/raid1/www/Hosts/bankrupt/TCR_Public/110109.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, January 9, 2011, Vol. 15, No. 8
Headlines
ACA CDS: S&P Withdraws 'CCC-' Rating on 2006-1 Tranche C Notes
ACA CDS: S&P Downgrades Rating on 2006-1 Tranche F Notes to 'D'
ACA CDS: S&P Downgrades Rating on 2006-1B Tranche C Notes to 'D'
ARCAP 2005-1: S&P Downgrades Ratings on Eight Classes of Notes
BANC OF AMERICA: S&P Downgrades Ratings on Eight Securities
BANC OF AMERICA: S&P Downgrades Ratings on Nine Securities
BEAR STEARNS: DBRS Downgrades Class D Rating to 'BB'
BEAR STEARNS: DBRS Confirms Class J Rating at 'BB'
BEAR STEARNS: Fitch Downgrades Ratings on 15 2006-TOP24 Certs.
CENTRAL PLAINS: S&P Downgrades Rating on 2007A & 2007B Bonds
CSFB MORTGAGE-BACKED: Moody's Downgrades Ratings on Eight Tranches
FREDDIE MAC: Moody's Cuts Ratings on Two Subordinate Tranches
FLAGSHIP CLO: Moody's Upgrades Ratings on Five Classes of Notes
GS MORTGAGE: Moody's Assigns Ratings on Nine 2010-C2 Certs.
HSI ASSET: Moody's Downgrades Ratings on 12 Tranches
INDYMAC INDA: Moody's Downgrades Ratings on 37 Tranches
MILL REEF: S&P Downgrades Ratings on 10 Classes of Notes to 'D'
MINT 2005-1 LTD: DBRS Downgrades Series A Notes Rating to 'C'
MORGAN STANLEY: S&P Withdraws 'D' Rating on Seven 2006-XLF Notes
MT WILSON: S&P Raises Ratings on Various Classes of Notes
MULTI SECURITY: DBRS Downgrades Class J Rating at 'BB'
NATIONAL COLLEGIATE: Fitch Affirms Ratings on 12 Student Loans
NOVASTAR MORTGAGE: Moody's Cuts Ratings on 2006-MTA1 Tranches
PUNTO VERDE: S&P Junks Rating on $40 Mil. Class A Notes From 'B-'
QUEBECOR MEDIA: DBRS Finalizes Rating of BB (Low)
REAL ESTATE ASSET: DBRS Confirms Class F Rating at 'BB'
WASHINGTON MUTUAL: Moody's Cuts Ratings on 2006-AR19 Tranches
* Moody's Withdraws Various Ratings on 85 RMBS Transactions
* S&P Affirms Ratings on 23 Classes From Eight Transactions
* S&P Puts Ratings on 36 Classes on CreditWatch Negative
* S&P Puts Ratings on 93 Tranches from 35 CDOs on Positive Watch
* S&P Raises Ratings on 11 Classes From Five Timeshare Securities
* S&P Raises Ratings on Three Notes From Two Tobacco Securities
* S&P Withdraws Ratings on 54 Classes From 40 North American CMBS
*********
ACA CDS: S&P Withdraws 'CCC-' Rating on 2006-1 Tranche C Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC-(sf)' rating
on the tranche C notes issued by ACA CDS 2006-1, a synthetic
collateralized debt obligation transaction, following termination.
S&P withdrew the rating on the tranche because S&P received
confirmation from the transaction's arranger that the notes had
terminated.
ACA CDS: S&P Downgrades Rating on 2006-1 Tranche F Notes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the
tranche F notes issued by ACA CDS 2006-1, a synthetic
collateralized debt obligation transaction, to 'D (sf)' from 'CC
(sf)' due to principal losses.
The downgrade follows a number of credit events within the
transaction's portfolio of underlying corporate reference
entities. S&P received final valuations on the credit events in
the underlying portfolio, which indicated that the tranche
incurred principal losses due to losses in the portfolio.
ACA CDS: S&P Downgrades Rating on 2006-1B Tranche C Notes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the
tranche C notes issued by ACA CDS 2006-1B, a synthetic
collateralized debt obligation transaction, to 'D (sf)' from 'CC
(sf)' due to principal losses.
The downgrade follows a number of credit events within the
portfolio of underlying corporate reference entities. S&P
received final valuations on the credit events in the underlying
portfolio, which indicated that losses in the portfolio caused the
tranche to incur principal losses.
ARCAP 2005-1: S&P Downgrades Ratings on Eight Classes of Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes from ARCap 2005-1 Resecuritization Trust. At the same
time, S&P affirmed its 'CCC- (sf)' rating on three additional
classes from the same transaction.
The downgrades and affirmations primarily reflect S&P's analysis
of the interest shortfalls affecting the transaction. S&P
downgraded classes A and B due to their susceptibility to
experience interest shortfalls after class C and all of the
classes subordinate to it did not receive full interest according
to the Dec. 23, 2010, remittance report. S&P's analysis
considered the underlying collateral, as well as the transaction's
structure.
According to the Dec. 23, 2010 remittance report, cumulative
interest shortfalls to the transaction totaled $32.3 million,
which affected class C and all of the classes subordinate to it.
The interest shortfalls affecting the ARCap 2005-1 classes were
primarily caused by shortfalls that affected 14 of the 15
commercial mortgage-backed securities that collateralize the ARCap
transaction. The interest shortfalls on the underlying CMBS
collateral were primarily due to the master servicer's recovery of
prior advances, appraisal subordinate entitlement reductions,
servicers' nonrecoverability determinations for advances, and
special servicing fees.
Depending on the magnitude of the interest shortfalls, S&P's
analysis considered potential interest payment interruptions to
the nondeferrable classes A and B, which would trigger an event of
default under the indenture. If this occurs, S&P will lower the
affected class' rating to 'D (sf)'.
According to the Dec 23, 2010, trustee report, ARCap 2005-1 is
collateralized by 101 CMBS classes ($468.3 million, 100%) from 15
distinct transactions issued between 1999 and 2005.
Standard & Poor's analyzed ARCap 2005-1 according to its current
criteria. S&P's analysis is consistent with the lowered and
affirmed ratings.
Ratings Lowered
ARCap 2005-1 Resecuritization Trust
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
A B+ (sf) A+ (sf)
B B- (sf) BBB (sf)
C CCC+ (sf) BB (sf)
D CCC (sf) BB- (sf)
E CCC (sf) B+ (sf)
F CCC- (sf) B (sf)
G CCC- (sf) CCC+ (sf)
H CCC- (sf) CCC (sf)
Ratings Affirmed
ARCap 2005-1 Resecuritization Trust
Collateralized debt obligations
Class Rating
----- ------
J CCC- (sf)
K CCC- (sf)
L CCC- (sf)
BANC OF AMERICA: S&P Downgrades Ratings on Eight Securities
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Inc.'s series 2003-1. S&P downgraded
classes L, M, N, and O to 'D (sf)' due to recurring interest
shortfalls.
The rating actions on classes G through O reflect interest
shortfalls that have affected the trust, as well as the potential
that the trust may experience future interest shortfalls going
forward. According to the December 2010 remittance report, the
trust experienced monthly interest shortfalls totaling $130,808.
Interest shortfalls have affected all of the classes subordinate
to and including class J. As a result of the interest shortfalls
reported on the December 2010 remittance report, the interest
available to the rated classes to absorb additional shortfalls has
been reduced, leaving them susceptible to future shortfalls. The
current interest shortfalls were driven primarily by:
Interest not advanced on two assets (the Etowah Crossing Shopping
Center and Lincoln Center Professional Office Building) that the
master servicer, Bank of America N.A., deemed to be
nonrecoverable, which totaled $64,956;
Appraisal subordinate entitlement reductions on three of the
transaction's nine specially serviced assets. These three assets
had appraisal reduction amounts in the aggregate amount of $7.0
million in effect, which generated aggregate ASERs of $33,052; and
Special servicing fees, which totaled $13,661.
S&P downgraded classes L, M, N, and O to 'D (sf)' due to recurring
interest shortfalls. Classes L and M have carried accumulated
interest shortfalls for five consecutive months, while classes N
and O have done so for nine consecutive months.
As of the December 2010 remittance report, the collateral
pool comprised 89 assets with an aggregate trust balance of
$853.0 million, down from 112 loans totaling $1.13 billion at
issuance. Nine assets, totaling $80.2 million (9.4%), are with
the special servicer, ORIX Capital Markets LLC. The status of
the specially serviced assets is: four assets ($20.5 million,
2.4%) are real estate owned; one ($3.0 million, 0.3%) is in
foreclosure; one ($3.5 million, 0.4%) is classified as a
nonperforming matured balloon; one ($23.0 million, 2.7%) is 60
days delinquent; one ($5.5 million, 0.6%) is 30 days delinquent;
and one ($24.7 million, 2.9%) is in its grace period.
Ratings Lowered
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2003-1
Rating
------
Class To From Credit Enhancement (%)
----- -- ---- ----------------------
G BBB+ (sf) A (sf) 10.19
H BB+ (sf) BBB (sf) 8.85
J CCC (sf) BB- (sf) 5.98
K CCC- (sf) B+ (sf) 4.97
L D (sf) B- (sf) 4.13
M D (sf) CCC+ (sf) 3.28
N D (sf) CCC- (sf) 2.61
O D (sf) CCC- (sf) 2.10
BANC OF AMERICA: S&P Downgrades Ratings on Nine Securities
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Inc.'s series 2005-4 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on 14 additional classes from the same
transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria. Standard & Poor's
previously placed its ratings on the downgraded classes on
CreditWatch with negative implications to reflect its preliminary
analysis of the transaction, which revealed weakening collateral
performance. S&P's analysis included a review of the credit
characteristics of all of the assets in the pool. Using servicer-
provided financial information, S&P calculated an adjusted debt
service coverage of 1.39x and a loan-to-value ratio of 114.1%.
S&P further stressed the loans' cash flows under its 'AAA'
scenario to yield a weighted average DSC of 0.86x and an LTV ratio
of 153.3%. The implied defaults and loss severity under the 'AAA'
scenario were 91.1% and 37.2%, respectively. All of the DSC and
LTV calculations S&P noted above exclude 14 ($232.4 million,
16.9%) of the transaction's 21 ($283.0 million, 20.6%) specially
serviced assets, and one ($5.6 million, 0.4%) loan that S&P
determined to be credit-impaired. S&P separately estimated losses
for the 15 excluded specially serviced and credit-impaired assets
and included them in the 'AAA' scenario implied default and loss
figures.
The affirmations of S&P's ratings on the principal and interest
certificates reflect liquidity support and subordination levels
that are consistent with the outstanding ratings. S&P affirmed
its 'D (sf)' ratings on classes G through O. S&P lowered the
ratings on these classes to 'D (sf)' in November 2010 due to
interest shortfalls that S&P determined to be recurring in nature.
As of the December 2010 remittance report, these classes have
carried accumulated interest shortfalls for 11 consecutive months.
S&P affirmed its ratings on the class XC and XP interest-only (IO)
certificates based on its current criteria.
Credit Considerations
As of the December 2010 remittance report, 21 ($283.0 million,
20.6%) assets in the pool were with the special servicer (LNR
Partners Inc. for the Pacific Arts Plaza loan; ORIX Capital
Markets LLC for the other specially serviced assets). The payment
status of the specially serviced assets is: four ($36.4 million,
2.6%) are real estate owned; one ($3.2 million, 0.2%) is in
foreclosure; three ($131.4 million, 9.5%) are 90-plus days
delinquent; two ($17.3 million, 1.3%) are 30 days delinquent; two
($23.1 million, 1.7%) are classified as matured balloon loans;
three ($47.6 million, 3.5%) are in their grace periods; and six
($24.0 million, 1.7%) are current.
The Pacific Arts Plaza is the largest loan in the pool and with
the special servicer. The whole-loan balance is $270.0 million,
and the in-trust balance is $110.0 million (8.0%). The loan is
secured by an 825,061-sq.-ft. office property in Costa Mesa,
Calif. The exposure was transferred to special servicing in
August 2009 and is classified as 90-plus days delinquent. As of
December 2009, reported DSC and occupancy were 0.84x and 74.7%,
respectively.
As of the December 2010 remittance report, there was a
$60.5 million appraisal reduction amount (ARA) in effect.
Standard & Poor's anticipates a moderate loss upon the
resolution of this asset.
The Colonade Apartments loan ($38.2 million total exposure, 2.8%)
is secured by a 545-unit multifamily property in Jenkintown, Pa.,
and is the second-largest specially serviced loan. The loan was
transferred to special servicing in January 2010 and is in its
grace period. According to the special servicer, a restructure
proposal was denied. Reported DSC and occupancy were 0.81x and
55.2% as of December 2009 and April 2010, respectively. Standard
& Poor's expects a moderate loss upon the resolution of this
asset.
The 19 remaining specially serviced assets have individual
balances that represent less than 1.2% of the deal balance.
Standard & Poor's estimated losses for 12 of these assets,
arriving at a weighted-average loss severity of 58.9%.
In addition to the specially serviced assets, S&P determined one
($5.6 million, 0.4%) loan to credit-impaired. The Wingate Tampa
loan is secured by an 85-room lodging property in Tampa. The loan
appears on the master servicer's watchlist for low DSC, which was
0.41x as of December 2009. Occupancy was 58.0% as of June 2010.
Given the property's poor operating performance, S&P considers
this loan to be at an increased risk of default and loss.
Three loans totaling $197.3 million (12.4%) were previously
specially serviced and have been returned to the master servicer.
Pursuant to the transaction documents, the special servicer is
entitled to a workout fee equal to 1.0% of all future principal
and interest payments on the loans (including the final balloon
payments, if applicable) if they continue to perform and remain
with the master servicer.
Transaction Summary
As of the December 2010 remittance report, the collateral pool
had an aggregate trust balance of $1.38 billion, down from
$1.59 billion at issuance. The pool includes 113 loans and four
REO assets, down from 128 loans at issuance. The master servicer,
Bank of America, N.A., provided full-year 2008, full-year 2009, or
interim-year 2010 financial information for 96.0% of the assets in
the pool. S&P calculated a weighted average DSC of 1.40x for the
pool based on the reported figures. S&P's adjusted DSC and LTV
ratio were 1.39x and 114.1%, respectively. S&P's adjusted DSC
and LTV figures exclude 14 ($232.4 million, 16.9%) of the
transaction's 21 ($283.0 million, 20.6%) specially serviced
assets, and one ($5.6 million, 0.4%) loan that S&P determined
to be credit-impaired. S&P separately estimated losses for the
excluded assets. The master servicer reported a watchlist of 30
($225.6 million, 16.4%) loans, including two of the top 10 loan
exposures, both of which S&P discusses in detail below. Twenty-
eight ($330.3 million, 24.0%) assets in the pool have a reported
DSC of less than 1.10x, and 23 ($269.4 million, 19.6%) assets have
a reported DSC of less than 1.00x.
Summary of Top 10 Loan Exposures
The top 10 exposures secured by real estate have an aggregate
outstanding trust balance of $683.1 million (49.6%). Using
servicer-reported numbers, S&P calculated a weighted average DSC
of 1.45x for the top 10 real estate assets. S&P's adjusted DSC
and LTV ratio for the top 10 exposures are 1.38x and 125.0%,
respectively.
The Crossings loan is the seventh-largest loan in the pool and the
largest loan on the master servicer's watchlist. The loan has a
balance of $44.6 million (3.2%) and is secured by a 624-unit
multifamily property in Kansas City, Mo. The loan appears on the
master servicer's watchlist due to low DSC. Reported DSC and
occupancy were 1.25x and 93.3% as of December 2009 and July 2010,
respectively.
The Capistrano I Office Buildings loan is the 10th-largest asset
in the pool and the second-largest asset on the master servicer's
watchlist. The loan has a balance of $26.7 million (1.9%) and is
secured by a 188,040-sq.-ft. office property in San Juan
Capistrano, Calif. The asset appears on the master servicer's
watchlist due to low DSC and occupancy. As of September 2010,
reported DSC and occupancy were 1.02x and 78.4%, respectively.
Standard & Poor's analyzed the transaction according to its
current criteria, and the lowered and affirmed ratings are
consistent with its analysis.
Ratings Lowered And Removed From Creditwatch Negative
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2005-4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-5A AA- (sf) AAA (sf)/Watch Neg 32.36
A-5B BBB+ (sf) A (sf)/Watch Neg 22.69
A-1A BBB+ (sf) A (sf)/Watch Neg 22.69
A-J BB+ (sf) BBB+ (sf)/Watch Neg 15.64
B BB- (sf) BBB (sf)/Watch Neg 13.34
C B+ (sf) BBB- (sf)/Watch Neg 12.18
D B (sf) BB+ (sf)/Watch Neg 10.03
E B- (sf) BB (sf)/Watch Neg 8.73
F CCC+ (sf) B- (sf)/Watch Neg 7.29
Ratings Affirmed
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2005-4
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA (sf) 22.69
A-3 AAA (sf) 22.69
A-4 AAA (sf) 22.69
A-SB AAA (sf) 22.69
G D (sf) 5.99
H D (sf) 4.27
J D (sf) 3.69
K D (sf) 3.12
L D (sf) 2.54
M D (sf) 2.25
N D (sf) 1.82
O D (sf) 1.39
XC AAA (sf) N/A
XP AAA (sf) N/A
N/A - Not applicable.
BEAR STEARNS: DBRS Downgrades Class D Rating to 'BB'
----------------------------------------------------
DBRS has confirmed the ratings of Bear Stearns Commercial Mortgage
Securities Trust, 2007-PWR18 as follows:
-- Class A-1 at AAA
-- Class A-1A at AAA
-- Class A-2 at AAA
-- Class A-3 at AAA
-- Class A-AB at AAA
-- Class A-4 at AAA
-- Class A1-A at AAA
-- Class A-M at AAA
-- Class AM-A at AAA
-- Class X-1 at AAA
-- Class X-2 at AAA
In addition, DBRS has downgraded the ratings of 17 classes as
follows:
-- Class A-J to BBB (high) from A
-- Class AJ-A to BBB (high) from A
-- Class B to BBB from A (low)
-- Class C to BBB (low) from A (low)
-- Class D to BB (high) from BBB
-- Class E to BB from BBB
-- Class F to B (high) from BBB (low)
-- Class G to B (low) from BB
-- Class H to CCC from B (high)
-- Class J to CCC from B
-- Class K to C from B (low)
-- Class L to C from CCC
-- Class M to C from CCC
-- Class N to C from CCC
-- Class O to C from CCC
-- Class P to C from CCC
-- Class Q to C from CCC
All trends are Stable. In addition, Classes N through Q have
interest in arrears and have been noted as such.
The downgrades are based on the following:
There are 16 loans in special servicing, representing
approximately 12% of the current pool balance. DBRS has
liquidated or modified these loans with an implied loss to the
trust for modeling purposes. Based on the 16 loans currently in
special servicing and the corresponding loss estimations, DBRS
projects the losses associated with these loans to erode all of
Classes S through L and a portion of Class K. Further prompting
the downgrades is the declining performance of the 45 loans (27%
of the pool balance) on the servicer's watchlist.
The pool is heavily concentrated by loans secured by retail and
hotel properties, 35.4% of the pool and 15.1% of the pool,
respectively. Both of these properties types have experienced
significant cash flow stress in the recent economic downturn, to
which much of the transaction's performance decline can be
attributed.
Since issuance, the current credit enhancement levels at the lower
bond classes have decreased because of the losses that have been
realized by the trust. Correspondingly, the DBRS model required
credit enhancement levels have increased based on the
deteriorating cash flows and credit fundamentals since issuance,
and as such, DBRS has downgraded the above mentioned classes.
DBRS has confirmed the shadow ratings of Prospectus ID#33,
Westridge Square Shopping Centre, at BBB (low) and Prospectus
ID#112, Stor It Self Storage - Long Beach, at BBB. Due to a
decline in performance since issuance, DBRS has removed the shadow
rating on Prospectus ID#17, Aviata Apartments.
The majority of the anticipated losses are associated with
Prospectus ID#5 (RRI Hotel Portfolio). This loan is secured by 79
Red Roof Inn (RRI) hotels (9,423 rooms) across 24 states. As with
many lodging properties, the RRI performance has declined. The
YE2008 DSCR was reported at 1.17x and further plummeted to a year-
to-date level of 0.86x as of June 2009. The loan transferred to
the special servicer June 8, 2009, due to delinquent May 2009 and
June 2009 payments as well as the borrower's indication that they
were unwilling and unable to remit future payments. The loan is a
pari-passu piece of a $465 million loan.
As part of its review, DBRS analyzed the shadow-rated loans, the
servicer's watchlisted loans, the specially serviced loans, and
the remaining top ten loans, which together comprise approximately
78% of the current pool balance.
DBRS continues to monitor this transaction on a monthly basis in
the Global CMBS Monthly Surveillance report which can be found
at http://www.dbrs.com.
BEAR STEARNS: DBRS Confirms Class J Rating at 'BB'
--------------------------------------------------
DBRS has confirmed the ratings of Bear Stearns Commercial Mortgage
Securities Trust 2004-PWR5 as follows:
-- Class A-2 at AAA
-- Class A-3 at AAA
-- Class A-4 at AAA
-- Class A-5 at AAA
-- Class B at AAA
-- Class C at AA (high)
-- Class D at AA (low)
-- Class E at A (high)
-- Class F at A (low)
-- Class G at BBB
-- Class H at BBB (low)
-- Class J at BB (high)
-- Class K at BB
-- Class L at BB (low)
-- Class M at B (high)
-- Class N at B
-- Class P at B (low)
-- Class X-1 at AAA
-- Class X-2 at AAA
The trends for all rated classes of the transaction are Stable
Performance of the pool has been very strong since issuance.
Currently, 19.7% of the pool is defeased and there is only one
loan in special servicing, comprising 0.66% of the pool. Eight
loans mature in 2011, with two of those loans being fully
defeased. The six remaining 2011 loan maturities have a median
debt yield in excess of 12%. DBRS has confirmed the ratings of
all classes based on the current pool performance. In addition,
DBRS modeled the estimated losses and fees associated with the one
loan in special servicing, all of which are expected to be
contained to the unrated Class Q. After performing the cash flow
stress scenario on the troubled loans and liquidation scenario to
the one loan in special servicing, DBRS found the ratings
confirmations to be very well supported.
The largest loan, Prospectus ID#1, 2941 Fairview Park Drive (6.96%
of the pool), is secured by a Class A office building that is
located within the ten-building, 2.1 million sf Fairview Business
Park in Falls Church, Virginia, with good accessibility to major
highways. Built in 2001, the property is of above average quality
however, the tenant roster is strong. The largest tenant, General
Dynamics Corporation (49% of NRA) is considered investment grade
and has a lease that extends to November 2018.
The second largest loan in the pool, Prospectus ID# 2 ,The Summit
Louisville (5.50% of the pool), is a lifestyle shopping center
located in northwest Louisville, Kentucky. Occupancy at the
center, as of the September 2010 rent roll, was 96.4%. The loan
is interest only for the full seven-year loan term. While
performance has improved, the property does face the risk of
tenant rollover prior to the loan maturity date of June 1, 2011.
The property was constructed in 2001; therefore, there are many
ten-year leases expiring in 2011 and 2012. DBRS has stressed the
cash flow for this particular loan in its modeling scenario to
adequately reflect the risk associated with tenant rollover and
the upcoming loan maturity. Despite the concern, the loan has a
healthy debt yield of approximately 11.4%. DBRS will continue to
monitor this loan closely as it approaches maturity.
DBRS confirmed the shadow ratings of New Castle Marketplace (1.1%
of the pool) at 'AAA' and Palmetto Business Park (1.2% of the
pool) at 'BBB (low)'. Due to a decline in performance since
issuance, DBRS has removed the shadow ratings of two loans: World
Apparel Center (3.57% of the pool) and New Hampshire Tower (0.59%
of the pool). Despite the removal of the shadow ratings, these
loans remain current.
As mentioned above, there is one loan in special servicing,
totaling 0.66% of the pool balance. The specially serviced loan
is Prospectus ID#52, 623 Stewart Avenue, secured by a 51,000 sf
anchored retail property located in Garden City, New York. The
loan transferred to the special servicer in early 2009 after
losing its largest tenant, Comp USA, in 2008. The property is now
20% occupied and has struggled with occupancy issues since
transferring to the special servicer. Although DBRS anticipates a
loss to the trust associated with this loan, the loss is expected
to be contained to the unrated Class Q.
DBRS continues to monitor this transaction on a monthly basis in
the Monthly Global CMBS Surveillance Report which can be accessed
at http://www.dbrs.com.
BEAR STEARNS: Fitch Downgrades Ratings on 15 2006-TOP24 Certs.
--------------------------------------------------------------
Fitch Ratings has downgraded 15 classes of Bear Stearns Commercial
Mortgage Securities Trust, commercial mortgage pass-through
certificates, series 2006-TOP24, due to further deterioration of
performance, most of which involves increased losses on loans in
special servicing.
The downgrades reflect an increase in Fitch expected losses across
the pool. Fitch modeled losses of 8.2% for the remaining pool;
expected losses of the original pool are at 8.4%, including losses
already incurred to date. Fitch has designated 37 loans (21%) as
Fitch Loans of Concern, which includes nine specially serviced
loans (12.4%). At Fitch's last review, there were seven loans
(10.5%) in special servicing. Currently, Fitch expects classes H
through O may be fully depleted from losses associated with the
specially serviced assets.
As of the December 2011 distribution date, the pool's aggregate
principal balance has been reduced by approximately 2.4% to
$1.5 billion from $1.53 billion at issuance. Interest shortfalls
are affecting classes E through P.
Of the loans in special servicing, the largest contributor to loss
consists of a 258-room full-service hotel in San Diego, CA. The
loan transferred to special servicing in April of 2009 for
imminent default and is currently in foreclosure. The property
continues to perform below expectations from issuance. The
servicer and borrower continue to negotiate workout options;
however, recent value estimates indicate losses are likely at
disposition.
The next specially serviced loan is secured by a 262,101 square
foot (sf) single-tenant retail property located at the Monmouth
Mall, in Monmouth, NJ. The loan transferred to special servicing
in April 2009, following the bankruptcy and store closure of the
property's sole tenant, Boscov's. The property remains 100%
vacant, and efforts to stabilize the asset have failed to
materialize. The special servicer is pursuing foreclosure and
recent value estimates indicate the loan's loss severity may reach
as high as 95%.
Of the specially serviced loans, the next contributor to losses
consists of a 295-room full-service hotel located in Schiller
Park, IL, within proximity to Chicago O'Hare Airport. The loan
has been in special servicing since defaulting on its payment
obligations in December 2009. Recently, a modification was agreed
upon, and according to the December 2010 delinquency report, the
loan is expected to return to the master servicer within the next
30-days. While the modification is considered accretive to the
loan's ability to perform through the term, a recent appraisal
indicates that the value of the asset has declined from issuance,
and losses are possible at or before maturity.
Fitch downgrades, removes from Rating Watch Negative, assigns
Outlooks, and revises the LS ratings and Recovery Ratings as
indicated:
-- $153.5 million class A-M to 'AAsf/LS3' from 'AAA/LS3';
Outlook Stable;
-- $101.7 million class A-J to 'BBB-sf/LS4' from 'A/LS3';
Outlook Negative;
-- $28.8 million class B to 'BBsf/LS5' from 'BBB/LS4'; Outlook
Negative;
-- $13.4 million class C to 'Bsf/LS5' from 'BBB/LS5'; Outlook
Negative;
-- $21.1 million class D to 'CCCsf/RR1' from 'BB/LS5';
-- $13.4 million class E to 'CCCsf/RR1' from 'BB/LS5';
-- $13.4 million class F to 'CCCsf/RR1' from 'BB/LS5';
-- $19.2 million class G to 'CCsf/RR5'from 'B-/LS5';
-- $9.6 million class H to 'CCsf/RR6' from 'CCC/RR6';
-- $3.8 million class J to 'Csf/RR6' from 'CC/RR6';
-- $3.8 million class K to 'Csf/RR6' from 'CC/RR6';
-- $5.8 million class L to 'Csf/RR6' from 'CC/RR6';
-- $5.8 million class M to 'Csf/RR6' from 'CC/RR6';
-- $1.9 million class N to 'Csf/RR6' from 'CC/RR6';
-- $1.9 million class O to 'Csf/RR6' from 'CC/RR6'.
Fitch also affirms these classes and revises the LS ratings as
indicated:
-- $25.5 million class A-1 at 'AAAsf/LS2' from 'LS1'; Outlook
Stable;
-- $173.2 million class A-2 at 'AAAsf/LS2' from 'LS1'; Outlook
Stable;
-- $91.7 million class A-3 at 'AAAsf/LS2' from 'LS1''; Outlook
Stable;
-- $81 million class A-AB at 'AAAsf/LS2' from 'LS1''; Outlook
Stable;
-- $715.3 million class A-4 at 'AAAsf/LS2' from 'LS1''; Outlook
Stable.
Fitch withdraws the rating on the interest-only classes X-1 and X-
2.
CENTRAL PLAINS: S&P Downgrades Rating on 2007A & 2007B Bonds
------------------------------------------------------------
Standard & Poor's Ratings Services said it lowered its senior
secured debt rating on Central Plains Energy Project's series
2007A fixed-rate gas project revenue bonds and series 2007B index-
rate gas project revenue bonds to 'B' from 'BB+'. The outlook is
negative.
The downgrade on CPEP comes after the downgrade of MBIA Insurance
Corp., which followed Standard & Poor's review of the stress-case
loss projections for MBIA's collateralized debt obligations of
asset-backed securities and its commercial real estate-related
exposures being significantly higher than previously projected.
The various counterparties in the transaction include:
* Goldman Sachs Group Inc. (A/Negative/A-1), which guarantees the
obligations of J. Aron & Co. (not rated), CPEP's gas supplier;
* The Royal Bank of Scotland PLC (RBS; A/Stable/A-1), the fixed-
price commodity swap counterparty;
* MBIA Inc. (B-/Negative/--), the repurchase agreement provider
for the debt service reserve and working capital reserve funds,
supported by a guarantee from MBIA Insurance Corp. (B/Negative/-
-);
* Transamerica Life Insurance Co. (AA-/Negative/A-1+), the
guaranteed investment contract provider for the debt service
fund;
* The Omaha Metropolitan Utilities District (OMUD; A+/Stable/--;
95% of gas volumes); and
* The Municipal Gas Utility of the City of Cedar Falls, Iowa (CFU;
not rated, 5%).
The negative outlook on CPEP's bonds reflects the current outlook
on MBIA as the guarantor to the repurchase agreement supporting
the debt service and working capital reserves.
"S&P could revise the ratings and outlook to the extent that S&P
revise the ratings on MBIA, or S&P lower the rating on one of the
other counterparties and it becomes the primary ratings
constraint," said Standard & Poor's credit analyst Mark Habib.
The negative outlook on MBIA reflects Standard & Poor's view that
reflects the possibility that adverse loss development on the
structured finance book could continue, diminishing liquidity and
weakening capital. Considering the runoff nature of the
franchise, it is unlikely that S&P would raise the rating.
Further, if the company exhibits increased losses within its
investment portfolio or demonstrates potential reserve charges or
diminished liquidity, S&P could lower the rating.
CSFB MORTGAGE-BACKED: Moody's Downgrades Ratings on Eight Tranches
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eight
tranches, backed by Alt-A RMBS loans, issued by CSFB Mortgage-
Backed Pass-Through Certificates, Series 2005-1.
Ratings Rationale
The collateral backing this transaction consists primarily of
first-lien, fixed-rate, Alt-A residential mortgage loans. The
actions are a result of the rapidly deteriorating performance of
Alt-A pools in conjunction with macroeconomic conditions that
remain under duress. The actions reflect Moody's updated loss
expectations on Alt-A pools issued from 2005 to 2007.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach "Alt-A RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on
pools left with a small number of loans. To project losses on
pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (10%, 19% and 21% for
the 2005, 2006 and 2007 vintage respectively). This baseline rate
is higher than the average rate of new delinquencies for the
vintage to account for the volatile nature of small pools. Even
if a few loans in a small pool become delinquent, there could be a
large increase in the overall pool delinquency level due to the
concentration risk. Once the baseline rate is set, further
adjustments are made based on 1) the number of loans remaining in
the pool and 2) the level of current delinquencies in the pool.
The fewer the number of loans remaining in the pool, the higher
the volatility and hence the stress applied. Once the loan count
in a pool falls below 75, the rate of delinquency is increased by
1% for every loan less than 75. For example, for a pool with 74
loans from the 2005 vintage, the adjusted rate of new delinquency
would be 10.10%. If current delinquency levels in a small pool is
low, future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.2 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 50% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-1
-- Cl. II-A-1, Downgraded to Caa2 (sf); previously on Dec. 17,
2009 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Caa1 (sf); previously on Dec. 17,
2009 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Caa1 (sf); previously on Dec. 17,
2009 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to Caa1 (sf); previously on Dec. 17,
2009 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-5, Downgraded to Caa1 (sf); previously on Dec. 17,
2009 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-6, Downgraded to Caa1 (sf); previously on Dec. 17,
2009 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-X, Downgraded to Caa1 (sf); previously on Dec. 17,
2009 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. D-B-2, Downgraded to C (sf); previously on July 1, 2009
Downgraded to Ca (sf)
FREDDIE MAC: Moody's Cuts Ratings on Two Subordinate Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 2
subordinate tranches from one transaction issued by Freddie Mac
Securities REMIC Trust in 2005.
The collateral backing this transaction consists primarily of
first-lien, adjustable-rate, negative amortization, Alt-A mortgage
loans.
Ratings Rationale
The collateral backing the transactions consists of first-lien,
adjustable-rate, negative amortization, and Alt-A mortgage loans.
The actions are a result of the rapidly deteriorating performance
of Option ARM pools in conjunction with macroeconomic conditions
that remain under duress and Moody's updated loss expectations on
Option ARM pools issued from 2005 to 2007.
To assess the rating implications of the updated loss levels on
Option ARM RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in late 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete Rating Actions are:
Issuer: Freddie Mac Securities REMIC Trust 2005-S001
-- Cl. 1B1, Downgraded to C (sf); previously on Jan. 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade
-- Cl. 1B2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
FLAGSHIP CLO: Moody's Upgrades Ratings on Five Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Flagship CLO III, Corp.:
-- US$35,400,000 Class A Senior Secured Floating Rate Revolving
Notes Due 2016 (current outstanding balance of $34,728,659),
Upgraded to Aa2 (sf); previously on June 12, 2009 Downgraded
to A1 (sf);
-- US$234,000,000 Class A Senior Secured Floating Rate Funded
Notes Due 2016 (current outstanding balance of $229,562,324),
Upgraded to Aa2 (sf); previously on June 12, 2009 Downgraded
to A1 (sf);
-- US$29,400,000 Class B Second Priority Deferrable Floating
Rate Notes Due 2016, Upgraded to Baa3 (sf); previously on
June 12, 2009 Downgraded to Ba2 (sf);
-- US$13,000,000 Class C Third Priority Deferrable Floating
Rate Notes Due 2016, Upgraded to Ba3 (sf); previously on
June 12, 2009 Downgraded to B3 (sf);
-- US$10,600,000 Class D Fourth Priority Deferrable Floating
Rate Notes Due 2016, Upgraded to Caa2 (sf); previously on
November 23, 2010 Ca (sf) Placed Under Review for Possible
Upgrade;
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily due to the improvement in the credit quality of the
underlying portfolio and the subsequent increase in the
overcollateralization ratios since the last rating action in June
2009.
The overcollateralization ratios of the rated notes have improved
as a result of a sharp decline in the concentration of Caa1 and
below rated assets in the portfolio. As of the November trustee
report, the Class A, Class B, Class C, and Class D
overcollateralization ratios are reported at 125.2%, 112.7%,
107.9%, and 104.3%, respectively, versus May 2009 levels of
117.2%, 105.6%, 101.1%, and 97.6%, respectively, and all related
overcollateralization tests are currently in compliance.
Moody's expects delevering to continue as a result of the end of
the deal's reinvestment period in September 2010.
Improvement in the credit quality is observed through an
improvement in the average credit rating (as measured by the
weighted average rating factor) and a decrease in the proportion
of securities from issuers rated Caa1 and below. Based on the
November 2010 trustee report, the weighted average rating factor
is 2444 compared to 2914 in May 2009, and securities rated Caa1
and below make up approximately 8.5% of the underlying portfolio
versus 15.0% in May 2009. Moody's adjusted WARF has also declined
since the last rating action due to a decrease in the percentage
of securities with ratings on "Review for Possible Downgrade" or
with a "Negative Outlook." The deal also experienced a decrease
in defaults. In particular, the dollar amount of defaulted
securities has decreased to $5.9mm from approximately
$15.3 million in May 2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," 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 its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $325.5 million, defaulted par of $10.8 million,
weighted average default probability of 23.6% (implying a WARF of
3570), a weighted average recovery rate upon default of 43.2%, and
a diversity score of 67. These default and recovery properties of
the collateral pool are incorporated in cash flow model analysis
where they are subject to stresses as a function of the target
rating of each CLO liability being reviewed. The default
probability is derived from the credit quality of the collateral
pool and Moody's expectation of the remaining life of the
collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends, and collateral manager latitude for trading
the collateral are also factors.
Flagship CLO III, Corp., issued on August 31, 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in August 2009.
In addition to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected losses), assuming that all other factors are held equal:
Moody's Adjusted WARF - 20% (2856)
-- Class A: +2
-- Class B: +2
-- Class C: +2
-- Class D: +4
Moody's Adjusted WARF + 20% (4284)
-- Class A: -2
-- Class B: -2
-- Class C: -1
-- Class D: -2
A summary of the impact of different recovery rate levels on all
rated notes (shown in terms of the number of notches' difference
versus the current model output, where a positive difference
corresponds to lower expected loss), assuming that all other
factors are held equal:
Moody's Adjusted WARR + 2% (45.2%)
-- Class A: +1
-- Class B: +0
-- Class C: +1
-- Class D: +0
Moody's Adjusted WARR - 2% (41.2%)
-- Class A: 0
-- Class B: -1
-- Class C: -2
-- Class D: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to
high prepayment levels in the loan market and/or collateral
sales by the manager, which may have significant impact on the
notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deals'
overcollateralization levels. Further, the timing of
recoveries and the manager's decision to work out versus
selling defaulted assets create additional uncertainties.
Moody's analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal
value upon liquidation at maturity to be equal to the lower of
an assumed liquidation value (depending on the extent to which
the asset's maturity lags that of the liabilities) and the
asset's current market value.
GS MORTGAGE: Moody's Assigns Ratings on Nine 2010-C2 Certs.
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to nine
classes of CMBS securities, issued by GS Mortgage Securities Trust
2010-C2, Commercial Mortgage Pass-Through Certificates Series
2010-C2.
-- US$347M Cl. A-1 Certificate, Definitive Rating Assigned Aaa
(sf)
-- US$376.072M Cl. A-2 Certificate, Definitive Rating Assigned
Aaa (sf)
-- Cl. X-A Certificate, Definitive Rating Assigned Aaa (sf)
-- Cl. X-B Certificate, Definitive Rating Assigned Aaa (sf)
-- US$26.293M Cl. B Certificate, Definitive Rating Assigned Aa2
(sf)
-- US$29.58M Cl. C Certificate, Definitive Rating Assigned A2
(sf)
-- US$47.11M Cl. D Certificate, Definitive Rating Assigned Baa3
(sf)
-- US$12.051M Cl. E Certificate, Definitive Rating Assigned Ba2
(sf)
-- US$9.86M Cl. F Certificate, Definitive Rating Assigned B2
(sf)
Ratings Rationale
The Certificates are collateralized by 43 fixed rate loans secured
by 108 properties. The ratings are based on the collateral and
the structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio. The Moody's Actual DSCR of 1.74X is higher
than the 2007 conduit/fusion transaction average of 1.31X. The
Moody's Stressed DSCR of 1.21X is higher than the 2007
conduit/fusion transaction average of 0.92X. Moody's Trust LTV
ratio of 88.7% is lower than the 2007 conduit/fusion transaction
average of 110.6%. Moody's Total LTV ratio (inclusive of
subordinated debt) of 94.8% is also considered when analyzing
various stress scenarios for the rated debt.
The transaction benefits from six loans, representing
approximately 16.1% of the pool balance in aggregate, assigned an
investment grade credit estimate. Loans assigned investment grade
credit estimates are not expected to contribute any loss to a
transaction in low stress scenarios, but are expected to
contribute minimal amounts of loss in high stress scenarios.
Property type composition and correlations also affect transaction
performance. Loans collateralized solely, or in part, by retail
properties or land improved with retail properties represent 49.0%
of the pool. Despite a challenging retail environment, the loans
collateralized by retail properties experienced low historical net
operating income volatility. However, property type
concentrations increase asset correlations which affect pool
default and loss distributions. Loans collateralized solely, or
in part, by office properties represent 43.1% of the pool.
Historically, office properties have experienced a high degree of
net operating income volatility compared to other commercial real
estate sectors.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity.
The V Score for this transaction is assessed as Medium, the same
as the V score assigned to the U.S. Conduit and CMBS sector. This
reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 15%, or 23%, the model-indicated rating for the currently
rated Aaa classes would be Aa1, Aa2, A1, respectively. Parameter
Sensitivities are not intended to measure how the rating of the
security might migrate over time; rather they are designed to
provide a quantitative calculation of how the initial rating might
change if key input parameters used in the initial rating process
differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
HSI ASSET: Moody's Downgrades Ratings on 12 Tranches
----------------------------------------------------
Moody's Investors Service has downgraded the ratings of 12
tranches and confirmed the ratings of 4 tranches from 1 RMBS
transaction, backed by Alt-A residential mortgage loans, issued by
HSI Asset Loan Obligation Trust 2006-2.
Ratings Rationale
The collateral backing these transactions consists primarily of
first-lien, fixed-rate Alt-A residential mortgage loans. The
actions are a result of the rapidly deteriorating performance of
Alt-A pools in conjunction with macroeconomic conditions that
remain under duress. The actions reflect Moody's updated loss
expectations on Alt-A pools issued from 2005 to 2007.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans. To project
losses on pools with fewer than 100 loans, Moody's first estimates
a "baseline" average rate of new delinquencies for the pool that
is dependent on the vintage of loan origination (10%, 19% and 21%
for the 2005, 2006 and 2007 vintage respectively). This baseline
rate is higher than the average rate of new delinquencies for the
vintage to account for the volatile nature of small pools. Even
if a few loans in a small pool become delinquent, there could be a
large increase in the overall pool delinquency level due to the
concentration risk. Once the baseline rate is set, further
adjustments are made based on 1) the number of loans remaining in
the pool and 2) the level of current delinquencies in the pool.
The fewer the number of loans remaining in the pool, the higher
the volatility and hence the stress applied. Once the loan count
in a pool falls below 75, the rate of delinquency is increased by
1% for every loan less than 75. For example, for a pool with 74
loans from the 2005 vintage, the adjusted rate of new delinquency
would be 10.10%. If current delinquency levels in a small pool is
low, future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.2 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 50% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: HSI Asset Loan Obligation Trust 2006-2
-- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-6, Confirmed at Ca (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-7, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-8, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-9, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-10, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-11, Downgraded to C (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-12, Downgraded to C (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-IO, Downgraded to C (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-PO, Confirmed at Caa3 (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Confirmed at B3 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-IO, Confirmed at B3 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
INDYMAC INDA: Moody's Downgrades Ratings on 37 Tranches
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 37
tranches, confirmed the ratings of six tranches and upgraded the
ratings of two tranches from six RMBS transactions issued by
IndyMac. The collateral backing these transactions consists
primarily of first-lien, adjustable-rate, Alt-A residential
mortgage loans.
Ratings Rationale
The actions are a result of the rapidly deteriorating performance
of Alt-A pools in conjunction with macroeconomic conditions that
remain under duress. The actions reflect Moody's updated loss
expectations on Alt-A pools issued in 2005 to 2007.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach "Alt-A RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on
pools left with a small number of loans. To project losses on
pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (10%, 19% and 21% for
the 2005, 2006 and 2007 vintage respectively). This baseline rate
is higher than the average rate of new delinquencies for the
vintage to account for the volatile nature of small pools. Even
if a few loans in a small pool become delinquent, there could be a
large increase in the overall pool delinquency level due to the
concentration risk. Once the baseline rate is set, further
adjustments are made based on 1) the number of loans remaining in
the pool and 2) the level of current delinquencies in the pool.
The fewer the number of loans remaining in the pool, the higher
the volatility and hence the stress applied. Once the loan count
in a pool falls below 75, the rate of delinquency is increased by
1% for every loan less than 75. For example, for a pool with 74
loans from the 2005 vintage, the adjusted rate of new delinquency
would be 10.10%. If current delinquency levels in a small pool is
low, future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.2 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 50% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
In addition, the ratings on the interest only tranche 3-X, issued
by INDX Mortgage Loan Trust 2006-AR9, have been adjusted to
reflect the fact that the notional balance of this tranche is
linked to the outstanding balance of 3-A-2. Previous rating
actions did not reflect this.
The ratings on the interest only tranche C-X, issued by INDX
Mortgage Loan Trust 2007-AR19, also have been adjusted to reflect
the fact that the notional balance of this tranche is linked to
the outstanding balance of 2-A-1, 3-A-1 and C-M tranches.
Previous rating actions did not reflect this.
Finally, the ratings of INDX Mortgage Loan Trust 2006-AR13 Class
A-1, Class A-2, Class A-3 and Class A-4 have been corrected to
reflect the loss allocations rules outlined in the Pooling and
Servicing Agreement. Moody's notes that there is a discrepancy
between the loss allocation rules in the Prospectus, and those
outlined in the PSA. The trustee has stated that they will follow
the loss allocation rules set forth in the PSA where Class A-4
supports only Classes A-3 and A-2. Moody's prior ratings were
based on the Prospectus Supplement which stated that Class A-4
would support Classes A-3, A-2 and A-1.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: IndyMac INDA Mortgage Loan Trust 2007-AR7
-- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Jan. 14,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Confirmed at B3 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR13
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa1 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2X, Downgraded to Caa1 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-4X, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR31
-- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR33
-- Cl. 1-A-1, Confirmed at Caa1 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2-1, Downgraded to Caa1 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2-2, Downgraded to C (sf); previously on Jan. 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1-1, Confirmed at B3 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1-2, Downgraded to C (sf); previously on Jan. 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2-X, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-X, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR9
-- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Caa1 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa1 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-X, Upgraded to Caa1 (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Confirmed at Caa3 (sf); previously on Jan. 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-X, Confirmed at Caa3 (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac INDX Mortgage Loan Trust 2007-AR19
-- Cl. 1-A-1, Confirmed at Caa3 (sf); previously on Jan. 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-M, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Upgraded to Caa3 (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
MILL REEF: S&P Downgrades Ratings on 10 Classes of Notes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes of notes from Mill Reef SCDO 2005-1 Ltd., Highridge ABS
CDO II Ltd., and Slate CDO 2007-1 Ltd. to 'D (sf)'. At the same
time, S&P affirmed its 'CC (sf)' ratings on three classes from
Mill Reef SCDO 2005-1 Ltd. and its 'D (sf)' ratings on six classes
from Highridge ABS CDO II Ltd. and Slate CDO 2007-1 Ltd..
The rating actions reflect the implementation of S&P's criteria
for ratings on collateralized debt obligation transactions that
have triggered an event of default and may be subject to
acceleration or liquidation.
The downgrade of classes A-1L and A-2L from Mill Reef SCDO 2005-1
Ltd. were the result of a default in the payment of interest due
on these nonpayment-in-kind notes.
S&P lowered its ratings on five classes from Slate CDO 2007-1
Ltd., a hybrid CDO transaction, because the transaction did not
have proceeds to pay back par payments to the noteholders after
making the termination payments on the credit default swap
contracts.
S&P received notice from the trustee of Highridge ABS CDO II Ltd.,
a cash flow CDO transaction, stating that after the liquidation of
the portfolio assets, the available proceeds were insufficient to
pay the noteholders in full.
Ratings Lowered
Highridge ABS CDO II Ltd.
Rating
------
Class To From
----- -- ----
A-1S D (sf) CC (sf)
A-3 D (sf) CC (sf)
B D (sf) CC (sf)
Mill Reef SCDO 2005-1 Ltd.
Rating
------
Class To From
----- -- ----
A-1L D (sf) CC (sf)
A-2L D (sf) CC (sf)
Slate CDO 2007-1 Ltd.
Rating
------
Class To From
----- -- ----
A3 D (sf) CC (sf)
B1 D (sf) CC (sf)
B2 D (sf) CC (sf)
B3 D (sf) CC (sf)
C D (sf) CC (sf)
Ratings Affirmed
Mill Reef SCDO 2005-1 Ltd.
Class Rating
----- ------
A-3L CC (sf)
B-1L CC (sf)
B-1E CC (sf)
Highridge ABS CDO II Ltd.
Class Rating
----- ------
A-1J D (sf)
A-2 D (sf)
Slate CDO 2007-1 Ltd.
Class Rating
----- ------
A1SA D (sf)
A1SB D (sf)
A1J D (sf)
A2 D (sf)
MINT 2005-1 LTD: DBRS Downgrades Series A Notes Rating to 'C'
-------------------------------------------------------------
DBRS has placed the Series A Notes and Series C Notes
(collectively, the Notes) issued by MINT 2005-1 LTD (the
Transaction) Under Review with Negative Implications.
The Transaction consists of customized synthetic investment-grade
collateralized debt obligation (CDO) tranches, with separate
credit default swaps for each series of notes. Credit enhancement
for each series of notes is provided by subordination from all
lower tranches. For each series of notes, the scheduled
termination of the credit default swap is June 20, 2012.
On November 9, 2010, a credit event was triggered for Ambac
Financial Group Inc. (Ambac). The Transaction has 1.11% exposure
to Ambac (based on the original portfolio notional amount). The
Series C Notes currently have 0.31% of subordination available, so
the Ambac credit event could result in a partial loss of the
Series C Notes principal, depending on the final recovery value.
As a result, the rating of the Series C Notes has been placed
Under Review with Negative Implications.
The credit quality of the Series A and Series B Notes has also
been negatively affected as the credit event will likely result in
a significant reduction in remaining subordination. As a result,
the Series A Notes have been placed Under Review with Negative
Implications, and the rating may be downgraded to C (sf) from CC
(sf) once the Ambac recovery rate for the Transaction has been
finalized. The C (sf) rating assigned to the Series B Notes has
been unchanged because the remaining subordination cannot be
exhausted even if zero recovery is assumed for the Ambac credit
event.
Also, DBRS has discontinued the rating on the JPY1,000,000,000
Series 2B-2 JPY Floating Rate Credit Linked Secured Notes due 2012
issued by MINT 2005-1 LTD (MINT). The ratings have been
discontinued because the notes are no longer outstanding.
MORGAN STANLEY: S&P Withdraws 'D' Rating on Seven 2006-XLF Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'D (sf)' ratings
on seven classes from Morgan Stanley Capital I Inc.'s series 2006-
XLF, a U.S. commercial mortgage-backed securities transaction.
The rating withdrawals follow the repayment of the remaining
principal balance of class N-SDF, which was the only remaining
class in the transaction not rated 'D (sf)'. The repayment of the
remaining principal balance of the class N-SDF certificates was
noted in the transaction's December 2010 remittance report.
S&P lowered its ratings to 'D (sf)' on the class F, G, H, J, K,
and L certificates on April 26, 2010, due to recurring interest
shortfalls associated primarily with special servicing fees and
interest reductions, which resulted from the determination by the
master servicer that future interest advances on the Holiday Inn -
Columbus loan were nonrecoverable. S&P lowered its rating on
class M to 'D (sf)' on May 29, 2008, due to recurring interest
shortfalls and possible principal losses upon the resolution of
collateral securing three underperforming loans. There are
currently $1.6 million accumulated interest shortfalls outstanding
on the J, K, L, and M certificates as of the December 2010 trustee
report.
Ratings Withdrawn
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 2006-XLF
Rating
------
Class To From
----- -- ----
F NR D (sf)
G NR D (sf)
H NR D (sf)
J NR D (sf)
K NR D (sf)
L NR D (sf)
M NR D (sf)
NR -- not rated.
MT WILSON: S&P Raises Ratings on Various Classes of Notes
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, C, and D notes from Mt. Wilson CLO II Ltd., a
collateralized loan obligation transaction managed by Western
Asset Management Co. In addition, S&P removed its ratings on the
class A-1, A-2, and B notes from CreditWatch with positive
implications.
The upgrades reflect the improved performance we've observed in
the transaction's underlying asset portfolio since November 2009.
At that time, S&P lowered the ratings on all the rated notes
following a review of the transaction under S&P's updated criteria
for rating corporate collateralized debt obligations that S&P
published in September 2009.
At the time of S&P's last rating action, based on the trustee
report dated Oct. 1, 2009, the transaction was holding
approximately $22.2 million in defaulted obligations and
$41.3 million in underlying obligors with a rating in the 'CCC'
range. Since that time, a number of defaulted obligors held in
the deal emerged from bankruptcy, with some receiving proceeds
that were higher than their carrying value in the
overcollateralization (O/C) ratio test calculation. This, in
combination with a reduction in the amount of 'CCC' range assets
benefited the transaction's O/C ratio. As of Nov. 1, 2010, Mt.
Wilson CLO II Ltd. was holding $6.0 million in defaulted
obligations and $25.6 million in assets from underlying obligors
with ratings in the 'CCC' range.
S&P will continue to review its ratings on the notes and assess
whether, the ratings remain consistent with the credit enhancement
available to support them and take rating actions as S&P deem
necessary.
Rating And Creditwatch Actions
Mt. Wilson CLO II Ltd.
Rating
------
Class To From
----- -- ----
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AA+ (sf) A+ (sf)/Watch Pos
B A+ (sf) BBB+ (sf)/Watch Pos
C BBB+ (sf) BB+ (sf)
D BB+ (sf) CC (sf)
MULTI SECURITY: DBRS Downgrades Class J Rating at 'BB'
------------------------------------------------------
DBRS has confirmed the ratings of Multiple Security Asset Trust
LP, Series 2005-RR4 (MSAT) as follows:
-- Class A-2 at AAA
-- Class A-3 at AAA
-- Class B at AA
-- Class C at AA (low)
-- Class D at A
-- Class E at A (low)
-- Class F at BBB (high)
-- Class G at BBB
-- Class H at BBB (low)
-- Class X-1 at AAA
-- Class X-2 at AAA
In addition, DBRS has downgraded the ratings of six classes as
follows:
-- Class J at BB
-- Class K at B
-- Class L at CCC
-- Class M at CCC
-- Class N at CCC
-- Class O at C
All trends are Stable, except for Classes K, L, M, N and O, which
are Negative.
The downgrades are a result of reduced credit enhancement levels
following liquidations within the underlying transactions and
greater interest shortfall volatility within the contributed
classes. Going forward, DBRS projects future liquidations within
the underlying transactions to continue to negatively impact the
credit enhancement levels of these classes. Of the 30 remaining
contributing classes, Class L in the FULBA 1998-C2 transaction is
the only class that is currently experiencing a realized loss.
FULBA 1998-C2 is MSAT's largest collateral contributor,
representing approximately 42.0% of the transaction's current
outstanding balance.
While there are concerns related to the six lowest rated classes,
the performance of the overall transaction has been strong, with
contributing classes from eight of the remaining 13 underlying
CMBS transactions currently experiencing principal repayment. The
positive credit migration of the underlying CMBS transactions can
be attributed to increased defeasance, loan seasoning,
amortization and increased credit enhancement as a result of
successful loan repayments and recoveries of liquidated loans.
Since issuance, three transactions (JPMC 1996-C3, JPMC 1996-C2 and
CMMCC 1998-1, originally 11.6% of the MSAT transaction) that were
contributing to the MSAT have paid off in full. As of December
2010, 728 of the original 3,533 loans remain in the underlying
CMBS transactions.
NATIONAL COLLEGIATE: Fitch Affirms Ratings on 12 Student Loans
--------------------------------------------------------------
Fitch Ratings has affirmed all ratings across 12 National
Collegiate Student Loan Trust transactions.
The affirmations reflect the stable loss coverage multiples of the
trusts since Fitch's last review on Jan. 29, 2010, which continue
to reflect high default levels in excess of Fitch's initial
expectations.
In addition, Fitch removes from Rating Watch Negative and
subsequently assigns Negative Rating Outlooks to NCSLT 2006-3
through 2007-2 to reflect Fitch's overall view of the private
student loan sector. The Outlook remains Negative on non-
distressed ratings in NCSLT 2003-1 through 2006-2. These actions
are based upon Fitch's Global Structured Finance Criteria and U.S.
Private Student Loan ABS Criteria.
For each trust, Fitch conducted a review of the collateral
performance that involved the calculation of loss coverage
multiples based on the most recent variables. A projected net
loss amount was compared to available credit enhancement to
determine the loss multiples. Fitch used historical vintage loss
data provided by the issuer to form a loss timing curve
representative of the private student loan collateral pools of
each trust. After giving credit for seasoning of loans in
repayment, Fitch applied the current cumulative gross loss level
to this loss timing curve to derive the expected gross losses over
the remaining life for each trust. A recovery rate of 25% was
applied, which assumes no further payments from TERI other than
the funded pledge accounts.
The available credit enhancement for the trusts consists of excess
spread, overcollateralization (if any), and subordination where
applicable. Fitch assumed excess spread to be the lesser of the
historical average excess spread (earning on the assets minus
interest payments to bondholders and fees) and the most recent 12-
month average excess spread, and applied that same rate over the
remaining life. Given the high default forecasts relative to the
remaining pool balance, the multiples were compressed to achieve
through-the-cycle rating stability.
Fitch has affirmed these classes:
National Collegiate Student Loan Trust 2003-1:
-- Class A-6 at 'BBBsf'; Outlook Negative;
-- Class A-7 at 'BBBsf'; Outlook Negative;
-- Class A-IO at 'BBBsf'; Outlook Negative;
-- Class B-1 at 'Csf';
-- Class B-2 at 'Csf'.
National Collegiate Student Loan Trust 2004-1:
-- Class A-2 at 'BB+sf'; Outlook Negative;
-- Class A-3 at 'BB+sf'; Outlook Negative;
-- Class A-4 at 'BB+sf'; Outlook Negative;
-- Class A-IO-2 at 'BB+sf'; Outlook Negative;
-- Class B-1 at 'Csf';
-- Class B-2 at 'Csf'.
National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust
2004-2:
-- Class A-3 at 'BBB+sf'; Outlook Negative;
-- Class A-4 at 'BBB+sf'; Outlook Negative;
-- Class A-5 1 at 'BBB+sf'; Outlook Negative;
-- Class A-5 2 at 'BBB+sf; Outlook Negative;
-- Class A-IO at 'BBB+sf'; Outlook Negative;
-- Class B at 'BB+sf'; Outlook Negative;
-- Class C at 'CCCsf'.
National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-1:
-- Class A-2 at 'BBBsf'; Outlook Negative;
-- Class A-3 at 'BBBsf'; Outlook Negative;
-- Class A-4 at 'BBBsf'; Outlook Negative;
-- Class A-5 1 at 'BBBsf'; Outlook Negative;
-- Class A-5 2 at 'BBBsf'; Outlook Negative;
-- Class B at 'BB-sf'; Outlook Negative';
-- Class C at 'CCsf'.
National Collegiate Student Loan Trust 2005-2/NCF Grantor Trust
2005-2:
-- Class A-2 at 'BBB-sf'; Outlook Negative;
-- Class A-3 at 'BBB-sf'; Outlook Negative;
-- Class A-4 at 'BBB-'sf; Outlook Negative;
-- Class A-5-1 at 'BBB-sf'; Outlook Negative;
-- Class A-5-2 at 'BBB-sf'; Outlook Negative;
-- Class A-IO at 'BBB-sf'; Outlook Negative;
-- Class B at 'B+sf'; Outlook Negative;
-- Class C at 'CCsf'.
National Collegiate Student Loan Trust 2005-3/NCF Grantor Trust
2005-3:
-- Class A-2 at 'BBB-sf'; Outlook Negative;
-- Class A-3 at 'BBB-sf'; Outlook Negative;
-- Class A-4 at 'BBB-sf'; Outlook Negative;
-- Class A-5-1 at 'BBB-sf'; Outlook Negative;
-- Class A-5-2 at 'BBB-sf'; Outlook Negative;
-- Class A-IO-1 at 'BBB-sf'; Outlook Negative;
-- Class A-IO-2 at 'BBB-sf'; Outlook Negative;
-- Class B at 'BB-sf'; Outlook Negative;
-- Class C at to 'CCsf'.
National Collegiate Student Loan Trust 2006-1:
-- Class A-2 at 'BB+sf'; Outlook Negative;
-- Class A-3 at 'BB+sf'; Outlook Negative;
-- Class A-4 at 'BB+sf'; Outlook Negative;
-- Class A-5 at 'BB+sf'; Outlook Negative;
-- Class A-IO at 'BB+sf'; Outlook Negative;
-- Class B at 'B+sf'; Outlook Negative;
-- Class C at 'CCsf'.
National Collegiate Student Loan Trust 2006-2:
-- Class A-1 at 'BB-sf'; Outlook Negative;
-- Class A-2 at 'BB-sf'; Outlook Negative;
-- Class A-3 at 'BB-sf'; Outlook Negative;
-- Class A-4 at 'BB-sf'; Outlook Negative;
-- Class A-IO at 'BB-sf'; Outlook Negative;
-- Class B at 'CCCsf';
-- Class C at 'CCsf'.
Fitch has removed from Rating Watch Negative, affirmed, and
assigned Outlooks to these classes as indicated:
National Collegiate Student Loan Trust 2006-3:
-- Class A-2 at 'BBB+sf'; Outlook Negative;
-- Class A-3 at 'BBB+sf'; Outlook Negative;
-- Class A-4 at 'BBB+sf'; Outlook Negative;
-- Class A-5 at 'BBB+sf'; Outlook Negative;
-- Class A-IO at 'BBB+sf'; Outlook Negative;
-- Class B at 'BB+sf'; Outlook Negative;
-- Class C at 'B+sf'; Outlook Negative;
-- Class D at 'CCCsf'.
National Collegiate Student Loan Trust 2006-4:
-- Class A-1 at 'BBBsf'; Outlook Negative;
-- Class A-2 at 'BBBsf'; Outlook Negative;
-- Class A-3 at 'BBBsf'; Outlook Negative;
-- Class A-4 at 'BBBsf'; Outlook Negative;
-- Class A-IO at 'BBBsf'; Outlook Negative;
-- Class B at 'BBsf'; Outlook Negative;
-- Class C at 'Bsf'; Outlook Negative;
-- Class D at 'CCsf'.
National Collegiate Student Loan Trust 2007-1:
-- Class A-1 at 'BBB-sf'; Outlook Negative;
-- Class A-2 at 'BBB-sf'; Outlook Negative;
-- Class A-3 at 'BBB-sf'; Outlook Negative;
-- Class A-4 at 'BBB-sf'; Outlook Negative;
-- Class A-IO at 'BBB-sf'; Outlook Negative;
-- Class B at 'BBsf'; Outlook Negative;
-- Class C at 'Bsf'; Outlook Negative;
-- Class D at 'CCsf'.
National Collegiate Student Loan Trust 2007-2:
-- Class A-1 at 'BBBsf'; Outlook Negative;
-- Class A-2 at 'BBBsf'; Outlook Negative;
-- Class A-3 at 'BBBsf'; Outlook Negative;
-- Class A-4 at 'BBBsf'; Outlook Negative;
-- Class A-IO at 'BBBsf'; Outlook Negative;
-- Class B at 'BBB-sf'; Outlook Negative;
-- Class C at 'BB-sf'; Outlook Negative;
-- Class D at 'CCCsf'.
NOVASTAR MORTGAGE: Moody's Cuts Ratings on 2006-MTA1 Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches and confirmed the rating of one tranche issued by
NovaStar Mortgage Funding Trust 2006-MTA1. The collateral backing
this transaction primarily consists of first-lien, adjustable-
rate, negative amortization residential mortgages.
Ratings Rationale
The actions are a result of the rapidly deteriorating performance
of option arm pools in conjunction with macroeconomic conditions
that remain under duress. The actions reflect Moody's updated
loss expectations on option arm pools issued from 2005 to 2007.
In addition, Moody's has adjusted the rating on the Class 2A-1A.
According to both the Prospectus Supplement and Trust Agreement
for this transaction, realized losses on Collateral Group II are
allocated first to Class 2A-1C and then to Class 2A-1B. Realized
losses are never allocated to Class 2A-1A, thus, the 2A-1A has
implicit support from both 2A-1-C and 2A-1B. Moody's prior
ratings did not accurately reflect the additional credit
enhancement that Class 2A-1A receives. Moody's has now updated
its analysis to reflect this loss allocation waterfall.
To assess the rating implications of the updated loss levels on
option arm RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: NovaStar Mortgage Funding Trust Series 2006-MTA1
-- Cl. 1A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2A-1A, Confirmed at Caa2 (sf); previously on Jan. 27,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Caa2 (sf); previously on Jan. 27, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2A-1C, Downgraded to C (sf); previously on Jan. 27, 2010
Ca (sf) Placed Under Review for Possible Downgrade
PUNTO VERDE: S&P Junks Rating on $40 Mil. Class A Notes From 'B-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Punto
Verde Grantor Trust 2006-1's $40 million class A notes to 'CCC-'
from 'B-'.
The rating on the class A notes is dependent on the lower of the
ratings on the two underlying securities, (i) Morgan Stanley ACES
SPC's series 2006-19 notes ('CCC- (sf)') and (ii) Fannie Mae's
$6.47 million interest rate strip due May 15, 2021, which is an
interest payment that has been stripped from Fannie Mae's
$4.25 billion global notes due May 15, 2029 ('AAA/Stable').
The rating action on the class A notes follows S&P's Dec. 27,
2010, downgrade on the underlying security, Morgan Stanley ACES
SPC's series 2006-19 notes to 'CCC-(sf)' from 'B-(sf)'. S&P may
take subsequent rating actions on the class A notes due to changes
in its rating assigned to the underlying securities.
QUEBECOR MEDIA: DBRS Finalizes Rating of BB (Low)
-------------------------------------------------
DBRS has finalized its rating of BB (low) with a Stable trend to
Quebecor Media's (QMI or the Company) new $325 million issuance of
Senior Notes (the Notes). The recovery rating on the Notes is
RR4.
The final rating is based on information provided by the Company
to DBRS as of December 15, 2010. The final ratings confirm that
final documentation is consistent with that which DBRS had already
reviewed in its preliminary rating press release dated
December 13, 2010.
The issuance of Notes consisted of $325 million 7.375% notes for a
term of ten years, maturing in January 2021. This debt issuance
was priced today for settlement on or around January 5, 2011. The
Notes, which will reference a trust indenture to be dated on
close, will be general unsecured senior obligations of QMI and
rank pari passu with its existing and future senior unsecured
indebtedness. The Notes will be subordinated to all of QMI's
secured indebtedness.
DBRS expects QMI to use the proceeds from this issue to effect a
contribution of a similar amount to Sun Media Inc., which intends
to use the proceeds to finance the redemption and retirement of
all outstanding Sun Media notes, on or around February 15, 2011,
and to finance the settlement and termination of related hedging
contracts.
REAL ESTATE ASSET: DBRS Confirms Class F Rating at 'BB'
-------------------------------------------------------
DBRS has confirmed the ratings of fifteen classes of Real Estate
Asset Liquidity Trust, Commercial Mortgage Pass-Through
Certificates, Series 2005-2 as follows:
Class A-1 at AAA
Class A-2 at AAA
Class XP-1 at AAA
Class XC-1 at AAA
Class XP-2 at AAA
Class XC-2 at AAA
Class B at AA
Class C at A
Class D-1 at BBB
Class D-2 at BBB
Class E-1 at BBB (low)
Class E-2 at BBB (low)
Class F at BB (high)
Class G at BB
Class H at BB (low)
In addition, DBRS has downgraded three classes as follows:
Class J to B from B (high)
Class K to B (low) from B
Class L to CCC from B (low)
DBRS does not rate the $6.1 million first loss piece, Class M.
All trends for the rated classes of this transaction are Stable.
The pool collateral has been reduced by 24%, with the current pool
balance at approximately $471 million.
Overall, the financial performance for the remaining collateral is
stable, with a weighted-average debt-service coverage ratio
(WADSCR) of 1.71x and a weighted-average loan-to-value (WALTV) of
63.1%. In addition, there is one defeased loan, representing
0.42% of the pool.
The ratings actions are the result of potential losses associated
with two loans in special servicing.
Prospectus ID#14, Duncan Mill Road, transferred to the special
servicer in June 2010 because of property maintenance issues, tax
payments in arrears and non-payment of reserves as required by the
loan documents. Although DBRS does not anticipate significant
losses on this loan, the property condition issues could make this
loan a potential risk to the trust. The property is located in
northeast Toronto, south of Highway 401 and the current loan
balance is approximately $9.4 million. The asset caters mainly to
medical office tenants and, as property condition issues improve,
it is likely to be a competitive option for this tenant base,
given its close proximity to the North York General Hospital.
Prospectus ID#67, Metropolitan Road, transferred to the special
servicer in April 2010 after the borrower advised the servicer
that they could no longer fund debt-service payments out-of-
pocket, as they had been doing since early 2009 when the single
tenant at the property (Wing Son Garments) filed for bankruptcy
and vacated the property. The loan received an updated appraisal
in August 2010 in excess of the current loan balance; however,
DBRS believes losses are possible on this loan given the
anticipated expenses and special servicing fees.
DBRS has removed the shadow ratings on the InnVest Portfolio
(Radison Portfolio), The Toronto Congress Centre and the InnVest -
Holiday Inn Select Loan, due to a decline in performance since
issuance.
DBRS conducted a full review of the transaction, with in depth
analysis focusing on the top ten loans, the servicer's watchlisted
loans and the specially serviced loans, which cumulatively
represent approximately 64% of the current pool balance.
DBRS continues to monitor this transaction on a monthly basis in
the Monthly Global CMBS Surveillance Report, which can provide
more detailed information on the individual loans in the pool.
WASHINGTON MUTUAL: Moody's Cuts Ratings on 2006-AR19 Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of nine
tranches issued by Washington Mutual 2006-AR19. The collateral
backing this transaction primarily consists of first-lien,
adjustable-rate, negative amortization residential mortgages.
Ratings Rationale
The actions are a result of the rapidly deteriorating performance
of option arm pools in conjunction with macroeconomic conditions
that remain under duress. The actions reflect Moody's updated
loss expectations on option arm pools issued from 2005 to 2007.
In addition, Moody's has adjusted the rating on the Class 1-X2,
which is an interest-only tranche. According to the both the
Prospectus Supplement and the Pooling and Servicing Agreement, the
Class 1-X2 notional balance is based on the outstanding balance of
Subgroup 1A mortgage loans. In Moody's previous rating actions on
Class 1-X2, the notional balance of Class 1-X2 was linked to all
outstanding mortgage loans backing this transaction. Moody's has
adjusted its analysis to take into account the correct collateral
pool.
To assess the rating implications of the updated loss levels on
option arm RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR19
Trust
-- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1A-1A, Downgraded to Caa2 (sf); previously on Jan. 27,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-X2, Downgraded to Caa2 (sf); previously on Jan. 27,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-X-PPP, Downgraded to Ca (sf); previously on Jan. 27,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-X-PPP, Downgraded to Caa3 (sf); previously on Jan. 27,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
* Moody's Withdraws Various Ratings on 85 RMBS Transactions
-----------------------------------------------------------
Moody's Investors Service has withdrawn the ratings of 85 RMBS
transactions.
Ratings Rationale
The credit rating has been withdrawn because Moody's Investors
Service believes it has insufficient or otherwise inadequate
information to support the maintenance of the credit rating.
Complete rating actions:
Issuer: Bankers Trust Co 1988-02
-- D, Withdrawn (sf); previously on June 28, 1988 Assigned Aaa
(sf)
Issuer: Bear Stearns Structured Sec Inc. 1997-03
-- A-1, Withdrawn (sf); previously on Nov. 28, 1997 Assigned Aaa
(sf)
-- A-2, Withdrawn (sf); previously on Nov. 28, 1997 Assigned Aaa
(sf)
Issuer: Carteret Savings Bank FA (1988)
-- Mtge backed MTN, Withdrawn (sf); previously on Oct. 26, 1988
Assigned Aaa (sf)
Issuer: Chase Mtg Finance Corp 1993I
-- A-X, Withdrawn (sf); previously on March 31, 1995 Assigned
Aaa (sf)
Issuer: Citibank Pass-Through Certificates 1995-SA1
-- BA-1, Withdrawn (sf); previously on Nov. 3, 1997 Confirmed at
Aa2 (sf)
-- BA-2, Withdrawn (sf); previously on Nov. 3, 1997 Confirmed at
Ba3 (sf)
Issuer: Cititrust I
-- A1, Withdrawn (sf); previously on March 20, 1992 Assigned Aaa
(sf)
Issuer: CMO HOLDINGS LTD., Class A-1 Notes, Class A-2 Notes and
Class A-3 Notes, Series 2003-1
-- Cl. A-3, Withdrawn (sf); previously on June 30, 2003 Assigned
Aaa (sf)
Issuer: CMO Trust 17
-- A-2, Withdrawn (sf); previously on Jan. 23, 1987 Assigned Aaa
(sf)
-- B, Withdrawn (sf); previously on Jan. 23, 1987 Assigned Aaa
(sf)
Issuer: CMO Trust 29
-- A, Withdrawn (sf); previously on May 26, 1987 Assigned Aaa
(sf)
-- B, Withdrawn (sf); previously on May 26, 1987 Assigned Aaa
(sf)
Issuer: CMO Trust 35
-- A, Withdrawn (sf); previously on Sept. 25, 1987 Assigned Aaa
(sf)
-- B, Withdrawn (sf); previously on Sept. 25, 1987 Assigned Aaa
(sf)
Issuer: CMO Trust 44
-- E, Withdrawn (sf); previously on June 28, 1988 Assigned Aaa
(sf)
-- F, Withdrawn (sf); previously on June 28, 1988 Assigned Aaa
(sf)
Issuer: CMO Trust 50
-- CL- B, Withdrawn (sf); previously on Sept. 30, 1988 Assigned
Aaa (sf)
-- CL- R, Withdrawn (sf); previously on Sept. 30, 1988 Assigned
Aaa (sf)
Issuer: CMO Trust 52
-- CL- R, Withdrawn (sf); previously on Oct. 26, 1988 Assigned
Aaa (sf)
Issuer: Coast S&L 1988-01
-- A, Withdrawn (sf); previously on Jan. 27, 1992 Upgraded to
Aaa (sf)
Issuer: Coast S&L 1988-02
-- A, Withdrawn (sf); previously on Jan. 27, 1992 Upgraded to
Aaa (sf)
Issuer: Conventional Mtg Conduit Inc 1993-1
-- Fast Pay Sr, Withdrawn (sf); previously on Dec. 2, 1993
Assigned Aaa (sf)
-- Slow Pay Jr, Withdrawn (sf); previously on Dec. 2, 1993
Assigned Baa2 (sf)
-- Slow Pay Sr, Withdrawn (sf); previously on Dec. 2, 1993
Assigned Aaa (sf)
Issuer: Dean Witter Mtg Cap Corp Ser 1
-- I-O, Withdrawn (sf); previously on March 31, 1987 Assigned
Aaa (sf)
Issuer: DBL CMO Trust Series P (1988)
-- 5, Withdrawn (sf); previously on May 27, 1988 Assigned Aaa
(sf)
-- 6, Withdrawn (sf); previously on May 27, 1988 Assigned Aaa
(sf)
Issuer: DBL CMO Trust Series X
-- Cl.3, Withdrawn (sf); previously on Nov. 21, 1988 Assigned
Aaa (sf)
Issuer: DBL CMO Trust Series Y
-- 3, Withdrawn (sf); previously on Dec. 19, 1988 Assigned Aaa
(sf)
Issuer: DLJ Mtg Acpt Corp 1989-01
-- Cl. E, Withdrawn (sf); previously on April 27, 1989 Assigned
Aaa (sf)
-- Cl. F, Withdrawn (sf); previously on April 27, 1989 Assigned
Aaa (sf)
-- Cl. R, Withdrawn (sf); previously on April 27, 1989 Assigned
Aaa (sf)
Issuer: DLJ Mtg Acpt Corp 1991-01 (Citizens)
-- A-1, Withdrawn (sf); previously on Jan. 25, 1991 Assigned Aa2
(sf)
Issuer: Fannie Mae 1991-038
-- M, Withdrawn (sf); previously on May 15, 1998 Confirmed at
Aaa (sf)
Issuer: Fannie Mae REMIC Trust 1990-027 Class Z
-- Z, Withdrawn (sf); previously on May 15, 1998 Confirmed at
Aaa (sf)
Issuer: Fannie Mae REMIC Trust 1990-098
-- J, Withdrawn (sf); previously on May 15, 1998 Confirmed at
Aaa (sf)
Issuer: Fannie Mae REMIC Trust 1991-18
-- Class H, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Fannie Mae REMIC Trust 1992-34
-- Class G, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Fannie Mae REMIC Trust 1992-G043
-- Z, Withdrawn (sf); previously on May 15, 1998 Confirmed at
Aaa (sf)
Issuer: Fannie Mae REMIC Trust 1992-G7
-- Class JQ, Withdrawn (sf); previously on May 15, 1998
Confirmed at Aaa (sf)
Issuer: Fannie Mae REMIC Trust G27
-- Cl. 27-JQ, Withdrawn (sf); previously on Oct. 17, 2001
Assigned Aaa (sf)
Issuer: Fannie Mae REMIC Trust G29
-- Cl. 29-O, Withdrawn (sf); previously on Nov. 5, 1991 Assigned
Aaa (sf)
Issuer: Fannie Mae REMIC Trust G32
-- Cl. 32-L, Withdrawn (sf); previously on Nov. 5, 1991 Assigned
Aaa (sf)
Issuer: Federal Home Loan Mortgage Corp., Series G054
-- C, Withdrawn (sf); previously on Oct. 8, 1996 Assigned Aaa
(sf)
Issuer: Federal National Mortgage Association Ser. 1991-74
-- Cl. L, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Federal National Mortgage Association 1989-72
-- Cl. E, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Federal National Mortgage Association 1991-83
-- J, Withdrawn (sf); previously on May 15, 1998 Confirmed at
Aaa (sf)
Issuer: Federal National Mortgage Association Ser. 1990-51
-- Cl. H, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Federal National Mortgage Association Ser. 1990-78
-- Cl. J, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Federal National Mortgage Association Ser. 1991-142
-- Cl. PL, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Federal National Mortgage Association Ser. 1991-93
-- Cl. M, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Federal National Mortgage Association Ser. 1992-131
-- Cl. KB, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Federal National Mortgage Association Ser. 1992-36
-- Cl. PM, Withdrawn (sf); previously on May 15, 1998 Confirmed
at Aaa (sf)
Issuer: Federal National Mtg Assn Trust 1991-076
-- 76-Z, Withdrawn (sf); previously on Jan. 13, 1992 Assigned
Aaa (sf)
Issuer: Federal National Mtg Assn Trust 1991-125-Z
-- Z, Withdrawn (sf); previously on May 15, 1998 Confirmed at
Aaa (sf)
Issuer: Federal National Mtg Assn Trust 1991-092-Z
-- Z, Withdrawn (sf); previously on May 15, 1998 Confirmed at
Aaa (sf)
Issuer: Federal National Mtg Assn Trust 1992-011-E
-- E, Withdrawn (sf); previously on May 15, 1998 Confirmed at
Aaa (sf)
Issuer: Federal National Mtg Assn Trust G50-E
-- 50-E, Withdrawn (sf); previously on Jan. 13, 1992 Assigned
Aaa (sf)
Issuer: Glendale Fed S&L 1989-02
-- A, Withdrawn (sf); previously on April 14, 1994 Upgraded to
Aaa (sf)
Issuer: GNMA II Mortgage Backed Securities Due 1/20/30, GNMA Pool
No. 80365
-- A, Withdrawn (sf); previously on Dec. 21, 2000 Assigned Aaa \
(sf)
Issuer: GNMA II Mortgage Backed Securities Due 11/20/27, GNMA Pool
No. 80134
-- A, Withdrawn (sf); previously on April 1, 1999 Assigned Aaa
(sf)
Issuer: GNMA II Mortgage Backed Securities Due 12/20/27, GNMA Pool
No. 80143
-- A, Withdrawn (sf); previously on Sept. 15, 1999 Assigned Aaa
(sf)
Issuer: GS Trust 2 Series F
-- 2, Withdrawn (sf); previously on Aug. 27, 1987 Assigned Aaa
(sf)
-- 3, Withdrawn (sf); previously on Aug. 27, 1987 Assigned Aaa
(sf)
Issuer: GS Trust 3 Series B
-- 3, Withdrawn (sf); previously on Sept. 29, 1987 Assigned Aaa
(sf)
-- 6, Withdrawn (sf); previously on Sept. 29, 1987 Assigned Aaa
(sf)
Issuer: Guaranteed Mtg Corp III Series L
-- 5, Withdrawn (sf); previously on June 3, 1988 Assigned Aaa
(sf)
Issuer: KPAC I Mtg 1987-B
-- B-1 PO, Withdrawn (sf); previously on March 31, 1987 Assigned
Aaa (sf)
-- B-2 IO, Withdrawn (sf); previously on March 31, 1987 Assigned
Aaa (sf)
Issuer: Linfin Corporation Ser. 1988
-- 1, Withdrawn (sf); previously on July 11, 1988 Assigned Aaa
(sf)
Issuer: LF Rothschild Mtg Trust VII
-- E, Withdrawn (sf); previously on Nov. 14, 1988 Assigned Aaa
(sf)
-- H, Withdrawn (sf); previously on Nov. 14, 1988 Assigned Aaa
(sf)
Issuer: LF Rothschild Mtg Trust IX
-- C, Withdrawn (sf); previously on Dec. 22, 1988 Assigned Aaa
(sf)
-- F, Withdrawn (sf); previously on Dec. 22, 1988 Assigned Aaa
(sf)
Issuer: ML Trust XLIV
-- G, Withdrawn (sf); previously on Aug. 28, 1990 Assigned Aaa
(sf)
-- L, Withdrawn (sf); previously on Aug. 28, 1990 Assigned Aaa
(sf)
Issuer: ML Trust XLVII
-- Z, Withdrawn (sf); previously on Oct. 29, 1990 Assigned Aaa
(sf)
Issuer: PaineWebber CMO Trust Series K
-- 2, Withdrawn (sf); previously on May 2, 1988 Assigned Aaa
(sf)
-- 3, Withdrawn (sf); previously on May 2, 1988 Assigned Aaa
(sf)
Issuer: PaineWebber CMO Trust Series M
-- 2, Withdrawn (sf); previously on Aug. 29, 1988 Assigned Aaa
(sf)
-- 3, Withdrawn (sf); previously on Aug. 29, 1988 Assigned Aaa
(sf)
Issuer: PaineWebber CMO Trust Series N
-- 3, Withdrawn (sf); previously on Dec. 28, 1988 Assigned Aaa
(sf)
-- 4, Withdrawn (sf); previously on Dec. 28, 1988 Assigned Aaa
(sf)
-- 7, Withdrawn (sf); previously on Dec. 28, 1988 Assigned Aaa
(sf)
Issuer: P-B Secured Financing 1989-1 (Mercury S&L)
-- A, Withdrawn (sf); previously on June 13, 1989 Assigned Aa2
(sf)
Issuer: P-B Secured Financing 1989-2 (Mercury S&L)
-- A, Withdrawn (sf); previously on June 12, 1989 Assigned Aa2
(sf)
Issuer: Regal Trust I/ Regal Trust II, Mortgage Certificate-Backed
Certificates
-- I-B-1, Withdrawn (sf); previously on Oct. 30, 1995 Assigned
Ba3 (sf)
-- I-B-2, Withdrawn (sf); previously on Oct. 30, 1995 Assigned
B3 (sf)
Issuer: Residential Resources Inc Series 11
-- F, Withdrawn (sf); previously on Oct. 31, 1988 Assigned Aaa
(sf)
-- K, Withdrawn (sf); previously on Oct. 31, 1988 Assigned Aaa
(sf)
Issuer: Ryland Acpt Corp IV Series 64 A
-- D, Withdrawn (sf); previously on June 14, 1988 Upgraded to
Aaa (sf)
-- E, Withdrawn (sf); previously on June 14, 1988 Upgraded to
Aaa (sf)
-- F, Withdrawn (sf); previously on June 14, 1988 Upgraded to
Aaa (sf)
-- G, Withdrawn (sf); previously on June 14, 1988 Upgraded to
Aaa (sf)
Issuer: Ryland Mtg Sec 1993-01
-- B1-A, Withdrawn (sf); previously on Feb. 23, 1993 Assigned A3
(sf)
Issuer: Salomon Bros Mtg Sec VI 1986-01
-- A, Withdrawn (sf); previously on Dec. 29, 1986 Assigned Aaa
(sf)
-- B, Withdrawn (sf); previously on Dec. 29, 1986 Assigned Aaa
(sf)
Issuer: Salomon Bros Mtg Sec VI 1987-02
-- I-O, Withdrawn (sf); previously on March 19, 1987 Assigned
Aaa (sf)
-- P-O, Withdrawn (sf); previously on March 19, 1987 Assigned
Aaa (sf)
Issuer: Salomon Brothers Mortgage Securities VII, Inc. - Re-REMIC
Trust 2002-A
-- Ser. 2002-A, Withdrawn (sf); previously on Dec. 21, 2004
Downgraded to Ca (sf)
Issuer: SBMS VII 1990-02 (Perpetual Savings)
-- A, Withdrawn (sf); previously on June 9, 2009 Downgraded to
Baa1 (sf)
Issuer: SBMS VII 1990-03 (FNB of Chicago)
-- A-2, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- A-3, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- B-2, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- B-3, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- C-2, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- C-3, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- D-2, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- D-3, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- E-2, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
-- E-3, Withdrawn (sf); previously on Aug. 11, 1993 Upgraded to
Aaa (sf)
Issuer: Sears Mtg Sec Corp 1991-L MC
-- R, Withdrawn (sf); previously on Oct. 28, 1991 Assigned Aaa
(sf)
Issuer: Shearson Lehman CMO Inc Series E
-- 4, Withdrawn (sf); previously on Jan. 27, 1987 Assigned Aaa
(sf)
Issuer: Shearson Lehman CMO Inc Series P
-- 4, Withdrawn (sf); previously on March 29, 1988 Assigned Aaa
(sf)
-- 5, Withdrawn (sf); previously on March 29, 1988 Assigned Aaa
(sf)
Issuer: Shearson Lehman CMO Inc Series T
-- 3, Withdrawn (sf); previously on Sept. 28, 1988 Assigned Aaa
(sf)
-- 4, Withdrawn (sf); previously on Sept. 28, 1988 Assigned Aaa
(sf)
Issuer: US Acpt Corp Series 2
-- 2 A-2, Withdrawn (sf); previously on June 17, 1985 Assigned
Aaa (sf)
Issuer: US Acpt Corp Series 3
-- 3 A-2, Withdrawn (sf); previously on June 21, 1985 Assigned
Aaa (sf)
Issuer: US Acpt Corp Series 5
-- 5 A-1, Withdrawn (sf); previously on Aug. 20, 1985 Assigned
Aaa (sf)
-- 5 A-2, Withdrawn (sf); previously on Aug. 20, 1985 Assigned
Aaa (sf)
Issuer: US Acpt Corp Series 6
-- 6 A-1, Withdrawn (sf); previously on Sept. 20, 1985 Assigned
Aaa (sf)
-- 6 A-2, Withdrawn (sf); previously on Sept. 20, 1985 Assigned
Aaa (sf)
Issuer: US Acpt Corp Series 7
-- 7 A-1, Withdrawn (sf); previously on Oct. 16, 1985 Assigned
Aaa (sf)
-- 7 A-2, Withdrawn (sf); previously on Oct. 16, 2985 Assigned
Aaa (sf)
Issuer: US Acpt Corp Series 8
-- 8 A-1, Withdrawn (sf); previously on Nov. 18, 1985 Assigned
Aaa (sf)
-- 8 A-2, Withdrawn (sf); previously on Nov. 18, 1985 Assigned
Aaa (sf)
Issuer: US Acpt Corp Series 9
-- 9 A-1, Withdrawn (sf); previously on Dec. 16, 1985 Assigned
Aaa (sf)
-- 9 A-2, Withdrawn (sf); previously on Dec. 16, 1985 Assigned
Aaa (sf)
* S&P Affirms Ratings on 23 Classes From Eight Transactions
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 23
classes from eight nontraditional transactions.
The affirmations follow a routine review of the ratings assigned
to these transactions in accordance with S&P's surveillance
procedures, which call for periodic review of transaction ratings.
S&P conducted the analysis that led to the affirmed ratings using
its current criteria for these transactions.
Standard & Poor's will continue to monitor the securitizations and
take rating actions as S&P deems appropriate according to its
criteria.
Ratings Affirmed
CARS CNI-2 L.P.
US$228 million triple net lease mortgage note, series 2003-1
Class Rating
----- ------
A-1 AAA (sf)
A-2 AAA (sf)
Mt. Spokane 2007-A LLC
US$1.019 billion floating rate securities, Series 2007-A
Class Rating
----- ------
C A (sf)
D BBB (sf)
E BB (sf)
Certificate B (sf)
Omaha 2008-A LLC
US$996.793 mil floating rate securities, series 2008-A
Class Rating
----- ------
C A (sf)
D BBB (sf)
Certs BB (sf)
MBNA Practice Solutions 2005-2 Owner Trust
US$370.43 mil notes, series 2005-2
Class Rating
----- ------
A-5 AAA (sf)
B A+ (sf)
Sky Financial Securitization Corp. VI
US$135.3 mil sky financial medical loan securitization,
series 2003-A
Class Rating
----- ------
A-1 AAA (sf)
Sky Financial Securitization Corp. VII
US$126.202 mil sky financial dental loan securitization,
series 2003-B
Class Rating
----- ------
A-2 AAA (sf)
B A (sf)
CBC Insurance Revenue Securitization LLC
US$305 mil insurance revenue asset-backed notes, series 2002-A
Class Rating
----- ------
A-2 AAA (sf)
B A (sf)
C BBB (sf)
TimberStar Trust I
US$800 mil commercial mortgage pass through certificates,
series 2006-1
Class Rating
----- ------
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BBB- (sf)
F BB (sf)
* S&P Puts Ratings on 36 Classes on CreditWatch Negative
--------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 36
classes from five U.S. commercial mortgage-backed securities
transactions on CreditWatch with negative implications. In
addition, S&P lowered four other ratings from one of these
transactions to 'D (sf)' because of interest shortfalls that S&P
expects to continue.
The CreditWatch placements follow S&P's preliminary review of the
Beacon Seattle & D.C. Portfolio loan modification, which was
finalized on Dec. 3, 2010. The $2.7 billion Beacon loan is
secured by the fee and leasehold interests in 16 cross-
collateralized and cross-defaulted office properties; the pledge
of a mortgage and joint-venture interests in one office property;
and related cash flows and a covenant to deposit cash flows from
three office properties. The properties total approximately
9.8 million sq. ft. of space. Nine of the properties are in the
state of Washington, seven are in Virginia, and four are in the
District of Columbia.
The Beacon loan has a whole-loan balance of $2.7 billion and
consists of seven A notes that are included in six U.S. CMBS
transactions (Standard & Poor's rates five of the six
transactions), as well as a $56.0 million B-1 note. The eight
notes are split into three groups, each of which is pari passu and
pro rata with the others. The B-1 note is subordinate to the A-4
and A-5 notes within that group of three notes.
Each of the five transactions S&P rates contains a portion of the
Beacon loan's $2.64 billion A note. In addition to extending the
loan's maturity date, the recent loan modification added a
pay/accrual rate feature, which will convert the loan's current
contractual payment rate of 5.797% to a lower current pay rate of
3.0%, with the deferred accrual amount remaining outstanding. The
pay/accrual rate feature will immediately reduce the monthly pay
rate by 2.797%, which will prompt additional interest shortfalls
to the five trusts. Although future individual asset sales and/or
refinancings will repay the deferred accrual amount allocated to
each asset, the incremental interest shortfalls could prevent some
securities from receiving timely interest and reduce interest
available to the rated classes to absorb additional shortfalls,
leaving them more susceptible to future liquidity interruptions.
Based on S&P's discussions with the special servicer, C-III Asset
Management LLC, the effects of the loan modification should be
reflected on the January 2011 remittance reports.
The downgrades of classes K, L, M, and N from Wachovia Bank
Commercial Mortgage Trust Series 2007-C31 reflect recurring
interest shortfalls. According to the December 2010 remittance
report, classes K, L, and M have carried accumulated interest
shortfalls for eight consecutive months, while class N has carried
accumulated interest shortfalls for 10 consecutive months. S&P
expects these interest shortfalls to remain outstanding for the
foreseeable future, and as a result, S&P lowered its ratings on
these classes to 'D (sf)'.
S&P discusses the five transactions affected by the rating actions
below. Standard & Poor's reviewed the current interest shortfalls
for each of the transactions based on the December 2010 trustee
remittance reports. S&P calculated the expected additional
interest shortfalls based on the 2.797% reduction in the Beacon
loan's current pay rate to evaluate which classes are likely to be
affected on the January 2011 remittance reports. S&P's
CreditWatch placements affect classes that could directly
experience interest shortfalls, as well as others that could
experience reduced liquidity and be more susceptible to future
interest shortfalls.
The Morgan Stanley Capital I Trust 2007-IQ14 (MSC 2007-IQ14)
transaction includes the Beacon loan's $775.0 million A-1 note.
The December 2010 trustee remittance report shows that class H,
and all classes subordinate to it, were affected by interest
shortfalls totaling $1.19 million. Standard & Poor's previously
lowered the ratings on classes H through N to 'D (sf)'. S&P's
analysis indicates that the incremental interest shortfalls
associated with the Beacon loan modification could cause
shortfalls to rise to the class A-J and A-JFL certificates.
The Morgan Stanley Capital I Trust 2007-HQ12 (MSC 2007-HQ12)
transaction includes the Beacon loan's A-2 and A-3 notes, which
total $161.0 million. The December 2010 trustee remittance report
shows that class F, and all classes subordinate to it, were
affected by interest shortfalls, which totaled $471,250 for the
period. Standard & Poor's previously lowered the ratings on
classes F through Q to 'D (sf)'. S&P's analysis indicates that
the incremental interest shortfalls associated with the Beacon
loan modification could cause shortfalls to rise to the class C
certificate.
The Banc of America Commercial Mortgage Trust 2007-2 (BACM 2007-2)
transaction includes the Beacon loan's $394.5 million A-4 note.
The December 2010 trustee remittance report shows that class H,
and all classes subordinate to it, were affected by interest
shortfalls totaling $768,289. Standard & Poor's previously
lowered the ratings on classes H through Q to 'D (sf)'. S&P's
analysis indicates that the incremental interest shortfalls
associated with the Beacon loan modification could cause
shortfalls to rise to the class B certificate.
The WBCMT 2007-C31 transaction includes the Beacon loan's
$414.0 million A-6 note. The December 2010 trustee remittance
report shows that class J, and all classes subordinate to it,
were affected by interest shortfalls totaling $1.25 million.
Standard & Poor's analysis indicates that the incremental interest
shortfalls associated with the Beacon loan modification could
cause shortfalls to rise to the class F certificate. Classes K
through N have experienced recurring interest shortfalls. Of
those securities, classes K, L, and M have carried accumulated
interest shortfalls for eight consecutive months and class N has
carried accumulated interest shortfalls for 10 consecutive months.
S&P lowered its ratings on classes K, L, M, and N to 'D (sf)' due
to these recurring interest shortfalls.
The Wachovia Bank Commercial Mortgage Trust 2007-C32 transaction
includes the Beacon loan's $414.0 million A-7 note. The December
2010 trustee remittance report shows that class K, and all classes
subordinate to it, were affected by interest shortfalls totaling
$730,795. Standard & Poor's previously lowered the ratings on
classes N through Q to 'D (sf)'. S&P's analysis indicates that
the incremental interest shortfalls associated with the Beacon
loan modification could cause shortfalls to rise to the class F
certificate.
Standard & Poor's will resolve the CreditWatch placements
following its analysis of the January 2011 remittance reports,
which, according to C-III, will reflect the loan modification's
effect on the subject trusts.
Ratings Placed On Creditwatch Negative
Morgan Stanley Capital I Trust 2007-IQ14
Commercial mortgage pass-through certificates series 2007-IQ14
Rating
------
Class To From
----- -- ----
A-J BB- (sf)/Watch Neg BB- (sf)
A-JFL BB- (sf)/Watch Neg BB- (sf)
B B+ (sf)/Watch Neg B+ (sf)
C B+ (sf)/Watch Neg B+ (sf)
D B (sf)/Watch Neg B (sf)
E B (sf)/Watch Neg B (sf)
F B (sf)/Watch Neg B (sf)
G CCC+ (sf)/Watch Neg CCC+ (sf)
Morgan Stanley Capital I Trust 2007-HQ12
Commercial mortgage pass-through certificates series 2007-HQ12
Rating
------
Class To From
----- -- ----
A-J B+ (sf)/Watch Neg B+ (sf)
A-JFL B+ (sf)/Watch Neg B+ (sf)
B B+ (sf)/Watch Neg B+ (sf)
C CCC+ (sf)/Watch Neg CCC+ (sf)
D CCC- (sf)/Watch Neg CCC- (sf)
E CCC- (sf)/Watch Neg CCC- (sf)
Banc of America Commercial Mortgage Trust 2007-2
Commercial mortgage pass-through certificates series 2007-2
Rating
------
Class To From
----- -- ----
A-J BB+ (sf)/Watch Neg BB+ (sf)
A-JFL BB+ (sf)/Watch Neg BB+ (sf)
B BB (sf)/Watch Neg BB (sf)
C BB- (sf)/Watch Neg BB- (sf)
D B+ (sf)/Watch Neg B+ (sf)
E B- (sf)/Watch Neg B- (sf)
F CCC (sf)/Watch Neg CCC (sf)
G CCC- (sf)/Watch Neg CCC- (sf)
Wachovia Bank Commercial Mortgage Trust Series 2007-C31
Commercial mortgage pass-through certificates series 2007-C31
Rating
------
Class To From
----- -- ----
E B (sf)/Watch Neg B (sf)
F B (sf)/Watch Neg B (sf)
G B- (sf)/Watch Neg B- (sf)
H B- (sf)/Watch Neg B- (sf)
J B- (sf)/Watch Neg B- (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C32
Rating
------
Class To From
----- -- ----
D B (sf)/Watch Neg B (sf)
E B (sf)/Watch Neg B (sf)
F B (sf)/Watch Neg B (sf)
G B- (sf)/Watch Neg B- (sf)
H B- (sf)/Watch Neg B- (sf)
J B- (sf)/Watch Neg B- (sf)
K CCC+ (sf)/Watch Neg CCC+ (sf)
L CCC (sf)/Watch Neg CCC (sf)
M CCC- (sf)/Watch Neg CCC- (sf)
Ratings Lowered
Wachovia Bank Commercial Mortgage Trust Series 2007-C31
Commercial mortgage pass-through certificates series 2007-C31
Rating
------
Class To From
----- -- ----
K D (sf) CCC+ (sf)
L D (sf) CCC (sf)
M D (sf) CCC (sf)
N D (sf) CCC- (sf)
* S&P Puts Ratings on 93 Tranches from 35 CDOs on Positive Watch
----------------------------------------------------------------
Standard & Poor's placed its ratings on 93 tranches from 35 U.S.
collateralized debt obligation transactions on CreditWatch with
positive implications. At the same time, S&P placed 12 tranches
from four U.S. CDO transactions on CreditWatch with negative
implications.
The rating actions follow S&P's monthly review of cash flow CDO
performance.
All of the ratings being placed on CreditWatch positive come from
CDO transactions backed by securities issued by corporate
obligors. The issuance amount of the tranches with ratings placed
on CreditWatch positive is $8.91 billion.
The bulk of the CreditWatch positive placements result from
improved credit quality and performance of the underlying
corporate securities. The underlying securities have in turn
vastly benefited from a better credit environment for corporate
obligors in 2010. Some of the trends S&P continue to observe
include the following:
According to Standard & Poor's Leveraged Commentary & Data, the
lagging 12-month default rate in 2010 slumped to 1.87%, with zero
defaults in December. This compares to 9.61% in 2009.
Upgrades exceeded downgrades among corporate obligors in the high-
yield sector in 2010. As of Dec. 23, 2010, there were 253
upgrades and 169 downgrades initiated on obligors in the U.S.
high-yield corporate sector, resulting in an upgrade to downgrade
ratio of almost 1.5 to 1.
As a result of the cumulative improvement in these transactions,
S&P believes that the tranches S&P placed on CreditWatch with
positive implications may be able to support ratings higher than
those currently assigned, as is consistent with S&P's corporate
CDO criteria and credit stability criteria.
S&P placed its ratings on 12 tranches from four deals on
CreditWatch with negative implications due to deterioration in
the credit quality of the portfolio. The issuance amount of
the tranches with ratings placed on CreditWatch negative is
$0.945 billion.
S&P will resolve the CreditWatch placements after S&P completes a
comprehensive cash flow analysis and committee review for each of
the affected transactions. S&P expects to resolve these
CreditWatch placements within 90 days. S&P will continue to
monitor the CDO transactions S&P rates and take rating actions,
including CreditWatch placements, as S&P deems appropriate.
Ratings Placed On Creditwatch
Airlie CLO 2006-I Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
Archimedes Funding IV (Cayman) Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA+ (sf)/Watch Pos AA+ (sf)
Ares IIR CLO Ltd.
Rating
------
Class To From
----- -- ----
A AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
ARES VIR CLO Ltd.
Rating
------
Class To From
----- -- ----
A-1-A AA+ (sf)/Watch Pos AA+ (sf)
A-1-C AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
Armstrong Loan Funding Ltd.
Rating
------
Class To From
----- -- ----
B AA+ (sf)/Watch Pos AA+ (sf)
C AA (sf)/Watch Pos AA (sf)
D A (sf)/Watch Pos A (sf)
Avenue CLO Fund Ltd.
Rating
------
Class To From
----- -- ----
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-2L BBB+ (sf)/Watch Pos BBB+ (sf)
A-3L BB+ (sf)/Watch Pos BB+ (sf)
Babson CLO Ltd 2007-I
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA- (sf)/Watch Pos AA- (sf)
B-1 A- (sf)/Watch Pos A- (sf)
B-2 A- (sf)/Watch Pos A- (sf)
BlueMountain CLO II Ltd.
Rating
------
Class To From
----- -- ----
A AA (sf)/Watch Pos AA (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A+ (sf)/Watch Pos A+ (sf)
Bristol Bay Funding Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 BBB+ (sf)/Watch Pos BBB+ (sf)
Carlyle High Yield Partners 2008-1 Ltd.
Rating
------
Class To From
----- -- ----
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
Carlyle Veyron CLO Ltd.
Rating
------
Class To From
----- -- ----
A-1-B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
Castle Hill I - Ingots Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
Galaxy VI CLO Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA (sf)/Watch Pos AA (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
GoldenTree Capital Opportunities L.P.
Rating
------
Class To From
----- -- ----
D-1 BB+ (sf)/Watch Pos BB+ (sf)
D-2 BB+ (sf)/Watch Pos BB+ (sf)
GSC Partners CDO Fund IV Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B A (sf)/Watch Pos A (sf)
GSC Partners CDO Fund VII Ltd.
Rating
------
Class To From
----- -- ----
C BBB+ (sf)/Watch Pos BBB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Gulf Stream-Compass CLO 2005-1 Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
Hewett's Island CLO IV Ltd.
Rating
------
Class To From
----- -- ----
A AA (sf)/Watch Pos AA (sf)
B A- (sf)/Watch Pos A- (sf)
Kingsland III Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA- (sf)/Watch Pos AA- (sf)
A-3 A+ (sf)/Watch Pos A+ (sf)
Marathon CLO I Ltd.
Rating
------
Class To From
----- -- ----
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Marathon Financing I B.V.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B-1 A- (sf)/Watch Pos A- (sf)
SeniorRevo AA+ (sf)/Watch Pos AA+ (sf)
Muzinich CBO II Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
NewStar Commercial Loan Trust 2007-1
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
Nob Hill CLO II Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
B A- (sf)/Watch Pos A- (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
Northwoods Capital V Ltd.
Rating
------
Class To From
----- -- ----
A-1a AA (sf)/Watch Pos AA (sf)
A-1b AA (sf)/Watch Pos AA (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BB+ (sf)/Watch Pos BB+ (sf)
Northwoods Capital VI Ltd.
Rating
------
Class To From
----- -- ----
A-2 A+ (sf)/Watch Pos A+ (sf)
Oak Hill Credit Partners III Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA (sf)/Watch Pos AA (sf)
B-1 A (sf)/Watch Pos A (sf)
B-2 A (sf)/Watch Pos A (sf)
OWS CLO I Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
Pacifica CDO IV Ltd.
Rating
------
Class To From
----- -- ----
A-2L AA (sf)/Watch Pos AA (sf)
A-3L A- (sf)/Watch Pos A- (sf)
Phoenix Funding Ltd.
Rating
------
Class To From
----- -- ----
Senior AA (sf)/Watch Pos AA (sf)
Prado CDO Ltd.
Rating
------
Class To From
----- -- ----
B AA- (sf)/Watch Pos AA- (sf)
Sapphire Valley CDO I Ltd.
Rating
------
Class To From
----- -- ----
A A+ (sf)/Watch Pos A+ (sf)
Sargas CLO II Ltd.
Rating
------
Class To From
----- -- ----
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
Stratford CLO Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 BBB+ (sf)/Watch Pos BBB+ (sf)
B BBB- (sf)/Watch Pos BBB- (sf)
Whitney CLO I Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-1LB AA+ (sf)/Watch Pos AA+ (sf)
A-2F A+ (sf)/Watch Pos A+ (sf)
A-2L A+ (sf)/Watch Pos A+ (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
Coast Investment Grade 2002-1 Ltd.
Rating
------
Class To From
----- -- ----
A BBB- (sf)/Watch Neg BBB- (sf)
C-1 CCC- (sf)/Watch Neg CCC- (sf)
C-2 CCC- (sf)/Watch Neg CCC- (sf)
Diversified Global Securities Ltd. II
Rating
------
Class To From
----- -- ----
B A+ (sf)/Watch Neg A+ (sf)
C B+ (sf)/Watch Neg B+ (sf)
Highland Loan Funding V Ltd.
Rating
------
Class To From
----- -- ----
A-1 AAA (sf)/Watch Neg AAA (sf)
A-II-A BBB (sf)/Watch Neg BBB (sf)
A-II-B BBB (sf)/Watch Neg BBB (sf)
B CCC+ (sf)/Watch Neg CCC+ (sf)
C-1 CCC- (sf)/Watch Neg CCC- (sf)
C-2 CCC- (sf)/Watch Neg CCC- (sf)
Trainer Wortham First Republic CBO III Ltd.
Rating
------
Class To From
----- -- ----
A-1 BB- (sf)/Watch Neg BB- (sf)
* S&P Raises Ratings on 11 Classes From Five Timeshare Securities
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 11
classes from five timeshare securitizations. At the same time,
S&P lowered its ratings on three classes from one timeshare
transactions and affirmed its ratings on 83 classes from 22
timeshare securitizations.
All of the transactions are backed by pools of timeshare loans.
The rating actions reflect S&P's application of the criteria S&P
use to rate securities backed by pools of timeshare loans. S&P
affirmed its ratings on the classes that were able to withstand
its stress tests at their current rating levels. Using the
timeshare securitization criteria, the downgraded classes were not
able to withstand one or more stresses commensurate with their
prior rating levels. Consequently, S&P downgraded these classes
to rating levels consistent with the stresses they could
withstand.
Ratings Lowered
Marriott Vacation Club Owner Trust
Series 2007-2
Orig. Bal. Rating
---------- ------
Class Maturity (mil. $) To From
----- -------- -------- -- ----
A 10/20/29 211.25 AA+ (sf) AAA (sf)
B 10/20/29 12.50 A (sf) AA (sf)
C 10/20/29 15.00 A- (sf) A (sf)
Ratings Raised
Sierra Timeshare 2005-1 Receivables Funding LLC
Orig. Bal. Rating
---------- ------
Class Maturity (mil. $) To From
----- -------- -------- -- ----
A-1 05/20/17 300.00 AAA (sf) BBB (sf)
A-2 05/20/17 225.00 AAA (sf) BBB (sf)
Sierra Timeshare 2006-1 Receivables Funding LLC
Orig. Bal. Rating
---------- ------
Class Maturity (mil. $) To From
----- -------- -------- -- ----
A-1 05/15/18 325.00 AAA (sf) BBB- (sf)
A-2 05/15/18 225.00 AAA (sf) BBB- (sf)
Sierra Timeshare 2007-1 Receivables Funding LLC
Orig. Bal. Rating
---------- ------
Class Maturity (mil. $) To From
----- -------- -------- -- ----
A-1 03/20/19 125.00 AA- (sf) BBB- (sf)
A-2 03/20/19 475.00 AA- (sf) BBB- (sf)
B 03/20/19 18.65 A+ (sf) BB+ (sf)
Sierra Timeshare 2007-2 Receivables Funding LLC
Orig. Bal. Rating
---------- ------
Class Maturity (mil. $) To From
----- -------- -------- -- ----
A-1 09/20/19 80.00 A+ (sf) BBB- (sf)
A-2 09/20/19 375.00 A+ (sf) BBB- (sf)
Sierra Timeshare 2008-1 Receivables Funding LLC
Orig. Bal. Rating
---------- ------
Class Maturity (mil. $) To From
----- -------- -------- -- ----
B 02/20/20 29.59 AA+ (sf) AA- (sf)
C 02/20/20 40.51 AA (sf) A- (sf)
Ratings Affirmed
BXG Receivables Note Trust 2004-B
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 07/15/19 72.30 AAA (sf)
B 07/15/19 24.10 AA (sf)
C 07/15/19 10.30 A (sf)
D 07/15/19 43.00 BBB (sf)
E 07/15/19 6.90 BBB (sf)
BXG Receivables Note Trust 2005-A
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 1/01/21 76.32 AAA (sf)
B 1/01/21 32.38 AA (sf)
C 1/01/21 33.06 A (sf)
D 1/01/21 36.24 BBB (sf)
E 1/01/21 16.98 BBB- (sf)
F 1/01/21 8.83 BB (sf)
BXG Receivables Note Trust 2006-B
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 10/01/21 51.56 AAA (sf)
B 10/01/21 21.88 AA (sf)
C 10/01/21 22.34 A (sf)
D 10/01/21 24.48 BBB (sf)
E 10/01/21 11.48 BBB- (sf)
F 10/01/21 7.50 BB+ (sf)
BXG Receivables Note Trust 2007-A
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 10/02/22 52.50 AAA (sf)
B 10/02/22 26.50 AA (sf)
C 10/02/22 43.00 A- (sf)
D 10/02/22 14.50 BBB+ (sf)
E 10/02/22 15.00 BBB (sf)
F 10/02/22 15.00 BBB- (sf)
G 10/02/22 10.50 BB+ (sf)
Diamond Resorts Owner Trust 2009-1
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 03/20/26 169.20 A (sf)
B 03/20/26 12.80 BBB+ (sf)
Marriott Vacation Club Owner Trust 2004-1
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 05/20/26 120.00 AAA (sf)
B 05/20/26 9.00 AA (sf)
C 05/20/26 10.50 A (sf)
D 05/20/26 10.50 BBB (sf)
Marriott Vacation Club Owner Trust 2004-2
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 10/20/28 147.52 AAA (sf)
B 10/20/28 8.15 AA (sf)
C 10/20/28 12.67 A (sf)
D 10/20/28 12.67 BBB (sf)
Marriott Vacation Club Owner Trust 2005-1
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 04/20/27 162.68 AAA (sf)
B 04/20/27 8.82 AA (sf)
C 04/20/27 12.74 A (sf)
D 04/20/27 11.76 BBB+ (sf)
Marriott Vacation Club Owner Trust 2005-2
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 10/20/27 190.90 AAA (sf)
B 10/20/27 10.35 AA (sf)
C 10/20/27 14.95 A (sf)
D 10/20/27 13.80 BBB+ (sf)
Marriott Vacation Club Owner Trust 2006-1
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 04/20/28 207.50 AAA (sf)
B 04/20/28 12.50 AA (sf)
C 04/20/28 16.25 A (sf)
D 04/20/28 13.75 BBB+ (sf)
Marriott Vacation Club Owner Trust 2006-2
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 10/20/28 236.60 AAA (sf)
B 10/20/28 14.00 AA (sf)
C 10/20/28 16.80 A (sf)
D 10/20/28 12.60 BBB+ (sf)
Marriott Vacation Club Owner Trust 2007-1
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 05/20/29 228.15 AAA (sf)
B 05/20/29 13.50 AA (sf)
C 05/20/29 16.20 A (sf)
D 05/20/29 12.15 BBB+ (sf)
Marriott Vacation Club Owner Trust 2007-2
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
D 10/20/29 11.25 BBB+ (sf)
Marriott Vacation Club Owner Trust 2008-1
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 05/20/30 246.00 AAA (sf)
Marriott Vacation Club Owner Trust 2009-2
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 07/20/31 317.00 AAA (sf)
Sierra Timeshare 2008-1 Receivables Funding LLC
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A-1 02/20/20 79.90 AAA (sf)
A-2 02/20/20 50.00 AAA (sf)
Sierra Timeshare 2009-1 Receivables Funding LLC
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 12/20/25 225.00 AAA (sf)
Sierra Timeshare 2009-2 Receivables Funding LLC
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 08/20/26 175.00 AAA (sf)
Sierra Timeshare 2009-3 Receivables Funding LLC
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
Notes 07/20/26 175.00 A (sf)
Sierra Timeshare Conduit Receivables Funding II LLC
Series 2008-A
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 11/20/27 942.50 AAA(sf)
Silverleaf Finance VI LLC
Series 2008-A
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 03/15/20 45.29 AAA (sf)
B 03/15/20 15.63 AA (sf)
C 03/15/20 22.41 A (sf)
D 03/15/20 9.33 BBB+ (sf)
E 03/15/20 8.66 BBB (sf)
F 03/15/20 8.52 BBB- (sf)
G 03/15/20 5.57 BB+ (sf)
SVO 2003-A VOI Mortgage Corp.
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 02/01/19 87.86 AAA (sf)
B 02/01/19 19.10 AA (sf)
C 02/01/19 28.65 A (sf)
D 02/01/19 35.34 BBB+ (sf)
SVO 2005-A VOI Mortgage Corp.
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 02/20/21 130.39 AAA (sf)
B 02/20/21 24.86 AA (sf)
C 02/20/21 24.31 A (sf)
D 02/20/21 25.42 BBB+ (sf)
SVO 2006-A VOI Mortgage Corp.
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 02/01/24 76.89 AAA (sf)
B 02/01/24 13.26 AA (sf)
C 02/01/24 17.24 A (sf)
D 02/01/24 17.24 BBB+ (sf)
SVO 2009-B VOI Mortgage Corp.
Orig. Bal.
Class Maturity (mil. $) Rating
----- -------- ---------- ------
A 12/20/28 166.00 A (sf)
* S&P Raises Ratings on Three Notes From Two Tobacco Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes from two tobacco settlement-backed securitizations backed
by payments from participating tobacco manufacturers under the
Master Settlement Agreement. In addition, S&P affirmed its
ratings on the remaining outstanding tranches and withdrew the
rating on the class that was paid in full. At the same time, S&P
revised its outlook to stable on all outstanding classes from
tobacco securitizations.
Tobacco securitizations are backed by payments made by the
participating tobacco manufacturers under the MSA, which was
signed in 1998. The PMs are designated either as original
participating manufacturers or subsequent participating
manufacturers. Under the MSA, the PMs are required to make
payments to each state annually, in perpetuity. After the
agreement was signed, many state and local governments sold all or
a portion of their rights to receive future settlement proceeds to
investors in exchange for a payment at the time of the sale.
S&P originally assigned a negative outlook to all of the
remaining rated tobacco settlement-backed bonds to reflect
its belief that significant industry and litigation event
risks may be present for the next several years. S&P still
believes that significant industry and litigation event are
present in these securitizations. Events like the resolution
of the nonparticipating manufacturers' dispute, the uncertain
outcome of the Tobacco Products Scientific Advisory Committee's
current review on menthol products and expected nonbinding
recommendations to the Food and Drug Administration's surrounding
menthol cigarettes might have a pronounced effect on these
securitizations. However, S&P is revising its outlook on the
rated classes to reflect:
* A number of what S&P considers to be favorable rulings for the
tobacco industry, such as the U.S. Supreme Court's rejection of
the Department of Justice's appeal seeking disgorgement of
profits in its case against the leading U.S. tobacco
manufacturers and the U.S. Courts of Appeals for the Second
Circuit's affirmation of the judgment that the New York
qualifying statute did not violate federal antitrust laws or the
commerce clause of the U.S. Constitution (the Freedom Holdings
case);
* Three out of four rated participating tobacco manufacturers have
stable outlooks; and
* S&P believes its ratings, some of which S&P lowered on Nov. 9,
2010, already reflect its view on the risks present in these
securitizations.
Cash Flow Analysis
When Standard & Poor's reviews tobacco settlement-backed
securities, S&P typically apply sensitivity analysis to these
three cash flow stress tests:
* The cigarette volume decline test, which is intended to assess
the transaction's ability to withstand steeper than historic
average annual declines in U.S. cigarette consumption;
* The participating manufacturer bankruptcy test, in which Chapter
11 bankruptcy of the largest PM is assumed and the subsequent
temporary payment stoppage at various points over the term of
the transaction;
* NPM adjustment liquidity stress test, which is similar to the
cigarette volume decline test except S&P also assumes that 10%
of the MSA payment due is going to be disputed every year and
the recovery of 80-90% will be released to the transaction
several years after the dispute.
The 'A (sf)' and 'A- (sf)' ratings reflect, in addition to S&P's
assessment of the three "standard" stress tests described above,
its assessment of the transaction's ability to withstand these
stresses:
* The bankruptcy of two tobacco manufacturers;
* A greater market share shift to NPMs from PMs than S&P has
previously assumed in rating tobacco settlement-backed bonds and
the resulting increase of the maximum NPM adjustment to the MSA
payments;
* A one-time steep decline in cigarette consumption (as a result
of what S&P considers to be an unlikely outright ban of menthol
cigarettes, for instance);
* Periodic price jumps or other events that S&P believes are
likely to lead to steeper than long-term average declines in
cigarette consumption (whether as a result of excise tax
increases, manufacturers' price increases, etc.); and
* An increase in withholding of the NPM adjustment up to its
maximum and longer-than-expected time to resolve the NPM
adjustment dispute.
Cash Flow Results
Based on S&P's calculations, the upgraded rated classes were able
to withstand the three "standard" tests and are able to absorb
additional potential disruptions or reductions of the MSA
payments. However, the upgraded classes from the two transactions
show various degrees of sensitivity to the additional stresses.
S&P designed the additional five stresses for its sensitivity
analysis. Below are the results of S&P's cash flow analysis for
each of the upgraded transactions.
Tobacco Settlement Financing Corp.'s series 2001 A&B
(Louisiana)
The amount in the nonamortizing reserve account for the Louisiana
transaction is approximately $89.2 million, which is almost 10% of
the currently outstanding note balance. Annual debt service is
currently approximately $52.2 million, so reserve account can
cover a little less than two years of the debt service with no MSA
payments or more than two years of debt service in the bankruptcy
of two manufacturers.
Tobacco Settlement Revenue Management Authority's series 2008
(South Carolina)
The balance of the outstanding rated class is approximately
$137.0 million. The amount in the reserve account for the South
Carolina transaction is $13.8 million, about 10% of the
outstanding note balance. The reserve is at its target
nonamortizing amount. The funds in the reserve account will be
sufficient to cover approximately two years of expenses and
interest payments with no MSA payments or more than two years of
debt service in the bankruptcy of two manufacturers.
Both transactions exhibited an ability to withstand four
additional stresses at 'A' and 'A-' rating levels.
The one-notch difference between the ratings from Tobacco
Settlement Financing Corp.'s series 2001 A&B (Louisiana) reflects
S&P's view of the qualitative differences between the two
securities. Even though the results of S&P's cash flow stresses
are what S&P considers to be strong and can quantitatively support
a higher rating for both classes, based on its criteria, its
ratings reflect its analysis of both quantitative and qualitative
factors. In particular, S&P believes that a longer time horizon
to legal maturity (i.e., more than 10 years) or longer projected
average life of the securities increases the uncertainty of S&P's
projections and the potential for event risk in the tobacco
industry and in tobacco securitizations. Therefore, S&P believes
that the ratings on the bonds with the longer maturity profiles
should be closer to the tobacco industry's business risk profile
and the current ratings on the three largest tobacco manufacturers
Standard & Poor's will continue to monitor the securitizations and
take rating actions as S&P deem appropriate according to its
criteria.
Ratings Raised; Outlook Revision
Tobacco Settlement Financing Corp. (Lousiana)
US$1.203 bil tobacco settlement asset backed bonds series 2001 A&B
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2001B-2031 05/15/30 230.39 A (sf)/Stable BBB (sf)/Negative
2001B-2038 05/15/39 689.41 A- (sf)/Stable BBB (sf)/Negative
Tobacco Settlement Revenue Management Authority (South Carolina)
US$275.73 mil tobacco settlement revenue management authority
series 2008
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2008 06/01/18 275.73 A (sf)/Stable BBB (sf)/Negative
Ratings Affirmed; Outlook Revision
Buckeye Tobacco Settlement Financing Authority
US$5.532 bil tobacco settlement asset-backed bonds series 2007
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2007 A-1 06/01/11 14.27 BBB (sf)/Stable BBB (sf)/Negative
2007 A-1 06/01/11 8.08 BBB (sf)/Stable BBB (sf)/Negative
2007 A-1 06/01/12 4.48 BBB (sf)/Stable BBB (sf)/Negative
2007-A-1 06/01/12 15.82 BBB (sf)/Stable BBB (sf)/Negative
2007-A-1 06/01/13 12.23 BBB (sf)/Stable BBB (sf)/Negative
2007-A-1 06/01/14 24.00 BBB (sf)/Stable BBB (sf)/Negative
2007-A-1 06/01/15 26.64 BBB (sf)/Stable BBB (sf)/Negative
2007 A-1 06/01/16 35.00 BBB (sf)/Stable BBB (sf)/Negative
2007-A-1 06/01/17 39.00 BBB (sf)/Stable BBB (sf)/Negative
2007 A-2 06/01/24 949.53 BB- (sf)/Stable BB- (sf)/Negative
2007-A-2 06/01/24 200.00 BB- (sf)/Stable BB- (sf)/Negative
2007 A-2 06/01/30 687.60 BB- (sf)/Stable BB- (sf)/Negative
2007 A-2 06/01/34 505.20 BB- (sf)/Stable BB- (sf)/Negative
2007-A-3 06/01/37 274.75 BB- (sf)/Stable BB- (sf)/Negative
2007 A-2 06/01/42 250.00 BB- (sf)/Stable BB- (sf)/Negative
2007 A-2 06/01/47 1383.72 BB- (sf)/Stable BB- (sf)/Negative
2007 A-2 06/01/47 750.00 BB- (sf)/Stable BB- (sf)/Negative
California County Tobacco Securitization Agency
(Fresno County Tobacco Funding Corp.)
US$92.955 mil tobacco settlement asset backed bonds series 2002
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ---------- --------- -----------
2011 06/01/11 1.04 BBB (sf)/Stable BBB (sf)/Negative
2012 06/01/12 1.19 BBB (sf)/Stable BBB (sf)/Negative
2013 06/01/13 1.24 BBB (sf)/Stable BBB (sf)/Negative
2014 06/01/14 1.29 BBB (sf)/Stable BBB (sf)/Negative
2015 06/01/15 1.34 BBB (sf)/Stable BBB (sf)/Negative
2023 06/01/23 17.04 BBB (sf)/Stable BBB (sf)/Negative
2027 06/01/27 12.23 BBB (sf)/Stable BBB (sf)/Negative
2035 06/01/35 35.27 BBB (sf)/Stable BBB (sf)/Negative
2038 06/01/38 18.50 BBB (sf)/Stable BBB (sf)/Negative
California County Tobacco Securitization Agency
(Gold Country Settlement Funding Corp.)
US$59.372 mil tobacco settlement asset backed bonds, gold county
settlement funding corp., series 2006
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2006A 06/01/46 45.00 B- (sf)/Stable B- (sf)/Negative
2006B 06/01/33 14.37 B- (sf)/Stable B- (sf)/Negative
California County Tobacco Securitization Agency
(Sonoma County Securitization Corp.)
US$83.06 mil tobacco settlement asset backed refunding bonds
Sonoma county securitization Corp. series 2005
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2005 06/01/21 14.84 BBB (sf)/Stable BBB (sf)/Negative
2005 06/01/26 9.92 BBB (sf)/Stable BBB (sf)/Negative
2005 06/01/38 31.05 BBB (sf)/Stable BBB (sf)/Negative
2005 06/01/45 27.26 BBB- (sf)/Stable BBB-
(sf)/Negative
California County Tobacco Securitization Agency
(Kern County Tobacco Funding Corp.)
US$105.245 mil tobacco settlement asset-backed bonds
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2002A 06/01/43 40.96 BBB (sf)/Stable BBB (sf)/Negative
2002B 06/01/29 27.88 BBB (sf)/Stable BBB (sf)/Negative
2002B 06/01/37 29.01 BBB (sf)/Stable BBB (sf)/Negative
Children's Trust
US$1.171 bil tobacco settlement asset-backed bonds series 2002
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2011 05/15/11 4.00 BBB (sf)/Stable BBB (sf)/Negative
2011 05/15/11 8.14 BBB (sf)/Stable BBB (sf)/Negative
2012 05/15/12 13.81 BBB (sf)/Stable BBB (sf)/Negative
2013 05/15/13 15.51 BBB (sf)/Stable BBB (sf)/Negative
2014 05/15/14 17.27 BBB (sf)/Stable BBB (sf)/Negative
2033 05/15/33 471.11 BBB (sf)/Stable BBB (sf)/Negative
2039 05/15/39 310.38 BBB (sf)/Stable BBB (sf)/Negative
2043 05/15/43 296.26 BBB (sf)/Stable BBB (sf)/Negative
District of Columbia Tobacco Settlement Financing Corp.
US$521.105 mil tobacco settlement asset backed bonds series 2001
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2011 05/15/11 7.14 BBB (sf)/Stable BBB (sf)/Negative
2012 05/15/12 7.15 BBB (sf)/Stable BBB (sf)/Negative
2013 05/15/13 8.03 BBB (sf)/Stable BBB (sf)/Negative
2014 05/15/14 8.36 BBB (sf)/Stable BBB (sf)/Negative
2024 05/15/24 114.86 BBB (sf)/Stable BBB (sf)/Negative
2033 05/15/33 169.11 BBB (sf)/Stable BBB (sf)/Negative
2040 05/15/40 187.54 BBB (sf)/Stable BBB (sf)/Negative
Educational Enhancement Funding Corp.
US$278.045 mil tobacco settlement asset backed bonds
series 2002A 2002B
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2002A 06/01/25 148.51 BBB (sf)/Stable BBB (sf)/Negative
2002B 06/01/32 129.54 BBB (sf)/Stable BBB (sf)/Negative
Erie Tobacco Asset Securitization Corp.
US$318.835 mil tobacco settlement asset backed bonds series 2005
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2005 A 06/01/45 111.48 BBB (sf)/Stable BBB (sf)/Negative
2005 A 06/01/38 74.69 BBB (sf)/Stable BBB (sf)/Negative
2005 E 06/01/28 69.47 BBB (sf)/Stable BBB (sf)/Negative
2005-A 06/01/31 30.33 BBB (sf)/Stable BBB (sf)/Negative
Golden State Tobacco Securitization Corp.
US$4.447 bil tobacco settlement asset backed bonds series 2007
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2007-A1 06/01/11 19.92 BBB (sf)/Stable BBB (sf)/Negative
2007-A-1 06/01/11 15.61 BBB (sf)/Stable BBB (sf)/Negative
2007-A1 06/01/12 18.71 BBB (sf)/Stable BBB (sf)/Negative
2007-A1 06/01/12 20.47 BBB (sf)/Stable BBB (sf)/Negative
2007-A1 06/01/13 6.40 BBB (sf)/Stable BBB (sf)/Negative
2007-A1 06/01/13 11.66 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/14 20.57 BBB (sf)/Stable BBB (sf)/Negative
2007-A1 06/01/15 23.19 BBB (sf)/Stable BBB (sf)/Negative
2007A-1 06/01/16 28.88 BBB (sf)/Stable BBB (sf)/Negative
2007-A1 06/01/17 5.14 BBB (sf)/Stable BBB (sf)/Negative
2007A-1 06/01/17 27.26 BBB (sf)/Stable BBB (sf)/Negative
2007A-1 06/01/27 863.10 BBB- (sf)/Stable BBB- (sf)/Negative
2007A-1 06/01/33 610.53 BB+ (sf)/Stable BB+ (sf)/Negative
2007A-1 06/01/47 693.58 BB+ (sf)/Stable BB+ (sf)/Negative
2007A-1 06/01/47 1250.00 BB+ (sf)/Stable BB+ (sf)/Negative
2007A-2 06/01/37 389.19 BB+ (sf)/Stable BB+ (sf)/Negative
2007-B 06/01/47 271.96 B (sf)/Stable B (sf)/Negative
2007-C 06/01/47 78.55 B- (sf)/Stable B- (sf)/Negative
Iowa Tobacco Settlement Authority
US$838.962 mil tobacco settlement authority (Iowa)
series 2005 A B C D
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2005A 06/01/46 229.91 BBB (sf)/Stable BBB (sf)/Negative
2005B 06/01/34 159.37 BBB (sf)/Stable BBB (sf)/Negative
2005C 06/01/38 103.48 BBB (sf)/Stable BBB (sf)/Negative
2005C 06/01/46 174.13 BBB (sf)/Stable BBB (sf)/Negative
2005C 06/01/42 135.12 BBB (sf)/Stable BBB (sf)/Negative
2005D 06/01/46 15.78 BB+ (sf)/Stable BB+ (sf)/Negative
Michigan Tobacco Settlement Finance Authority
US$490.501 mil taxable tobacco settlement asset backed bonds
series 2006 A B C
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2006 A 06/01/34 363.12 BB+ (sf)/Stable BB+ (sf)/Negative
Michigan Tobacco Settlement Finance Authority
US$522.992 mil tobacco settlement asset backed bonds
series 2007 A B C
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2007-A 06/01/22 57.19 BBB (sf)/Stable BBB (sf)/Negative
2007-A 06/01/48 290.09 BB (sf)/Stable BB (sf)/Negative
2007-A 06/01/22 20.00 BBB (sf)/Stable BBB (sf)/Negative
2007-A 06/01/34 112.86 BB (sf)/Stable BB (sf)/Negative
2007-B 06/01/52 35.65 B (sf)/Stable B (sf)/Negative
2007-C 06/01/52 7.22 B- (sf)/Stable B- (sf)/Negative
Nassau County Tobacco Settlement Corp.
US$431.043 mil tobacco settlement asset backed bonds series 2006
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2006A-1 06/01/19 42.65 BBB (sf)/Stable BBB (sf)/Negative
2006A-2 06/01/25 37.91 BBB (sf)/Stable BBB (sf)/Negative
2006A-3 06/01/35 97.01 BBB- (sf)/Stable BBB- (sf)
2006A-3 06/01/46 194.54 BB- (sf)/Stable BB- (sf)
New York Counties Tobacco Trust I
US$303.37 mil tobacco settlement pass-through bonds series 2000
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2011 06/01/11 1.31 BBB (sf)/Stable BBB (sf)/Negative
2012 06/01/12 1.45 BBB (sf)/Stable BBB (sf)/Negative
2013 06/01/13 1.72 BBB (sf)/Stable BBB (sf)/Negative
2014 06/01/14 2.02 BBB (sf)/Stable BBB (sf)/Negative
2015 06/01/15 2.20 BBB (sf)/Stable BBB (sf)/Negative
2019 06/01/19 14.89 BBB (sf)/Stable BBB (sf)/Negative
2028 06/01/28 39.71 BBB (sf)/Stable BBB (sf)/Negative
2035 06/01/35 60.45 BBB (sf)/Stable BBB (sf)/Negative
2042 06/01/42 71.84 BBB (sf)/Stable BBB (sf)/Negative
New York Counties Tobacco Trust II
US$215.22 mil tobacco settlement pass through bonds series 2001
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2011 06/01/11 1.50 BBB (sf)/Stable BBB (sf)/Negative
2012 06/01/12 1.67 BBB (sf)/Stable BBB (sf)/Negative
2013 06/01/13 1.83 BBB (sf)/Stable BBB (sf)/Negative
2014 06/01/14 1.94 BBB (sf)/Stable BBB (sf)/Negative
2015 06/01/15 2.12 BBB (sf)/Stable BBB (sf)/Negative
2016 06/01/16 2.43 BBB (sf)/Stable BBB (sf)/Negative
2025 06/01/25 48.37 BBB (sf)/Stable BBB (sf)/Negative
2035 06/01/35 68.01 BBB (sf)/Stable BBB (sf)/Negative
2043 06/01/43 82.80 BBB (sf)/Stable BBB (sf)/Negative
New York Counties Tobacco Trust III
US$79.68 mil tobacco settlement pass-through bonds series 2003
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2027 06/01/27 24.12 BBB (sf)/Stable BBB (sf)/Negative
2033 06/01/33 15.18 BBB (sf)/Stable BBB (sf)/Negative
2043 06/01/43 40.39 BBB (sf)/Stable BBB (sf)/Negative
New York Counties Tobacco Trust IV
US$539.197 mil tobacco settlement pass-through bonds
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2005A 06/01/45 83.88 BB (sf)/Stable BB (sf)/Negative
2005A 06/01/38 16.59 BBB (sf)/Stable BBB (sf)/Negative
2005A 06/01/26 4.52 BBB (sf)/Stable BBB (sf)/Negative
2005A 06/01/21 6.97 BBB (sf)/Stable BBB (sf)/Negative
2005A 06/01/42 84.98 BBB- (sf)/Stable BBB- (sf)/Negative
2005B 06/01/27 54.61 BBB (sf)/Stable BBB (sf)/Negative
2010 A 06/01/45 124.40 BB+ (sf)/Stable BB+ (sf)/Negative
Railsplitter Tobacco Settlement Authority
US$1.50 bil tobacco settlement-backed notes series 2010
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2012 (R) 06/01/12 25.62 A (sf)/Stable A (sf)
2012 06/01/12 33.76 A (sf)/Stable A (sf)
2013 06/01/13 63.55 A (sf)/Stable A (sf)
2014 (R) 06/01/14 25.26 A (sf)/Stable A (sf)
2014 06/01/14 45.60 A (sf)/Stable A (sf)
2015 06/01/15 76.82 A (sf)/Stable A (sf)
2016 (R) 06/01/16 21.57 A (sf)/Stable A (sf)
2016 06/01/16 59.09 A (sf)/Stable A (sf)
2017 06/01/17 84.70 A (sf)/Stable A (sf)
2018 06/01/18 89.04 A (sf)/Stable A (sf)
2019 (R) 06/01/19 27.30 A (sf)/Stable A (sf)
2019 06/01/19 66.33 A (sf)/Stable A (sf)
2020 06/01/20 98.57 A (sf)/Stable A (sf)
2021 (R) 06/01/21 25.54 A (sf)/Stable A (sf)
2021 06/01/21 78.36 A (sf)/Stable A (sf)
2023 06/01/23 216.92 A- (sf)/Stable A- (sf)
2024 06/01/24 109.95 A- (sf)/Stable A- (sf)
2028 06/01/28 360.52 A- (sf)/Stable A- (sf)
Rensselaer Tobacco Asset Securitization Corp.
US$34.555 mil tobacco settlement asset-backed bonds, series A
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2011 06/01/11 0.25 BBB (sf)/Stable BBB (sf)/Negative
2012 06/01/12 0.27 BBB (sf)/Stable BBB (sf)/Negative
2013 06/01/13 0.30 BBB (sf)/Stable BBB (sf)/Negative
2014 06/01/14 0.31 BBB (sf)/Stable BBB (sf)/Negative
2015 06/01/15 0.34 BBB (sf)/Stable BBB (sf)/Negative
2016 06/01/16 0.39 BBB (sf)/Stable BBB (sf)/Negative
2025 06/01/25 7.71 BBB (sf)/Stable BBB (sf)/Negative
2035 06/01/35 10.89 BBB (sf)/Stable BBB (sf)/Negative
2043 06/01/43 13.36 BBB (sf)/Stable BBB (sf)/Negative
Rockland Tobacco Asset Securitization Corp.
US$47.75 mil tobacco settlement asset backed bonds series 2001
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2011 08/15/11 0.31 BBB (sf)/Stable BBB (sf)/Negative
2012 08/15/12 0.34 BBB (sf)/Stable BBB (sf)/Negative
2013 08/15/13 0.38 BBB (sf)/Stable BBB (sf)/Negative
2025 08/15/25 12.01 BBB (sf)/Stable BBB (sf)/Negative
2035 08/15/35 15.23 BBB (sf)/Stable BBB (sf)/Negative
2043 08/15/43 18.62 BBB (sf)/Stable BBB (sf)/Negative
Tobacco Securitization Authority of Southern California
US$583.631 mil tobacco asset backed bonds (San Diego County)
Series 2006
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2006A 06/01/25 111.86 BBB (sf)/Stable BBB (sf)/Negative
2006A 06/01/37 186.44 BBB (sf)/Stable BBB (sf)/Negative
2006A 06/01/46 236.31 BBB (sf)/Stable BBB (sf)/Negative
2006B 06/01/46 19.77 BB- (sf)/Stable BB- (sf)/Negative
2006C 06/01/46 8.69 B+ (sf)/Stable B+ (sf)/Negative
2006D 06/01/46 20.57 B- (sf)/Stable B- (sf)/Negative
Tobacco Securitization Corp. of Northern California
US$255.487 mil asset backed bonds series 2005A-1
series 2005A-2 series 2005B series 2005C(Sacramento County)
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2005A-1 06/01/23 45.83 BBB (sf)/Stable BBB (sf)/Negative
2005A-1 06/01/38 87.29 BB (sf)/Stable BB (sf)/Negative
2005A-1 06/01/45 86.57 BB- (sf)/Stable BB- (sf)/Negative
2005A-2 06/01/27 12.47 BBB (sf)/Stable BBB (sf)/Negative
2005B 06/01/45 11.67 B (sf)/Stable B (sf)/Negative
2005C 06/01/45 11.66 B- (sf)/Stable B- (sf)/Negative
Tobacco Settlement Authority
US$517.905 mil tobacco settlement asset backed bonds series 2002
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2011 06/01/11 13.29 BBB (sf)/Stable BBB (sf)/Negative
2012 06/01/12 14.33 BBB (sf)/Stable BBB (sf)/Negative
2026 06/01/26 279.78 BBB (sf)/Stable BBB (sf)/Negative
2032 06/01/32 179.51 BBB (sf)/Stable BBB (sf)/Negative
Tobacco Settlement Finance Authority (West Virginia)
US$911.142 mil taxable tobacco settlement asset backed bonds
series 2007
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2007A 06/01/47 845.81 BB+ (sf)/Stable BB+ (sf)/Negative
2007B 06/01/47 65.33 B (sf)/Stable B (sf)/Negative
Tobacco Settlement Financing Corp. (Virginia)
US$1.149 bil tobacco settlement asset backed bonds series 2007
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2007A-1 06/01/46 682.65 BB (sf)/Stable BB (sf)/Negative
2007B-1 06/01/47 335.63 BB- (sf)/Stable BB- (sf)/Negative
2007B-2 06/01/47 26.81 BB- (sf)/Stable BB- (sf)/Negative
2007-C 06/01/47 77.10 B+ (sf)/Stable B+ (sf)/Negative
2007D 06/01/47 27.09 B- (sf)/Stable B- (sf)/Negative
Tobacco Settlement Financing Corp. (Rhode Island)
US$685.39 mil tobacco settlement asset backed bonds
series 2002A and 2002B
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2002-A 06/01/23 109.77 BBB (sf)/Stable BBB (sf)/Negative
2002-A 06/01/32 168.26 BBB (sf)/Stable BBB (sf)/Negative
2002-A 06/01/42 371.70 BBB (sf)/Stable BBB (sf)/Negative
Tobacco Settlement Financing Corp. (Rhode Island)
US$194.31 mil tobacco settlement asset backed bonds series 2007
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2007A 06/01/52 176.97 B (sf)/Stable B (sf)/Negative
2007B 06/01/52 17.34 B- (sf)/Stable B- (sf)/Negative
Tobacco Settlement Financing Corp. (New Jersey)
US$3.622 bil tobacco settlement asset backed bonds series 2007-1
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2007-1A 06/01/11 16.06 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/12 17.86 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/13 19.77 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/14 21.77 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/15 23.83 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/16 26.19 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/17 28.67 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/18 34.15 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/19 36.47 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/23 623.71 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/26 287.62 BBB (sf)/Stable BBB (sf)/Negative
2007-1A 06/01/29 332.27 BBB- (sf)/Stable BBB- (sf)/Negative
2007-1A 06/01/34 672.95 BB+ (sf)/Stable BB+ (sf)/Negative
2007-1A 06/01/41 1263.59 BB- (sf)/Stable BB- (sf)/Negative
2007-1B 06/01/41 126.20 B (sf)/Stable B (sf)/Negative
2007-1C 06/01/41 59.79 B- (sf)/Stable B- (sf)/Negative
Tobacco Settlement Revenue Management Authority (South Carolina)
US$200 mil tobacco settlement asset backed bonds series 2001A
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2016 05/15/16 200.00 BBB (sf)/Stable BBB (sf)/Negative
Tobacco Settlement Revenue Management Authority (South Carolina)
US$734.53 mil tobacco settlement asset backed bonds
series 2001 B tax exempt
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2022 05/15/22 225.88 BBB (sf)/Stable BBB (sf)/Negative
2028 05/15/28 347.27 BBB (sf)/Stable BBB (sf)/Negative
2030 05/15/30 161.39 BBB (sf)/Stable BBB (sf)/Negative
TSASC Inc.
US$1.354 bil tobacco settlement asset backed bonds series 2006-1
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2006 06/01/42 559.03 BBB- (sf)/Stable BBB- (sf)/Negative
2006 06/01/34 372.65 BBB (sf)/Stable BBB (sf)/Negative
2006 06/01/26 137.77 BBB (sf)/Stable BBB (sf)/Negative
2006 06/01/22 284.07 BBB (sf)/Stable BBB (sf)/Negative
Westchester Tobacco Asset Securitization Corp.
US$216.6 mil tobacco settlement asset backed bonds series 2005
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2005 06/01/26 24.10 BBB (sf)/Stable BBB (sf)/Negative
2005 06/01/21 29.60 BBB (sf)/Stable BBB (sf)/Negative
2005 06/01/45 81.70 BBB- (sf)/Stable BBB- (sf)/Negative
2005 06/01/38 81.20 BBB (sf)/Stable BBB (sf)/Negative
Rating Withdrawn
New York Counties Tobacco Trust IV
US$539.197 mil tobacco settlement pass-through bonds
Sale amount
Class Maturity (mil. $) Rating To Rating From
----- -------- ----------- --------- -----------
2005C 06/01/41 124.40 NR BBB (sf)/Negative
* S&P Withdraws Ratings on 54 Classes From 40 North American CMBS
-----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 54
classes from 40 North American commercial mortgage-backed
securities, and commercial real estate collateralized debt
obligation transactions.
S&P withdrew its ratings on 45 classes from 34 CMBS and CRE CDO
transactions following the repayment of the classes' principal
balances, as noted in each transaction's December 2010 remittance
report. S&P withdrew its ratings on seven interest-only classes
from seven transactions following the reductions of the classes'
notional balances, as noted in each transaction's December 2010
remittance reports.
S&P also withdrew its ratings on two additional IO classes from
two CMBS transactions. These IO ratings were withdrawn following
the repayment of all principal and interest paying classes rated
'AA-' or higher from the respective CMBS transactions, in
accordance with S&P's criteria for rating IO securities.
Ratings Withdrawn Following Repayment Or Reduction Of
Notional Balance
Bear Stearns Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2001-TOP4
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2004-BBA5
Rating
------
Class To From
----- -- ----
E NR AAA (sf)
Brascan Structured Notes 2005-2 Ltd.
Collateralized debt obligations series 2005-2
Rating
------
Class To From
----- -- ----
A NR BBB+ (sf)
CD 2006-CD3 Mortgage Trust
Commercial mortgage pass-through certificates series 2006-CD3
Rating
------
Class To From
----- -- ----
A-1 NR AAA (sf)
A-1D NR AAA (sf)
CD 2007-CD4
Commercial mortgage pass-through certificates series 2007-CD4
Rating
------
Class To From
----- -- ----
A-1 NR AAA (sf)
Chase Commercial Mortgage Securities Corp.
Comm mtg pass-thru certs series 1998-1
Rating
------
Class To From
----- -- ----
E NR AA- (sf)
Citigroup Commercial Mortgage Trust 2004-C2
Commercial mortgage pass-through certificates series 2004-C2
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
COMM 2004-LNB4
Commercial mortgage pass-through certificates series 2004-LNB4
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Comm mtg pass-thru certs series 1998-C1
Rating
------
Class To From
----- -- ----
D NR AA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-C5
Rating
------
Class To From
----- -- ----
A-SP NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C2
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2006-TFL2
Rating
------
Class To From
----- -- ----
A-1 NR AAA (sf)
GMAC Commercial Mortgage Securities Inc.
Mtg pass-thru certs series 1999-C1
Rating
------
Class To From
----- -- ----
D NR AAA (sf)
GMAC Commercial Mortgage Securities Inc.
Mortgage pass-through certificates series 1999-CTL1
Rating
------
Class To From
----- -- ----
F NR AAA (sf)
GMAC Commercial Mortgage Securities Inc.
Mortgage pass-through certificates series 2002-C1
Rating
------
Class To From
----- -- ----
A-1 NR AAA (sf)
GMAC Commercial Mortgage Securities Inc.
Mortgage pass-through certificates series 2003-C3
Rating
------
Class To From
----- -- ----
X-2 NR AAA (sf)
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2003-C1
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2003-C2
Rating
------
Class To From
----- -- ----
XP NR AAA (sf)
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2004-GG1
Rating
------
Class To From
----- -- ----
A-4 NR AAA (sf)
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2006-FL4
Rating
------
Class To From
----- -- ----
N-WSC NR BBB- (sf)
O-WSC NR BB+ (sf)
P-WSC NR BB (sf)
GS Mortgage Securities Corp. II
Commercial mortgage pass-through certificates series 2001-LIB
Rating
------
Class To From
----- -- ----
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR AAA (sf)
E NR AAA (sf)
F NR AAA (sf)
G NR AAA (sf)
X NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Mortgage pass-through certificates series 2001-CIBC1
Rating
------
Class To From
----- -- ----
A-3 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-CIBC7
Rating
------
Class To From
----- -- ----
X-2 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-CIBC8
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
JPMorgan Commercial Mortgage Finance Corp.
Mortgage pass-through certificates series 1999-C8
Rating
------
Class To From
----- -- ----
E NR BBB (sf)
LB-UBS Commercial Mortgage Trust 2004-C1
Commercial mortgage pass-through certificates series 2004-C1
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
Mach One 2004-1 LLC
Commercial mortgage-backed securities pass-though certificates
series 2004-1
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
Merrill Lynch Financial Assets Inc.
Commercial mortgage pass-through certificates series 2000CAN4
Rating
------
Class To From
----- -- ----
D NR A- (sf)
Merrill Lynch Mortgage Trust 2006-C2
Commercial mortgage pass-though certificates series 2006-C2
Rating
------
Class To From
----- -- ----
A-1 NR AAA (sf)
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1999-CAM1
Rating
------
Class To From
----- -- ----
E NR AAA (sf)
Morgan Stanley Capital I Inc.
Comm mtg pass-thru certs series 1999-FNVI
Rating
------
Class To From
----- -- ----
G NR BBB (sf)
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 2006-XLF
Rating
------
Class To From
----- -- ----
N-SDF NR CCC- (sf)
Morgan Stanley Capital I Trust 2005-HQ7
Commercial mortgage pass-through certificates series 2005-HQ7
Rating
------
Class To From
----- -- ----
A-1 NR AAA (sf)
Morgan Stanley Dean Witter Capital I Trust 2001-PPM
Commercial mortgage pass-through certificates series 2001-PPM
Rating
------
Class To From
----- -- ----
A-2 NR AAA (sf)
A-3 NR AAA (sf)
Morgan Stanley Dean Witter Capital I Trust 2002-IQ3
Commercial mortgage pass-through certificates series 2002-IQ3
Rating
------
Class To From
----- -- ----
X-2 NR AAA (sf)
PNC Mortgage Acceptance Corp.
Commercial mortgage pass-through certificates series 2000-C2
Rating
------
Class To From
----- -- ----
B NR AAA (sf)
Prudential Securities Secured Financing Corp.
Commercial mortgage pass-through certificates series KEY 2000-C1
Rating
------
Class To From
----- -- ----
D NR AAA (sf)
STRIPs CDO Ltd.
2002-1
Rating
------
Class To From
----- -- ----
N NR BB+ (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2003-C9
Rating
------
Class To From
----- -- ----
X-P NR AAA (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C33
Rating
------
Class To From
----- -- ----
A-1 NR AAA (sf)
Ratings Withdrawn Following Application Of Criteria For Io
Securities
Chase Commercial Mortgage Securities Corp.
Comm mtg pass-thru certs series 1998-1
Rating
------
Class To From
----- -- ----
X NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Comm mtg pass-thru certs series 1998-C1
Rating
------
Class To From
----- -- ----
A-X NR AAA (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com by e-mail.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases by individuals and business entities estimating
assets and debts or disclosing assets and liabilities at less than
$1,000,000. The list includes links to freely downloadable images
of the small-dollar business-related 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. Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard
C. Tolentino, 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 2011. 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 ***