% and 1.18X,
respectively, compared to 87% and 1.15X at securitization.
The third largest conduit loan is the Madison Centre Loan
($16.2 million -- 3.5%), which is secured by a grocery anchored
shopping center located in Burnaby, British Columbia. The
property was 99% occupied as of April 2009. The loan is currently
on the watchlist due to a low DSCR which is being caused by rental
concessions and increased operating expenses. Moody's LTV is and
stressed DSCR are 119% and 0.80X, respectively, compared to 97%
and 0.94X at last review.
Moody's rating action is:
-- Class A-1, $228,495,207 affirmed at Aaa; previously assigned
Aaa on 7/26/2007
-- Class A-2, $177,835,000, affirmed at Aaa; previously assigned
Aaa on 7/26/2007
-- Class X, notional, affirmed at Aaa; previously assigned Aaa
on 7/26/2007
-- Class B, $ 9,745,000, affirmed at Aa2; previously assigned
Aa2 on 7/26/2007
-- Class C, $ 8,913,000, affirmed at A2; previously assigned A2
on 7/26/2007
-- Class D, $ 11,884,000, affirmed at Baa2; previously assigned
Baa2 on 7/26/2007
-- Class E, $ 2,377,000, affirmed at Baa3; previously assigned
Baa3 on 7/26/2007
-- Class F, $ 4,160,000, downgraded to Ba3 from Ba1; previously
assigned Ba1 on 7/26/2007
-- Class G, $ 1,783,000, downgraded to B2 from Ba2; previously
assigned Ba2 on 7/26/2007
-- Class H, $ 1,188,000, downgraded to B3 from Ba3; previously
assigned Ba3 on 7/26/2007
-- Class J, $ 1,188,000, downgraded to Caa2 from B1; previously
assigned B1 on 7/26/2007
-- Class K, $ 594,000, downgraded to Caa2 from B2; previously
assigned B2 on 7/26/2007
-- Class L, $ 2,139,000, downgraded to Caa3 from B3; previously
assigned B3 on 7/26/2007
COMM 2006-C7: Fitch Takes Various Rating Actions on 14 Certs.
-------------------------------------------------------------
Fitch Ratings has taken various rating actions on 14 classes of
COMM 2006-C7, commercial mortgage pass-through certificates. In
addition, Fitch has assigned Rating Outlooks, as applicable. A
detailed list of rating actions follows at the end of this press
release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
4.3% for this transaction, should market conditions not recover.
The rating actions are based on losses of 2.8% including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 42.5% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
The loans in the reviewed sample accounted for 56.7% of the
recognized loss in the deal.
Approximately 6.3% of the mortgages are scheduled to mature within
the next five years, with 4.9% maturing in 2011. In 2016, 84.5%
of the pool is scheduled to mature.
Fitch identified 23 Loans of Concern (13.2%) within the pool,
eight of which (3.2%) are specially serviced. One of the
specially serviced loans (1.7%) is in the transaction's top 15
loans (45.0%) by unpaid principal balance and five of the
specially serviced loans are current (2.7%). Three of the Fitch
Loans of Concern (4.8%) are within the transaction's top 15 loans.
Fourteen of the top 15 loans (40.8%) are expected to default
during the term or at maturity, with loss severities up to 48%.
Three of the largest contributors to loss are: 1400 Eye Street NW
(1.6% of the pool), Meadowood Napa Valley (1.5%) and Hampton Green
Apartments (0.3%).
1400 Eye Street NW is collateralized by a 175,127 square foot
office property in Washington DC. Most recent occupancy is 73%
occupied, per the July 2009 rent roll, down from 88% at issuance.
The most recent servicer reported debt service coverage ratio is
0.55 times (x) as of first quarter 2009 (1Q'09). 16% of the
tenant's leases are scheduled to roll in 2011. Based on current
performance and anticipated declines in performance, losses are
expected prior to the loan's maturity in 2016.
The Meadowood Resort is collateralized by a 98 room full service
hotel in St. Helena, CA. As of YE 2008 the property had a 0.84x
DSCR due to increasing operating expenses and stagnant revenue.
The current average daily rate and revenue per available room are
$514.36 and $233.45, respectively. Based on current performance
and anticipated declines in performance, along with increasing
vacancies in the area retail market, losses are expected prior to
the loan's maturity in 2016.
Hampton Green Apartments is a 293 unit multifamily complex located
in San Antonio, TX that is currently in special servicing. The
borrower has expressed hardship due to substantial violence as a
result of rising crime, area job losses and ongoing freeway
construction which have all caused negative cash flow. Occupancy
in June 2009 was 73%. Based on current performance and
anticipated declines in performance, losses are expected prior to
the loan's maturity in 2016.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Loss Severity ratings and Outlooks to these classes:
-- $24.5 million class C to 'A/LS5 from 'AA-'; Outlook Negative;
-- $21.4 million class E to 'BBB/LS5' from 'A-'; Outlook
Negative;
-- $30.6 million class F to 'BBB-/LS5' from 'BBB+'; Outlook
Negative;
-- $24.5 million class G to 'BB/LS5' from 'BBB'; Outlook
Negative.
-- $30.6 million class H to 'B/LS5' from 'BBB-'; Outlook
Negative;
-- $12.3 million class J to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $6.1 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $9.2 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $3.1 million class M to 'B-/LS5' from 'B+'; Outlook Negative;
-- $6.1 million class N to 'B-/LS5' from 'B'; Outlook Negative;
Fitch has affirmed, removed from Rating Watch Negative, and
assigned a Negative Outlook to these classes:
-- $189.6 million class A-J to 'AAA/LS3';
-- $52.0 million class B to 'AA/LS4';
-- $36.7 million class D to 'A/LS5';
-- $9.2 million class O at 'B-/LS5'.
Additionally, Fitch affirms, assigns LS ratings and a Stable
Outlook to these classes:
-- $29.7 million class A-1 at 'AAA/LS1;
-- $108.0 million class A-2 at 'AAA/LS1;
-- $40.1 million class A-3 at 'AAA/LS1';
-- $98.8 million class A-AB at 'AAA/LS1';
-- $1,052.7 million class A-4 at 'AAA/LS1';
-- $319.8 million class A-1A at 'AAA/LS1';
-- $244.7 million class A-M at 'AAA/LS2';
-- Interest-only class X at 'AAA'.
Fitch does not rate the $33.6 million class P.
COSO GEOTHERMAL: Moody's Cuts Ratings on Trust Certs. to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service downgraded Coso Geothermal Power
Holding's pass through trust certificates to Ba1 from Baa3. The
outlook is negative. This concludes the review for possible
downgrade placed on May 29, 2009.
The rating action reflects the much weaker than originally
expected total rent coverage ratio for 2008 and the Project's
updated projections that forecast total rent coverages below
original expectations until 2012. According to Moody's
calculations (which includes capital expenditures and associated
equity contributions), total rent coverage ratio for year end 2008
and last twelve months ended June 2009 was around 1 times. Total
electricity generation 13% and 20% lower than originally expected
for 2008 and last twelve months ending June 2009, respectively,
was the key driver for the weaker performance. Significantly
higher than originally expected property taxes and higher than
projected capital expenditures also contributed to lower cash
flow. Over the next two years, the Project forecasts to have
average total rent coverage ratio of approximately 1.2 times which
is commensurate with the low end of the 'Ba' category according to
Moody's Power Generation methodology. The Project expects total
rent coverage improving to approximately 1.6 times by mid 2012 due
to the benefits of the expanded and accelerated capital
expenditure program.
Moody's rating action incorporates concerns regarding potential
execution risk with respect to CGPH's capital expenditure program,
execution risk regarding funding sources for the capital
expenditure program and conditions placed on the Inyo County
conditional use permit (Inyo County permit) resulting in longer-
term uncertainties regarding the Project's ability to achieve
total rent coverage ratios in the Project's revised forecast. The
Project encountered material difficulties with its drilling
program in 2008 which resulted in production levels much lower
than originally expected. While the Project has had success in
the first six months of 2009 with its drilling program, Moody's
believes significant execution risk continues to exist and that
the Project could again incur material difficulties. For six
months ending June 2009, total generation was approximately 7%
below the 2009 budget.
Terra-Gen (senior secured rating of Ba3), CGPH's owner, expects to
source approximately $35 million of the remaining equity infusions
into CGPH from a refinancing at the Dixie Valley project, a sister
geothermal project of the Project. While Terra-Gen expects the
refinancing of Dixie Valley to occur in 2010, the timing and net
proceeds available to Terra-Gen remains uncertain. Lower than
expected net proceeds or delays of the Dixie Valley refinancing
could potentially have negative implications to the Project since
it could lead to delays or reduced funding for the Project's
capital expenditure program.
Moody's recognizes that the Inyo County permit contains material
restrictions and conditions including reduced water pumping by
one-third in the first year, extensive monitoring of water levels,
and triggers to stop pumping if water levels fall below a certain
threshold. Based on a hydrological model of the area, the Project
does not believe the Hay Ranch project will cause the local water
levels to reach the trigger thresholds, however potential negative
impact (if any) of the Hay Ranch project on the local water levels
is only likely to be known once the water pumping is implemented.
That said, the continuing sponsor support demonstrated by the
approximately $36 million of equity contributed to fund capital
expenditures as of June 30, 2009, remains a key factor supporting
the Ba1 rating. Additionally, Moody's currently expects that
CGPH's sponsor will fund the remainder of the specified capital
expenditure program to the extent funds are available though
CGPH's sponsor is not legally committed to make equity
contributions.
Also supporting the Ba1 rating is CGPH's substantial progress in
obtaining necessary permits for the Hay Ranch project including
the Bureau of Land Management permit obtained in August 2009
following on the Inyo County permit issued in May 2009. In June
2009, Little Lake Ranch filed an appeal of the Inyo County permit
with the courts; however, a settlement was reached in August 2009.
Moody's understands that the Project still requires an "incidental
take permit" from the California Department of Fish and Game (Fish
and Game Department) to build the portion of the Hay Ranch project
on private land. Moody's also understands the Project has the
necessary permits that should allow the Project to build the Hay
Ranch project on federal land and construction on federal lands
has already started. Extensive delays in receiving the incidental
take permit from the Fish and Game Department could lead to delays
in the Hay Ranch project from the current schedule. The current
schedule anticipates pumping of water from the Hay Ranch by year-
end 2009.
The negative outlook considers continuing significant execution
risk with CGPH's capital expenditure program, uncertainties to the
ultimate sources of funding for the capital expenditure program,
possible impediments caused by the Inyo County permit conditions
and potential delays of the Game and Wildlife Department's
incidental take permit. Over the next 12-18 months, the rating
outlook could stabilize if the Project is able to resolve the
uncertainties related to the above factors and achieves financial
metrics according to the updated forecast.
Coso Geothermal Power Holdings LLC is a special purpose company
formed to effectuate a sale-leaseback transaction of the Project.
The Project comprises of three linked geothermal plants with a
nameplate capacity of 302 MW located in California and a 17.7 MW
geothermal plant in Nevada. The California geothermal plants sell
all their power to Southern California Edison (A3 senior
unsecured) while the Nevada based plant sells its power to Sierra
Pacific Power (Ba3 senior unsecured). CGPH is owned indirectly by
Terra-Gen Power LLC. Terra-Gen is owned by private equity funds
managed by ArcLight Capital Partners.
The last rating action on CPGH occurred on May 29, 2009, when the
outlook on Project's pass through trust certificates were placed
under review for downgrade.
CREDIT SUISSE: S&P Downgrades Ratings on 22 2007-C5 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 22
classes of commercial mortgage-backed securities from Credit
Suisse Commercial Mortgage Trust Series 2007-C5 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its 'AAA' ratings on five classes from the same
transaction.
The downgrades follow S&P's analysis of the transaction using
S&P's recently released U.S. conduit and fusion CMBS criteria,
which was the primary driver of the rating actions. S&P's
analysis included a review of the credit characteristics of all of
the loans in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage of
1.26x and a loan-to-value ratio of 118.0%. S&P further stressed
the loans' cash flows under S&P's 'AAA' scenario to yield a
weighted average DSC of 0.80x and an LTV of 164.1%. The implied
defaults and loss severity under the 'AAA' scenario were 81.0% and
42.7%, respectively. The DSC and LTV calculations exclude 15 of
the 17 specially serviced loans (10.6%) and three loans that are
credit impaired loans (1.9%). S&P estimated losses for these
loans, which are included in the 'AAA' scenario implied default
and loss figures.
S&P lowered its ratings on classes P and Q to 'D' to reflect
recurring interest shortfalls resulting from 10 appraisal
reduction amounts totaling $50.1 million in effect on 10 assets
with the special servicer. S&P expect the shortfalls to recur for
the foreseeable future.
S&P affirmed the ratings on the class A-SP and A-X interest-only
certificates based on S&P's current criteria. S&P published a
request for comment proposing changes to the IO criteria on
June 1, 2009. After S&P finalize S&P's criteria review, S&P may
revise its current criteria. Any change in S&P's criteria may
impact outstanding ratings, including the ratings on the IO
certificates S&P affirmed.
Credit Concerns
Seventeen assets ($298.6 million, 11.0%) in the pool, including
one of the top 10 loans, are with the special servicer, Centerline
Servicing Inc. The payment status of the loans are: one is REO
($2.4 million, 0.1%), four are in foreclosure ($53.1 million,
1.9%), eight are more than 90 days delinquent ($141.5 million,
5.2%), two are 30 days delinquent ($13.7 million, 0.5%) and two
are current ($87.9 million, 3.2%). Ten of the specially serviced
loans have appraisal reduction amounts in effect totaling
$50.1 million. Four of the specially serviced assets have
balances that are greater than 1.2% of the total pool balance,
while the remaining 13 specially serviced loans have balances that
are less than 1.0% of the total pool balance. The top 10 loan
with the special servicer is discussed below.
Transaction Summary
As of the August 2009 remittance report, the collateral pool
consisted of 194 loans with an aggregate trust balance of
$2.71 billion, which represents approximately 99.7% of the trust
balance at issuance. The master servicers for the transaction are
KeyCorp Real Estate Capital Markets Inc. and Capmark Finance Inc.
Financial information was provided for 94.5% of the pool, and
92.4% of the financial information was full-year 2008 or interim
2009 data. S&P calculated a weighted average DSC of 1.20x for the
pool based on the reported figures. S&P's adjusted DSC and LTV
were 1.26x and 118.0%, respectively. The transaction has not
experienced any principal losses to date. Fifty-five loans
(36.1%) are on the master servicers' watchlists, including six of
the top 10 loans. Fifty-five loans ($1.12 billion, 41.3%) have a
reported DSC below 1.10x, and 37 of these loans ($751.5 million,
27.7%) have a reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.2 billion (44.5%). Using servicer-reported numbers, S&P
calculated a weighted average DSC for the top 10 loans of 1.09x
excluding one specially serviced loan, the Allanza at the Lakes
loan, which is discussed below. Six of the top 10 loans in the
pool ($628.1 million, 23.2%) appear on the master servicers'
watchlists. S&P's adjusted DSC and LTV for the top 10 loans,
excluding the specially serviced loan, were 1.20x and 123.0%,
respectively.
The Gulf Coast Town Center Phases I & II, the second-largest loan
in pool ($190.8 million, 7.0%), is the largest loan on the
watchlist due to a DSC below 1.10x. This loan is secured by a
991,027-sq.-ft. retail property in Fort Meyers, Fla. The reported
DSC for the property for the 12 months ending June 30, 2009, was
0.94x and the reported occupancy as of June 11, 2009, was 93.0%,
down from a DSC of 1.29x and occupancy of 98% at issuance.
The Allanza at the Lakes loan, the sixth-largest loan in the pool,
is the largest loan with the special servicer. This loan has a
total exposure of $85.0 million and is secured by an 896-unit
multifamily property in Las Vegas, Nev. The reported DSC for the
property in 2008 was 1.01x, and the occupancy was 81.3%. The loan
is current and was transferred to the special servicer on July 17,
2009, due to imminent default. Standard & Poor's expects a
moderate loss upon the resolution of this asset.
Standard & Poor's stressed the loans in the pool according to
S&P's updated conduit/fusion criteria. The resultant credit
enhancement levels support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Credit Suisse Commercial Mortgage Trust Series 2007-C5
Commercial mortgage pass-through certificates Rating
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-AB A- AAA/Watch Neg 30.09
A-4 A- AAA/Watch Neg 30.09
A-1-A A- AAA/Watch Neg 30.09
A-M BB+ AAA/Watch Neg 20.06
A-1-AM BB+ AAA/Watch Neg 20.06
A-J B+ AAA/Watch Neg 12.29
A-1-AJ B+ AAA/Watch Neg 12.29
B B AA+/Watch Neg 11.41
C B AA/Watch Neg 10.66
D B AA-/Watch Neg 9.40
E B- A+/Watch Neg 8.28
F B- A/Watch Neg 7.77
G CCC A-/Watch Neg 6.27
H CCC BBB+/Watch Neg 5.52
J CCC- BBB/Watch Neg 4.39
K CCC- BBB-/Watch Neg 3.51
L CCC- BB+/Watch Neg 3.13
M CCC- BB/Watch Neg 2.76
N CCC- BB-/Watch Neg 2.38
O CCC- B+/Watch Neg 1.76
P D B/Watch Neg 1.63
Q D B-/Watch Neg 1.25
Ratings Affirmed
Credit Suisse Commercial Mortgage Trust Series 2007-C5
Commercial mortgage pass-through certificates
Class Rating Credit Enhancement
----- ------ ------------------
A-1 AAA 30.09
A-2 AAA 30.09
A-3 AAA 30.09
A-SP AAA N/A
A-X AAA N/A
N/A - Not applicable.
FAIRWAY LOAN: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Fairway Loan Funding Company:
-- US$510,000,000 (current balance of $502,068,932) Class A-1L
Floating Rate Notes Due October 2018, Downgraded to Aa2,
previously on July 18, 2006 Aaa;
-- US$75,000,000 (current balance of $73,833,666) Class A-1LV
Floating Rate Revolving Notes Due October 2018, Downgraded to
Aa2, previously on July 18, 2006 Aaa;
-- US$52,000,000 Class A-2L Floating Rate Notes Due October
2018; Downgraded to A3, previously on March 4, 2009 Aa2 and
Placed Under Review for Possible Downgrade;
-- US$32,000,000 Class B-1L Floating Rate Notes Due October
2018; Downgraded to B2, previously on March 17, 2009 B1 and
Placed Under Review for Possible Downgrade;
-- Class P-1 Combination Notes Due October 2018; Downgraded to
Baa1, previously on March 4, 2009 Aa3 and Placed Under Review
for Possible Downgrade;
-- Class P-2 Combination Notes Due October 2018, Downgraded to
Ba2, previously on March 4, 2009 A3 and Placed Under Review
for Possible Downgrade;
-- Class P-3 Combination Notes Due October 2018; Downgraded to
Ca, previously on March 4, 2009 Ba3 and Placed Under Review
for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$49,000,000 Class A-3L Deferrable Floating Rate Notes Due
October 2018, Confirmed at Ba1; previously on March 17, 2009
Ba1 and Under Review for Possible Downgrade;
-- US$32,000,000 Class B-2L Floating Rate Notes Due October
2018; Confirmed at Caa3; previously on March 17, 2009 Caa3
and Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the Class B-2L Overcollateralization
Test, Moody's Weighted Average Rating Factor Test and certain
Eligibility Criteria. In particular, the weighted average rating
factor has increased over the last year and is currently 2811
versus the trigger of 2600 as of the last trustee report, dated
Augsut 5, 2009. Based on the same report, defaulted securities
currently held in the portfolio total $54,385,427 million,
accounting for roughly for 7% of the collateral balance, and
securities rated Caa1 or lower as reported by trustee make up
approximately 14% of the underlying portfolio. Additionally,
interest payments on the Class B-2L Notes are presently being
deferred as a result of the failure of the Class B-2L
Overcollateralization Test. Due to the impact of all
aforementioned stresses, key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, may be different from the
trustee's reported numbers.
Fairway Loan Funding Company, issued on July 18, 2006, is a
collateralized loan obligation, backed primarily by a portfolio of
[senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
FENWAY I: Moody's Downgrades Ratings on Two Classes of Notes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of two classes of Notes issued by and a credit default swap
entered into by Fenway I & II. The instruments affected by the
rating action are:
-- Credit Default Swap-Super Senior, Downgraded to Aa2;
Previously on 3/6/2009 Aaa and Placed Under Review for
Possible Downgrade
-- Fenway I, Ltd., Downgraded to Baa2; Previously on 2/26/2009
Downgraded to A1
-- Fenway II, Ltd., Downgraded to Ba1; Previously on 2/26/2009
Downgraded to A2
-- Fenway I & II. is a synthetic collateralized debt obligation
that references a portfolio of Collateralized Loan
Obligations.
The rating downgrade actions taken reflect deterioration in the
credit quality of the underlying reference portfolio. The 12
securities in the portfolio were originally rated Aaa. Four of
the 12 securities in the portfolio experienced recent rating
actions and were downgraded to Aa levels. Moody's is currently in
Stage II of its CLO rating surveillance process and is performing
comprehensive analysis of each CLO transaction by updating the
model of each CLO that it has rated. Additional rating actions
may be taken with respect to the CLO tranches that are referenced
by Fenway I & II as necessary.
Moody's explained that in addition to the quantitative factors
that are explicitly modeled, qualitative factors are part of the
Moody's rating committee considerations. These qualitative
factors include but are not limited to the structural protections
in the transaction, the recent performance of the transaction in
the current market environment, how legal risks and issues are
addressed in transaction documentation, the collateral manager's
track record, and the potential for selection bias in the
portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions.
FORD CREDIT: S&P Assigns Initial Rating on $2.227 Bil. Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Ford Credit Auto Owner Trust 2009-D's $2.227 billion
asset-backed notes series 2009-D.
The preliminary ratings are based on information as of Aug. 27,
2009. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's opinion of:
* The availability of approximately 18.3%, 15.0%, 12.8%, and 10.2%
credit support to the class A, B, C, and D notes, respectively,
based on stressed break-even cash flow scenarios. These credit
support levels provide more than 5x, 4x, 3x, and 2x S&P's
expected net loss range of 2.95%-3.25% to the class A, B, C, and
D notes, respectively; The transaction's ability to withstand
more than 1.5x S&P's expected net loss level in S&P's "what-if"
scenario analysis before the notes become vulnerable to a
negative CreditWatch action and/or a potential downgrade;
* The timely interest and principal payments made under stressed
cash flow modeling scenarios appropriate to the preliminary
rating categories;
* The characteristics of the pool being securitized;
* Ford Motor Credit Co. LLC's extensive securitization
performance history, going back to 1989; and
* The transaction's legal structure.
Preliminary Ratings Assigned
Ford Credit Auto Owner Trust 2009-D
Interest Amount Expected legal
Class Rating Type rate (mil. $)* final maturity date
----- ------ ---- -------- --------- -------------------
A-1 A-1+ Senior Fixed 640.00 September 2010
A-2 AAA Senior Fixed 409.00 January 2012
A-3 AAA Senior Fixed 805.00 October 2013
A-4 AAA Senior Fixed 219.80 August 2014
B AA Sub Fixed 65.50 December 2014
C A Sub Fixed 43.70 May 2015
D BB+ Sub Fixed 43.70 February 2016
* The actual size of these tranches will be determined on the
pricing date.
FORE CLO: Moody's Downgrades Ratings on Two 2007-I Notes
--------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Fore CLO Ltd. 2007-I:
-- US$38,500,000 Class A-2 Senior Notes Due 2019, Downgraded to
A1; previously on Mar 4, 2009 Aa1 Placed Under Review for
Possible Downgrade
-- US$14,500,000 Class B Senior Notes Due 2019, Downgraded to
A2; previously on Mar 4, 2009 Aa2 Placed Under Review for
Possible Downgrade
Additionally, Moody's has confirmed the ratings of these notes:
-- US$31,000,000 Class C Deferrable Mezzanine Notes Due 2019,
Confirmed at Ba1; previously on Mar 13, 2009 Downgraded to
Ba1 and Remains On Review for Possible Downgrade
-- US$29,500,000 Class D Deferrable Mezzanine Notes Due 2019
(current balance $28,219,542), Confirmed at B2; previously on
Mar 13, 2009 Downgraded to B2 and Remains On Review for
Possible Downgrade
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries
will be below their historical averages, consistent with Moody's
research.
Moderate credit deterioration is observed through an increase in
the dollar amount of defaulted securities, an increase in the
proportion of securities from issuers rated Caa1 and below. Based
on the last trustee report, dated July 13, 2009, defaulted
securities total about $20 million, accounting for roughly 4% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 5.3% of the underlying portfolio. Due to the impact
of all aforementioned stresses, key model inputs used by Moody's
in its analysis, such as par, weighted average rating factor, and
weighted average recovery rate, may be different from the
trustee's reported numbers.
Fore CLO Ltd. 2007-I., issued on June 27, 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
GALE FORCE: Moody's Downgrades Ratings on Four Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Gale Force 4 CLO, Ltd.:
-- $310,320,000 Class A-1A First Priority Senior Secured
Floating Rate Notes due 2021, Downgraded to Aa1; previously
on August 16, 2007 Assigned Aaa;
-- $34,480,000 Class A-1B Second Priority Senior Secured
Floating Rate Notes due 2021, Downgraded to A1; previously on
March 4, 2009 Aa1 Placed Under Review for Possible Downgrade;
-- $12,400,000 Class B Third Priority Senior Secured Floating
Rate Notes due 2021, Downgraded to A3; previously on March 4,
2009 Aa2 Placed Under Review for Possible Downgrade;
-- $17,900,000 Class E Sixth Priority Mezzanine Deferrable
Floating Rate Notes due 2021, Downgraded to Caa3; previously
on March 23, 2009 Downgraded to Caa2 and Placed Under Review
for Possible Downgrade.
Additionally, Moody's has confirmed the ratings of these notes:
-- $28,500,000 Class C Fourth Priority Senior Secured Deferrable
Floating Rate Notes due 2021, Confirmed at Ba1; previously on
March 23, 2009 Downgraded to Ba1 and Placed Under Review for
Possible Downgrade;
-- $17,200,000 Class D Fifth Priority Mezzanine Deferrable
Floating Rate Notes due 2021, Confirmed at B1; previously on
March 23, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through an increase in the dollar
amount of defaulted securities, an increase in the proportion of
securities from issuers rated Caa1 and below. Based on the
August 10, 2009 trustee report, defaulted securities total about
$14 million, accounting for roughly 3% of the collateral balance,
and securities rated Caa1 or lower make up approximately 11% of
the underlying portfolio.
Moody's also assessed the collateral pool's elevated concentration
risk in debt obligations of companies in the banking, finance,
real estate, and insurance industries, which Moody's views to be
more strongly correlated in the current market environment.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 2009. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Gale Force 4 CLO, Ltd., issued in August 16, 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
GE COMMERCIAL: S&P Downgrades Ratings on 21 2007-C1 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 21
classes of commercial mortgage-backed securities from GE
Commercial Mortgage Corp. Series 2007-C1 and removed them from
CreditWatch, where they were last placed with negative
implications on June 26, 2009. In addition, S&P affirmed its
ratings on six classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using
S&P's recently released U.S. conduit and fusion CMBS criteria,
which was the primary driver of the rating actions. S&P's
analysis included a review of the credit characteristics of all of
the loans in the pool. Using servicer-provided financial
information, excluding loans that are stressed as credit concerns,
S&P calculated an adjusted debt service coverage of 1.23x and a
loan-to-value ratio of 131.3%. S&P further stressed the loans'
cash flows under S&P's 'AAA' scenario to yield a weighted average
DSC of 0.74x and an LTV of 179.4%. The implied defaults and loss
severity under the 'AAA' scenario were 83.6% and 48.2%,
respectively. To maintain the consistency of this data for
comparative purposes, the DSC and LTV calculations excluded seven
specially serviced loans and two credit impaired loans (8.2%).
S&P separately estimated losses for these loans, which are
included in the 'AAA' scenario implied default and loss figures.
S&P affirmed the ratings on the interest-only certificates based
on S&P's current criteria. S&P published a request for comment
proposing changes to the IO criteria on June 1, 2009. After S&P
finalize its criteria review, S&P may revise its current IO
criteria, which may impact outstanding ratings, including the
ratings on the IO certificates S&P affirmed.
Credit Concerns
Ten assets ($311.9 million, 8.0%) in the pool, including the
fifth-largest exposure in the pool, are with the special servicer,
LNR Partners Inc. One of those assets ($7.8 million, 0.2%) is
classified as real estate owned, two ($41.5 million, 1.1%) are in
foreclosure, three ($26.2 million, 0.7%) are more than 90 days
delinquent, two ($42.4 million, 1.1%) are 30 days delinquent, and
two ($194.2 million, 5.0%) are less than 30 days delinquent or
within their grace period. Appraisal reduction amounts are
currently in effect for six assets ($75.2 million, 1.9%).
The Manhattan Apartment Portfolio loan ($192.1 million, 4.9%) is
the fifth-largest loan in the pool and is secured by a 33-
property, 1,029-unit multifamily portfolio located primarily in
the Harlem and Washington Heights neighborhoods of New York City.
This loan was transferred to LNR on Feb. 27, 2009, due to imminent
default; however, it is not currently delinquent. Most of the
units in this portfolio are subject to rent-stabilization
regulations, and it was the borrower's intention to convert these
units into to market-rate units. Since origination, the pace of
conversion has lagged behind projections, causing net cash flow to
fall short of expectations. In addition, the interest reserve has
declined to $7.9 million from $28.0 million at issuance. The
master servicer, KeyBank Real Estate Capital Markets, reported a
debt service coverage of 0.36x for the year ended Dec. 31, 2008,
compared with 0.40x for the year ended Dec. 31, 2007. Standard &
Poor's expects a substantial loss upon the resolution of this
loan.
Transaction Summary
As of the August 2009 remittance report, the collateral pool
consisted of 197 loans with an aggregate trust balance of
$3.92 billion, compared with 198 loans with an aggregate balance
of $3.95 billion at issuance. The master servicer for the
transaction is KeyBank Real Estate Capital Markets Inc. The master
servicer provided financial information for 99.4% of the pool, and
96.5% of the servicer-provided information was full-year 2008 or
interim-2009 data. S&P calculated a weighted average DSC of 1.24x
for the pool based on the reported figures. S&P's adjusted DSC
and LTV were 1.23x and 131.3%, respectively. To date, the
transaction has not experienced any principal losses. Thirty-five
loans are on the master servicer's watchlist, including four of
the top 10 loans. Forty-two loans ($1.24 billion, 31.7%) have a
reported DSC below 1.10x, and 32 of these loans ($1.11 billion,
28.3%) have a reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.78 billion (45.4%). Using servicer-reported numbers, S&P
calculated a weighted average DSC for the top 10 loans of 1.15x.
The fifth-largest loan in the pool ($192.1 million, 4.9%) is with
the special servicer. The largest, sixth-, eighth-, and ninth-
largest loans in the pool ($690.7 million, 17.6%) appear on the
master servicer's watchlist. S&P's adjusted DSC and LTV for the
top 10 loans were 1.11x and 150.1%, respectively.
Standard & Poor's stressed the loans in the pool according to
S&P's updated conduit/fusion criteria. The resultant credit
enhancement levels support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
GE Commercial Mortgage Corp. Series 2007-C1
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-1A BBB+ AAA/Watch Neg 30.25
A-4 BBB+ AAA/Watch Neg 30.25
A-M BB+ AAA/Watch Neg 20.17
A-MFL BB+ AAA/Watch Neg 20.17
A-J B+ AAA/Watch Neg 12.48
A-JFL B+ AAA/Watch Neg 12.48
B B AA+/Watch Neg 11.47
C B AA/Watch Neg 10.34
D B AA-/Watch Neg 9.33
E B- A+/Watch Neg 8.57
F B- A/Watch Neg 7.94
G B- A-/Watch Neg 6.68
H CCC+ BBB+/Watch Neg 5.55
J CCC+ BBB/Watch Neg 4.54
K CCC BB+/Watch Neg 3.15
L CCC BB/Watch Neg 2.90
M CCC BB-/Watch Neg 2.52
N CCC- B+/Watch Neg 2.27
O CCC- B/Watch Neg 2.02
P CCC- B-/Watch Neg 1.76
Q CCC- CCC+/Watch Neg 1.39
Ratings Affirmed
GE Commercial Mortgage Corp. Series 2007-C1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.25
A-2 AAA 30.25
A-AB AAA 30.25
A-3 AAA 30.25
X-C AAA N/A
X-P AAA N/A
GLACIER FUNDING: Moody's Downgrades Ratings on Three Classes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded ratings
of three classes of Notes issued by Glacier Funding CDO I Limited.
The Notes affected by the action are:
-- US$190,000,000 Class A-1 First Priority Senior Floating Rate
Notes Due 2039, Downgraded to Ba1; previously on 2/6/2009
Downgraded to Aa3
-- US$44,000,000 Class A-2 Second Priority Senior Floating Rate
Notes Due 2039, Downgraded to B1; previously on 2/6/2009
Downgraded to Baa1
-- US$43,500,000 Class B Third Priority Senior Floating Rate
Notes Due 2039, Downgraded to Caa3; previously on 2/62009
Downgraded to B1
Glacier Funding CDO I Limited is a collateralized debt obligation
backed primarily by a portfolio of Residential Mortgage Backed
Securities and other Asset Backed Securities.
The rating downgrade actions reflect deterioration in the credit
quality of the underlying portfolio. Credit deterioration of the
collateral pool is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
and failure of the coverage tests, among other measures. More
than 30% of its assets have been downgraded since the last Moody's
review of the transaction. The Trustee currently reports that the
WARF of the portfolio is 968 as compared to 543 in January 2009.
In addition, the Trustee reports that the transaction is currently
failing one or more coverage tests, including the Class A/B
Overcollateralization Ratio test.
The actions also take into consideration the occurrence, as
reported by the Trustee on August 10, 2009, of an Event of Default
described in Section 5.1(i) of the Indenture dated March 10, 2004,
due to the failure of the Class A/B Overcollateralization Ratio to
be equal to or greater than 100% on a Measurement Date. As
provided in Article V of the Indenture during the occurrence and
continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes,
including directing the Trustee to undertake a sale and
liquidation of the collateral. The severity of losses of certain
tranches may be different, however, depending on the timing and
outcome of a liquidation.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
GOLDENTREE CAPITAL: Moody's Upgrades Ratings on Various Classes
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by GoldenTree Capital Opportunities,
L.P.:
-- US$19,400,000 Class C-1 Third Priority Floating Rate Secured
Deferrable Notes Due 2020, Upgraded to Baa2; previously on
March 23, 2009 Downgraded to Ba1 and Placed Under Review for
Possible Downgrade;
-- US$10,000,000 Class C-2 Third Priority Fixed Rate Secured
Deferrable Notes Due 2020, Upgraded to Baa2; previously on
March 23, 2009 Downgraded to Ba1 and Placed Under Review for
Possible Downgrade;
-- US$21,200,000 Class D-l Fourth Priority Floating Rate Secured
Deferrable Notes Due 2020, Upgraded to Ba2; previously on
March 23, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$5,000,000 Class D-2 Fourth Priority Fixed Rate Secured
Deferrable Notes Due 2020, Upgraded to Ba2; previously on
March 23, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade.
-- US$16,800,000 Class E Fifth Priority Secured Deferrable Notes
Due 2020, Upgraded to B3; previously on March 23, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$38,500,000 Class B-1 Second Priority Floating Rate Secured
Notes Due 2020, Confirmed at Aa2; previously on March 4, 2009
Aa2 Placed Under Review for Possible Downgrade;
-- US$3,000,000 Class B-2 Second Priority Fixed Rate Secured
Notes Due 2020, Confirmed at Aa2; previously on March 4, 2009
Aa2 Placed Under Review for Possible Downgrade;
-- US$5,294,000 Class X Principal Protected Notes Due 2030,
(current Rated Balance of $3,176,463), Confirmed at A2;
previously on March 4, 2009 A2 Placed Under Review for
Possible Downgrade;
Moody's notes that the upgrade actions on the Class C-1, Class C-
2, Class D-1, Class D-2 Notes and Class E Notes, and the rating
confirmation on the Class B-1, Class B-2 and Class X Notes,
largely reflect updated analysis indicating that the impact of
certain assumption stresses incorporated in Moody's rating
analysis (discussed below) is not as negative as previously
assessed during Stage I of the deal review in March. The current
conclusions stem from comprehensive deal-level analysis completed
during Stage II of the ongoing CLO surveillance review, which
included an in-depth assessment of results from Moody's
quantitative CLO rating model along with an examination of deal-
specific qualitative factors. By way of comparison, during Stage
I Moody's took rating actions that were largely the result of a
parameter-based approach.
Additionally, the actions consider the positive implications of
performance stabilization in certain deal collateral quality
measurements since last year. Based on the last trustee report
dated July 16, 2009, all the Collateral Quality Tests and Coverage
Tests, except the Interest Diversion Test, are in compliance.
According to Moody's, the rating actions also reflect Moody's
revised assumptions as described in the press release dated
February 4, 2009, titled "Moody's updates key assumptions for
rating CLOs," and the expectation that recoveries for high-yield
corporate bonds and second lien loans will be below their
historical averages, consistent with Moody's research. .
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates, and that Moody's
analysis reflects the application of certain stresses with respect
to the default probabilities associated with such CEs. These
additional stresses reflect the rapid pace of recent changes in
credit market conditions and the default rate expectations in the
current economic cycle that are higher than the historical
averages. Specifically, the default probability stresses include
(1) a 1.5 notch-equivalent assumed downgrade for CEs updated
between 12-15 months ago; and (2) assuming an equivalent of Caa3
for CEs that were not updated within the last 15 months.
Additionally, as CEs do not carry credit indicators such as
ratings reviews and outlooks, a stress of a 0.5 notch-equivalent
assumed downgrade for CEs is also applied to CEs provided between
6-12 months ago.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
GoldenTree Capital Opportunities, L.P., issued in 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
GRANITE VENTURES: Moody's Downgrades Ratings on Two Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Granite Ventures III Ltd.:
-- US$312,000,000 Class A-1 Floating Rate Senior Notes,
Downgraded to Aa1; previously on May 16, 2006 Assigned Aaa;
-- US$19,000,000 Class A-2 Floating Rate Senior Notes,
Downgraded to A1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$20,000,000 Class B Deferrable Floating Rate Senior
Subordinate Notes, Confirmed at Ba1; previously on March 17,
2009 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$17,000,000 Class C Deferrable Floating Rate Subordinate
Notes, Confirmed at B1; previously on March 17, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$7,000,000 Class D Deferrable Floating Rate Subordinate
Notes, Confirmed at Caa2; previously on March 17, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
The rating actions primarily reflect Moody's revised assumptions
with respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 2009. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
According to Moody's, the rating actions taken on the notes also
reflect the underlying portfolio's mild amount of credit
deterioration. Based on the latest trustee report dated July 9,
2009, collateral par net of defaults has declined to
$386.9 million from $393.1 million as of the trustee report dated
March 16, 2009. Moody's also notes that as of the latest trustee
report, the weighted average rating factor is 2323, defaulted
securities total about $5.8 million, accounting for roughly 1.5%
of the collateral balance, and securities rated Caa1 or lower make
up approximately 5.3% of the underlying portfolio.
Moody's also assessed the collateral pool's elevated concentration
risk in debt obligations of companies in the banking, finance,
real estate, and insurance industries, which Moody's views to be
more strongly correlated in the current market environment.
Granite Ventures III Ltd., issued in May of 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
GREENWICH CAPITAL: Moody's Keeps Ratings on Seven 2005-GG3 Certs.
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of seven classes
and downgraded 14 classes of Greenwich Capital Commercial Funding
Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-
GG3. The downgrades are due to higher expected losses for the
pool resulting from realized and anticipated losses from loans in
special servicing and increased credit quality dispersion. On
July 9, 2009, Moody's placed 14 classes on review for possible
downgrade due to an increase in the concentration of specially
serviced loans. This action concludes the review. This action is
the result of Moody's on-going surveillance of commercial mortgage
backed securities transactions.
As of the August 12, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 6% to
$3.39 billion from $3.59 billion at securitization. The
Certificates are collateralized by 134 mortgage loans ranging in
size from less than 1% to 7% of the pool, with the top 10 loans
representing 49% of the pool. The pool includes three loans with
underlying ratings, representing 18% of the pool. Ten loans,
representing 4% of the pool, have defeased and are collateralized
by U.S. Government securities.
Thirty-two loans, representing 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's 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.
One loan has been liquidated from the trust resulting in a loss of
$1.8 million. Ten loans, representing 19% of the pool, are
currently in special servicing. The top three loans in special
servicing, representing 17.5% of the pool, are secured by malls
owned by affiliates of General Growth Properties, Inc. These
three loans were transferred to special servicing due to GGP's
bankruptcy filing on April 16, 2009. The top two loans are
performing as expected, but the third loan, secured by Mall St.
Matthews, has experienced an increase in vacancy and a decline in
cash flow. On a stand-alone basis, the mall has considerable
refinance risk with only five months remaining on the loan term
and a Moody's stressed DSCR of 0.88X. However, as it is part of a
broader bankruptcy action, a loan extension with amortization is
possible which would allow the loan to reduce its leverage.
Moody's stressed DSCR is based on Moody's net cash flow and a
9.25% stressed rate applied to the loan balance. The remaining
seven specially serviced loans collectively represent less than
two percent of the pool and are mostly 90+ days delinquent.
The tenth largest loan in the pool and the primary loan of concern
is the Place Properties Portfolio Loan ($98.7 million -- 2.9%).
The loan is secured by nine student housing properties located in
various southern states. The loan was transferred to special
servicing on May 21, 2009 due to imminent default. After the
borrower declined to proceed with a loan modification, the loan
transferred back to the master servicer on July 21, 2009. The
loan is interest-only for the full term and matures in December
2009. Moody's stressed DSCR is 0.62X compared to 0.96X at last
review. Moody's estimates an aggregate loss of $65 million (42%
severity on average) for the loans in special servicing and the
loan of concern.
Moody's was provided with full-year 2008 operating results for 91%
of the pool. Moody's weighted average loan to value ratio for the
conduit component is 97% compared to 95% at last full review in
May 2007. In addition to the increase in overall LTV, credit
quality dispersion has increased since last review. Based on
Moody's analysis, 12% of the pool has an LTV in excess of 120%
compared to 1% at last review. However, some improvement in the
pool cash flow has been recognized. Moody's stressed debt service
coverage ratio for the conduit component is 1.09X compared to
1.04X at last review.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, 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 and the pool has a Herf score of 30.
The largest loan with an underlying rating is the North Star Mall
Loan ($232.6 million -- 6.9%), which is secured by the borrower's
interest in a 1.3 million square foot regional mall located in San
Antonio, Texas. The property is the dominant mall in the region
and is anchored by JC Penney, Macy's, Saks 5th Avenue, and
Dillard's. The overall occupancy as of March 2009 was 97%, the
same as at last review. The loan sponsor is GGP. Moody's
analysis reflects the elimination of certain tranching benefits
associated with the nature of the collateral and the sponsorship
of the mall. Moody's no longer has an investment grade underlying
rating for this loan. Moody's LTV and stressed DSCR are 76% and
1.13X, respectively, compared to 75% and 1.12X at last review.
The second largest loan with an underlying rating is the Grand
Canal Shops at the Venetian Loan ($218.5 million -- 6.4%), which
represents a 55.5% participation interest in a first mortgage
secured by a 537,000 square foot mall located within the Venetian
Casino Resort in Las Vegas, Nevada. The mall shop occupancy as of
March 2009 was 99% compared to 96% at last review. The comparable
inline sales for the trailing twelve month period ending February
2009 were $932 per square foot compared to $1,046 PSF at last
review. The loan sponsor is GGP. Moody's analysis reflects the
elimination of certain tranching benefits associated with the
nature of the collateral and the sponsorship of the mall. Moody's
current underlying rating is A3, the same as at last review.
Moody's stressed DSCR is 1.32X compared to 1.20X at last review.
The third largest loan with an underlying rating is the Westin
Kierland Loan ($135.0 million -- 4.0%), which is secured by a 732-
room full service resort and spa hotel located in Phoenix,
Arizona. The hotel's RevPAR for the trailing twelve month period
ending June 2009 was $145, down 14% from the prior period. The
loan sponsor, Host Hotels & Resorts, has recently announced that
they intend to pay down the loan with proceeds from a recent
senior unsecured debt offering. Moody's current underlying rating
is Baa2, the same as at last review. Moody's stressed DSCR is
1.71X compared to 1.68X at last review.
The loan that previously had an underlying rating was the Doral
Arrowwood Hotel Loan ($68.8 million - 2.0%), which is secured by a
374-room full service conference resort hotel and 110,000 square
foot conference center located in Rye Brook, New York. Pfizer
Inc. uses the conference center as its global training facility
for its field sales and marketing team. Pfizer is under contract
through 2015 to lease the Resort's learning center and a minimum
of 33,000 rooms annually, which Pfizer has historically exceeded
by a large margin. In the past few years, however, the number of
paid rooms by Pfizer has decreased significantly. As a result,
the hotel's RevPAR for the trailing twelve month period ending
June 2009 was $98, down 15% from the prior period and down from
$150 in 2005. Due to a decline in performance, Moody's no longer
has an underlying rating for this loan. Moody's LTV and stressed
DSCR are 105% and 1.08X, respectively, compared to 79% and 1.37X
at last review.
The top three conduit loans represent 18% of the pool. The
largest conduit loan is the 1440 Broadway Loan ($221.3 million --
6.5%), which is secured by a 742,000 square foot office building
located in the Times Square submarket of New York City. The
property was 96% occupied as of June 2009, compared to 94% at last
review. The property is on the master servicer's watchlist due to
a low DSCR. Moody's LTV and stressed DSCR are 97% and 1.01X,
respectively, compared to 98% and 0.96X at last review.
The second largest conduit loan is The Crescent Loan
($214.8 million -- 6.3%), which is secured by a 1.3 million square
foot mixed use office and retail complex located in Dallas, Texas.
The property was 98% occupied as of December 2008 compared to 92%
at last review. Moody's LTV and stressed DSCR are 82% and 1.18X,
respectively, compared to 83% and 1.13X at last review.
The third largest conduit loan is the 498 Seventh Avenue Loan
($181.5 million -- 5.4%), which is secured by an 877,000 square
foot office building located in the Garment District submarket of
New York City. The property was 100% occupied as of December 2008
compared to 95% at last review. Moody's LTV and stressed DSCR are
95% and 1.05X, respectively, compared to 94% and 1.03X at last
review.
Moody's rating action is:
-- Class A-2, $1,032,885,332, affirmed at Aaa; previously
affirmed at Aaa on 5/2/2007
-- Class A-3, $562,418,000, affirmed at Aaa; previously affirmed
at Aaa on 5/2/2007
-- Class A-AB, $159,047,000, affirmed at Aaa; previously
affirmed at Aaa on 5/2/2007
-- Class A-4, $783,022,000, affirmed at Aaa; previously affirmed
at Aaa on 5/2/2007
-- Class A-1-A, $136,292,438, affirmed at Aaa; previously
affirmed at Aaa on 5/2/2007
-- Class XP, Notional, affirmed at Aaa; previously affirmed at
Aaa on 5/2/2007
-- Class XC, Notional, affirmed at Aaa; previously affirmed at
Aaa on 5/2/2007
-- Class A-J, $228,986,000, downgraded to Aa2 from Aaa;
previously placed on review for possible downgrade on
7/9/2009
-- Class B, $112,247,000, downgraded to A1 from Aa2; previously
placed on review for possible downgrade on 7/6/2009
-- Class C, $40,410,000, downgraded to A2 from Aa3; previously
placed on review for possible downgrade on 7/9/2009
-- Class D, $58,368,000, downgraded to Baa1 from A2; previously
placed on review for possible downgrade on 7/9/2009
-- Class E, $35,920,000, downgraded to Baa2 from A3; previously
placed on review for possible downgrade on 7/9/2009
-- Class F, $44,899,000, downgraded to Baa3 from Baa1;
previously placed on review for possible downgrade on
7/9/2009
-- Class G, $35,919,000, downgraded to Ba2 from Baa2; previously
placed on review for possible downgrade on 7/9/2009
-- Class H, $40,409,000, downgraded to Ba3 from Baa3; previously
placed on review for possible downgrade on 7/9/2009
-- Class J, $8,980,000, downgraded to B2 from Ba1; previously
placed on review for possible downgrade on 7/9/2009
-- Class K, $13,470,000, downgraded to B3 from Ba2; previously
placed on review for possible downgrade on 7/9/2009
-- Class L, $17,960,000, downgraded to Caa2 from Ba3; previously
placed on review for possible downgrade on 7/9/2009
-- Class M, $13,469,000, downgraded to Ca from B1; previously
placed on review for possible downgrade on 7/9/2009
-- Class N, $8,980,000, downgraded to C from B2; previously
placed on review for possible downgrade on 7/9/2009
-- Class O, $13,470,000, downgraded to C from B3; previously
placed on review for possible downgrade on 7/9/2009
GREENWICH CAPITAL: S&P Cuts Ratings on 2006-RR1 Certs. to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class L and M commercial mortgage-backed securities pass-through
certificates from Greenwich Capital Commercial Mortgage Trust
2006-RR1 to 'D' from 'CCC-' and removed them from CreditWatch with
negative implications.
The downgrades reflect interest shortfalls that S&P expects to
continue for the foreseeable future.
As of the Aug. 20, 2009, trustee report, the most recent interest
shortfalls on classes L and M amounted to $24,577, and $16,386,
respectively, which brought the cumulative eight-month interest
shortfall amounts to $134,463 and $128,779. The shortfalls are
due to interest shortfalls on the underlying CMBS collateral,
which S&P expects to continue.
GRESHAM STREET: Moody's Downgrades Rating on Three Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of three classes of Notes issued by Gresham Street CDO
Funding 2003-1, Ltd. The Notes affected by the rating action are:
-- US$17,600,000 Class B Second Priority Floating Rate
Deferrable interest Term Notes Due 11/7/33, Downgraded to A1;
previously on 8/8/2003 Assigned Aaa
-- US$8,600,000 Class C Third Priority Floating Rate Deferrable
interest Term Notes Due 11/7/33, Downgraded to Ba1;
previously on 2/24/2009 Downgraded to A1
-- US$5,300,000 Class D Fourth Priority Floating Rate Term Notes
Due 11/7/33, Downgraded to Caa3; previously on 2/24/2009
Downgraded to Ba1
Gresham Street CDO Funding 2003-1, Ltd., is a collateralized debt
obligation backed primarily by a portfolio of residential mortgage
backed securities, collateralized debt obligations, and other
types of assets backed securities.
The rating downgrade actions reflect deterioration in the credit
quality of the underlying portfolio. Credit deterioration of the
collateral pool is observed through a decline in the average
credit rating (as measured by an increase in the weighted average
rating factor). Moody's notes that in the case of Gresham Street
CDO Funding 2003-1, Ltd., more than 65% of its assets have been
the subject of ratings downgrade since Moody's last review of the
transaction in February 2009. The trustee reports that WARF is
339 as compared to a WARF of 35 reported by the Trustee in
February 2009.
The action also takes into consideration the risk of the
transaction experiencing an Event of Default. An Event of Default
may occur due to a missed interest payment with respect to the
Class B Notes. As provided in Article V of the Indenture during
the occurrence and continuance of an Event of Default, certain
parties to the transaction may be entitled to direct the Trustee
to take particular actions with respect to the Collateral and the
Notes, including the sale and liquidation of the assets. The
severity of losses of certain tranches may be different depending
on the timing and outcome of a liquidation.
Moody's explained that in addition to the quantitative factors
that are explicitly modeled, qualitative factors are part of the
Moody's rating committee considerations. These qualitative
factors include but are not limited to the structural protections
in the transaction, the recent performance of the transaction in
the current market environment, how legal risks and issues are
addressed in transaction documentation, the collateral manager's
track record, and the potential for selection bias in the
portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision
GS MORTGAGE: Fitch Affirms Ratings on 2007-GG10 Certificates
------------------------------------------------------------
Fitch Ratings affirms and assigns Loss Severity Ratings to GS
Mortgage Securities Corporation II, series 2007-GG10 commercial
mortgage pass-through certificates. The LS Ratings are based on
Fitch's recognized losses of 8.3%.
Fitch takes these rating actions:
-- $72.4 million class A-1 at 'AAA/LS2'; Outlook Stable;
-- $725.3 million class A-2 at 'AAA/LS2'; Outlook Stable;
-- $246.6 million class A-3 at 'AAA/LS2'; Outlook Stable;
-- $72 million class A-AB at 'AAA/LS2'; Outlook Stable;
-- $3,661 million class A-4 at 'AAA/LS2'; Outlook Stable;
-- $514 million class A-1A at 'AAA/LS2'; Outlook Stable;
-- $756.3 million class A-M at 'AAA/LS3'; Outlook Negative;
-- Interest-only class X at 'AAA'; Outlook Stable;
-- $519.9 million class A-J at 'BBB/LS4'; Outlook Negative;
-- $75.6 million class B at 'BB/LS5'; Outlook Negative;
-- $94.5 million class C at 'BB/LS5'; Outlook Negative;
-- $56.7 million class D at 'B/LS5'; Outlook Negative;
-- $56.7 million class E at 'B/LS5'; Outlook Negative;
-- $75.6 million class F at 'B/LS5'; Outlook Negative;
-- $75.6 million class G at 'B-/LS5'; Outlook Negative;
-- $104 million class H at 'B-/LS5'; Outlook Negative;
-- $94.5 million class J at 'B-/LS5'; Outlook Negative;
-- $75.6 million class K at 'B-/LS5'; Outlook Negative;
-- $37.8 million class L at 'B-/LS5'; Outlook Negative;
-- $18.9 million class M at 'B-/LS5'; Outlook Negative;
-- $28.4 million class N at 'CCC/RR1';
-- $18.9 million class O at 'CCC/RR6';
-- $18.9 million class P at 'CCC/RR6';
-- $18.9 million class Q at 'CCC/RR6'.
Fitch does not rate the $141.8 million class S.
GS MORTGAGE: Moody's Reviews Ratings on 13 2004-GG2 Certificates
----------------------------------------------------------------
Moody's Investors Service placed 13 classes of GS Mortgage
Securities Corp. II, Commercial Mortgage Pass-Through
Certificates, Series 2004-GG2 on review for possible downgrade due
to higher expected losses for the pool resulting from anticipated
losses from loans in special servicing and expected credit
deterioration for the remainder of the pool. Since Moody's prior
review in March 2007, six loans, representing 11% of the pool,
have transferred to special servicing. The rating action is the
result of Moody's on-going surveillance of commercial mortgage
backed securities transactions.
As of the August 12, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 13%
to $2.3 billion from $2.6 billion at securitization. The
Certificates are collateralized by 126 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top 10 loans
representing 47% of the pool. The pool includes four loans with
underlying ratings, representing 23% of the pool. Nine loans,
representing 15% of the pool, have defeased and are collateralized
by U.S. Government securities.
Twenty-four loans, representing 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's 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.
Six loans, representing 11% of the pool, are currently in special
servicing. The top loan in special servicing, representing 8% of
the pool, is secured by the Grand Canal Shoppes at the Venetian
Loan, a mall owned by affiliates of General Growth Properties,
Inc. This loan was transferred to special servicing due to GGP's
bankruptcy filing on April 16, 2009. The second largest loan is
special servicing is the University Mall Loan ($37.5 million --
1.6%). The loan is secured by a mall in Carbondale, IL and was
transferred to special servicing on July 25, 2008 due to imminent
default. The two largest tenants at the mall were Steve and
Barry's and Goody's, both of which filed for bankruptcy protection
in 2008. The third largest loan in special servicing is the 1010
West North Ave Loan ($20.6 million -- 0.9%). The loan is secured
by a retail center in Chicago, IL and was transferred to special
servicing on March 29, 2008 due to imminent default. The largest
tenant at the center, Circuit City (50% of the net rentable area),
vacated and filed for bankruptcy protection in 2008.
Moody's review will focus on the performance of the overall pool
and potential losses from specially serviced loans. Moody's
rating action is:
-- Class B, $65,110,000, currently rated Aa1, on review for
possible downgrade; previously upgraded to Aa1 from Aa2 on
3/30/2007
-- Class C, $29,299,000, currently rated Aa2, on review for
possible downgrade; previously upgraded to Aa2 from Aa3 on
3/30/2007
-- Class D, $52,088,000, currently rated A2, on review for
possible downgrade; previously affirmed at A2 on 3/30/2007
-- Class E, $29,300,000, currently rated A3, on review for
possible downgrade; previously affirmed at A3 on 3/30/2007
-- Class F, $26,044,000, currently rated Baa1, on review for
possible downgrade; previously affirmed at Baa1 on 3/30/2007
-- Class G, $22,789,000, currently rated Baa2, on review for
possible downgrade; previously affirmed at Baa2 on 3/30/2007
-- Class H, $29,299,000, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 3/30/2007
-- Class J, $6,511,000, currently rated Ba1, on review for
possible downgrade; previously affirmed at Ba1 on 3/30/2007
-- Class K, $13,022,000, currently rated Ba2, on review for
possible downgrade; previously affirmed at Ba2 on 3/30/2007
-- Class L, $13,022,000, currently rated Ba3, on review for
possible downgrade; previously affirmed at Ba3 on 3/30/2007
-- Class M, $9,767,000, currently rated B1, on review for
possible downgrade; previously affirmed at B1 on 3/30/2007
-- Class N, $6,511,000, currently rated B2, on review for
possible downgrade; previously affirmed at B2 on 3/30/2007
-- Class O, $9,766,000, currently rated B3, on review for
possible downgrade; previously affirmed at B3 on 3/30/2007
JERSEY STREET: Moody's Downgrades Ratings on Three Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Jersey Street CLO, Ltd.:
-- US$236,000,000 Class A Senior Secured Floating Rate Notes Due
2018, Downgraded to Aa3; previously on September 28, 2006
Assigned Aaa;
-- US$14,000,000 Class B Senior Secured Floating Rate Notes Due
2018, Downgraded to Baa1; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$11,250,000 Class D Secured Deferrable Floating Rate Notes
Due 2018, Downgraded to Caa1; previously on March 17, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$20,250,000 Class C Secured Deferrable Floating Rate Notes
Due 2018, Confirmed at Ba1; previously on March 17, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
The rating actions reflect the adverse impact of the
aforementioned stresses, as well as credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a decline in the average credit rating (as measured by the
weighted average rating factor), an increase in the dollar amount
of defaulted securities, an increase in the proportion of
securities from issuers rated Caa1 and below, and failure of class
D overcollateralization test. In particular, the weighted average
rating factor has increased over the last year and is currently
2861 versus a test level of 2592 as of the last trustee report,
dated July 9, 2009. Based on the same report, defaulted
securities total about $16.8 million, accounting for roughly 5% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 13% of the underlying portfolio (due to the impact
of all aforementioned stresses, key model inputs used by Moody's
in its analysis, such as par, weighted average rating factor, and
weighted average recovery rate, may be different from the
trustee's reported numbers).
Jersey Street CLO, Ltd, issued in September 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
JP MORGAN: Moody's Downgrades Ratings on 11 Securities
------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 11
securities issued by J.P. Morgan. The collateral backing the
transactions consists primarily of first-lien, fixed and
adjustable-rate Alt-A mortgage loans.
The downgrades relate to structural features, such as sequential
pay structures, whereby certain senior bonds are entitled to
receive more than their pro-rata share of principal payments. In
the event that subordinate bonds are written down entirely, these
bonds are subject to structural features that redirect principal
payments to be paid pro rata to all senior bonds, and/or direct
losses to be allocated pro rata to each of the outstanding senior
bonds. In either of those cases, given the recent increase in the
pace of credit support erosion relative to amortization of the
bonds, there is an increased likelihood that the downgraded bonds
may not be completely paid off before subordinate bonds are
completely written down.
In its analysis, Moody's has considered current available credit
enhancement and recent CPR, CDR, and severity trends. The
cashflows were run on the basis of pool loss expectations in line
with those published in Q1 2009, although Moody's incorporated
short-term cashflow stresses to assess the resiliency of the bonds
impacted in the actions.
The rating actions on the J.P. Morgan Alternative Loan Trust 2006-
S2 transaction also reflect a correction to the excess spread
benefit. As a result of a data error, the previous actions on
this deal, announced on January 29, 2009, overestimated the
benefit provided by excess spread to cover losses. The error came
to light during the review of the short cash flow tranches and was
addressed so that the current ratings on the deal reflect the
correct spread benefit, which is significantly lower than was
previously estimated. The actions on Class A-2 and Class A-3 are
the result of a combination of reduced spread benefit and a
revaluation of the support provided by the sequential pay
structure. The actions on Classes A-4, A-5, A-6, and A-7 are the
result of reduced spread benefit.
It should be noted that, in general, Alt-A and Option ARM
delinquency trends in the past six months have closely tracked
Moody's Q1 projections. If the pace of modifications picks up,
delinquencies may be lower than Moody's projections. Severity
trends, however, have worsened, with current severities trending
higher than Moody's lifetime average severity assumptions by 5-9
percentage points in many pools. Given that recent data on the
housing markets has been mixed and there are early indications of
home prices potentially bottoming, it is unclear whether the
recent higher severities represent peak severities, and to what
extent they might alter the average lifetime expected severity.
Complete Rating Actions are:
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-WF1
-- Cl. A-2-A, Downgraded to Baa3; previously on Jan 29, 2009
Downgraded to Aa1
-- Cl. A-2-B, Downgraded to Baa3; previously on Jan 29, 2009
Downgraded to Aa1
-- Cl. A-3-A, Downgraded to Caa1; previously on Jan 29, 2009
Downgraded to Ba3
-- Cl. A-3-B, Downgraded to Caa1; previously on Jan 29, 2009
Downgraded to Ba3
Issuer: J.P. Morgan Alternative Loan Trust 2006-A2
-- Cl. 1-A-2, Downgraded to A3; previously on Jan 29, 2009
Confirmed at Aaa
Issuer: J.P. Morgan Alternative Loan Trust 2006-S2
-- Cl. A-2, Downgraded to B2; previously on Jan 29, 2009
Downgraded to Aa2
-- Cl. A-3, Downgraded to B3; previously on Jan 29, 2009
Downgraded to Baa3
-- Cl. A-4, Downgraded to B3; previously on Jan 29, 2009
Downgraded to Ba1
-- Cl. A-5, Downgraded to B3; previously on Jan 29, 2009
Downgraded to Ba1
-- Cl. A-6, Downgraded to B3; previously on Jan 29, 2009
Downgraded to Ba1
-- Cl. A-7, Downgraded to Ca; previously on Jan 29, 2009
Downgraded to Caa1
KATONAH 2007-I: Moody's Downgrades Ratings on 2007-1 Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Katonah 2007-I CLO Ltd.:
-- US$227,000,000 Class A-1L Floating Rate Notes Due 2022,
Downgraded to Aa2 previously on January 23, 2008 Assigned
Aaa;
-- US$26,000,000 Class A-2L Floating Rate Notes Due 2022,
Downgraded to A3; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$18,000,000 Class A-3L Floating Rate Notes Due 2022,
Confirmed at Ba1; previously on March 20, 2009 Downgraded to
Ba1 and Placed Under Review for Possible Downgrade;
-- US$11,000,000 Class B-1L Floating Rate Notes Due 2022,
Confirmed at B1; previously on March 20, 2009 Downgraded to
B1 and Placed Under Review for Possible Downgrade;
-- US$10,500,000 Class B-2L Floating Rate Notes Due 2022,
Confirmed at Caa2; previously on March 20, 2009 Downgraded to
Caa2 and Placed Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research. Moody's has also applied
resecuritization stress factors to default probability assumptions
for structured finance asset collateral as described in the press
release titled "Moody's updates its key assumptions for rating
structured finance CDOs," published on December 11, 2008.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the WARF test, Structured Finance
limitation, and Caa limitation. In particular, the weighted
average rating factor has increased over the last year and is
currently 2827 versus a test level of 2500 as of the last trustee
report, dated July 13, 2009. Based on the same report, defaulted
securities total about $10 million, accounting for roughly 3.3% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 12.46% of the underlying portfolio (due to the
impact of all aforementioned stresses, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, and weighted average recovery rate, may be different from
the trustee's reported numbers).
Moody's also observes that the transaction is exposed to a number
of mezzanine and junior CLO tranches in the underlying portfolio.
The majority of these CLO tranches are currently assigned low
speculative-grade ratings and carry depressed market valuations
that may herald poor recovery prospects in the event of default.
Katonah 2007-I CLO Ltd., issued on January 23, 2008, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
KATONAH X: Moody's Downgrades Ratings on Two Classes of Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Katonah X CLO Ltd.:
-- US$23,500,000 Class A-1b Floating Rate Notes Due 2020,
Downgraded to Aa2; previously on March 4, 2009 Aaa Placed
Under Review for Possible Downgrade;
-- US$40,000,000 Class B Floating Rate Notes Due 2020,
Downgraded to A2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade.
Additionally, Moody's has confirmed the ratings of these notes:
-- US$25,000,000 Class C Deferrable Floating Rate Notes Due
2020, Confirmed at Ba1; previously on March 13, 2009
Downgraded to Ba1and Placed Under Review for Possible
Downgrade;
-- US$22,500,000 Class D Deferrable Floating Rate Notes Due
2020, Confirmed at B1; previously on March 13, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$20,000,000 Class E Deferrable Floating Rate Notes Due
2020, Confirmed at Caa2; previously on March 13, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, and an
increase in the proportion of securities from issuers rated Caa1
and below. In particular, the weighted average rating factor has
increased over the last year and is currently 2620 as of the last
trustee report, dated July 15, 2009. Based on the same report,
defaulted securities currently held in the portfolio total about
$23.95 million, accounting for roughly 4.92% of the collateral
balance, and securities rated Caa1 or lower make up approximately
13.5% of the underlying portfolio.
Moody's also observes that the transaction is exposed to
$25 million of CLO tranches in the underlying portfolio,
accounting for 4.98% of the collateral balance as reported by the
trustee on July 15, 2009. Some of these CLO tranches are
currently assigned low speculative-grade ratings and carry
depressed market valuations that may herald poor recovery
prospects in the event of default.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Moody's has also applied resecuritization stress
factors to default probability assumptions for structured finance
asset collateral as described in the press release titled "Moody's
updates its key assumptions for rating structured finance CDOs,"
published on December 11, 2008. Other assumptions used in Moody's
CLO monitoring are described in the publication "CLO Ratings
Surveillance Brief - Second Quarter 2009," dated July 17, 2009.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, diversity score, and weighted average recovery
rate, may be different from the trustee's reported numbers.
Katonah X CLO Ltd., issued on May 15, 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
KIMBERLITE CDO: S&P Puts Ratings on CDOs on CreditWatch Negative
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on
Kimberlite CDO I Ltd., a hybrid collateralized debt obligation of
commercial mortgage-backed securities, on CreditWatch with
negative implications.
The CreditWatch placements primarily reflect the deterioration in
the credit quality of the Kimberlite CDO I's underlying assets.
In addition, because the transaction continues to fail its class
A/B par value coverage test, all of the notes below class B have
started to "PIK," or pay in kind.
Standard & Poor's will review the results of current cash flow
runs generated for all classes of notes in the transaction to
determine the level of future defaults the rated notes can
withstand under various stressed default timing and interest rate
scenarios, while still paying all of the interest and principal
due on the notes. S&P will compare the results of these cash flow
runs with the projected default performance of the performing
assets in the collateral pool to determine whether the ratings
currently assigned to the notes remain consistent with the credit
enhancement available.
Ratings Placed On Creditwatch Negative
Rating
------
Tranche To From
------- -- ----
Super senior AAA/Watch Neg AAA
A AAA/Watch Neg AAA
B AA/Watch Neg AA
C A+/Watch Neg A+
D A/Watch Neg A
E A-/Watch Neg A-
F BBB+/Watch Neg BBB+
G BBB-/Watch Neg BBB-
H BB/Watch Neg BB
Combo notes BBB/Watch Neg BBB
Transaction Information
-----------------------
Issuer: Kimberlite CDO I Ltd.
Co-issuer: Kimberlite CDO I LLC
Collateral Manager: BlackRock Financial Management Inc.
Transaction type: Hybrid CDO of CMBS
LANDMARK V: Moody's Downgrades Ratings on Class A-2L Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Landmark V CDO Ltd.:
-- US$23MM Class A-2L Floating Rate Notes Due June 2017,
Downgraded to A1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$22.5MM Class A-3L Floating Rate Notes Due June 2017,
Confirmed at Baa3; previously on March 18, 2009 Downgraded to
Baa3 and Placed Under Review for Possible Downgrade;
-- US$18MM Class B-1L Floating Rate Notes Due June 2017,
Confirmed at Ba3; previously on March 18, 2009 Downgraded to
Ba3 and Placed Under Review for Possible Downgrade;
-- US$12MM Class B-2L Floating Rate Notes Due June 2017,
Confirmed at B3; previously on March 18, 2009 Downgraded to
B3 and Placed Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the Class B-2L Overcollateralization
Ratio Test. In particular, the weighted average rating factor has
increased over the last year and is 2947 versus a test level of
2550 as of the last trustee report, dated July 22, 2009. Based on
the same report, defaulted securities currently held in the
portfolio total about $29 million, accounting for roughly 8.3% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 16.8% of the underlying portfolio.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 2009. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Landmark V CDO Ltd., issued in March of 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 15 2006-C7 Securities
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from the LB-UBS
Commercial Mortgage Trust 2006-C7 transaction and removed them
from CreditWatch with negative implications, where they were
placed June 26, 2009. In addition, S&P affirmed its ratings on 10
classes from the same transaction and removed four of them from
CreditWatch with negative implications, where they were also
placed June 26, 2009.
The downgrades follow S&P's analysis of the transaction using
S&P's recently released criteria for rating U.S. conduit and
fusion CMBS, which was the primary driver of the rating actions.
S&P's analysis included a review of the credit characteristics of
all of the loans in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage of
1.40x and a loan-to-value ratio of 94.62%. S&P further stressed
the loans' cash flows under S&P's 'AAA' scenario to yield a
weighted average DSC of 0.92x and an LTV of 134.4%. The implied
defaults and loss severity under the 'AAA' scenario were 62.9% and
36%, respectively. The lowered ratings on the subordinate classes
also reflect S&P's expectations for credit support erosion upon
the eventual resolution of 17 loans ($174.4 million, 6%) with the
special servicer.
The affirmed ratings on the principal and interest certificates
reflect credit enhancement levels that, in S&P's view, provide
adequate credit support through various stress scenarios. S&P
affirmed the ratings on the class X-CP, X-CL, and X-W interest-
only certificates based on S&P's current criteria. S&P published
a request for comment proposing changes to S&P's interest-only
criteria on June 1, 2009. After finalizing S&P's criteria review,
S&P may revise its current criteria. Any change in S&P's criteria
may affect outstanding ratings, including those S&P affirmed.
Credit Concerns
Nineteen loans ($178.6 million, 6%) in the pool are currently with
the special servicer, CW Capital Asset Management LLC. A
breakdown of the specially serviced loans by payment status is:
one asset is an REO ($7.7 million); one asset is in foreclosure
($7.7 million); 10 loans are 90-plus days delinquent
($136.5 million); and seven loans are less than 30 days delinquent
($23.3 million). Five loans have appraisal reduction amounts
totaling $15.7 million in effect. One of the specially serviced
assets has a balance greater than or equal to 1% of the total pool
balance, while the remaining 18 loans have balances that are less
than 0.5% of the total pool balance.
The eighth-largest loan in the pool, the Arizona Retail Portfolio
loan, ($86.0 million, 3%) was transferred to the special servicer
in May 2009 due to monetary default and is more than 90 days
delinquent. The loan is secured by 14 retail properties
containing 600,178 square feet and located in or around Phoenix,
Ariz.; 12 are unanchored, one is single tenanted and one is shadow
anchored. Based on Dec. 31, 2008, rent rolls, the portfolio was
83.7% occupied. S&P expects a moderate loss upon the resolution
of the loan.
Transaction Summary
As of the August 2009 remittance report, the collateral pool
consisted of 184 loans with an aggregate trust balance of $3.00
billion, compared with 184 loans with an aggregate balance of
$3.02 billion at issuance. The master servicer for the
transaction is Wachovia Bank N.A. Financial information was
provided for 98.6% of the pool; 97% of the servicer-provided
information was full-year 2008 data. S&P calculated a weighted
average DSC of 1.56x for the pool based on the reported figures.
S&P's adjusted DSC and LTV were 1.40x and 94.62%, respectively.
Fourteen loans ($162.6 million, 5.4%) in the pool are delinquent,
and 19 are currently with the special servicer. The transaction
has not experienced any principal losses to date. Thirty-seven
loans are on the master servicer's watchlist ($619.6 million,
21%). Thirty-one loans ($295.9 million, 10%) have reported DSC of
less than 1.10x, and 21 of these loans ($194.8 million, 6%) have
reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.6 billion (54%). Using servicer-reported numbers, S&P
calculated a weighted average DSC for the top 10 loans of 1.77x,
down from to 1.85x at issuance. The eighth-largest loan in the
pool, as previously discussed, is with the special servicer, and
the ninth-largest loan ($65.0 million, 2%) is on the master
servicer's watchlist. S&P's adjusted DSC and LTV for the top 10
loans were 1.66x and 94%, respectively.
Standard & Poor's stressed the loans with the special servicer and
the remaining loans in the pool according to S&P's updated
conduit/fusion criteria. The resultant credit enhancement levels
support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
LB-UBS Commercial Mortgage Trust 2006-C7
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A AAA/Watch Neg 20.11
A-J BB+ AAA/Watch Neg 10.30
B BB AA+/Watch Neg 9.55
C BB- AA/Watch Neg 8.55
D B+ AA-/Watch Neg 7.54
E B+ A+/Watch Neg 6.66
F B A/Watch Neg 5.78
G B BBB+/Watch Neg 4.90
H B- BBB/Watch Neg 3.90
J CCC+ BBB-/Watch Neg 3.02
K CCC+ BB-/Watch Neg 2.14
L CCC+ B/Watch Neg 1.89
M CCC B-/Watch Neg 1.76
N CCC CCC+/Watch Neg 1.38
P CCC- CCC/Watch Neg 1.26
Ratings Affirmed And Removed From Creditwatch Negative
LB-UBS Commercial Mortgage Trust 2006-C7
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-3 AAA AAA/Watch Neg 30.16
A-1A AAA AAA/Watch Neg 30.16
Q CCC- CCC-/Watch Neg 1.13
S CCC- CCC-/Watch Neg 1.01
Ratings Affirmed
LB-UBS Commercial Mortgage Trust 2006-C7
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.16
A-2 AAA 30.16
A-AB AAA 30.16
X-CP AAA N/A
X-CL AAA N/A
X-W AAA N/A
N/A - Not applicable.
LITTLEFIELD: Fitch Downgrades Ratings on Tax COs to 'BB'
--------------------------------------------------------
Fitch Ratings has downgraded to 'BB' from 'BBB-' the rating on
Littlefield, Texas's outstanding $1.3 million combination tax and
revenue certificates of obligation (COs), series 1997, and removed
the ratings from Rating Watch Negative. The CO's constitute a
general obligation of the city, payable from ad valorem taxes
limited to $2.50 per $100 taxable assessed valuation.
Additionally, the COs are secured by a pledge of surplus water and
sewer revenues. The Rating Outlook is Negative.
The downgrade reflects events related to the operation of the
city's detention center facility, which accounts for the majority
of outstanding debt (which was not rated by Fitch but is on parity
with the series 1997 bonds). To the surprise of city officials,
Idaho announced their plans to leave the Littlefield facility in
January 2009, citing the need to consolidate all of its out-of-
state prisoners into a larger facility in Oklahoma. In addition,
the detention center's private operator, the Geo Group,
unexpectedly announced termination of their agreement to manage
the facility effective January 2009. The move to leave
Littlefield by the Geo Group is significant, given that the
established private operator had made sizable equity investments
in the detention center reportedly totaling approximately
$2 million. In the past, the ability of the Geo Group to quickly
replace prisoners with little disruption in operations, as well as
their investment in the Littlefield detention center were cited as
credit strengths.
On Dec. 9, 2008, Fitch placed the series 1997 bonds on Rating
Watch Negative, reflecting the city's active pursuit of various
alternatives to remedy the situation and possibly resolve it
within the next several months. Funds to repay debt service on
detention center COs through August 2010 had been identified
through available city funds as well as a debt service reserve
fund. The city indicated to Fitch in May 2009 that it was in
negotiations with another established jail operator (the operator)
to assume management of the Littlefield facility and that the
operator was attempting to secure an agreement with a federal
agency to house prisoners. Resolution or near resolution of this
agreement was expected by August 2009.
However, the operator has yet to secure a prisoner agreement and
the timing for resolution remains uncertain. The downgrade to
'BB' reflects the uncertainty as to when and if the city can
secure an operator for the detention center as well as the city's
limited financial resources to repay the detention center debt.
While the city continues to pursue an agreement with the operator
(and other private companies in the event negotiations with the
operator break down), the Negative Outlook reflects the potential
financial hardship placed on the city if a long-term viable
solution is not found. Although the detention center COs are also
secured by an ad valorem tax pledge, the city levies a property
tax for operations only. Officials report that the 2010 proposed
budget does not include any property tax levy for debt service,
but the city is investigating funding alternatives for future
detention center debt service. In order to fully support the
detention center COs, the ad valorem tax rate would have to
double, which is not politically feasible.
Littlefield, with a population of 6,500, is located approximately
35 miles northwest of Lubbock and serves as the county seat for
Lamb County. The area is primarily rural in nature, with
agriculture services, government, manufacturing, and trade as key
components of the county's economy. The city's population and TAV
had been flat until recently; over the past several years, the tax
base has increased 13.4%, with another 4%-5% gain anticipated for
the coming year. While there is moderate taxpayer concentration
among the top 10 taxpayers, there is generally a good mix of
industries within the list. General fund finances have stabilized
over the past several years, benefitting from the recent
imposition of a 0.25% increase in the sales tax rate as well as
tax base growth. General fund reserves are modest, representing
6% of expenditures and transfers out. Sales tax collections for
fiscal 2009 are reportedly on target, although recent large
construction projects within the city may result in higher than
anticipated sales taxes and an increase in the general fund
balance. Historically, sewer system revenues have provided
general fund and debt service support, although the sewer system's
own operating and capital needs have risen as well.
MAINE EDUCATIONAL: Moody's Downgrades Ratings on Six Classes
------------------------------------------------------------
Moody's Investors Service has downgraded six classes of senior
bonds and one class of subordinate bonds issued by Maine
Educational Loan Marketing Corporation, a company acquired by
National Education Loan Network in 2000. The senior bonds are
auction rate securities whereas the subordinate bonds are fixed
rate securities. The underlying pool consists of government
guaranteed (FFELP) loans.
The ratings were placed under review on June 4, 2009. The action
was prompted primarily by the liquidity constraint the trust is
encountering in order to pay down the Series 94 bonds maturing on
November 1, 2009. In addition, the trust experienced significant
increase of funding costs due to the continuing and prolonged
dislocation of the auction rate securities market. As most
student loan collateral is indexed to the Financial Commercial
Paper rate (CP rate), the trust has suffered significant excess
spread compression as the yield on the assets has not increased in
tandem with the cost of the liabilities.
As of June 30, 2009, the outstanding balance of the maturing
Series 1994 bonds was $36.8 million, but there was only
approximately $11 million of cash in the trust's accounts.
Moody's expects that even with additional collections during the
next four months before the legal maturity date, in absence of
restructuring, the maturing bonds would not be fully repaid by
November 1, 2009. The transaction structure stipulates that a
failure to repay any bonds by legal maturity represents an
indenture event of default, which triggers a change in allocation
of available funds from pro-rata to sequential. In that case
senior bonds will receive principal payments before any
subordinate bonds can get paid. Therefore, the subordinate bonds
could suffer a substantial loss of principal.
In addition, as of the same date, the total parity, or the ratio
of total assets to total liabilities, was 104.24%. The senior
parity or the ratio of total assets to the aggregate of total
senior bonds outstanding balance and accrued liabilities was
108.08%. At the failed auction rate, the trust is currently
expected to generate negative 20-40bps of excess spread per annum.
However, under Moody's stress scenarios, the trust is expected to
generate significantly negative excess spread, which could reduce
parity levels overtime.
The new ratings were assigned based on Moody's assessment of the
recovery rate on each of the bonds, i.e. the historical principal
pay down and the expected future principal payment. As of
June 30, 2009, the outstanding balance of Series 1994 A-2 was
$2.9 million or 9% of the original issuance whereas Series 1994 A-
3 still had $30.9 million outstanding or 94% of the original
issuance.
The complete rating actions are:
Issuer: Maine Educational Loan Marketing Corporation, Master Trust
Indenture Series 1994, Series 1996, Series 1997, Series 1999
-- Ser. 1994 A-2, Downgraded to B2; previously on Jun 4, 2009
Aa3 Placed Under Review for Possible Downgrade
-- Ser. 1994 A-3, Downgraded to Caa2; previously on Jun 4, 2009
Aa3 Placed Under Review for Possible Downgrade
-- Ser. 1996 A-2, Downgraded to Caa2; previously on Jun 4, 2009
Aa3 Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Caa2)
-- Ser. 1997A-2, Downgraded to Caa1; previously on Jun 4, 2009
Aa3 Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Caa2)
-- Ser. 1999A-2, Downgraded to Caa1; previously on Jun 4, 2009
Aa3 Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Caa2)
-- Ser. 1999A-3, Downgraded to Caa2; previously on Jun 4, 2009
Aa3 Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Caa2)
-- Ser. 1994 B-1, Downgraded to C; previously on Jun 4, 2009 A2
Placed Under Review for Possible Downgrade
MAPS CLO: Moody's Downgrades Ratings on Various Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by MAPS CLO Fund II, Ltd.:
-- US$186,250,000 Class A-1 Senior Secured Floating Rate Notes
due 2022, Downgraded to Aa2; previously on June 27, 2007
Assigned Aaa
-- US$18,750,000 Class A-1J Senior Secured Floating Rate Notes
due 2022, Downgraded to Aa3; previously on March 4, 2009 Aaa
Placed Under Review for Possible Downgrade
-- US$18,000,000 Class A-2 Senior Secured Floating Rate Notes
due 2022, Downgraded to A3; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade
-- US$16,000,000 Class D Secured Deferrable Floating Rate Notes
due 2022, Downgraded to Caa3; previously on March 13, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade
-- US$3,000,000 Composite Notes due 2022, Downgraded to B2;
previously on March 4, 2009 Baa3 Placed Under Review for
Possible Downgrade
In addition, Moody's has confirmed the ratings of these notes:
-- US$26,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2022, Confirmed at Ba1; previously on March 13,
2009 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade
-- US$22,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2022, Confirmed at B1; previously on March 13, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, and an
increase in the proportion of securities from issuers rated Caa1
and below. In particular, the weighted average rating factor has
increased over the last year and is currently 3232 as of the last
trustee report, dated August 10, 2009. Based on the same report,
defaulted securities currently held in the portfolio total about
$14 million, accounting for roughly 3.6% of the collateral
balance, and securities rated Caa1 or lower make up approximately
19.7% of the underlying portfolio
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for high-yield corporate
bonds and second lien loans will be below their historical
averages, consistent with Moody's research. Other assumptions
used in Moody's CLO monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
July 17, 2009. Due to the impact of all aforementioned stresses,
key model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
MAPS CLO Fund II, Ltd., issued in June 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans. The collateral pool includes about 30% of debt obligations
whose credit quality has been assessed through Moody's Credit
Estimates.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
MARQUETTE US/EUROPEAN: Moody's Downgrades Ratings on Various Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Marquette US/European CLO,
P.L.C.:
-- US$103,905,000 Class A-1A Senior Secured Floating Rate Dollar
Notes Due 2020, Downgraded to A2; previously on July 20, 2006
Assigned Aaa;
-- US$11,545,000 Class A-1B Senior Secured Floating Rate Dollar
Notes Due 2020, Downgraded to Baa3; previously on July 20,
2006 Assigned Aaa;
-- EUR86,151,000 Class A-2 Senior Secured Floating Rate Euro
Notes Due 2020, Downgraded to Baa1; previously on July 20,
2006 Assigned Aaa;
-- US$2,550,000 Class B-1 Senior Secured Floating Rate Dollar
Notes Due 2020, Downgraded to Ba3; previously on March 4,
2009 Aa2 Placed Under Review for Possible Downgrade;
-- EUR7,500,000 Class B-2 Senior Secured Floating Rate Euro
Notes Due 2020, Downgraded to Ba3; previously on March 4,
2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$10,000,000 Class C-1 Secured Floating Rate Dollar Notes
Due 2020, Downgraded to Caa2; previously on March 4, 2009 A2
Placed Under Review for Possible Downgrade;
-- EUR7,937,000 Class C-2 Secured Floating Rate Euro Notes Due
2020, Downgraded to Caa2; previously on March 4, 2009 A2
Placed Under Review for Possible Downgrade;
-- US$9,500,000 Class D-1 Secured Floating Rate Dollar Notes Due
2020, Downgraded to Ca; previously on March 4, 2009 Baa2
Placed Under Review for Possible Downgrade;
-- EUR7,540,000 Class D-2 Secured Floating Rate Euro Notes Due
2020, Downgraded to Ca; previously on March 4, 2009 Baa2
Placed Under Review for Possible Downgrade;
-- US$3,000,000 Class E-1 Secured Floating Rate Dollar Notes Due
2020 (current balance of $3,041,566), Downgraded to C;
previously on March 4, 2009 Ba2 Placed Under Review for
Possible Downgrade;
-- EUR2,381,000 Class E-2 Secured Floating Rate Euro Notes Due
2020 (current balance of EUR2,415,818), Downgraded to C;
previously on March 4, 2009 Ba2 Placed Under Review for
Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
Credit deterioration of the collateral pool is observed through a
decline in the average credit rating (as measured by the weighted
average rating factor), an increase in the amount of defaulted
securities, and an increase in the proportion of securities from
issuers rated Caa1 and below. The weighted average rating factor
has steadily increased over the last year and is currently 2615
versus a test level of 2591 as of the last trustee report, dated
July 6, 2009. Based on the same report, defaulted securities
total about $18 million, accounting for roughly 5.8% of the
collateral balance, and securities rated Caa1 or lower make up
approximately 11% of the underlying portfolio.
Moody's notes that a significant proportion of the collateral pool
is concentrated in non-U.S. dollar denominated obligations from
issuers in a relatively limited number of industries.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates. Moody's analysis
reflects the application of certain stresses with respect to the
default probabilities associated with CEs. These additional
stresses reflect the rapid pace of recent changes in credit market
conditions and the default rate expectations in the current
economic cycle that are higher than the historical averages.
Specifically, the default probability stresses include (1) a 1.5
notch-equivalent assumed downgrade for certain CEs updated between
12-15 months ago; and (2) assuming an equivalent of Caa3 for
certain CEs that were not updated within the last 15 months.
Additionally, as CEs do not carry credit indicators such as
ratings reviews and outlooks, a stress of a 0.25-0.5 notch-
equivalent assumed downgrade was applied to certain estimates.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Marquette US/European CLO, P.L.C., issued on July 20, 2006, is a
multi-currency collateralized loan obligation backed primarily by
a portfolio of senior secured loans denominated in U.S. dollars,
euros, and pounds sterling.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
MARLBOROUGH STREET: Moody's Downgrades Ratings on Various Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Marlborough Street CLO, Ltd.:
-- US$93,000,000 Class A-1 Senior Secured Floating Rate Notes
due 2019 (current balance of $91,438,661), Downgraded to Aa3;
previously on 4/26/2007 Assigned Aaa;
-- US$14,000,000 Class A-2B Senior Secured Floating Rate Notes
due 2019, Downgraded to A1; previously on 3/04/2009 Aa1
Placed Under Review for Possible Downgrade;
-- US$13,000,000 Class B Senior Secured Floating Rate Notes due
2019, Downgraded to Baa1; previously on 3/04/2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$15,000,000 Class D Secured Deferrable Floating Rate Notes
due 2019, Downgraded to B2; previously on 3/13/2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$9,000,000 Class E Secured Deferrable Floating Rate Notes
due 2019, Downgraded to Ca; previously on 3/13/2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
Additionally, Moody's has confirmed the ratings of these notes:
-- US$15,000,000 Class C Secured Deferrable Floating Rate Notes
due 2019, Confirmed at Ba1; previously on 3/13/2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of Class C Overcollateralization Test,
Class D Overcollateralization Test and Class E
Overcollateralization Test. In particular, the weighted average
rating factor has increased over the last year and is currently
2936. Based on the same report, defaulted securities total about
$16.5million, accounting for roughly 6% of the collateral balance,
and securities rated Caa1 or lower make up approximately 16% of
the underlying portfolio.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for high-yield corporate
bonds and second lien loans will be below their historical
averages, consistent with Moody's research. Other assumptions
used in Moody's CLO monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
July 17, 2009.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, diversity score, and weighted average recovery
rate, may be different from the trustee's reported numbers.
Marlborough Street CLO, Ltd., issued in April 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
MERRILL LYNCH: Moody's Affirms Ratings on 2000-Canada 3 Certs.
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of eight classes of
Merrill Lynch Mortgage Loans Inc., Commercial Mortgage Pass-
Through Certificates, Series 2000-Canada 3 due to overall stable
pool performance. The action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
As of the August 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 34%
to $169.0 million from $257.6 million at securitization. The
Certificates are collateralized by 35 mortgage loans ranging in
size from less than 1% to 9% of the pool, with the top ten non-
defeased loans representing 50% of the pool. Eleven loans,
representing 26% of the pool, have defeased and are collateralized
with Canadian Government securities.
Moody's was provided with partial or full-year 2008 operating
results for 100% of the pool, excluding defeased loans. Moody's
weighted average loan to value ratio is 63%, compared to 57% at
Moody's prior review in July 2008.
Moody's stressed debt service coverage ratio for the conduit
component is 2.03X compared to 2.12X at last review. Moody's
stressed DSCR is based on Moody's net cash flow and a 9.25%
stressed rate applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, 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, excluding defeased loans and loans with
underlying ratings, has a Herf score of 17 compared to 18 at last
review.
One loan has been liquidated from the pool resulting in a minimal
loss. Currently there are no loans in special servicing. Two
loans, representing 3% of the pool, are on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the Commercial
Mortgage Securities Association's 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.
The three largest conduit loans represent 23% of the outstanding
pool balance. The largest conduit loan is the Woodside Square
Shopping Center Loan Loan ($14.5 million -- 8.6%), which is
secured by a 291,000 square foot retail center located in
Scarborough, Ontario. The largest tenants are Food Basics (14.2%
GLA; lease expiration August 2023) and The Best Buys (9.2%; month-
to-month lease since April 2007). As of April 2009, the center
was 97.4% occupied, essentially the same as at last review.
Performance improved due to decrease in expenses and benefit from
amortization. Moody's LTV and stressed DSCR are 50% and 2.11X,
respectively, compared to 55% and 1.86X at last review.
The second largest conduit loan is the Somerset House Loan
($14.2 million -- 8.4%), which is secured by a 138 unit healthcare
property located in Victoria, British Columbia. The tenancy is
100% private pay. Performance has declined due to an increase in
expenses. Moody's LTV and stressed DSCR are 84% and 1.35X,
respectively, compared to 74% and 1.34X at last review.
The third largest conduit loan is the Delta St. John's Loan
($9.9 million -- 5.9%), which is secured by a 276 room hotel
located in St. John's, Newfoundland. RevPAR for calendar year
2008 was $101 compared to $96 at last review. The loan has
amortized 20.7% since securitization. Performance has declined
due to an increase in expenses. Moody's LTV and stressed DSCR are
64% and 1.98X, respectively, compared to 58% and 2.15X at last
review.
Moody's rating actions is:
-- Class A-2, $122,680,029, affirmed at Aaa; previously affirmed
at Aaa on 7/24/2008
-- Class X, Notional, affirmed at Aaa; previously affirmed at
Aaa on 7/24/2008
-- Class B, $7,727,000, affirmed at Aaa; previously affirmed at
Aaa on 7/24/2008
-- Class C, $8,372,000, affirmed at Aaa; previously affirmed at
Aaa on 7/24/2008
-- Class D, $10,304,000, affirmed at A1; previously upgraded to
A1 from A2 on 7/24/2008
-- Class E, $2,576,000, affirmed at Baa1; previously upgraded to
Baal from Baa2 on 7/24/2008
-- Class F, $7,084,000, affirmed at Ba2; previously affirmed at
Ba2 on 7/24/2008
-- Class G, $5,151,000, affirmed at B2; previously affirmed at
B2 on 7/24/2008
MERRILL LYNCH: Moody's Affirms Ratings on Eight 2005-MCP1 Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of eight classes
and downgraded 14 classes of Merrill Lynch Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2005-MCP1.
The downgrades are due to higher expected losses for the pool
resulting from a decline in the pool's overall credit quality,
increased credit quality dispersion, anticipated losses from loans
in special servicing and refinancing risk for five-year loans
approaching maturity. Five loans, representing 9% of the pool,
mature within the next 18 months. One of the loans, representing
5% of the pool, has a Moody's stressed debt service coverage ratio
that is less than 1.0X. On August 6, 2009, Moody's placed 14
classes on review for possible downgrade because of concerns about
a decline in the credit quality of the pool. This action
concludes that review. The rating action is the result of Moody's
on-going surveillance of commercial mortgage backed securities
transactions.
As of the August 12, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 5% to
$1.66 billion from $1.74 billion at securitization. The
Certificates are collateralized by 109 mortgage loans ranging in
size from less than 1% to 12% of the pool, with the top 10 loans
representing 47% of the pool. The pool includes three loans with
investment-grade underlying ratings, representing 15% of the pool.
Four loans, representing 4% of the pool, have defeased and are
collateralized by U.S. Government securities.
Twenty four loans, representing 10% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's 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.
The pool has not experienced any losses to date. Nine loans,
representing 11% of the pool, are currently in special servicing.
The largest specially serviced loan is the HSA Industrial
Portfolio ($61.3 million - 3.7%), which is secured by 10
industrial properties totaling 2.3 million square feet in Ohio and
Kentucky. The loan has been in special servicing since June 2008
and is currently 90+ days delinquent. The portfolio was 49%
occupied as of May 2009. In July 2009 the special servicer
recognized an appraisal reduction of $17.0 million for this loan.
The special servicer has also recognized appraisal reductions
totaling $17.6 million for four other specially serviced loans.
Of the specially serviced loans, three loans (6% of the pool) are
90+ days delinquent, two are 30 or 60 days delinquent (1%), one is
in the process of foreclosure (0.3%) and two are current (1%).
Moody's estimates an aggregate loss of $60.3 million (40% loss
severity on average) for the specially serviced loans.
Moody's was provided with partial or full-year 2008 operating
results for 90% of the pool, excluding the defeased loans.
Moody's weighted average loan to value ratio, excluding specially
serviced loans with estimated losses, is 103% compared to 99% at
Moody's prior full review in July 2008. In addition to an overall
increase in leverage, the pool has experienced increased credit
quality dispersion since last review. Based on Moody's analysis,
58% of the pool has a LTV greater than 100% compared to 41% at
last review. Approximately 19% of the pool has an LTV in excess
of 120% compared to 5% at last review.
Moody's stressed DSCR is 1.00X compared to 1.09X at last review.
Moody's stressed DSCR is based on Moody's net cash flow and a
9.25% stressed rate applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, 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, excluding defeased loans, has a Herf of
28, the same as at last review.
The largest loan with an underlying rating is the Westchester Mall
Loan ($200.0 million -- 12.1%), which is a pari passu interest in
a $300.0 million mortgage loan. The loan is secured by the
borrower's interest in an 832,000 square foot regional mall
located in White Plains, New York. The mall is anchored by
Nordstrom and Neiman Marcus. The in-line space was 95% occupied
as of March 2009, essentially the same as at last review.
Performance has been stable. The loan matures in June 2010.
Moody's current underlying rating and stressed DSCR are A2 and
1.33X, respectively, the same as at last review.
The second largest loan with an underlying rating is the
Tharaldson Hotel Pool B Loan ($30.3 million - 1.8%), which is
secured by 10 limited service hotels totaling 853 rooms. The
properties are located in five states with concentrations in Texas
(47%), Illinois (17%) and Missouri (16%). The portfolio's
financial performance has been stable since last review. The loan
was structured with a 20-year amortization and has amortized by
approximately 4% since last review. Moody's current underlying
rating and stressed DSCR are A2 and 2.44X, respectively, compared
to A2 and 2.09X at last review.
The third largest loan with an underlying rating is the Tharaldson
Hotel Pool A Loan ($19.7 million - 1.2%), which is secured by 10
limited service hotels totaling 726 rooms and the leased fee
interests in three hotels. The properties are located in eight
states with concentrations in Arizona (18%), Illinois (17%) and
Oklahoma (16%). Performance has been stable. The loan was
structured with a 20-year amortization and has amortized by
approximately 4% since last review. Moody's current underlying
rating and stressed DSCR are A2 and 2.33X, respectively, compared
to A2 and 2.15X at last review.
The top three conduit loans represent 18% of the pool. The
largest conduit loan is the 711 Third Avenue Loan ($120.0 million
- 7.2%), which is secured by a 551,000 square foot Class B office
building located in New York City. The property was 94% occupied
as of March 2009 compared to 95% at last review. The largest
tenants are Ketchum, Inc. (18% NRA; lease expiration November
2015), Crain Communication (18%; lease expiration February 2014)
and Parade Publications (15%; lease expiration August 2020). The
property's financial performance has been negatively impacted by
higher expenses. Moody's LTV and stressed DSCR are 116% and
0.84X, respectively, compared to 112% and 0.92X at last review.
The second largest conduit loan is the Queen Ka'ahumanu Center
Loan ($92.0 million - 5.5%), which is secured by the borrower's
interest in a 556,000 square foot regional mall located in
Kahulia, Hawaii. The collateral also includes a 16,500 square
foot office building adjacent to the mall. The mall is anchored
by two Macy's stores and Sears. The in-line space was 94%
occupied as of March 2009 compared to 97% at last review.
Performance has declined due to increased expenses. The loan
matures in June 2010. Due to the low stressed DSCR, Moody's is
concern about refinancing of this loan. Moody's LTV and stressed
DSCR are 103% and 0.89X, respectively, compared to 94% and 1.04X
at last review.
The third largest conduit loan is the ACP Woodland Park I Loan
($88.5 million - 5.3%), which is secured by three office buildings
located in Herndon, Virginia. The complex totals 479,000 square
feet and was 100% occupied as of December 2008 compared to 98% at
last review. Performance has been stable. Moody's LTV and
stressed DSCR are 98% and 1.03X, respectively, compared to 98% and
1.05X at last review.
Moody's rating action is:
-- Class A-2, $340,139,744, affirmed at Aaa; previously affirmed
at Aaa on 7/24/2008
-- Class A-3, $47,661,000, affirmed at Aaa; previously affirmed
at Aaa on 7/24/2008
-- Class A-1A, $123,107,116, affirmed at Aaa; previously
affirmed at Aaa on 7/24/2008
-- Class A-SB, $100,000,000, affirmed at Aaa; previously
affirmed at Aaa on 7/24/2008
-- Class A-4, $526,039,000, affirmed at Aaa; previously affirmed
at Aaa on 7/24/2008
-- Class XP, Notional, affirmed at Aaa; previously affirmed at
Aaa on 7/24/2008
-- Class XC, Notional, affirmed at Aaa; previously affirmed at
Aaa on 7/24/2008
-- Class AM, $173,800,000, affirmed at Aaa; previously affirmed
at Aaa on 7/24/2008
-- Class A-J, $115,142,000, downgraded to Aa2 from Aaa;
previously placed on review for possible downgrade on
8/6/2009
-- Class B, $36,932,000, downgraded to A1 from Aa2; previously
placed on review for possible downgrade on 8/6/2009
-- Class C, $15,208,000, downgraded to A2 from Aa3; previously
placed on review for possible downgrade on 8/6/2009
-- Class D, $32,587,000, downgraded to Baa1 from A2; previously
placed on review for possible downgrade on 8/6/2009
-- Class E, $19,553,000, downgraded to Baa3 from A3; previously
placed on review for possible downgrade on 8/6/2009
-- Class F, $28,242,000, downgraded to Ba2 from Baa1; previously
placed on review for possible downgrade on 8/6/2009
-- Class G, $17,380,000, downgraded to B1 from Baa2; previously
placed on review for possible downgrade on 8/6/2009
-- Class H, $21,725,000, downgraded to Caa1 from Baa3;
previously placed on review for possible downgrade on
8/6/2009
-- Class J, $6,518,000, downgraded to Caa3 from Ba1; previously
placed on review for possible downgrade on 8/6/2009
-- Class K, $8,690,000, downgraded to Ca from Ba2; previously
placed on review for possible downgrade on 8/6/2009
-- Class L, $6,517,000, downgraded to Ca from Ba3; previously a
placed on review for possible downgrade on 8/6/2009
-- Class M, $4,345,000, downgraded to Ca from B1; previously
placed on review for possible downgrade on 8/6/2009
-- Class N, $4,345,000, downgraded to C from B2; previously
placed on review for possible downgrade on 8/6/2009
-- Class P, $8,690,000, downgraded to C from B3; previously
placed on review for possible downgrade on 8/6/2009
MERRILL LYNCH: S&P Downgrades Ratings on 15 2006-C2 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from Merrill
Lynch Mortgage Trust 2006-C2 and removed them from CreditWatch
with negative implications, where they were placed on April 7,
2009 and June 26, 2009. In addition, S&P affirmed its ratings on
six classes from the same transaction and removed two of them from
CreditWatch negative.
The downgrades follow S&P's analysis of the transaction using
S&P's recently released U.S. conduit and fusion CMBS criteria,
which was the primary driver of the rating actions. S&P's
analysis included a review of the credit characteristics of all of
the loans in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage
(DSC) of 1.40x and a loan-to-value ratio of 102.3%. S&P further
stressed the loans' cash flows under S&P's 'AAA' scenario to yield
a weighted average DSC of 0.91x and an LTV of 142.3%. The implied
defaults and loss severity under the 'AAA' scenario were 82.9% and
38.7%, respectively. The DSC and LTV calculations exclude five of
the nine specially serviced assets (3.2%). S&P estimated losses
for these loans, which are included in the 'AAA' scenario implied
default and loss figures.
S&P affirmed the rating on the interest-only certificate based on
S&P's current criteria. S&P published a request for comment
proposing changes to the IO criteria on June 1, 2009. After S&P
finalize its criteria review, S&P may revise its current criteria.
Any change in S&P's criteria may impact outstanding ratings,
including the rating on the IO certificate S&P affirmed.
Credit Concerns
Nine loans ($144.0 million, 10.8%) in the pool, including two of
the top 10 loans, are with the special servicer, J.E. Robert Co.
Inc. The payment statuses of the specially serviced loans are:
six are more than 90 days delinquent ($50.5 million, 3.8%), one is
30 days delinquent ($5.9 million, 0.4%), and two are late, but
less than 30 days delinquent ($87.6 million, 6.6%). Five of the
specially serviced loans have appraisal reduction amounts in
effect totaling $20.2 million. One of the specially serviced
assets has a balance that is greater than 5.0% of the total pool
balance. Both this loan, which is the third largest in the pool,
and the tenth largest loan, which is also with the special
servicer, are discussed below.
Transaction Summary
As of the Aug. 12, 2009, remittance report, the collateral pool
consisted of 124 loans with an aggregate trust balance of
$1.3 billion, down from 126 loans with an aggregate trust balance
of $1.5 billion at issuance. The master servicers for the
transaction are Wachovia Bank N.A. and Prudential Asset Resources.
Financial information was provided for 100.0% of the pool, and
97.5% of the available financial information was full-year 2008
data. S&P calculated a weighted average DSC of 1.37x for the pool
based on the reported figures. S&P's adjusted DSC and LTV were
1.40x and 102.3%, respectively. The transaction has experienced
one principal loss, in the amount of $4.1 million. Thirty-one
loans ($229.5 million, 17.2%) are on the master servicers'
watchlists, including one of the top 10 loans. Twenty-five loans
($216.2 million, 16.2%) have a reported DSC below 1.10x, and 16 of
these loans ($126.3 million, 9.5%) have a reported DSC of less
than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding trust balance
of $525.0 million (39.3%). Using servicer-reported numbers, S&P
calculated a weighted average DSC for the top 10 loans of 1.46x,
compared with 1.38x at issuance. The eighth-largest loan in the
pool ($24.4 million, 1.8%) appears on Wachovia's watchlist. S&P's
adjusted DSC and LTV for the top nine loans (i.e., top 10 loans,
excluding The Shops of Fairlawn exposure, which is discussed
below) are 1.54x and 95.0%, respectively.
The Mall at Whitney Field loan is the third-largest exposure in
the pool and the largest exposure with the special servicer. The
loan is late, but less than 30 days delinquent. This loan has a
balance of $74.8 million (5.6%) and is secured by a 664,974-sq.-
ft. regional mall in Leominster, Mass. The loan was transferred
to special servicing on April 29, 2009. The reported DSC for the
12 months ended Dec. 31, 2008, was 1.10x, while occupancy was
93.7% for the same period. A lockbox is currently in place.
The Shops of Fairlawn loan is the 10th-largest loan in the pool
and the second-largest exposure with the special servicer. The
loan is 90-plus-days delinquent. This asset has a balance of
$20.6 million (1.5%) and is secured by a 133,334-sq.-ft. retail
property in Fairlawn, Ohio. The loan was transferred to the
special servicer on Feb. 18, 2009. Year-end 2008 DSC was 0.78x,
while occupancy was 60.9% at Jan. 2, 2009. The special servicer
and borrower are negotiating a $2 million paydown, with a
$10 million restructured note on a seven- to 10-year term. The
loan has a $10.5 million ARA in effect. Standard & Poor's expects
a significant loss upon the resolution of the loan.
Standard & Poor's stressed the loans in the pool according to
S&P's updated conduit/fusion criteria. The resultant credit
enhancement levels support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Merrill Lynch Mortgage Trust 2006-C2
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A AAA/Watch Neg 22.78
A-J BBB+ AAA/Watch Neg 14.56
B BBB AA/Watch Neg 12.25
C BBB- AA-/Watch Neg 11.09
D BB A/Watch Neg 9.07
E BB- A-/Watch Neg 7.78
F B+ BBB+/Watch Neg 5.90
G B BBB/Watch Neg 4.75
H B- BBB-/Watch Neg 3.59
J B- BB+/Watch Neg 2.87
K CCC+ BB/Watch Neg 2.58
L CCC+ BB-/Watch Neg 2.15
M CCC B+/Watch Neg 1.86
N CCC- B/Watch Neg 1.57
P CCC- B-/Watch Neg 1.28
Ratings Affirmed And Removed From Creditwatch Negative
Merrill Lynch Mortgage Trust 2006-C2
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-4 AAA AAA/Watch Neg 34.33
A-1A AAA AAA/Watch Neg 34.33
Ratings Affirmed
Merrill Lynch Mortgage Trust 2006-C2
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 34.33
A-2 AAA 34.33
A-3 AAA 34.33
X AAA N/A
N/A - Not applicable.
MERRILL SERIES: Moody's Reviews Ratings on Two Certs. to 'B3'
-------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade STARS custodial receipts, Merrill
Series 2 and STRIPES custodial receipts, Merrill Series 2:
-- $36,400,000 Structured Auction Rate Securities Stock
Custodial Receipts, Merrill Series 2, B3 placed under review
for possible upgrade; previously on 4/15/2009 downgraded to
B3;
-- $19,600,000 Structured Residual Interest Preferred Enhanced
Securities Stock Custodial Receipts, Merrill Series 2, B3
placed under review for possible upgrade; previously on
4/15/2009 downgraded to B3;
The transaction is a structured note whose ratings change with the
rating of the Deposited Stock. The rating actions are a result of
the change of the rating of Floating Rate Non-Cumulative Preferred
Stock, Series 2 issued by Merrill Lynch & Co., Inc., which was
placed under review for possible upgrade at B3 on 8/17/2009.
MIDWEST FAMILY: Moody's Reviews Ratings on Various Taxable Bonds
----------------------------------------------------------------
Moody's Investors Service has placed the underlying Baa2 Class I,
Ba3 Class II, B3 Class III, and B3 Class IV Midwest Family Housing
LLC Military Housing Taxable Revenue Bonds (Navy Midwest Housing
Privatization Project) Series 2006 A on watch for possible
downgrade.
This rating action is based on the recent downgrade of CIFG
Assurance North America, Inc., to Caa2 from Ba3, and the funding
of the Debt Service Reserve Funds for the bonds by way of a debt
service reserve fund surety bond provided by CIFG. Moody's
considers the Debt Service Reserve Fund to be an important
component of support for the Bonds and therefore a key factor in
the rating.
The last rating action was on July 15, 2009 when Moody's affirmed
the Baa2 rating assigned to the Series 2006 A Class I and
downgraded the ratings assigned: to Ba3 from Ba2 on the 2006
Series A Class II; to B3 from B1 on the Class III Bonds; and to B3
from B2 on the Class IV bonds.
MONUMENT PARK: Moody's Downgrades Ratings on Various Classes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Monument Park CDO Ltd.:
-- US$847M Class A-1 Floating Rate Senior Delayed Funding Notes
Due 2016, Downgraded to A3; previously on January 25, 2004
Assigned Aaa;
-- US$60M Class A-2 Floating Rate Senior Revolving Notes Due
2016, Downgraded to A3; previously on January 25, 2004
Assigned Aaa;
-- US$50M Class B Floating Rate Subordinated Delayed Funding
Deferrable Notes Due 2016, Downgraded to Ba2; previously on
March 18, 2009 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade;
-- US$7.9M Combination Securities Due 2016, Downgraded to B1;
previously on January 25, 2004 Assigned Baa3.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below. In particular, the weighted average rating factor has
increased over the last year and is currently 2624 versus a test
level of 2538, as of the last trustee report, dated August 2,
2009. Based on the same report, defaulted securities currently
held in the portfolio total about $32.5million, accounting for
roughly 3.3% of the collateral balance, and securities rated Caa1
or lower make up approximately 6.4% of the underlying portfolio.
The downgrade action also reflects Moody's revised assumptions
with respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans and
high-yield corporate bonds will be below their historical
averages, consistent with Moody's research. Moody's has also
applied resecuritization stress factors to default probability
assumptions for structured finance collateral as described in the
press release titled "Moody's updates its key assumptions for
rating structured finance CDOs," published on December 11, 2008.
Other assumptions used in Moody's CLO monitoring are described in
the publication "CLO Ratings Surveillance Brief - Second Quarter
2009," dated July 17, 2009. Due to the impact of all
aforementioned stresses, key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, may be different from
the trustee's reported numbers.
Monument Park CDO Ltd., issued in January 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
MORGAN STANLEY: Fitch Corrects Ratings on Class Q to 'B-/LS5'
-------------------------------------------------------------
This amends a press release originally published on Aug. 24. The
$9.6 million class Q certificates were being affirmed at 'B-/LS5',
not downgraded.
Fitch Ratings has downgraded and removed from Rating Watch
Negative 16 classes of commercial mortgage pass-through
certificates from Morgan Stanley Capital I Trust 2006-HQ9. In
addition, Fitch has assigned Rating Outlooks as applicable. A
detailed list of rating actions follows at the end of this
release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
4.5% for this transaction should market conditions not recover.
The rating actions are based on losses of 3%, including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 61.1% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
The remaining 38.9% represent 17.3% of the total losses.
Approximately 13.5% of the mortgages mature within the next five
years: 2.4% in 2011, 2.7% in 2012, and 8.4% in 2013. In 2016,
82.5% of the pool is scheduled to mature.
Fitch identified 35 Loans of Concern (9%) within the pool,
thirteen of which (3.87%) are specially serviced. Of the
specially serviced loans, one (0.53%) is current. One of the
transactions top 15 loans (1.2%) is in special servicing.
One loan (1.2%) in the top 15 is expected to default during the
term, with a loss severity of 34.8%. The largest contributors to
loss are: G&L Portfolio (5.6%), The Center Point Complex (1.2%),
and Page Plaza (0.53%).
The G&L Portfolio loan is cross-collateralized and cross-defaulted
by seven properties located in in-fill submarkets of Los Angeles.
Four of the seven properties are located within 'The Golden
Triangle' of Beverly Hills. The properties are 93.2% occupied
down from 98% at issuance and YE08 servicer reported DSCR was 1.32
times (x). Near-term lease expirations at the property include
13.3% in 2009, 20.1% in 2010 and 19.2% in 2011. The loan is
sponsored by G&L Realty Partnership, a local health care property
investor founded in 1976. The loan matures in August 2013.
The Center Point Complex loan (1.2%) is collateralized by four
retail properties located in High Point, NC. All tenants are in
the furniture and home improvement sectors. The loan transferred
to the special servicer, due to a decline in occupancy and a drop
in market rents. The center suffered from several tenant defaults
and bankruptcies which caused a drop in occupancy to 79.3%.
According to the servicer, market rents have dropped approximately
36% and most landlords are offering significant concessions.
The Page Plaza loan is collateralized by a 41,070 sf retail center
in Hemet, CA. Major tenants at the property include; Walgreens,
Payless Shoe Source and Pizza Factory. The loan transferred to
the special servicer in May 2009 and the loan is currently 90+
days delinquent. The borrower missed payments from March to June
due to an increase in vacancy (occupancy was 80% as of April 1,
2009) as well as an increase in the number of slow-pay / no-pay
tenants. Additionally, the borrower granted rent reductions to
several tenants. After meeting with the borrower in person and
touring the property, the special servicer has agreed to enter
into a 90-day forbearance agreement in order to further evaluate
the property, and allow the borrower an opportunity to gain
leasing momentum.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks and Loss Severity (LS) ratings to these classes:
-- $202 million class AJ to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $19.2 million class B to 'AA/LS5' from 'AA+'; Outlook
Negative;
-- $35.3 million class C to 'AA/LS5' from 'AA'; Outlook
Negative;
-- $28.9 million class D to 'A/LS5' from 'AA-'; Outlook
Negative;
-- $22.4 million class E to 'A/LS5' from 'A+'; Outlook Negative;
-- $25.7 million class F to 'BBB/LS5' from 'A'; Outlook
Negative;
-- $25.7 million class G to 'BBB-/LS5' from 'A-'; Outlook
Negative;
-- $28.9 million class H to 'BB/LS5' from 'BBB+'; Outlook
Negative;
-- $32.1 million class J to 'B/LS5' from 'BBB'; Outlook
Negative;
-- $25.7 million class K to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $9.6 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $3.2 million class M to 'B-/LS5' from 'BB'; Outlook Negative;
-- $9.6 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $6.4 million class O to 'B-/LS5' from 'B+'; Outlook Negative;
-- $3.2 million class P to 'B-/LS5' from 'B'; Outlook Negative.
Fitch also affirms, removes from Rating Watch Negative, and
assigns an Outlook and Loss Severity rating to this class:
-- $9.6 million class Q at 'B-/LS5'; Outlook Negative.
In addition, Fitch has affirmed these classes with Stable
Outlooks:
-- $60.6 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $159.4 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $92.9 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $215 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $84.6 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $784.2 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $350.0 million class A-4FL at 'AAA/LS1'; Outlook Stable;
-- $256.5 million class A-M at 'AAA/LS1'; Outlook Stable;
-- $433.5 thousand class ST-A at 'BBB-'; Outlook Stable;
-- $2.9 million class ST-B at 'BB'; Outlook Stable;
-- $1.1 million class ST-C at 'BB-'; Outlook Stable;
-- $2.3 million class ST-D at 'B'; Outlook Stable;
-- $1.3 million class ST-E at 'B-'; Outlook Stable.
The ST classes are related to the non-pooled B-note that is
secured by 633 Indiana Avenue NW. Fitch does not rate the
$25.7 million class S, $18.5 million class DP, and $10 million
class ST-F certificates. The Interest-only class X-RC has been
paid in full.
MORGAN STANLEY: Fitch Downgrades Ratings on 2006-HQ9 Certificates
-----------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 16 classes of commercial mortgage pass-through
certificates from Morgan Stanley Capital I Trust 2006-HQ9. In
addition, Fitch has assigned Rating Outlooks as applicable. A
detailed list of rating actions follows at the end of this
release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
4.5% for this transaction should market conditions not recover.
The rating actions are based on losses of 3%, including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 61.1% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
The remaining 38.9% represent 17.3% of the total losses.
Approximately 13.5% of the mortgages mature within the next five
years: 2.4% in 2011, 2.7% in 2012, and 8.4% in 2013. In 2016,
82.5% of the pool is scheduled to mature.
Fitch identified 35 Loans of Concern (9%) within the pool,
thirteen of which (3.87%) are specially serviced. Of the
specially serviced loans, one (0.53%) is current. One of the
transactions top 15 loans (1.2%) is in special servicing.
One loan (1.2%) in the top 15 is expected to default during the
term, with a loss severity of 34.8%. The largest contributors to
loss are: G&L Portfolio (5.6%), The Center Point Complex (1.2%),
and Page Plaza (0.53%).
The G&L Portfolio loan is cross-collateralized and cross-defaulted
by seven properties located in in-fill submarkets of Los Angeles.
Four of the seven properties are located within 'The Golden
Triangle' of Beverly Hills. The properties are 93.2% occupied
down from 98% at issuance and YE08 servicer reported DSCR was 1.32
times (x). Near-term lease expirations at the property include
13.3% in 2009, 20.1% in 2010 and 19.2% in 2011. The loan is
sponsored by G&L Realty Partnership, a local health care property
investor founded in 1976. The loan matures in August 2013.
The Center Point Complex loan (1.2%) is collateralized by four
retail properties located in High Point, NC. All tenants are in
the furniture and home improvement sectors. The loan transferred
to the special servicer, due to a decline in occupancy and a drop
in market rents. The center suffered from several tenant defaults
and bankruptcies which caused a drop in occupancy to 79.3%.
According to the servicer, market rents have dropped approximately
36% and most landlords are offering significant concessions.
The Page Plaza loan is collateralized by a 41,070 sf retail center
in Hemet, CA. Major tenants at the property include; Walgreens,
Payless Shoe Source and Pizza Factory. The loan transferred to
the special servicer in May 2009 and the loan is currently 90+
days delinquent. The borrower missed payments from March to June
due to an increase in vacancy (occupancy was 80% as of April 1,
2009) as well as an increase in the number of slow-pay / no-pay
tenants. Additionally, the borrower granted rent reductions to
several tenants. After meeting with the borrower in person and
touring the property, the special servicer has agreed to enter
into a 90-day forbearance agreement in order to further evaluate
the property, and allow the borrower an opportunity to gain
leasing momentum.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks and Loss Severity ratings to these classes:
-- $202 million class AJ to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $19.2 million class B to 'AA/LS5' from 'AA+'; Outlook
Negative;
-- $35.3 million class C to 'AA/LS5' from 'AA'; Outlook
Negative;
-- $28.9 million class D to 'A/LS5' from 'AA-'; Outlook
Negative;
-- $22.4 million class E to 'A/LS5' from 'A+'; Outlook Negative;
-- $25.7 million class F to 'BBB/LS5' from 'A'; Outlook
Negative;
-- $25.7 million class G to 'BBB-/LS5' from 'A-'; Outlook
Negative;
-- $28.9 million class H to 'BB/LS5' from 'BBB+'; Outlook
Negative;
-- $32.1 million class J to 'B/LS5' from 'BBB'; Outlook
Negative;
-- $25.7 million class K to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $9.6 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $3.2 million class M to 'B-/LS5' from 'BB'; Outlook Negative;
-- $9.6 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $6.4 million class O to 'B-/LS5' from 'B+'; Outlook Negative;
-- $3.2 million class Q to 'B-/LS5' from 'B'; Outlook Negative;
-- $9.6 million class P to 'B-/LS5' from 'B-'; Outlook Negative.
In addition, Fitch has affirmed these classes with Stable
Outlooks:
-- $60.6 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $159.4 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $92.9 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $215 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $84.6 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $784.2 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $350.0 million class A-4FL at 'AAA/LS1'; Outlook Stable;
-- $256.5 million class A-M at 'AAA/LS1'; Outlook Stable;
-- $433.5 thousand class ST-A at 'BBB-'; Outlook Stable;
-- $2.9 million class ST-B at 'BB'; Outlook Stable;
-- $1.1 million class ST-C at 'BB-'; Outlook Stable;
-- $2.3 million class ST-D at 'B'; Outlook Stable;
-- $1.3 million class ST-E at 'B-'; Outlook Stable.
The ST classes are related to the non-pooled B-note that is
secured by 633 Indiana Avenue NW. Fitch does not rate the
$25.7 million class S, $18.5 million class DP, and $10 million
class ST-F certificates. The Interest-only class X-RC has been
paid in full.
MORGAN STANLEY: Moody's Reviews Ratings on 19 2007-IQ14 Certs.
--------------------------------------------------------------
Moody's Investors Service placed 19 classes of Morgan Stanley
Capital I Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-IQ14 on review for possible downgrade due to interest
shortfalls and higher expected losses for the pool resulting from
anticipated losses from loans in special servicing and increased
loss estimates on other loans of concern. Since Moody's prior
review in February 2009, the pool's exposure to specially serviced
loans has increased from 6% to 8%. Moody's is also concerned
about five year loans approaching maturity in an adverse
environment. Excluding specially serviced loans, eleven loans,
representing 24% of the pool, mature within the next three years
and have a Moody's stressed debt service coverage ratio below
1.00X. The rating action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
As of the August 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by less than 1% to
$4.87 billion from $4.90 billion at securitization. The
Certificates are collateralized by 424 mortgage loans ranging in
size from less than 1% to 16% of the pool, with the top 10 loans
representing 41% of the pool.
Eighty-one loans, representing 32% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's 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.
Fifteen loans, representing 8% of the pool, are currently in
special servicing. The largest specially serviced loan is the New
York City Portfolio ($195.0 million -- 4.0%), which is secured by
1,200 units in 37 multifamily properties located in New York City.
The loan has been in special servicing since June 2008 due to the
bankruptcy of its guarantors. The loan is less than 30 days
delinquent. The remaining specially serviced loans are a mix of
retail, multifamily, mixed use and self storage. The special
servicer has recognized an aggregate appraisal reduction of
$80 million for five of the specially serviced loans. Of the
remaining 13 specially serviced loans, seven are 90+ days
delinquent, two are either real estate owned or in the process of
foreclosure and four are current.
Moody's review will focus on the performance of the overall pool
and potential losses from specially serviced loans. Moody's
rating action is:
-- Class A-M, $420,487,000, currently rated Aaa, on review for
possible downgrade; previously affirmed Aaa on 2/12/2009
-- Class A-MFL, $70,000,000, currently rated Aaa, on review for
possible downgrade; previously affirmed Aaa on 2/12/2009
-- Class A-J, $200,000,000, currently rated A2, on review for
possible downgrade, previously downgraded to A2 from Aaa on
2/12/2009
-- Class A-JFL, $192,389,000, currently rated A2, on review for
possible downgrade; previously downgraded to A2 from Aaa on
2/12/2009
-- Class B, $18,394,000, currently rated A3, on review for
possible downgrade; previously downgraded to A3 from Aa1 on
2/12/2009
-- Class C, $79,704,000, currently rated Baa1, on review for
possible downgrade; previously downgraded to Baa1 from Aa2 on
2/12/2009
-- Class D, $55,179,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from Aa3 on
2/12/2009
-- Class E, $12,263,000, currently rated Baa3, on review for
possible downgrade; previously downgraded to Baa3 from A1 on
2/12/2009
-- Class F, $42,917,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from A2 on
2/12/2009
-- Class G, $42,918,000, currently rated Ba3, on review for
possible downgrade; previously downgraded to Ba3 from A3 on
2/12/2009
-- Class H, $73,573,000, currently rated B1, on review for
possible downgrade; previously downgraded to B1 from Baa1 on
2/12/2009
-- Class J, $49,049,000, currently rated B3, on review for
possible downgrade; previously downgraded to B3 from Baa3 on
2/12/2009
-- Class K, $55,179,000, currently rated Caa1, on review for
possible downgrade; previously downgraded to Caa1 from Ba2 on
2/12/2009
-- Class L, $18,394,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from Ba3 on
2/12/2009
-- Class M, $12,262,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from B2 on
2/12/2009
-- Class N, $24,524,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from B3 on
2/12/2009
-- Class O, $12,262,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from Caa1 on
2/12/2009
-- Class P, $12,262,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from Caa2 on
2/12/2009
-- Class Q, $18,394,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from Caa3 on
2/12/2009
MORGAN STANLEY: S&P Downgrades Ratings on 16 2007-TOP27 Securities
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 16
classes of commercial mortgage-backed securities from Morgan
Stanley Capital I Trust 2007-TOP27 and removed them from
CreditWatch with negative implications, where they were placed on
June 26, 2009. S&P affirmed its ratings on six classes from the
same transaction and removed them from CreditWatch with negative
implications. S&P also affirmed the ratings on class X and the
AW34 raked certificate class. A raked certificate represents a
subordinate, nonpooled component of the senior participation
interest in a particular loan.
The downgrades follow S&P's analysis of the transaction using its
recently released U.S. conduit and fusion CMBS criteria, which was
the primary driver of the rating actions. S&P's analysis included
a review of the credit characteristics of all of the loans in the
pool. Using servicer-provided financial information, excluding
loans that S&P stressed as credit concerns, S&P calculated an
adjusted debt service coverage of 1.63x and a loan-to-value ratio
of 100.0%. S&P further stressed the loans' cash flows under S&P's
'AAA' scenario to yield a weighted average DSC of 0.98x and an LTV
of 137.8%. The implied defaults and loss severity under the 'AAA'
scenario were 73.2% and 34.4%, respectively. The DSC and LTV
calculations exclude five specially serviced loans (1.2%). S&P
estimated losses for these loans, which are included in the 'AAA'
scenario implied default and loss figures.
The affirmations of the ratings on classes A-1 through A-4 reflect
credit enhancements that adequately support the existing ratings.
The affirmation of the class 'AW34' rake certificate reflects
S&P's analysis of the credit characteristics of the 330 West 34th
Street loan, which is the sole source of cash flow for the class.
S&P affirmed the ratings on the interest-only class X certificate
based on S&P's current criteria. S&P published a request for
comment proposing changes to the IO criteria on June 1, 2009.
After S&P finalize its criteria review, S&P may revise its current
criteria. Any change in S&P's criteria may affect outstanding
ratings, including the ratings on the IO certificates S&P
affirmed.
Credit Concerns
Seven assets ($52.3 million, 1.90%) in the pool are with the
special servicer, Centerline Servicing Inc. (Centerline). Six of
those assets ($50.6 million, 1.84%) are more than 90 days
delinquent and one ($1.7 million, 0.06%) is classified as real
estate owned. Five of the specially serviced loans have appraisal
reduction amounts in effect totaling $9.6 million. All seven
specially serviced assets have balances below $15 million.
Transaction Summary
As of the August 2009 remittance report, the collateral pool
consisted of 226 loans with an aggregate trust balance of
$2.75 billion, which is a slight decline since issuance
($2.77 billion). None of the original 226 loans have paid off or
been liquidated. The master servicer for the transaction is Wells
Fargo Bank N.A. The master servicer provided financial
information for 98.7% of the pool, and 97.8% of the servicer-
provided information was full-year 2008 data. S&P calculated a
weighted average DSC of 1.75x for the pool based on the reported
figures. S&P's adjusted DSC and LTV were 1.63x and 100.0%,
respectively. The transaction has not experienced any principal
losses to date. Eighteen loans ($183.4 million, 6.7%) are on the
master servicer's watchlist. Two loans ($10.6 million, 0.4%) have
reported DSC between 1.10x and 1.0x, and six loans ($55.2 million,
2.0%) have reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$794.8 million (28.9%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.84x for the top 10 loans.
S&P's adjusted DSC and LTV for the top 10 loans were 1.68x and
93.5%, respectively.
Standard & Poor's stressed the loans in the pool according to
S&P's updated conduit/fusion criteria. The resultant credit
enhancement levels support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative -
Pooled Certificates
Morgan Stanley Capital I Trust 2007-TOP27
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A AAA/Watch Neg 17.14
A-MFL A AAA/Watch Neg 17.14
A-J BBB AAA/Watch Neg 10.08
B BBB- AA/Watch Neg 8.06
C BB+ AA-/Watch Neg 6.93
D BB A/Watch Neg 5.80
E BB- A-Watch Neg 4.91
F B+ BBB+/Watch Neg 4.03
G B BBB/Watch Neg 2.90
H B- BBB-/Watch Neg 2.02
J B- BB+/Watch Neg 1.89
K CCC+ BB/Watch Neg 1.76
L CCC BB-/Watch Neg 1.51
M CCC B+/Watch Neg 1.26
N CCC- B/Watch Neg 1.01
O CCC- B-/Watch Neg 0.88
Ratings Affirmed And Removed From Creditwatch Negative -
Pooled Certificates
Morgan Stanley Capital I Trust 2007-TOP27
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-1 AAA AAA/Watch Neg 27.22
A-2 AAA AAA/Watch Neg 27.22
A-3 AAA AAA/Watch Neg 27.22
A-AB AAA AAA/Watch Neg 27.22
A-4 AAA AAA/Watch Neg 27.22
A-1A AAA AAA/Watch Neg 27.22
Ratings Affirmed - Pooled Certificates
Morgan Stanley Capital I Trust 2007-TOP27
Class Rating Credit enhancement (%)
----- ------ ----------------------
X AAA N/A
Rating Affirmed-Non - Pooled Certificates
Morgan Stanley Capital I Trust 2007-TOP27
Class Rating Credit enhancement (%)
----- ------ ----------------------
AW34 AAA N/A
N/A - Not applicable.
MORGAN STANLEY: S&P Withdraws 'CCC+' Rating on Junior Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC+' rating on
the junior super-senior notes issued by Morgan Stanley Managed
ACES SPC's series 2006-11, a synthetic collateralized debt
obligation of investment-grade corporate bonds transaction.
The rating withdrawal follows the complete redemption of the
notes, pursuant to the notice dated Aug. 6, 2009.
Rating Withdrawn
Morgan Stanley Managed ACES SPC
Series 2006-11
Rating Balance (mil.$)
------ ---------------
Class To From Current Previous
----- -- ---- ------- --------
Junior super-senior NR CCC+ 0.000 30.000
NR - Not rated.
NELSON RE: Moody's Continues Review on 'B3' Rating on Class G
-------------------------------------------------------------
Moody's Investors Service will continue its review for possible
downgrade of Nelson Re Ltd.'s Class G Notes (rated B3), pending
information from the sponsor (Glacier Reinsurance AG). Moody's
review will focus on the sponsor's loss estimates by line and
state, what portion of losses qualify as Subject Business (as
deemed by Glacier Re), and what Loss Adjustment Factor(s) will be
applied to subject losses.
Moody's initially placed the notes on review for possible
downgrade on March 6, 2009 after Glacier Re revised its Hurricane
Ike gross claim estimates from $65 million to $100 million. At
that time Glacier Re notified Class G note holders that it was
evaluating potential loss payment obligations from Nelson Re.
Nelson Re issued the Class G notes in June 2008 as a way for note
holders to provide per occurrence excess-of-loss reinsurance to
Glacier Re for U.S. hurricane or U.S. earthquake events. The
notes attach if the product of subject losses and Loss Adjustment
Factors exceed $145 million.
Hurricane Ike caused losses in nine states ranging from Texas to
Pennsylvania. Various sources estimate that onshore insured
losses could range as high as $18 billion and offshore losses
could be as high as $6 billion.
Moody's does not rate Glacier Re.
This rating remains on review for downgrade:
* Nelson Re Ltd. -- $67.5 million Class G Series 2008-I Principal-
at-Risk Variable Rate Notes at B3.
The last rating action occurred on March 6, 2009, when Moody's
placed the Class G notes under review.
PASS-THROUGH AUCTION: Moody's Reviews Ratings on 2007-1 Certs.
--------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Pass-
Through Auction Market Preferred Securities, Series 2007-1:
-- $65,000,000 Class A Certificates, B3 placed under review for
possible upgrade; previously on 4/08/2009 downgraded to B3;
-- $16,250,000 Class B Certificates, B3 placed under review for
possible upgrade; previously on 4/08/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the ratings of Floating Rate Non-Cumulative
Preferred Stock, Series 2 issued by Merrill Lynch & Co., Inc., and
Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by
Merrill Lynch & Co., Inc., which were both placed under review for
possible upgrade at B3 on 8/17/2009.
PHOENIX CDO: Moody's Downgrades Ratings on Two Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of two classes of Notes issued by Phoenix CDO II, Ltd.
The notes affected by the rating action are:
-- Class A First Priority Senior Secured Floating Rate Notes,
Due 2035, Downgraded to Ba1; previously on 5/4/2004
Downgraded to Aa2
-- Class B Second Priority Senior Secured Floating Rate Notes,
Due 2035, Downgraded to B1; previously on 5/4/2004 Downgraded
to Ba2
Phoenix CDO II, Limited is a collateralized debt obligation backed
primarily by a portfolio of Residential ABS Securities and
Commercial Mortgage Backed Securities. RMBS and CMBS are
approximately 36% and 35%, respectively, of the underlying
portfolio the majority of which is from 1996-2000 vintages.
The rating downgrade actions reflect deterioration in the credit
quality of the underlying portfolio. Credit deterioration of the
collateral pool is observed through a decline in the average
credit rating (as measured by an increase in the weighted average
rating factor), an increase in the dollar amount of defaulted
securities, and an increase in the proportion of securities rated
Caa1 and below. More than 31% of the underlying assets have been
downgraded since Moody's last review of the transaction in May
2004. The trustee reports that the WARF of the portfolio is 1,001
as of July 31, 2009, and also reports defaulted assets in the
amount of $22.7 million. Securities rated Caa1 or lower make up
approximately 6.4% of the underlying portfolio. The Class B and
Class C Overcollateralization Tests are currently failing.
The actions also take into consideration the occurrence, as
reported by the Trustee on August 15, 2003, of an Event of Default
described in Section 5.1 (j) of the Indenture dated May 16, 2000.
The Trustee also reports that the Controlling Party declared the
principal of all of the Secured Notes to be immediately due and
payable. The actions also take into consideration the risk that
liquidation of the Collateral may be selected as the post-Event of
Default remedy. The liquidation of the CDO collateral may result
in a probability of repayment and a severity of loss that are
inconsistent with an investment-grade rating.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
PIONEER VALLEY: Moody's Cuts Rating on Class X Notes to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of one class of Notes issued by Pioneer Valley Structured
Credit CDO I Ltd. The Notes affected by the rating action are:
-- Class X Notes Due 2010 (with a Class X Fixed Notional Amount
of $23,478,000), Downgraded to Ba1; previously on 3/27/2009
Downgraded to Ba1
The actions take into consideration the occurrence on March 18,
2009, as reported by the Trustee, of an Event of Default described
in Section 5.1(h) of the Indenture dated July 28, 2005 as well as
an Acceleration of Maturity as directed by the Majority of the
Controlling Class on March 20, 2009. The Event of Default was
declared because of the failure, on the most recent Measurement
Date, of the Overcollateralization Percentage for the Super Senior
Notes was less than 100%.
As provided in Article V of the Indenture during the occurrence
and continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes.
Under Sections 5.4(a) and 5.5(a)(ii) of the Indenture the Majority
of the Controlling Class has the option to direct the Trustee to
execute a full or partial liquidation of the assets. The severity
of losses of certain tranches may be different depending on the
timing and outcome of a liquidation.
Moody's explained that in addition to the quantitative factors
that are explicitly modeled, qualitative factors are part of the
Moody's rating committee considerations. These qualitative
factors include but are not limited to the structural protections
in the transaction, the recent performance of the transaction in
the current market environment, how legal risks and issues are
addressed in transaction documentation, the collateral manager's
track record, and the potential for selection bias in the
portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision
PREFERRED PASS-THROUGH: Moody's Reviews Ratings on Two Certs.
-------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Preferred
Pass-Through Trust 2007-A:
-- $50,000,000 Class A Auction Rate Trust Certificates, B3
placed under review for possible upgrade; previously on
4/08/2009 downgraded to B3;
-- $10,000,000 Class B Leveraged Trust Certificates, B3 placed
under review for possible upgrade; previously on 4/08/2009
downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Floating Rate Non-Cumulative
Preferred Stock, Series 5 issued by Merrill Lynch & Co., Inc.
which was placed under review for possible upgrade at B3 on
8/17/2009.
PREFERRED WACHOVIA: Moody's Reviews Ratings on Two 2006-B Certs.
----------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade these certificates issued by Preferred
Wachovia Preferred Pass-Through Trust 2006-B:
-- $124,000,000 Class A Money Market Preferred Trust
Certificates, B3 placed under review for possible upgrade;
previously on 4/08/2009 downgraded to B3;
-- $31,000,000 Class B Leveraged Preferred Trust Certificates,
B3 placed under review for possible upgrade; previously on
4/08/2009 downgraded to B3.
The transaction is a structured note whose ratings change with the
rating of the Preferred Shares. The rating actions are a result
of the change of the rating of Floating Rate Non-Cumulative
Preferred Stock, Series E issued by Bank of America Corporation
which was placed under review for possible upgrade at B3 on
8/17/2009.
PUTNAM STRUCTURED: Moody's Downgrades Rating on Class A-2 Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of one class of notes issued by Putnam Structured Product
Funding 2003-1, Limited. The class of notes affected by the
rating action is:
-- US$85,250,000 Class A-2 Floating Rate Notes, Due 2038,
Downgraded to Caa2; previously on 3/20/2009 Downgraded to B3
Putnam Structured Product Funding 2003-1, Limited is a
collateralized debt obligation backed primarily by a portfolio of
Commercial Mortgage Backed Securities and Residential ABS
Securities. CMBS and RMBS are approximately 32% and 29%,
respectively, of the underlying portfolio. The majority of the
portfolio is from the 2003, 2006, and 2007 vintages.
The rating downgrade actions reflect deterioration in the credit
quality of the underlying portfolio as reflected in part by the
recent rating actions taken with regard to seasoned (pre-2005)
RMBS. Credit deterioration of the collateral pool is observed
through a decline in the average credit rating (as measured by an
increase in the weighted average rating factor), an increase in
the dollar amount of defaulted securities, and an increase in the
proportion of securities rated Caa1 and below. Approximately 10%
of the underlying assets have been downgraded since Moody's last
review of the transaction in March 2009. The trustee reports that
the WARF of the portfolio is 2,109 as of August 10, 2009, and also
reports defaulted assets in the amount of $19.7 million.
Securities rated Caa1 or lower make up approximately 21.1% of the
underlying portfolio. The Class A/B and Class C
Overcollateralization Tests are currently failing.
The actions also take into consideration the risk of the
transaction experiencing an Event of Default. As provided in
Article V of the Indenture during the occurrence and continuance
of an Event of Default, certain parties to the transaction may be
entitled to direct the Trustee to take particular actions with
respect to the Collateral and the Notes, including the sale and
liquidation of the assets. The severity of losses of certain
tranches may be different depending on the timing and outcome of a
liquidation.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
RESTRUCTURED ASSET: S&P Withdraws Ratings on 2005-10-C Certs.
-------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on
Restructured Asset Certificates with Enhanced Returns Series 2005-
10-C Certificates following the paydown of the notes in-kind. The
rating was previously on CreditWatch with negative implications.
S&P withdrew the rating after receiving recent information from
the trustee that the notes were paid in-kind.
Rating Withdrawn
Restructured Asset Certificates with Enhanced Returns
Series 2005-10-C Certificates
Rating
------
Class To From
----- -- ----
2005-10-C NR CCC-/Watch Neg
NR - Not rated.
SAN GABRIEL: Moody's Downgrades Ratings on Four Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by San Gabriel CLO I Ltd.:
-- US$273,000,000 Class A-1L Floating Rate Notes Due 2021
(current balance of $268,499,907), Downgraded to Aa1;
previously on July 10, 2007 Assigned Aaa;
-- US$40,000,000 Class A-1LV Floating Rate Notes Due 2021
(current balance of $39,340,646), Downgraded to Aa1;
previously on July 10, 2007 Assigned Aaa;
-- US$25,000,000 Class A-2L Floating Rate Notes Due 2021,
Downgraded to A2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$16,500,000 Class B-2L Floating Rate Notes Due 2021,
Downgraded to Caa3; previously on March 23, 2009 Downgraded
to Caa2 and Placed Under Review for Possible Downgrade.
Additionally, Moody's has confirmed the ratings of these notes:
-- US$29,000,000 Class A-3L Floating Rate Notes Due 2021,
Confirmed at Ba1; previously on March 23, 2009 Downgraded to
Ba1 and Placed Under Review for Possible Downgrade;
-- US$15,000,000 Class B-1L Floating Rate Notes Due 2021,
Confirmed at B1; previously on March 23, 2009 Downgraded to
B1 and Placed Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio and the
latest portfolio information. Such credit deterioration is
observed through a decline in the average credit rating (as
measured by the weighted average rating factor), an increase in
the dollar amount of defaulted securities, and an increase in the
proportion of securities from issuers rated Caa1 and below. In
particular, the weighted average rating factor has increased over
the last year and currently stands at 2990 as of the last trustee
report, dated July 30, 2009. Based on the same report, defaulted
securities total about $34.1 million, accounting for roughly 8.1%
of the collateral balance, and securities rated Caa1 or lower make
up approximately 11.9% of the underlying portfolio.
Moody's also assessed the collateral pool's elevated concentration
risk in debt obligations of companies in the banking, finance,
real estate, and insurance industries, which Moody's views to be
more strongly correlated in the current market environment.
Finally, Moody's notes that a material proportion of the
collateral pool includes debt obligations whose credit quality has
been assessed through Moody's Credit Estimates.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for high-yield corporate
bonds and second lien loans will be below their historical
averages, consistent with Moody's research. Moody's has also
applied resecuritization stress factors to default probability
assumptions for structured finance asset collateral as described
in the press release titled "Moody's updates its key assumptions
for rating structured finance CDOs," published on December 11,
2008. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 2009. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
San Gabriel CLO I Ltd., issued in July 2007, is a small and middle
market collateralized loan obligation, backed primarily by a
portfolio of senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
SASCO NET: Fitch Junks Ratings on Three Classes of 2003-BC2 Notes
-----------------------------------------------------------------
Fitch Ratings has downgraded and assigned Recovery Ratings to
SASCO Net Interest Margin Trust 2003-BC2:
-- $848,787 class B notes downgraded to 'C/RR2 from 'BB';
-- $2,755,000 class C notes downgraded to 'C/RR6' from 'BB';
-- $2,017,052 class D notes downgraded to 'C/RR6' from 'B'.
The notes are secured primarily by mortgage pass-through
certificates in Structured Asset Securities Corporation mortgage
pass-through certificates, series 2003-BC2. The class B and C
(Group 2) notes are backed by the class M4 and B1 certificates.
The class D (Group 3) is backed by the class B2 certificate. Both
the Group 2 and Group 3 certificates also have a subordinate
interest in payments received on the Group 1 notes.
Since there is no expected cashflow generated from the Group 1
notes the rating actions taken are based primarily on the
performance of the underlying bonds and a review of the structure
of the transaction. The underlying class M4 bond is rated
'C/RR2', and the class B1 bond is rated 'D' since it is incurring
principal writedowns. The underlying class B2 bond is also rated
'D' and has been completely written off due to losses. The
ratings on the NIM bonds were not lowered to 'D' because the notes
do not get written down and do not default due to writedowns on
the underlying bonds.
The 'C' rating on these transactions indicates that Fitch projects
the bonds will not receive enough cashflow from the underlying
supporting transaction to pay off the outstanding balance of the
NIM bond. In this instance the underlying transaction has
suffered significant losses throughout the capital structure and
there will be no additional excess cashflow available to the Group
2 and Group 3 NIM notes.
In addition to the long-term rating for each bond, Fitch assigns
Recovery Ratings for bonds rated below 'B'. The Recovery Rating
scale is based upon the expected relative recovery characteristics
of an obligation. For structured finance, Recovery Ratings are
designed to estimate recoveries on a forward-looking basis while
taking into account the time value of money.
STANFIELD ARNAGE: Moody's Downgrades Ratings on Three Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Stanfield Arnage CLO, Ltd.:
-- US$120,200,000 Class A-1L Floating Rate Notes Due August
2021, Downgraded to Aa2; previously on December 6, 2007
Assigned Aaa;
-- US$44,800,000 Class A-1LB Floating Rate Notes Due August
2021, Downgraded to Aa3; previously on March 4, 2009 Aa1
Placed Under Review for Possible Downgrade;
-- US$30,000,000 Class A-2L Floating Rate Notes Due August 2021,
Downgraded to A2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$26,000,000 Class A-3L Floating Rate Notes Due August 2021,
Confirmed at Ba1; previously on March 13, 2009 Downgraded to
Ba1 and Placed Under Review for Possible Downgrade;
-- US$21,000,000 Class B-1L Floating Rate Notes Due August 2021,
Confirmed at B1; previously on March 13, 2009 Downgraded to
B1 and Placed Under Review for Possible Downgrade;
-- US$20,000,000 Class B-2L Floating Rate Notes Due August 2021,
Confirmed at Caa2; previously on March 13, 2009 Downgraded to
Caa2 and Placed Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of certain overcollateralization tests. In
particular, the weighted average rating factor has increased over
the last year and is currently 2507 as of the last trustee report,
dated July 15, 2009. Based on the same report, defaulted
securities total about 9.6 million, accounting for roughly 1.7% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 8.12% of the underlying portfolio. Additionally,
the Class B-2L overcollateralization test is currently failing.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for high-yield corporate
bonds and second lien loans will be below their historical
averages, consistent with Moody's research. Other assumptions
used in Moody's CLO monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
July 17, 2009. Due to the impact of all aforementioned stresses,
key model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Stanfield Arnage CLO, Ltd., issued in December 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
STEDMAN LOAN: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Stedman Loan Fund II, Ltd.:
-- US$404,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due May 15, 2015 (current balance of
$300,271,431), Downgraded to Aa3; previously on March 28,
2008 Assigned Aaa;
-- US$21,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due May 15, 2015, Downgraded to Baa2;
previously on March 20, 2009 Aa2 Placed Under Review for
Possible Downgrade;
-- US$22,000,000 Class B Third Priority Mezzanine Secured
Deferrable Floating Rate Notes Due May 15, 2015, Downgraded
to B1; previously on March 20, 2009 Downgraded to Baa3 and
Placed Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the Class B overcollateralization test.
In particular, the weighted average rating factor has increased
over the last year and is currently 2899 versus a test level of
2350 as of the last trustee report, dated August 6, 2009. Based
on the same report, defaulted securities currently held in the
portfolio total about $5.8 million, accounting for roughly 1.4% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 9.1% of the underlying portfolio.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 2009. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Stedman Loan Fund II, Ltd., issued in March of 2008, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
STEERS THAYER: Moody's Downgrades Ratings on Various Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
ratings of notes issued by Steers Thayer Gate CDO Trust 2006-1, 2,
4, and 5, managed collateralized debt obligation transactions
referencing a portfolio of corporate entities.
Moody's explained that the rating actions taken are the result of
the deterioration of the credit quality of the reference
portfolio. According to the trustee reports, the weighted average
rating factor of the portfolio has deteriorated from 775 to 1038
since the last rating action on February 12, 2009, equivalent to
an average rating of the current portfolio of Ba1. The reference
portfolio includes an exposure to CIT Group, Inc., and Ambac
Financial Group which have experienced substantial credit
migration in the past few months, and are now rated Ca. Since the
last rating action on February 12, 2009, the subordination of the
rated tranches has been reduced due to credit events on The Rouse
Company LP, Idearc, Inc., Bowater, Inc., and Station Casinos, Inc.
These credit events lead to a decrease of approximately 1% of the
subordination of all of the series. The current reference
portfolio has the highest industry concentration in Sovereign &
Public Finance (18.11%), Banking (13.7%), Finance (12.1%), and
Insurance (11.6%).
Moody's monitors these transactions using primarily the
methodology for Corporate Synthetic Obligations as described in
Moody's Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the strength of the legal
framework as well as specific documentation features, the
collateral manager's impact and the potential for selection bias
in the portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
The rating actions are:
Issuer: Thayer Gate CDO Trust, Series 2006-1
-- US$20,000,000 STEERS Thayer Gate CDO Trust, Series 2006-1,
Downgraded to Ca; previously on Feb. 12, 2009 Downgraded to
Caa2
Issuer: Thayer Gate CDO Trust, Series 2006-2
-- US$23,000,000 Trust Units Due 2013, Downgraded to Ca;
previously on Feb. 12, 2009 Downgraded to Caa2
Issuer: Thayer Gate CDO Trust, Series 2006-4
-- US$5,000,000 Trust Certificates Due 2013, Downgraded to Ca;
previously on Feb. 12, 2009 Downgraded to Caa3
Issuer: Thayer Gate CDO Trust, Series 2006-5
-- US$25,000,000 STEERS Thayer Gate CDO Trust, Series 2006-5,
Downgraded to Ca; previously on Feb. 12, 2009 Downgraded to
Caa3
STONE TOWER: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Stone Tower CDO II LTD.:
-- US$185,000,000 Class A-1LA Floating Rate Notes due 2040
(current balance of $157,370,418), Downgraded to Ba2;
previously on March 25, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$45,000,000 Class A-1LB Floating Rate Notes due 2040,
Downgraded to Ca; previously on March 25, 2009 Downgraded to
Caa1 and Placed Under Review for Possible Downgrade;
-- US$21,000,000 Class A-2L Floating Rate Notes due 2040,
Downgraded to C; previously on March 25, 2009 Downgraded to
Ca;
-- US$14,000,000 Class A-3L Floating Rate Notes due 2040,
Downgraded to C; previously on March 25, 2009 Downgraded to
Ca;
-- US$15,000,000 Class B-1L Floating Rate Notes due 2040
(current balance of $13,290,286), Downgraded to C;
previously on March 25, 2009 Downgraded to Ca.
In addition, Moody's has confirmed the ratings of these notes:
-- US$5,000,000 Class X Notes due 2010 (current balance of
$1,301,289), Confirmed at Baa2; previously on March 25, 2009
Downgraded to Baa2 and Placed Under Review for Possible
Downgrade.
As reported by the trustee, on July 27, 2009, the transaction
experienced an "Event of Default" caused by a failure of the
overcollateralization ratio with respect to the Class A Notes to
be at least equal to 95%, as required under Section 5.1(f) of the
indenture dated October 12, 2005. Holders of at least 66 2/3% of
the controlling class have also directed the trustee to declare
the notes to be immediate due and payable. This Event of Default
is continuing.
Under Article V of the indenture, during the occurrence of an
Event of Default relating to a failure of the
overcollateralization ratio with respect to the Class A Notes to
be at least equal to 95%, if liquidation proceeds will not equal
the aggregate par of the portfolio sold, then 100% of the
noteholders may direct the trustee to proceed with the sale and
liquidation of the collateral. In such a case, the severity of
losses may depend on the timing and choice of remedy to be
pursued. While Moody's believes the likelihood of liquidation is
small due to the voting requirement for liquidation, the rating
actions result in part from increased concerns about potential
losses arising from liquidation.
According to Moody's, the rating actions taken on the notes
reflect the impact of the Event of Default-based acceleration, the
increased concerns relating to liquidation, as well as continued
credit deterioration of the underlying portfolio. The actions
also reflect Moody's revised assumptions with respect to default
probability, the treatment of ratings on "Review for Possible
Downgrade" or with a "Negative Outlook," the application of
certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also incorporates the expectation that recoveries
for second lien loans will be below their historical averages,
consistent with Moody's research. Moreover Moody's has applied
resecuritization stress factors to default probability assumptions
for structured finance asset collateral as described in the press
release titled "Moody's updates its key assumptions for rating
structured finance CDOs," published on December 11, 2008.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the Class A Overcollateralization and
the Class B Overcollateralization tests. In particular, the
weighted average rating factor has increased over the last year
and is currently 2829 versus a test level of 1490 as of the last
trustee report, dated July 10, 2009. Based on the same report,
defaulted securities total about $37 million, accounting for
roughly 14% of the collateral balance, and securities rated Caa1
or lower make up approximately 20% of the underlying portfolio
(due to the impact of all aforementioned stresses, key model
inputs used by Moody's in its analysis, such as par, weighted
average rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers).
Moody's observes that the transaction is exposed to a significant
concentration of structured finance assets in the underlying
portfolio, including mezzanine and junior CLO tranches. Based on
the last trustee report, they make up approximately 34% of the
underlying portfolio. The majority of these consist of CLO
tranches that are currently assigned low speculative-grade ratings
and carry depressed market valuations that may herald poor
recovery prospects in the event of default, or limited proceeds in
the event of a liquidation.
Stone Tower CDO II LTD., issued on October 12, 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans, with a significant concentration in
structured finance securities.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
STRUCTURED INVESTMENTS: Moody's Cuts Rating on $3 Mil. Notes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating of these notes issued by Structured Investments Corporation
Series 71:
-- US$3,000,000 Notes due November 25, 2013, Downgraded to Ba3;
previously on September 24, 2003 Assigned Baa2.
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Term Assets, which consist of $1,500,000 in the Class C
Floating Rate Subordinate Notes due 2013 and $1,500,000 in the
Preferred Shares, both issued by Pro Rata Funding Ltd., a
synthetic CLO referencing primarily a portfolio of senior secured
loans. The Class C Notes were downgraded from Baa2 to Baa3 on
June 16, 2009.
STRUCTURED ASSET: Moody's Downgrades Ratings on 2002-4H Certs.
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
from Structured Asset Securities Corporation Mortgage Pass-Through
Certificates, Series 2002-4H. The collateral backing this
transaction consists primarily of first-lien, fixed-rate, Alt-A
residential mortgage loans.
This action is a result of updated loss expectations on the
underlying collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months and the projected loss rate over next 12 months, and then
translates these measures into lifetime losses based on a deal's
expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions ranging from 40% to 55%. The
results of these two calculations -- Recent Losses and Pipeline
Losses -- are weighted to arrive at the lifetime cumulative loss
projection. Additionally, Moody's further stresses the default
rate assumptions for deals with extremely low pool factors to
account for volatility arising from the small number of loans
backing these transactions.
Once expected losses have been determined, Moody's assesses
available credit enhancement from subordination,
overcollateralization, excess spread and any external support
(mortgage insurance, pool policy, etc.). The available
enhancement is weighed against projected future losses to
ultimately arrive at an updated rating.
List of actions:
Issuer: Structured Asset Securities Corporation Mortgage Pass-
Through Certificates, Series 2002-4H
-- Cl. B3, Downgraded to Ba1; previously on Nov 30, 2005
Confirmed at Baa2
STUYVESANT CDO: Moody's Cuts Ratings on $25 Mil. Notes to 'Ba1'
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of one class of Notes issued by Stuyvesant CDO V, Ltd. The
instruments affected by the rating action are:
-- US$25,000,000 Class A Floating Rate Notes, Downgraded to Ba1;
Previously on 4/9/2009 Downgraded to Baa2 Under Review for
Possible Downgrade
Stuyvesant CDO V, Limited is a synthetic collateralized debt
obligation that references primarily by a portfolio of
Collateralized Loan Obligations.
The rating downgrade actions taken reflect deterioration in the
credit of the 22 securities in the reference portfolio each of
which were originally rated Aaa. Approximately 12 securities in
the portfolio have experienced rating actions and were downgraded
to a Aa or A level. Moody's is currently in Stage II of its CLO
rating surveillance process and is performing comprehensive
analysis of each CLO transaction by updating the model of each CLO
that it has rated. Additional rating actions may be taken with
respect to the CLO tranches that are referenced by Stuyvesant CDO
V, Ltd., as necessary.
Moody's explained that in addition to the quantitative factors
that are explicitly modeled, qualitative factors are part of the
Moody's rating committee considerations. These qualitative
factors include but are not limited to the structural protections
in the transaction, the recent performance of the transaction in
the current market environment, how legal risks and issues are
addressed in transaction documentation, the collateral manager's
track record, and the potential for selection bias in the
portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions.
TAYLOR BEAN: Moody's Reviews Ratings on 50 Tranches From Six Deals
------------------------------------------------------------------
Moody's Investors Service has placed on review for possible
downgrade the ratings of 50 tranches from 6 transactions issued by
Taylor, Bean & Whitaker Mortgage Corp.
The bonds are being placed on review for possible downgrade
because no interest or principal was paid on these bonds during
the August 2009 payment cycle. Wells Fargo Bank, the master
servicer on the 6 transactions, reported that no remittance was
received from TBW on August 18, 2009, because its accounts,
including the Collection Account, were frozen by government
regulators.
Wells Fargo Bank states that it is currently working with TBW and
government regulators to lift the freeze on the Collection Account
and is also working to organize a transfer of servicing. Wells
Fargo Bank expects that the collections, once received, will be
distributed to investors.
Earlier, on August 5, 2009, TBW announced that it would cease all
mortgage lending activity. TBW, however, stated that it planned
to continue with its servicing operations. However, on August 13,
2009, Wells Fargo Bank, acting as Master Servicer terminated TBW
as servicer for an Event of Default. On August 24, 2009, TBW
filed for Chapter 11 bankruptcy protection.
In its analysis during the review period, Moody's will evaluate
the probable timing of the potential release of funds from the
Collection Account that are currently frozen and the possibility
of any loss to the bonds as a result of these events.
Detailed rating actions are:
Issuer: TBW Mortgage-Backed Trust 2007-1, Mortgage Pass-Through
Certificates, Series 2007-1
-- Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on March 15, 2007 Assigned Aaa
-- Cl. A-2, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. nA-3, Caa2 Placed Under Review for Possible Downgrade;
previously on Aug. 17, 2009 Downgraded to Caa2
-- Cl. A-4, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. A-5, Caa2 Placed Under Review for Possible Downgrade;
previously on Aug. 17, 2009 Downgraded to Caa2
-- Cl. A-6, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. A-7B, Ca Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Ca
-- Cl. A-8, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
Issuer: TBW Mortgage-Backed Trust 2007-2, Mortgage Pass-Through
Certificates, Series 2007-2
-- Cl. A-1-A, B3 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to B3
-- Cl. A-1-B, Caa1 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa1
-- Cl. A-2-A, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. A-2-B, Ca Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Ca
-- Cl. A-3-A, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. A-3-B, Ca Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Ca
-- Cl. A-6-A, Caa1 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa1
-- Cl. A-6-B, Ca Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Ca
Issuer: TBW Mortgage-Backed Trust Series 2006-3
-- Cl. 1-A, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. 2-A1, Caa1 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa1
-- Cl. 2-A2, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. 3-A, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. 4-A1, Caa1 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa1
-- Cl. 4-A2, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. 4-A3, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. 5-A1, Caa1 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa1
-- Cl. 5-A2, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. 5-A3, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. AP, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. AX, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
Issuer: TBW Mortgage-Backed Trust Series 2006-4
-- Cl. A-1-A, Aaa Placed Under Review for Possible Downgrade;
previously on Sept. 15, 2006 Assigned Aaa
-- Cl. A-1-B, Aaa Placed Under Review for Possible Downgrade;
previously on Sept. 15, 2006 Assigned Aaa
-- Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on Aug. 5, 2009 Upgraded to Aaa
-- Cl. A-3, A3 Placed Under Review for Possible Downgrade;
previously on Aug. 5, 2009 Upgraded to A3
-- Cl. A-4, Ba3 Placed Under Review for Possible Downgrade;
previously on Aug. 5, 2009 Upgraded to Ba3
-- Cl. A-5, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. A-6, Ca Placed Under Review for Possible Downgrade;
previously on Aug. 5, 2009 Downgraded to Ca
-- Cl. A-7, Ca Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Ca
Issuer: TBW Mortgage-Backed Trust Series 2006-5
-- Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on Nov. 13, 2006 Assigned Aaa
-- Cl. A-2-A, Aaa Placed Under Review for Possible Downgrade;
previously on Aug. 5, 2009 Upgraded to Aaa
-- Cl. A-2-B, Aaa Placed Under Review for Possible Downgrade;
previously on Aug. 5, 2009 Upgraded to Aaa
-- Cl. A-3, Baa3 Placed Under Review for Possible Downgrade;
previously on Aug. 5, 2009 Upgraded to Baa3
-- Cl. A-4, Ba3 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Ba3
-- Cl. A-5-A, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. A-5-B, Ca Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Ca
-- Cl. A-6, Ba3 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Ba3
Issuer: TBW Mortgage-Backed Trust Series 2006-6
-- Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on Jan. 5, 2007 Assigned Aaa
-- Cl. A-2A, Caa3 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa3
-- Cl. A-2B, Caa3 Placed Under Review for
Possible Downgrade; previously on Feb. 20, 2009 Downgraded to
Caa3
-- Cl. A-3, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
-- Cl. A-5B, Caa3 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa3
-- Cl. A-6A, Caa2 Placed Under Review for Possible Downgrade;
previously on Feb. 20, 2009 Downgraded to Caa2
TEXAS STATE AFFORDABLE HOUSING: S&P Cuts Rating on Bonds to 'B'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its underlying rating
on Texas State Affordable Housing Corp.'s (South Texas Affordable
Housing Corp.) $48.5 million multifamily housing revenue bonds
(South Texas Apartment Portfolio) series 2002A to 'B' from 'BB'.
The outlook is negative.
"The downgrade reflects the declining debt service coverage levels
and low occupancy of the project," said Standard & Poor's credit
analyst Raymond Kim.
In S&P's opinion, the 'B' rating reflects the decline in debt
service coverage levels to 1.08x maximum annual debt service based
on audited financial statements for the fiscal ended 2008, with
year-to-date financial statements indicating lower coverage; high
loan-to-value ratio of 124%; and low occupancy at the project.
Standard & Poor's also withdrew its 'D' rating on the series 2002C
bonds. The series 2002C bonds defaulted in September 2008, and to
date the default has not been cured.
TCW GLOBAL: Fitch Downgrades Ratings on Two Tranches
----------------------------------------------------
Fitch Ratings has downgraded two and affirmed six tranches of TCW
Global Project Fund II.
GPF II's five-year investment period recently ended June 2009.
Although the fund enhanced its profile in terms of
diversification, the fund has several assets with maturity dates
longer than the final maturity of the fund's debt obligations. In
aggregate, approximately 15% of the funds outstanding asset
balance will mature after the GPF II's maturity date of June 2016.
Rating actions to the class C and class D tranches primarily
reflect Fitch's view of the associated market value risks.
Rating action on the class D notes also reflects a small degree of
credit enhancement relative to the fund's exposure to a large
single asset, Oceanografia. Fitch recently downgraded
Oceanografia's senior secured debt rating to 'CCC' from 'B' which
remains on Rating Watch Negative.
GPF II is a securitization of project finance loans, the majority
of which are senior secured obligations. By the end of June 2009
there were 22 assets in the portfolio. Approximately 40% of the
fund's assets are domiciled in the United States while 46% stem
from emerging market countries. TCW Asset Management Company is
the portfolio manager. The majority of investments are in the
energy, oil and gas, and infrastructure project finance sectors.
The ratings of the various tranches of TCW's GPF II are assigned
consistent with Fitch's methodologies on CDOs, primarly 'Global
Rating Criteria for Collateralised Debt Obligations with Emerging
Market Exposure', published March, 2009 and 'Global Rating
Criteria for Corporate CDOs', published April, 2008. Rating
Outlooks have also been assigned as part of Fitch's greater effort
to increase transparency in ratings and to provide more forward-
looking information to the market.
Fitch has taken these rating actions:
-- $330 million revolving senior notes affirmed at 'AAA';
Outlook Stable;
-- $70 million class A-1 floating-rate notes affirmed at 'AAA';
Outlook Stable;
-- $64 million class A-2-A floating-rate notes affirmed at 'AA';
Outlook Stable;
-- $6 million class A-2-B fixed-rate notes affirmed at 'AA';
Outlook Stable;
-- $61 million class B-1 floating-rate notes affirmed at 'BBB';
Outlook Stable;
-- $14 million class B-2 fixed-rate notes affirmed at 'BBB'';
Outlook Stable;
-- $33 million class C floating-rate notes downgraded to 'B'
from 'BB'; Outlook Stable;
-- $27 million class D floating-rate notes downgraded to 'CCC'
from 'B+'.
TCW SELECT: Moody's Downgrades Ratings on Three Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by TCW Select Loan Fund, Limited:
-- US$11,000,000 Class D-1 Senior Secured Floating Rate Notes,
Due 2013, Downgraded to B1; previously on March 4, 2009 Ba1
Placed Under Review for Possible Downgrade;
-- US$5,000,000 Class D-2 Senior Secured Floating Rate Notes,
Due 2013, Downgraded to B1; previously on March 4, 2009 Ba1
Placed Under Review for Possible Downgrade;
-- US$5,000,000 Composite Obligations, Downgraded to B1;
previously on May 2, 2001 Assigned Ba3.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, and an
increase in the proportion of securities from issuers rated Caa1
and below. In particular, the weighted average rating factor has
increased over the last year and is currently 2923 versus a test
level of 2300 as of the last trustee report, dated July 31, 2009.
Based on the same report, defaulted securities total about
$17.9 million, accounting for roughly 14.5% of the collateral
balance, and securities rated Caa1 or lower make up approximately
13.6% of the underlying portfolio.
The downgrade actions taken on the Class D-1 and D-2 Notes, and
the Composite Obligations also reflect Moody's revised assumptions
with respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Other assumptions used in
Moody's CLO monitoring are described in the publication "CLO
Ratings Surveillance Brief - Second Quarter 2009," dated July 17,
2009. Due to the impact of all aforementioned stresses, key model
inputs used by Moody's in its analysis, such as par, weighted
average rating factor, diversity score, and weighted average
recovery rate, may be different from the trustee's reported
numbers.
In addition, Moody's has upgraded the rating of these notes:
-- US$62,000,000 A-2 Senior Secured Floating Rate Notes, Due
2013, Upgraded to Aaa; previously on March 4, 2009 Aa1 Placed
Under Review for Possible Downgrade.
Finally, Moody's has confirmed the ratings of these notes:
-- US$25,000,000 Class B Senior Secured Floating Rate Notes, Due
2013, Confirmed at Aa2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$15,000,000 Class C Senior Secured Floating Rate Notes, Due
2013, Confirmed at A3; previously on March 4, 2009 A3 Placed
Under Review for Possible Downgrade.
Moody's notes that the upgrade actions on the Class A-2 Notes and
the rating confirmation on the Class B and C Notes have
incorporated the aforementioned stresses as well as credit
deterioration in the underlying portfolio. However, the actions
reflect updated analysis indicating that the impact of these
factors on the ratings of the Class A-2, B and C Notes is not as
negative as previously assessed during Stage I of the deal review
in March. The current conclusions stem from comprehensive deal-
level analysis completed during Stage II of the ongoing CLO
surveillance review, which included an in-depth assessment of
results from Moody's quantitative CLO rating model along with an
examination of deal-specific qualitative factors. By way of
comparison, during Stage I Moody's took rating actions that were
largely the result of a parameter-based approach.
Additionally, the actions consider the positive implications of
performance stabilization in certain deal collateral quality
measurements since the time of the previous rating actions. In
particular, the Class A overcollateralization ratio is 201.5%
based on the last trustee report dated July 31, 2009. In
addition, the ongoing delevering of the transaction is benefiting
the Class A-2 Notes. As reported in the last trustee report, the
Class A-1 Notes have currently paid down by about 99%. The Class
A-2 Notes will be the senior most notes once the Class A-1 Notes
have fully paid down.
TCW Select Loan Fund, Limited, issued in May of 2001, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
VFN SERIES: Moody's Downgrades Ratings on Series 2008-2 Notes
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the VFN
Series 2008-2 notes and confirmed the ratings on the Series 2007-1
notes issued out of the First National Master Note Trust. These
rating actions conclude the review initiated on May 20, 2009. The
notes are backed by $2.5 billion of consumer credit card
receivables originated and serviced by First National Bank of
Omaha and its affiliates.
Rationale
VFN SERIES 2008-2
The downgrade of the VFN Series 2008-2 classes is primarily driven
by deterioration in some of the Trust's key performance metrics,
primarily the charge-off and delinquency rates. Furthermore,
FNBO's relatively small credit card program ($4.4 billion on a
managed basis) lacks the economies of scale of larger bank card
issuers and makes competing in the commoditized credit card market
more difficult, especially in the current recessionary
environment.
In fact, many card companies are struggling to maintain the
profitability of their card programs. If the long-term
profitability of this business line is called into question, FNBO
could choose to sell or liquidate all or a portion of its credit
card portfolio (e.g. by selectively closing card accounts).
Liquidation, in particular, could cause adverse Trust collateral
performance.
FNBO has grown their portfolio mainly by competing on price with
the larger, national-scale card issuers using balance transfer and
promotional "teaser rate" offers. Moody's acknowledge that FNBO's
portfolio has a relatively high proportion of accounts with high
credit scores (and a relatively low proportion of accounts with
low credit scores); however, that difference in credit profile has
not made a meaningful distinction in the Trust's credit
performance relative to the Moody's Credit Card Index.
In the initial stage of the current economic cycle, several of the
Trust's key collateral performance measures compared favorably to
the industry as measured by Moody's Credit Card Indices. That
comparative advantage was attributable, in part, to a portfolio
consisting of mostly prime credit card receivables as measured by
credit score. However, the Trust has grown approximately 25%
since early 2007. Moody's believe that the credit quality for
those card originations from the 2007 and 2008 vintages (i.e.
those originations made during the peak of the credit expansion)
are generally weaker and will therefore under-perform originations
from previous vintages over the next year. Furthermore, these
originations are entering the peak loss period typical of new
credit card originations.
The positive performance differential between the Trust and the
industry average has substantially diminished in the last 12
months. Like other credit card issuers, collateral performance
has deteriorated in the current economic environment. For
example, the Trust's charge-off rate, which in July 2009 reached
9.7%, has essentially doubled since July 2008. Similarly, the
Trust's delinquency rate, a harbinger of near-term charge-offs,
has also increased by a similar magnitude from a year ago and
reached 4.8% in July 2009. Moreover, the Trust's principal
payment rate has maintained a steady negative decline, falling to
12.6% in July 2009 from 14.9% a year earlier. The principal
payment rate is a measure of cardholders' willingness and ability
to repay their credit card balances. It is also a measure of the
speed by which securitized investors will be repaid if an
amortization event is triggered; therefore, a drop in this rate
may have negative consequences for securitized noteholders.
SERIES 2007-1
The confirmation of the Series 2007-1 note ratings is driven
primarily by the expectation that principal collections will be
accumulated for the benefit of these notes in the very near term.
Starting in September and for each month thereafter until
maturity, available principal collections totaling up to 12.5% of
the initial invested amount of the Series 2007-1 notes will be
allocated to an accumulation account. These amounts essentially
mitigate the Series 2007-1 notes exposure to the credit risk
associated with the performance of the Trust's credit card
receivables. The greater the amounts accumulated, the greater the
credit risk mitigation. The Series 2007-1 notes are expected to
mature in April 2010.
The Series 2007-1 has considerably less credit enhancement than
the more recent series of notes issued out the trust. For
example, the Series 2007-1, Aaa-rated Class A note benefits from
17.75% of subordination compared to 24.0% available to the senior
class (also rated Aaa) in the recently issued Series 2009-3. In
Moody's view, the accumulation of principal collections, leveraged
by the transaction's other structural features, outweighs the
lower available credit enhancement for this Series.
The complete rating actions are:
Issuer: First National Master Note Trust, Series 2007-1
Ratings Confirmed
-- Cl. A, Confirmed at Aaa; previously on May 20, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. B, Confirmed at A2; previously on May 20, 2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. C, Confirmed at Baa2; previously on May 20, 2009 Baa2
Placed Under Review for Possible Downgrade
Ratings Downgraded
Issuer: First National Master Note Trust, VFN Series 2008-2
-- Cl. B - VFN, Downgraded to A3; previously on May 20, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. C - VFN, Downgraded to Ba2; previously on May 20, 2009
Baa2 Placed Under Review for Possible Downgrade
-- Cl. D - VFN, Downgraded to B3; previously on May 20, 2009 Ba2
Placed Under Review for Possible Downgrade
FNBO, based in Omaha, Nebraska, reported total assets of
$9.2 billion as of June 30, 2009. FNBO's long-term bank deposits
are rated A3 and its Bank Financial Strength rating is C. The
ratings are currently under review for possible downgrade.
VINACASA CLO: Moody's Downgrades Ratings on Four Classes of Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Vinacasa CLO, Ltd.:
-- US$477,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2015 (current balance of
$412,384,467), Downgraded to Aa2; previously on March 14,
2008 Assigned Aaa;
-- US$33,975,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2015, Downgraded to A3; previously on
March 4, 2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$30,600,000 Class B Third Priority Mezzanine Secured
Deferrable Floating Rate Notes Due 2015, Downgraded to Ba1;
previously on March 20, 2009 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade;
-- US$22,600,000 Class C Fourth Priority Mezzanine Secured
Deferrable Floating Rate Notes Due 2015 (current balance of
$23,757,097), Downgraded to Caa1; previously on March 20,
2009 Downgraded to Ba3 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of certain overcollateralization tests. In
particular, the weighted average rating factor has increased over
the last year and is currently 3334 versus a test level of 2743 as
of the last trustee report, dated July 3, 2009. Based on the same
report, defaulted securities total about $25 million, accounting
for roughly 4% of the collateral balance, and securities rated
Caa1 or lower make up approximately 12.8% of the underlying
portfolio. Additionally, interest payments on the Class C Notes
are presently being deferred as a result of the failure of the
Class B and C overcollateralization tests. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor, and
weighted average recovery rate, may be different from the
trustee's reported numbers.
Vinacasa CLO, Ltd., issued in March 2008, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
WACHOVIA BANK: Fitch Puts Ratings on 2005-C20 Certs. on Neg. Watch
------------------------------------------------------------------
Fitch Ratings has placed these classes of Wachovia Bank Commercial
Mortgage Trust, series 2005-C20, commercial mortgage pass-through
certificates on Rating Watch Negative:
-- $274.8 million class A-J 'AAA';
-- $77.9 million class B 'A-';
-- $27.5 million class C 'BBB+';
-- $68.7 million class D 'BBB-';
-- $41.2 million class E 'BB+';
-- $41.2 million class F 'BB-';
-- $32.1 million class G 'B-'.
The Rating Watch Negative placements are due to the transfer to
special servicing of the ninth largest loan (2.6%) for monetary
default.
The specially serviced loan is the Forum at Carlsbad, which is
secured by a 264,199 square foot retail property located in
Carlsbad, CA. A planned assumption of the loan was not completed
and the loan is delinquent. Once more information is known
including valuations, workout strategies, lease status and the
status of store operations, Fitch will revisit the ratings.
Downgrades are possible if losses are expected or the loan is
expected to perform significantly below the level at issuance.
WHITEHORSE I: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Whitehorse I Ltd.:
-- US$30,000,000 Class A-1LB Floating Rate Notes Due September
2016 Notes, Downgraded to Aa3; previously on March 4, 2009
Aaa Placed Under Review for Possible Downgrade;
-- US$14,000,000 Class A-2L Floating Rate Notes Due September
2016 Notes, Downgraded to Baa1; previously on March 4, 2009
Aa2 Placed Under Review for Possible Downgrade;
-- US$10,000,000 Class A-3L Floating Rate Notes Due September
2016 Notes, Downgraded to Ba1; previously on March 18, 2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$5,000,000 Class B-1L Floating Rate Notes Due September
2016 Notes, Downgraded to B1; previously on March 18, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below. In particular, the weighted average rating factor is
currently 2562 versus a test level of 2390 as of the last trustee
report, dated August 2, 2009. Based on the same report, defaulted
securities currently held in the portfolio total about
$13 million, accounting for roughly 6.6% of the collateral
balance, and securities rated Caa1 or lower make up approximately
10% of the underlying portfolio.
The rating actions also reflect Moody's revised assumptions with
respect to default probability and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 2009. Due to the impact of
all aforementioned stresses, key model inputs used by Moody's in
its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Whitehorse I Ltd., issued in July 29, 2004, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
* Moody's Reviews Ratings on 36 CMBS Deals for Likely Downgrades
----------------------------------------------------------------
Moody's Investors Service placed 36 classes from two commercial
mortgage backed securities transactions on review for possible
downgrade due to concerns about the 666 Fifth Avenue Loan as well
as anticipated losses from loans in special servicing. Moody's is
particularly concerned about the ability of this pro-forma loan to
achieve forecast cash flow prior to the depletion of up-front
reserves. Recent decreases in property performance, weakening
office market fundamentals and increased vacancy have prompted
this action. The rating action is the result of Moody's on-going
surveillance of CMBS transactions.
The 666 Fifth Avenue Loan represents a $1.2 billion ($836 PSF)
pari passu first mortgage that is spread among three CMBS deals.
The property is also encumbered by $200 million ($138 PSF) of
mezzanine debt. The loan is secured by a 39-story Class A office
building occupying the full block between 52nd and 53rd Streets on
Fifth Avenue in Midtown Manhattan. The borrower purchased the
property for $1.8 billion ($1,238 PSF) in 2007 and planned to
maximize its value by increasing rents as tenant leases came up
for renewal. Due to the increased market vacancy and the
decreased market rents, the borrower has not been able to achieve
the results originally anticipated.
Recently, Citigroup vacated 80,000 square feet (6% of NRA) at the
property and Orrick Herrington & Sutcliffe is expected to vacate
232,000 square feet (16% NRA) in March 2010. At securitization,
the property was 98% occupied compared to 88% as of March 2009.
The occupancy rate, excluding the Orrick Herrington & Sutcliffe
space as leased space, would decrease to 71%. In addition, the
softening Manhattan office market has contributed to lower
effective rents which have been further reduced by the substantial
increase in capital costs necessary to attract and retain tenants
in the current market.
The property's operating income does not cover the mortgage
payment, with an actual first mortgage debt service coverage ratio
("DSCR") of 0.58X and a total debt DSCR (including mezzanine debt)
of 0.48X for the full year 2008.
At securitization, a $100 million interest reserve was established
to cover interest shortfalls. As of August 3, 2009, approximately
$76 million of these reserves remain, which will likely be
depleted in 2010. Moody's expects the loan to be transferred to
special servicing at the latest when the interest reserve runs
out.
Moody's rating action is:
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2007-C33 (7.9% exposure)
-- Class A-M, $360,212,000, currently rated Aaa, on review for
possible downgrade; previously affirmed at Aaa on 2/11/2009
-- Class A-J, $247,646,000, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aaa on
2/11/2009
-- Class B, $36,022,000, currently rated A2, on review for
possible downgrade; previously downgraded to A2 from Aa1 on
2/11/2009
-- Class C, $40,523,000, currently rated A3, on review for
possible downgrade; previously downgraded to A3 from Aa2 on
2/11/2009
-- Class D, $36,022,000, currently rated Baa1, on review for
possible downgrade; previously downgraded to Baa1 from Aa3 on
2/11/2009
-- Class E, $31,518,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from A1 on
2/11/2009
-- Class F, $27,016,000, currently rated Baa3, on review for
possible downgrade; previously downgraded to Baa3 from A2 on
2/11/2009
-- Class G, $36,021,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from A3 on
2/11/2009
-- Class H, $40,524,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa1 on
2/11/2009
-- Class J, $49,530,000, currently rated B1, on review for
possible downgrade; previously downgraded to B1 from Baa2 on
2/11/2009
-- Class K, $36,021,000, currently rated B3, on review for
possible downgrade; previously downgraded to B3 from Baa3 on
2/11/2009
-- Class L, $27,016,000, currently rated Caa1, on review for
possible downgrade; previously downgraded to Caa1 from Ba1 on
2/11/2009
-- Class M, $13,508,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba2 on
2/11/2009
-- Class N, $9,005,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba3 on
2/11/2009
-- Class O, $13,508,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B1 on
2/11/2009
-- Class P, $9,005,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B2 on
2/11/2009
-- Class Q, $9,006,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B3 on
2/11/2009
Moody's prior review of WBCMT 2007-C33 is summarized in a Press
Release dated February 11, 2009.
GE Commercial Mortgage Corporation, Commercial Mortgage Pass-
Through Certificates, Series 2007-C1 (6.3% exposure)
-- Class A-M, $354,346,000, currently rated Aaa, on review for
possible downgrade; previously affirmed at Aaa on 2/12/2009
-- Class A-MFL, $41,000,000, currently rated Aaa, on review for
possible downgrade; previously affirmed at Aaa on 2/12/2009
-- Class A-J, $239,453,000, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aaa on
2/12/2009
-- Class A-JFL, $62,000,000, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aaa on
2/12/2009
-- Class B, $39,534,000, currently rated A2, on review for
possible downgrade; previously downgraded to A2 from Aa1 on
2/12/2009
-- Class C, $44,477,000, currently rated A3, on review for
possible downgrade; previously downgraded to A3 from Aa2 on
2/12/2009
-- Class D, $39,534,000, currently rated Baa1, on review for
possible downgrade; previously downgraded to Baa1 from Aa3 on
2/12/2009
-- Class E, $29,651,000, currently rated Baa2, on review for
possible downgrade, previously downgraded to Baa2 from A1 on
2/12/2009
-- Class F, $24,710,000, currently rated Baa3, on review for
possible downgrade; previously downgraded to Baa3 from A2 on
2/12/2009
-- Class G, $49,418,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from A3 on
2/12/2009
-- Class H, $44,476,000, currently rated B1, on review for
possible downgrade; previously downgraded to B1 from Baa1 on
2/12/2009
-- Class J, $39,535,000, currently rated B2, on review for
possible downgrade; previously downgraded to B2 from Baa2 on
2/12/2009
-- Class K, $54,360,000, currently rated Caa1, on review for
possible downgrade; previously downgraded to Caa1 from Baa3
on 2/12/2009
-- Class L, $9,884,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba1 on
2/12/2009
-- Class M, $14,825,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba2 on
2/12/2009
-- Class N, $9,884,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba3 on
2/12/2009
-- Class O, $9,884,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B1 on
2/12/2009
-- Class P, $9,883,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B2 on
2/12/2009
-- Class Q, $14,826,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B3 on
2/12/2009
Moody's prior review of GECMC 2007-C1 is summarized in a Press
Release dated February 12, 2009.
The third CMBS deal with exposure to the 666 Fifth Avenue Loan is
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2007-C31 which has a 6.8% exposure.
However, nineteen classes from that transaction are already
currently on review for possible downgrade due to the significant
credit uncertainty surrounding the ultimate resolution of the
Peter Cooper Village and Stuyvesant Town Loan. Moody's note this
loan as an added concern in that transaction.
* S&P Changes CreditWatch on Two Emerging Market Synthetic SFs
--------------------------------------------------------------
Standard & Poor's Ratings Services revised its CreditWatch
implications on two emerging markets synthetic structured
financing securitizations to developing from negative, where they
were placed March 10, 2009.
The rating actions follow the Aug. 12, 2009, revision of S&P's
CreditWatch implications on S&P's 'B-' long-term corporate credit
rating on Cemex S.A.B. de C.V. to developing from negative.
Emblem Finance Co. No. 2 Ltd.'s series 3 notes and UDICX Bonos'
series 2008-1 certificates are synthetic structured financings
with a first-to-default structure that is credit-linked to Cemex.
The series 3 notes are collateralized by Chilean peso-denominated
and inflation-adjusted Republic of Chile (foreign currency rating
A+/Stable/A-1; local currency rating AA/Stable/A-1+) sovereign
bonds and have exposure to JPMorgan Chase Bank N.A. (AA-
/Negative/A-1+), the swap counterparty. The series 2008-1
certificates have exposure to Merrill Lynch & Co. Inc.
(A/Stable/A-1), the issuer of the underlying collateral and the
swap guarantor.
If a credit event occurs regarding Cemex, the series 3 noteholders
and the series 2008-1 certificateholders will receive a cash
settlement amount that is calculated according to the market value
of the reference obligation and the swap, and the amount of
liquidation proceeds realized from the collateral.
S&P will continue to surveil the ratings on these asset-backed
transactions and revise the ratings as necessary to reflect any
changes in the transactions' underlying credit quality.
Creditwatch Implications Revised To Developing From Negative
Emblem Finance Co. No. 2 Ltd.
Rating
------
Series To From
------ -- ----
3 B-/Watch Dev B-/Watch Neg
UDICX Bonos
Rating
------
Series To From
------ -- ----
2008-1 mxBB/Watch Dev mxBB/Watch Neg
* S&P Downgrades Ratings on 14 Tranches From Four CDO Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
tranches from four U.S. cash flow collateralized debt obligation
transactions. S&P also withdrew its ratings on one tranche from
ARES VII CLO Ltd., which was redeemed in full. The ratings on 11
of the downgraded tranches are on CreditWatch with negative
implications, indicating a significant likelihood of further
downgrades.
The CDO downgrades reflect a number of factors, including an
increase in the amount of defaulted assets in the transaction's
collateral pools, as well as deterioration in the overall credit
quality of the performing assets within the respective collateral
pools. An increase in downgrades of speculative-grade U.S.
companies has resulted in an increase in the proportion of 'CCC'
and 'CC' rated assets in the underlying portfolios held within the
collateral pools.
The 14 downgraded U.S. cash flow CDO tranches have a total
issuance amount $753.95 million. Three of the four affected
transactions are CDOs of CDOs that were collateralized at
origination primarily by notes from CLO transactions. The other
transaction is a cash flow collateralized loan obligation
transaction.
Standard & Poor's will continue to monitor the transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
ARES VII CLO Ltd Rmkd Certs NR/NR AAA/A-1+
Marylebone Road CBO 3 BV A-1 B/Watch Neg AAA
Marylebone Road CBO 3 BV A-2 CCC-/Watch Neg AA
Marylebone Road CBO 3 BV A-3 CC BB+
Tricadia CDO 2005-4 Ltd. A-1LA AA/Watch Neg AAA
Tricadia CDO 2005-4 Ltd. A-1LB A/Watch Neg AAA
Tricadia CDO 2005-4 Ltd. A-2L BBB/Watch Neg AA/Watch Neg
Tricadia CDO 2005-4 Ltd. A-3L BB/Watch Neg A/Watch Neg
Tricadia CDO 2005-4 Ltd. B-1L B/Watch Neg BBB/Watch Neg
Vertical CDO 2004-1 Ltd. A CC BBB-/Watch Neg
Vertical CDO 2004-1 Ltd. B CC B+/Watch Neg
ZAIS Investment Grade Ltd V A-1 BBB/Watch Neg AAA/Watch Neg
ZAIS Investment Grade Ltd V A-2 BB+/Watch Neg AA/Watch Neg
ZAIS Investment Grade Ltd V B-1 B-/Watch Neg A-/Watch Neg
ZAIS Investment Grade Ltd V B-2 B-/Watch Neg A-/Watch Neg
Other Ratings Outstanding
Transaction Class Rating
----------- ----- ------
ARES VII CLO Ltd A-1a AAA
ARES VII CLO Ltd A-1b AAA
ARES VII CLO Ltd B A/Watch Neg
ARES VII CLO Ltd Combo Secs BBB/Watch Neg
* S&P Downgrades Ratings on 34 Classes From Five Prime Jumbo RMBS
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 34
classes from five U.S. prime jumbo and subprime residential
mortgage-backed securities transactions issued in 2004, 2005, and
2007. S&P removed 18 of the lowered ratings from CreditWatch with
negative implications. Additionally, S&P affirmed its ratings on
10 classes from four of the transactions and removed five of the
affirmed ratings from CreditWatch negative.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when assessing rating outcomes.
For information on how S&P derives its loss assumptions, S&P's use
of loss curve forecasting methodology, and how S&P incorporate
each transaction's current delinquency (including 60- and 90-day
delinquencies), default, and loss trends into S&P's analysis,
please see the articles list in the Related Research section
below.
As part of its analysis, S&P considered the characteristics of the
underlying mortgage collateral as well as macroeconomic
influences. For example, S&P's assessment of the risk profile of
the underlying mortgage pools influences S&P's default
projections, while S&P's outlook for housing price declines and
the health of the housing market influence S&P's loss severity
assumptions. Furthermore, for each deal, S&P adjusted its loss
expectations based on upward trends in delinquencies.
Standard & Poor's has established loss projections for each prime
jumbo transaction rated in 2005 based on a forward-looking default
curve. S&P's lifetime projected losses have changed for one of
the transactions in this release:
Original Loss
Transaction Bal. (mil. $) proj. (%)
----------- ------------- ---------
Bear Stearns ARM Trust 2005-9 1,127.9 2.89
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels, given out current
projected losses.
The affirmations reflect S&P's belief that there is sufficient
credit enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates. The
subordination of classes within each structure provides credit
support for the affected transactions.
To maintain a 'AAA' rating, S&P considers whether a class in a
subprime transaction is able to withstand approximately 150% of
S&P's base-case loss assumptions, subject to individual caps and
qualitative factors assumed on specific transactions. For a class
for which we've affirmed a 'B' rating, S&P consider whether a bond
is able to withstand S&P's base-case loss assumption. Other
rating categories are dispersed, approximately equally, between
these two loss assumptions. For example, to maintain a 'BB'
rating on one class, S&P may consider whether the class is able to
withstand approximately 110% of S&P's base-case loss assumptions,
while, in connection with a different class, S&P may consider
whether it is able to withstand approximately 120% of S&P's base-
case loss assumptions to maintain a 'BBB' rating.
For prime jumbo transactions, a class may have to withstand
approximately 127% of S&P's base-case loss assumptions in order to
maintain a 'BB' rating, while a different class may have to
withstand approximately 154% of S&P's base-case loss assumptions
to maintain a 'BBB' rating. An affirmed 'AAA' rating reflects
S&P's opinion that the class can withstand approximately 235% of
S&P's base-case loss assumptions.
The collateral backing these deals originally consisted
predominantly of either subprime, first-lien, fixed-rate,
adjustable-rate, negative-amortization residential mortgage loans,
or prime jumbo fixed- and adjustable-rate mortgage loans secured
by one- to four-family properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether, in S&P's view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deem
appropriate.
Rating Actions
Bear Stearns ARM Trust 2004-6
Series 2004-6
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 07384MW40 AA AAA
I-A-2 07384MW57 A+ AAA
II-A-2 07384MW73 A+ AAA
III-A 07384MW81 AA- AAA
B-1 07384MX31 B AA+
B-2 07384MX49 CCC BBB
B-3 07384MX56 CC B
B-4 07384MX64 CC CCC
Bear Stearns ARM Trust 2005-9
Series 2005-9
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07387AEG6 AA AAA
A-2 07387AEH4 BB A
X 07387AEJ0 AA AA+
B-3 07387AEM3 CC CCC
First Franklin Mortgage Loan Trust 2004-FF11
Series 2004-FF11
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A1 32027NMS7 AAA AAA/Watch Neg
I-A2 32027NMT5 AAA AAA/Watch Neg
II-A3 32027NMW8 AAA AAA/Watch Neg
M-1 32027NMX6 AA+ AA+/Watch Neg
M-2 32027NMY4 AA+ AA+/Watch Neg
M-3 32027NMZ1 AA- AA/Watch Neg
M-4 32027NNA5 B+ AA-/Watch Neg
M-5 32027NNB3 CCC A+/Watch Neg
M-6 32027NNC1 CC BB/Watch Neg
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1
Series 2007-H1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 59025TAA1 BB+ AAA/Watch Neg
1-A2 59025TAB9 CCC AAA/Watch Neg
1-A3 59025TAC7 CCC AAA/Watch Neg
2-A1 59025TAD5 BB AAA/Watch Neg
2-A2 59025TAE3 CCC AAA/Watch Neg
2-A3A 59025TAF0 CCC AAA/Watch Neg
2-A3B 59025TAW3 CCC AAA/Watch Neg
X-A 59025TAG8 BB+ AAA/Watch Neg
M-1 59025TAH6 CCC AA+/Watch Neg
M-2 59025TAJ2 CCC AA/Watch Neg
M-3 59025TAK9 CCC AA-/Watch Neg
M-4 59025TAL7 CC A+/Watch Neg
M-5 59025TAM5 CC A/Watch Neg
M-6 59025TAN3 CC A-/Watch Neg
Wells Fargo Mortgage Backed Securities 2004-C Trust
Series 2004-C
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 94980AAG9 BBB- A
B-3 94980AAH7 B BBB
B-4 94980AAA2 CCC BB
B-5 94980AAB0 CC CCC
Ratings Affirmed
Bear Stearns ARM Trust 2004-6
Series 2004-6
Class CUSIP Rating
----- ----- ------
II-A-1 07384MW65 AAA
Bear Stearns ARM Trust 2005-9
Series 2005-9
Class CUSIP Rating
----- ----- ------
B-1 07387AEK7 CCC
B-2 07387AEL5 CCC
Wells Fargo Mortgage Backed Securities 2004-C Trust
Series 2004-C
Class CUSIP Rating
----- ----- ------
A-1 94980AAD6 AAA
B-1 94980AAF1 AA
* S&P Downgrades Ratings on 251 Classes From 24 Prime Jumbo RMBS
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 251
classes from 24 U.S. prime jumbo residential mortgage-backed
securities transactions issued from 2005 to 2007 and removed 179
of the ratings from CreditWatch with negative implications. At
the same time, S&P affirmed its ratings on 133 classes from 22 of
these transactions, and removed 29 of the ratings from CreditWatch
negative.
The downgrades reflect S&P's opinion that the projected credit
support for the affected classes is insufficient to maintain the
previous ratings, given S&P's current projected losses.
To assess the creditworthiness of each class, S&P review the
respective transaction's ability to withstand additional credit
deterioration, and the impact that projected losses will have on
each class. In order to maintain a 'B' rating on a class, S&P
assess whether the class can withstand the base-case loss
assumptions S&P use in its analysis. To maintain an 'AAA' rating,
S&P assess whether the class can withstand approximately 235% of
S&P's base-case loss assumptions, subject to individual caps and
qualitative factors applied to specific transactions. To maintain
a rating in categories between 'B' (the base case) and 'AAA', S&P
assess whether the class can withstand losses exceeding the base-
case assumption at a percentage specific to each rating category,
up to 235% for a 'AAA' rating. For example, S&P would assess
whether one class could withstand approximately 130% of S&P's
base-case loss assumptions to maintain a 'BB' rating, while S&P
would assess whether a different class could withstand
approximately 155% of S&P's base-case loss assumptions to maintain
a 'BBB' rating.
S&P also lowered its ratings on certain senior classes due to
principal shortfalls/write-downs in the final period of particular
cash flow scenarios. These classes may not have experienced any
principal shortfalls/write-downs in any of the prior periods of
the particular stress scenario; however, the structural mechanics
of the transaction created circumstances in which one or more
classes within a transaction may have relied on principal proceeds
to satisfy interest amounts due in earlier periods, thus resulting
in a write-down in the final period.
The use of principal to satisfy interest obligations is generally
created within structures that utilize cross-collateralization and
contain multiple loan groups. Based on certain stress scenarios,
if a particular group is performing worse than another group or
set of groups, that group can become undercollateralized when S&P
compare the group collateral balance with the related senior class
balance(s). Based on the defined interest amount needed to
satisfy the interest liability of the related class(es), interest
shortfalls may occur due to a group collateral balance that is
insufficient to produce the necessary interest obligations of the
related liabilities. Generally, cross-collateralization is
designed to allow overcollateralized groups to provide cash flow
to undercollateralized groups in order to mitigate this issue.
However, if the overcollateralized group has a pass-through rate
that is lower than the pass-through rate of the
undercollateralized group, available interest may not be
sufficient to satisfy the undercollateralized group's interest
requirement. Therefore, the principal portion of available funds
may be used to satisfy interest obligations based on the
interest-principal payment priority within the structure.
In the final period, a situation may occur in which available
funds are not sufficient to satisfy the interest and principal
requirements necessary to pay the bond in full, as principal in
prior periods was used to satisfy interest obligations.
Additionally, in some cases, even super-senior certificates can be
exposed to this issue due to the fact that structures may pay
principal pro rata with senior support classes. Although the
senior class was not exposed to a write-down in any of the prior
periods, the senior class could be susceptible to a write-down in
the final period due to the aforementioned issues.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
Subordination provides credit support for the affected
transactions. The underlying pool of loans backing these
transactions consists of fixed- and adjustable-rate, first-lien,
prime jumbo mortgage loans.
Rating Actions
Banc of America Funding 2006-3 Trust
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 058931AB2 BBB+ AAA
2-A-1 058931AD8 BBB AAA
3-A-1 058931AF3 A+ AAA
4-A-15 058931AX4 AA+ AAA
5-A-1 058931BD7 A AAA
Citicorp Mortgage Securities Trust, Series 2006-5
Series 2006-5
Rating
------
Class CUSIP To From
----- ----- -- ----
IA-4 17310FAD7 AAA AAA/Watch Neg
IA-14 17310FAP0 A+ AA+/Watch Neg
Citicorp Mortgage Securities Trust, Series 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
IA-1 173107AA1 A+ AAA/Watch Neg
IA-2 173107AB9 A+ AAA/Watch Neg
IA-3 173107AC7 A+ AAA/Watch Neg
IA-4 173107AD5 A+ AAA/Watch Neg
IA-5 173107AE3 A+ AAA/Watch Neg
IA-6 173107AF0 A+ AAA/Watch Neg
IA-7 173107AG8 A+ AAA/Watch Neg
IA-IO 173107AJ2 A+ AAA/Watch Neg
IIA-1 173107AK9 AAA AAA/Watch Neg
IIA-IO 173107AL7 AAA AAA/Watch Neg
IIIA-1 173107AM5 AA- AAA/Watch Neg
IIIA-IO 173107AN3 AA- AAA/Watch Neg
A-PO 173107AP8 A+ AAA/Watch Neg
Citicorp Mortgage Securities Trust, Series 2007-5
Series 2007-5
Rating
------
Class CUSIP To From
----- ----- -- ----
IA-1 17312KAA0 BB- AAA/Watch Neg
IA-2 17312KAB8 B+ AAA/Watch Neg
IA-3 17312KAC6 B+ AAA/Watch Neg
IA-4 17312KAD4 B+ AAA/Watch Neg
IA-5 17312KAE2 A+ AAA/Watch Neg
IA-6 17312KAF9 A+ AAA/Watch Neg
IA-8 17312KAH5 B+ AAA/Watch Neg
IA-9 17312KAJ1 A+ AAA/Watch Neg
IA-10 17312KAK8 B+ AAA/Watch Neg
IA-11 17312KAL6 B+ AAA/Watch Neg
I-AIO 17312KAM4 A+ AAA/Watch Neg
IIA-1 17312KAN2 BB- AAA/Watch Neg
II-AIO 17312KAP7 BB- AAA/Watch Neg
IIIA-1 17312KAQ5 AAA AAA/Watch Neg
III-AIO 17312KAR3 AAA AAA/Watch Neg
A-PO 17312KAS1 B+ AAA/Watch Neg
Citicorp Mortgage Securities Trust, Series 2007-7
Series 2007-7
Rating
------
Class CUSIP To From
----- ----- -- ----
IA-2 173104AB6 BBB AAA
A-PO 173104AH3 BBB AAA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2005-7
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-4 225458F78 BB- AAA
II-X 225458G93 BB- AAA
CSMC Mortgage-Backed Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1A 126378AA6 CCC BB-/Watch Neg
1-A-1B 126378AB4 CCC BB-/Watch Neg
1-A-1C 126378AC2 CCC BB-/Watch Neg
1-A-1D 126378AD0 CCC B/Watch Neg
1-A-2A 126378AE8 CCC B+/Watch Neg
1-A-2B 126378AF5 CCC B+/Watch Neg
1-A-2C 126378AU2 CCC B+/Watch Neg
1-A-3 126378AG3 CCC B+/Watch Neg
1-A-4 126378AH1 CCC B+/Watch Neg
1-A-5A 126378AJ7 CCC B+/Watch Neg
1-A-6A 126378AL2 CCC B/Watch Neg
1-M-1 126378AN8 CC CCC
1-M-2 126378AP3 D CCC
2-A-1 126378AV0 CC B/Watch Neg
3-A-1 126378AW8 CCC BBB/Watch Neg
3-A-2 126378AX6 CC B/Watch Neg
4-A-1 126378AY4 CC B/Watch Neg
5-A-1 126378AZ1 CCC A/Watch Neg
5-A-2 126378BA5 CCC A/Watch Neg
5-A-3 126378BB3 CCC A/Watch Neg
5-A-4 126378BC1 CCC BBB/Watch Neg
5-A-5 126378BD9 CC B/Watch Neg
5-A-6 126378BE7 CC B/Watch Neg
5-A-7 126378BF4 CCC A/Watch Neg
5-A-8 126378BG2 CC B/Watch Neg
5-A-9 126378BH0 CCC A/Watch Neg
5-A-10 126378BJ6 CCC BBB/Watch Neg
5-A-11 126378BK3 CCC BBB/Watch Neg
5-A-12 126378BL1 CC B/Watch Neg
5-A-13 126378BM9 CCC A/Watch Neg
5-A-14 126378BN7 CCC BBB/Watch Neg
5-A-15 126378BP2 CC B/Watch Neg
5-A-16 126378BQ0 CC B/Watch Neg
A-X 126378BR8 CCC A/Watch Neg
C-X 126378BS6 CC B/Watch Neg
First Horizon Mortgage Pass Through Trust 2005-5
Series 2005-5
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A1 32051GUK9 AAA AAA/Watch Neg
I-A-2 32051GUL7 A AAA/Watch Neg
I-A-3 32051GUM5 A AAA/Watch Neg
I-A-4 32051GUN3 A+ AAA/Watch Neg
I-A-5 32051GUP8 A AAA/Watch Neg
I-A-6 32051GUQ6 A+ AAA/Watch Neg
I-A-7 32051GUR4 A AAA/Watch Neg
I-A-9 32051GUT0 AAA AAA/Watch Neg
1-A-10 32051GUU7 A AAA/Watch Neg
1-A-11 32051GUV5 A AAA/Watch Neg
1-A-12 32051GUW3 A AAA/Watch Neg
I-A-PO 32051GUX1 A AAA/Watch Neg
II-A-1 32051GUZ6 AAA AAA/Watch Neg
II-A-PO 32051GVA0 AAA AAA/Watch Neg
First Horizon Mortgage Pass Through Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 32052LAA1 BB+ AAA/Watch Neg
I-A-2 32052LAB9 BB+ AAA/Watch Neg
I-A-3 32052LAC7 AAA AAA/Watch Neg
I-A-4 32052LAD5 BBB- AAA/Watch Neg
I-A-5 32052LAE3 BBB- AAA/Watch Neg
I-A-6 32052LAF0 AAA AAA/Watch Neg
I-A-7 32052LAG8 AAA AAA/Watch Neg
I-A-8 32052LAH6 A AAA/Watch Neg
I-A-9 32052LAJ2 BB+ AAA/Watch Neg
I-A-10 32052LAK9 BBB- AAA/Watch Neg
I-A-11 32052LAL7 BBB- AAA/Watch Neg
I-A-12 32052LAM5 AAA AAA/Watch Neg
I-A-13 32052LAN3 AAA AAA/Watch Neg
I-A-14 32052LAP8 AAA AAA/Watch Neg
I-A-15 32052LAQ6 BBB- AAA/Watch Neg
I-A-16 32052LAZ6 AAA AAA/Watch Neg
I-A-PO 32052LBA0 BB+ AAA/Watch Neg
II-A-1 32052LAR4 AAA AAA/Watch Neg
II-A-PO 32052LAS2 AAA AAA/Watch Neg
First Horizon Mortgage Pass-Through Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 320520AA7 CCC B
I-A-2 320520AB5 CCC B
I-A-4 320520AD1 CCC B
I-A-7 320520AG4 CCC B
I-A-PO 320520AH2 CCC B
I-A-5 320520AE9 CCC B
GSR Mortgage Loan Trust 2005-AR6
Series 2005-AR6
Rating
------
Class CUSIP To From
----- ----- -- ----
1A4 362341RW1 AA AAA
GSR Mortgage Loan Trust 2007-1F
Series 2007-1F
Rating
------
Class CUSIP To From
----- ----- -- ----
3A-6 3622MPAV0 A AAA/Watch Neg
GSR Mortgage Loan Trust 2007-4F
Series 2007-4F
Rating
------
Class CUSIP To From
----- ----- -- ----
1A-1 362669AA1 CCC A/Watch Neg
2A-1 362669AB9 CCC A/Watch Neg
2A-2 362669AC7 CCC A/Watch Neg
2A-3 362669AD5 CCC A/Watch Neg
2A-4 362669AE3 CCC A/Watch Neg
2A-5 362669AF0 CCC A/Watch Neg
2A-6 362669AG8 CCC A/Watch Neg
2A-7 362669AH6 BBB- AAA/Watch Neg
2A-8 362669AJ2 CCC A/Watch Neg
3A-1 362669AK9 B+ AAA/Watch Neg
3A-2 362669AL7 CCC A/Watch Neg
3A-3 362669AM5 CCC A/Watch Neg
3A-4 362669AN3 CCC A/Watch Neg
3A-5 362669AP8 CCC A/Watch Neg
3A-6 362669AQ6 BBB AAA/Watch Neg
3A-7 362669AR4 CCC A/Watch Neg
3A-8 362669BJ1 CCC A/Watch Neg
3A-9 362669BK8 CCC A/Watch Neg
3A-10 362669BL6 CCC A/Watch Neg
3A-11 362669BM4 CCC A/Watch Neg
4A-1 362669AS2 CCC A/Watch Neg
4A-2 362669AT0 CCC A/Watch Neg
5A-1 362669AU7 CCC A/Watch Neg
6A-1 362669AV5 CCC A/Watch Neg
7A-1 362669AW3 CCC A/Watch Neg
A-P 362669AX1 CCC A/Watch Neg
A-X 362669AY9 BBB- AAA/Watch Neg
HSI Asset Loan Obligation Trust 2007-AR1
Series 2007-AR1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 40431LAA6 B B/Watch Neg
II-A-1 40431LAB4 CCC BBB/Watch Neg
II-A-2 40431LAC2 CCC B/Watch Neg
III-A-1 40431LAD0 CCC BBB/Watch Neg
III-A-2 40431LAE8 CCC B/Watch Neg
IV-A-1 40431LAF5 CCC BBB/Watch Neg
IV-A-2 40431LAG3 CCC B/Watch Neg
JPMorgan Mortgage Trust 2005-A6
Series 2005-A6
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 466247TL7 A- AAA/Watch Neg
1-A-2 466247TM5 BBB+ AAA/Watch Neg
1-A-3 466247TN3 AAA AAA/Watch Neg
1-A-4 466247TP8 BBB+ AAA/Watch Neg
2-A-1 466247TQ6 AA+ AAA/Watch Neg
2-A-2 466247TR4 AAA AAA/Watch Neg
2-A-3 466247TS2 AA+ AAA/Watch Neg
2-A-4 466247TT0 AA+ AAA/Watch Neg
2-A-5 466247TU7 BBB+ AAA/Watch Neg
3-A-2 466247TW3 A+ AAA/Watch Neg
3-A-3 466247TX1 A+ AAA/Watch Neg
3-A-4 466247TY9 BBB+ AAA/Watch Neg
4-A-1 466247TZ6 A- AAA/Watch Neg
5-A-1 466247UA9 A- AAA/Watch Neg
6-A-1 466247UB7 AAA AAA/Watch Neg
6-A-2 466247UC5 AAA AAA/Watch Neg
7-A-1 466247UG6 BB AAA/Watch Neg
I-B-1 466247UD3 CCC AA/Watch Neg
II-B-1 466247UH4 CCC AA/Watch Neg
I-B-2 466247UE1 CCC A/Watch Neg
II-B-2 466247UJ0 CCC A/Watch Neg
I-B-3 466247UF8 CCC BBB/Watch Neg
II-B-3 466247UK7 CC BBB/Watch Neg
I-B-4 466247TE3 CC BB/Watch Neg
II-B-4 466247TH6 CC BB/Watch Neg
I-B-5 466247TF0 CC B/Watch Neg
II-B-5 466247TJ2 CC B/Watch Neg
JPMorgan Mortgage Trust 2005-S3
Series 2005-S3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 466247ZN6 CCC BBB
1-A-2 466247ZP1 B- B
1-A-3 466247ZQ9 CCC B
1-A-4 466247ZR7 CCC B
1-A-5 466247ZS5 CCC B
1-A-6 466247ZT3 CCC B
1-A-7 466247ZU0 CCC B
1-A-8 466247ZV8 CCC B
1-A-9 466247ZW6 CCC BBB
1-A-10 466247ZX4 CCC BBB
1-A-11 466247ZY2 CCC BBB
1-A-12 466247ZZ9 CCC B
1-A-13 466247A29 CCC B
1-A-14 466247A37 CCC B
1-A-15 466247A45 CCC B
1-A-16 466247A52 CCC B
1-A-17 466247A60 CCC B
1-A-19 466247A86 CCC B
1-A-20 466247A94 CCC B
1-A-21 466247B28 CCC B
1-A-22 466247B36 CCC B
2-A-1 466247B44 CCC B
2-A-2 466247B51 CCC B
A-X 466247B77 B BBB
A-P 466247B85 CCC B
Lehman Mortgage Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 52521JAA7 CCC BB
1-A2 52521JAB5 CCC AAA
1-A3 52521JAC3 CCC AAA
1-A4 52521JAD1 CCC BB
1-A5 52521JAP4 CCC AAA
1-A6 52521JAQ2 CCC AAA
2-A1 52521JAE9 CCC BB
B1 52521JAF6 CC CCC
B2 52521JAG4 CC CCC
MASTR Adjustable Rate Mortgage Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 576438AA3 BBB AAA/Watch Neg
1-A-2 576438AB1 BB AAA/Watch Neg
2-A-1 576438AC9 BB AAA/Watch Neg
3-A-1 576438AD7 AA AAA/Watch Neg
3-A-2 576438AE5 BB AAA/Watch Neg
4-A-1 576438AF2 AAA AAA/Watch Neg
4-A-2 576438AG0 BB AAA/Watch Neg
5-A-1 576438AH8 BBB AAA/Watch Neg
5-A-2 576438AJ4 BB AAA/Watch Neg
B-1 576438AM7 CCC BBB/Watch Neg
B-2 576438AN5 CC BB/Watch Neg
B-3 576438AP0 CC B-/Watch Neg
B-4 576438AQ8 CC CCC
MASTR Asset Securitization Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 57643MLX0 AA+ AAA/Watch Neg
1-A-2 57643MLY8 BBB AAA/Watch Neg
1-A-3 57643MLZ5 BBB AAA/Watch Neg
1-A-4 57643MMA9 BBB AAA/Watch Neg
1-A-5 57643MMB7 BBB AAA/Watch Neg
1-A-6 57643MMC5 BBB AAA/Watch Neg
1-A-7 57643MMD3 BBB AAA/Watch Neg
1-A-8 57643MME1 BBB AAA/Watch Neg
1-A-9 57643MMF8 BBB AAA/Watch Neg
1-A-11 57643MMH4 BBB AAA/Watch Neg
1-A-12 57643MMJ0 BBB AAA/Watch Neg
1-A-13 57643MMK7 BBB AAA/Watch Neg
1-A-14 57643MML5 BBB AAA/Watch Neg
2-A-1 57643MMM3 BBB AAA/Watch Neg
2-A-2 57643MMN1 BBB AAA/Watch Neg
3-A-1 57643MMP6 AAA AAA/Watch Neg
3-A-2 57643MNE0 BBB AAA/Watch Neg
4-A-1 57643MMQ4 BBB AAA/Watch Neg
15-A-X 57643MMT8 BBB AAA/Watch Neg
30-A-X 57643MMU5 AAA AAA/Watch Neg
15-PO 57643MMV3 BBB AAA/Watch Neg
30-PO 57643MMW1 BBB AAA/Watch Neg
B-1 57643MMX9 CCC A/Watch Neg
B-2 57643MMY7 CCC BB/Watch Neg
B-3 57643MMZ4 CC B/Watch Neg
B-4 57643MNA8 CC CCC
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A4
Series 2005-A4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 59020UXH3 BB- AAA/Watch Neg
II-A-1 59020UXJ9 A AAA/Watch Neg
II-A-2 59020UXK6 BB- AAA/Watch Neg
II-A-IO 59020UXV2 BB- AAA/Watch Neg
III-A 59020UXL4 BB- AAA/Watch Neg
IV-A 59020UXM2 AAA AAA/Watch Neg
M-1 59020UXN0 CCC AA/Watch Neg
M-2 59020UXP5 CCC A/Watch Neg
M-3 59020UXQ3 CC BBB/Watch Neg
RFMSI Series 2007-S9 Trust
Series 2007-S9
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 74958VAA6 CCC BB
I-A-2 74958VAB4 CCC B
I-A-P 74958VAF5 CCC B
I-A-V 74958VAG3 CCC BB
RFMSI Series 2007-SA4 Trust
Series 2007-SA4
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A 74959AAR4 CCC B
III-A-1 74959AAB9 CCC B+
III-A-2 74959AAC7 CCC B
IV-A-1 74959AAD5 CCC B+
IV-A-2 74959AAE3 CCC B
V-A-1 74959AAF0 CCC B+
V-A-2 74959AAG8 CCC B
Thornburg Mortgage Securities Trust 2006-5
Series 2006-5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 88522RAA2 AAA AAA/Watch Neg
A-2 88522RAB0 A AAA/Watch Neg
A-X 88522RAC8 AAA AAA/Watch Neg
Thornburg Mortgage Securities Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
2A-2 88522XAD3 CCC B
3A-2 88522XAF8 CCC B
4A-2 88522XAH4 CCC B
4A-4 88522XAS0 CCC B
B-2 88522XAL5 CC CCC
B-3 88522XAM3 CC CCC
B-4 88522XAN1 CC CCC
Ratings Affirmed
Banc of America Funding 2006-3 Trust
Series 2006-3
Class CUSIP Rating
----- ----- ------
1-A-2 058931AC0 BB
2-A-2 058931AE6 BB
3-A-2 058931AG1 BB
4-A-1 058931AH9 BB
4-A-2 058931AJ5 BB
4-A-3 058931AK2 BB
4-A-4 058931AL0 BB
4-A-5 058931AM8 BB
4-A-6 058931AN6 BB
4-A-7 058931AP1 BB
4-A-8 058931AQ9 BB
4-A-9 058931AR7 BB
4-A-10 058931AS5 BB
4-A-11 058931AT3 BB
4-A-12 058931AU0 BB
4-A-13 058931AV8 BB
4-A-14 058931AW6 BB
4-A-16 058931AY2 BB
4-A-17 058931AZ9 AAA
4-A-18 058931BA3 BB
4-A-19 058931BB1 BB
4-A-20 058931BC9 BB
5-A-2 058931BE5 BB
5-A-3 058931BF2 BB
5-A-4 058931BG0 BB
5-A-5 058931BH8 BB
5-A-6 058931BJ4 BB
5-A-7 058931BK1 BBB
5-A-8 058931BL9 BB
5-A-9 058931BM7 BB
X-IO 058931BP0 AAA
X-PO 058931BQ8 BB
6-A-1 058931BN5 BB
M 058931BR6 CCC
Citicorp Mortgage Securities Trust, Series 2007-7
Series 2007-7
Class CUSIP Rating
----- ----- ------
IA-1 173104AA8 AAA
IA-IO 173104AC4 AAA
IIA-1 173104AD2 AAA
IIA-IO 173104AE0 AAA
IIIA-1 173104AF7 AAA
IIIA-IO 173104AG5 AAA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2005-7
Class CUSIP Rating
----- ----- ------
I-A-1 225458E46 BB
I-A-2 225458E53 BB
I-A-3 225458E61 BB
I-A-4 225458E79 BB
I-A-5 225458E87 AAA
I-A-6 225458E95 BB
I-A-7 225458F29 BB
I-A-8 225458F37 AAA
I-A-9 225458L48 BB
I-A-10 225458L55 BB
I-A-11 225458L63 BB
I-A-12 225458L71 BB
A-P 225458H35 BB
I-X 225458G85 AAA
IV-A-1 225458G36 AAA
IV-A-2 225458G44 AAA
IV-A-3 225458G51 AAA
V-A-1 225458G69 AAA
VI-A-1 225458G77 AAA
C-X 225458H27 AAA
C-P 225458H43 B
II-A-1 225458F45 B
II-A-2 225458F52 B
II-A-3 225458F60 B
II-A-5 225458F86 B
II-A-6 225458F94 B
III-A-1 225458G28 B
I-B-1 225458J33 CCC
D-B-1 225458H84 CCC
C-B-2 225458H68 CCC
CSMC Mortgage-Backed Trust 2007-1
Series 2007-1
Class CUSIP Rating
----- ----- ------
1-A-6B 126378AM0 CCC
1-A-5B 126378AK4 CCC
First Horizon Mortgage Pass-Through Trust 2007-2
Series 2007-2
Class CUSIP Rating
----- ----- ------
I-A-3 320520AC3 B
I-A-6 320520AF6 B
II-1 320520AK5 B
GSR Mortgage Loan Trust 2005-AR6
Series 2005-AR6
Class CUSIP Rating
----- ----- ------
1A1 362341RT8 AAA
1A2 362341RU5 AA
2A1 362341RX9 AAA
2A2 362341RY7 AA
3A1 362341RZ4 AAA
3A2 362341SA8 AA
4A1 362341SB6 AAA
4A2 362341SC4 AA
4A3 362341SD2 AA
4A4 362341SE0 AA
4A5 362341SF7 AA
B1 362341SG5 CCC
JPMorgan Mortgage Trust 2005-S3
Series 2005-S3
Class CUSIP Rating
----- ----- ------
1-A-18 466247A78 B
2-A-3 466247B69 B
B-1 466247B93 CCC
RFMSI Series 2007-S9 Trust
Series 2007-S9
Class CUSIP Rating
----- ----- ------
II-A-1 74958VAC2 BB
II-A-2 74958VAD0 B
II-A-3 74958VAE8 B
II-A-P 74958VAH1 B
II-A-V 74958VAJ7 BB
RFMSI Series 2007-SA4 Trust
Series 2007-SA4
Class CUSIP Rating
----- ----- ------
I-A 74959AAA1 BB
Thornburg Mortgage Securities Trust 2007-3
Series 2007-3
Class CUSIP Rating
----- ----- ------
1A-1 88522XAA9 A
1A-2 88522XAB7 B
2A-1 88522XAC5 B+
3A-1 88522XAE1 B+
4A-1 88522XAG6 B+
4A-3 88522XAR2 BB
A-X 88522XAJ0 A
B-1 88522XAK7 CCC
* S&P Downgrades Ratings on Nine Classes From Four re-Remic RMBS
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes from four U.S. re-REMIC (real estate mortgage investment
conduit) residential mortgage-backed securities transactions
issued in 2004, 2006, and 2007. In addition, S&P removed seven of
the lowered ratings from CreditWatch with negative implications.
The downgrades reflect S&P's opinion that projected credit support
for the underlying certificates is insufficient to maintain the
previous ratings, given S&P's projected losses on the underlying
transactions. S&P is taking rating actions on these re-REMIC
certificates because of deteriorating performance on the
underlying transactions.
One of the classes is bond insured. The downgrade reflected S&P's
criteria, which states that the long-term rating assigned to a
fully insured class is the higher of the rating on the insurer and
the SPUR (Standard & Poor's underlying rating) on the affected
class.
The collateral supporting the underlying certificates consists
primarily of Alternative-A and prime jumbo mortgage loans, which
are secured by first liens on one- to four-family residential
properties. Additionally, the underlying certificates were
predominately subordinate in the capital structure.
Rating Actions
Banc of America Funding Corporation 2006-R2 Trust
Series 2006-R2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 05950SAA5 CC B/Watch Neg
CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-IND1
Series 2004-IND1
Rating
------
Class CUSIP To From
----- ----- -- ----
M 22541SS41 CCC BBB
B 22541SS58 D BB
Lehman Structured Securities Corp.
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 52518RBW5 CCC AA/Watch Neg
M-2 52518RBX3 CC A/Watch Neg
Lehman Structured Securities Corp. Pass Through Certificates
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 52521PAA3 CCC AA+/Watch Neg
M-2 52521PAB1 CCC AA/Watch Neg
M-3 52521PAC9 CCC AA-/Watch Neg
M-4 52521PAD7 CC A+/Watch Neg
*********
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/
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 nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
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.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
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., Frederick, Maryland,
USA. Danilo Munnoz, Joseph Medel C. Martirez, Denise Marie
Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez,
Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez,
Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2009. 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 $775 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 Christopher
Beard at 240/629-3300.
*** End of Transmission ***