/raid1/www/Hosts/bankrupt/TCR_Public/111204.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, December 4, 2011, Vol. 15, No. 336
Headlines
5180 CLO: S&P Gives 'BB' Rating on Class D $1.22-Bil. Notes
BALLYROCK CLO: S&P Raises Rating on Class E Notes to 'B+'
BANC OF AMERICA: Fitch Lowers Rating on Two Class. Certs. at 'Dsf'
BANC OF AMERICA: Moody's Lowers Rating of Cl. 3-A-1 Notes to 'Ca'
BANC OF AMERICA: S&P Cuts 2 Classes of Certs Ratings to 'D'
BANC OF AMERICA: S&P Cuts Class A-M Certs. Rating to 'BB'
BIRCH REAL: Fitch Affirms Junk Rating on Four Note Classes
CITIGROUP COMM: Property Valuations Cue Fitch to Downgrade Ratings
CLARIS IV: DBRS Downgrades Class I-B Swap to 'BB'
CLASSIC FINANCE: S&P Lowers Rating on Class A Notes to 'D'
CLYDESDALE CLO: S&P Affirms Rating on Class D Notes at 'CCC-'
CREDIT SUISSE: S&P Lowers Rating on Class F Certificates to 'D'
DB MORTGAGE: Fitch Affirms Primary Servicer Rating at 'CPS2'
DENALI CAPITAL: S&P Hikes Ratings on 2 Classes of Notes From 'BB+'
DEUTSCHE ALT-A: Moody's Lowers Rating of Cl. I-A-4 Notes to Caa3
DISTRIBUTION FIN'L: Fitch Affirms Rating on Class D Notes at 'C'
EASI FINANCE: Fitch Withdraws Rating on 12 Note Classes at 'Dsf'
FOUR CORNERS: S&P Raises Rating on Class D Notes to 'B+'
GCO EDUCATION: Fitch Confirms Rating on Class 2007-1 C-1L at 'Bsf'
GOLDENTREE LOAN: S&P Raises Rating on Class E From 'B+' to 'BB'
ISCHUS CDO: S&P Gives 'D' Ratings on 5 Classes of Notes
JP MORGAN 2011-FL1: S&P Gives 'BB' Rating on Class MH Certificates
JPMCC 2011-FL1: Moody's Gives 'Ba2' Rating to Cl. MH Notes
KATONAH IX: S&P Raises Rating on Class B-2L Notes to 'CCC+'
KEYCORP STUDENT: Fitch Affirms Rating on Class II-C Loan at 'BBsf'
KEYCORP STUDENT: Fitch Junks Rating on Class II-D Loan
KIRKWOOD CDO: S&P Lowers Ratings on 3 Classes of Notes to 'CC'
LCM I: S&P Lowers Ratings on 2 Classes of Notes From 'B+' to 'B'
LENNAR CORP: Fitch to Rates Proposed $300 Mil. Sr. Notes at 'BB+'
MASTR 2005-1: Moody's Downgrades Rating of Cl. 1-A-1 Notes to B2
MC FUNDING: Moody's Raises Rating of Class E Notes to Ba2 (sf)
MILL CREEK: S&P Gives 'BB' Rating on Class E Floating-Rate Notes
MOMENTUM CDO: S&P Lowers Rating on Floating-Rate Notes to 'D'
N-STAR REAL: Fitch Junks Rating on Eight Note Classes
NOMURA CRE: Fitch Affirms Junk Ratings on Eighteen Note Classes
SATURNS TRUST: S&P Lowers Rating on $60.192-Mil. Units to 'B'
VERITAS CLO: S&P Raises Rating on Class E Notes to 'CCC+'
WACHOVIA BANK: S&P Lowers Rating on Class O Certificates to 'D'
WELLS FARGO: Fitch Puts Rating on Two Note Classes at Low-B
WFRBS 2011: Moody's Assigns Ba2 (sf) Rating to Cl. F Notes
ZAIS INVESTMENT: Moody's Upgrades Rating of Class A-2 Notes to Ba2
ZOHAR CDO: Moody's Raises Rating of Class A-3a Notes to 'B1'
ZOHAR II: Moody's Upgrades Rating of Class A-1 Notes to 'B2'
ZOHAR III: Moody's Raises Rating of Class A-3 Notes to 'B1'
* S&P Lowers Ratings on 6 Classes of Certificates to 'D'
* S&P Lowers Ratings on 724 Classes from US Residential RMBS
*********
5180 CLO: S&P Gives 'BB' Rating on Class D $1.22-Bil. Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to 5180
CLO L.P.'s $1.22 billion notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's assessment of:
The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the income
notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread) and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria (see "Update To Global
Methodologies And Assumptions For Corporate Cash Flow And
Synthetic CDOs," published Sept. 17, 2009).
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
The collateral manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest rate scenarios,
including LIBOR ranging from 0.34%-10.94%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of excess
interest proceeds that are available prior to paying uncapped
administrative expenses and fees, collateral manager incentive
fees, and income note payments to principal proceeds for the
purchase of additional collateral assets during the
reinvestment period.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111262.pdf
Ratings Assigned
5180 CLO L.P.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 600.00
A-2 AA (sf) 63.65
B (deferrable) A (sf) 116.35
C (deferrable) BBB (sf) 64.25
D (deferrable) BB (sf) 48.15
Combination notes(i) BBB- (sf)(pNRi) 329.00
Income notes NR 120.50
(i) The combination notes comprise $116.35 million of class B
notes, $64.25 million of class C notes, $48.15 million of class D
notes, $74.00 million of income notes, and a $26.25 million
Treasury security (the notional amount is $50 million). NR -- Not
rated.
BALLYROCK CLO: S&P Raises Rating on Class E Notes to 'B+'
---------------------------------------------------------
Standard & Poor's Ratings Services raised and removed from
CreditWatch positive its ratings on the class A and E notes from
Ballyrock CLO 2006-2 Ltd., a U.S. collateralized loan obligation
(CLO) transaction managed by Ballyrock Investment Advisors LLC.
"In addition, we affirmed and removed from CreditWatch positive
our ratings on the class B, C, and D notes," S&P said.
"The upgrades reflect improvements in the overcollateralization
(O/C) available to support the rated notes and in the credit
quality of the transaction's underlying asset portfolio since our
last rating action on the transaction in March 2010. As of the
October 2011 trustee report, the class A O/C ratio increased to
125.9% from 121.6%, which it was in February 2010. The defaulted
balance of securities held in the pool decreased to $2.9 million
from $22.5 million," S&P said.
"The affirmations for the class B, C, and D notes reflect the
availability of sufficient credit support at the current rating
levels. We will continue to review our ratings on the notes and
assess whether, in our view, the ratings remain consistent with
the credit enhancement available," S&P said.
Rating Actions
Ballyrock CLO 2006-2 Ltd
Rating
Class To From
A AA+ (sf) AA (sf)/Watch Pos
E B+ (sf) CCC+ (sf)/Watch Pos
Ratings Affirmed And Removed From Creditwatch Positive
Ballyrock CLO 2006-2 Ltd
Rating
Class To From
B A+ (sf) A+ (sf)/Watch Pos
C BBB+ (sf) BBB+ (sf)/Watch Pos
D BB+ (sf) BB+ (sf)/Watch Pos
BANC OF AMERICA: Fitch Lowers Rating on Two Class. Certs. at 'Dsf'
------------------------------------------------------------------
Fitch Ratings has downgraded nine classes of Banc of America
Commercial Mortgage Inc., series 2006-3 commercial mortgage pass-
through certificates, due to further deterioration in performance
including increased loss expectations on specially serviced loans.
Fitch modeled losses of 8.6% (13.6% cumulative transaction losses
which includes losses realized to date). Modeled losses include
expected losses on loans in special servicing and on performing
loans with declines in performance indicative of a higher
probability of default.
The increase in modeled losses as well as the largest contributor
to modeled losses is the Rushmore Mall(5.8% of the pool). The
loan transferred to special servicing following Fitch's last
rating action and the special servicer has recently obtained a
valuation significantly below its debt. The interest-only loan is
secured by a 737,725 square foot (sf) regional mall located in
Rapid City, SD, slightly north of the CBD and approximately seven
miles from the Ellsworth Airforce Base. Built in 1978 and
renovated in 1993, the mall is anchored by Sears (124,215 sf) and
JC Penney (89,909 sf). The mall has 421,948 sf of in-line space.
The sponsors are Simon Property Group and The Macerich Group.
JC Penny has indicated that it will relocate unless the borrower
constructs a new, 104,000 square foot store at the property for
them to occupy. The borrower has indicated that it is not willing
to invest in the property to construct the new space without a
loan modification. Given the potential of the borrower and the
special servicer failing to come to an agreement on a
modification, Fitch modeled significant losses. The loan
currently has positive cash flow, but the dispute could have a
large impact on the mall's performance.
The second largest contributor to losses is the Phoenix Airport
Marriott loan (3.8%) which is secured by a 345-room hotel located
1.5 miles from the Phoenix International Airport. At issuance,
the property reported an average daily occupancy of 68.1%, and
revenue per available room (RevPar) of $94.32. According to the
Smith Travel Research for the trailing 12 months (TTM) ended
February 2011, occupancy and RevPAR were 53.8% and $71.35
respectively. While this represents a 14.4% increase in TTM
RevPAR, the property is still significantly underperforming
issuance expectations. The servicer-reported year end (YE) 2010
net operating income debt service coverage ratio (NOI DSCR) was
0.80 times (x), compared with 1.62x at issuance.
Recent losses to the trust were primarily the result of the
disposition of six former Boscov's properties. Total losses on
the disposition were approximately 115% of the loan amount as fees
and advances consumed all of the sales proceeds. There were
originally eight single-tenant retail assets in the pool, with
total principal balance of $131.5 million (6.8%). Boscov's Inc.
was the borrower and tenant. The stores were closed after
Boscov's filed Chapter 11 bankruptcy on Aug. 4, 2008. The
properties are attached to shopping centers, four of which are
owned by Simon Properties Group, Inc., two by General Growth
Properties and one by CBL & Associates Properties, Inc.
As of the November 2011 distribution date, the pool's aggregate
principal balance decreased by 17.1% to $1.63 billion from $1.96
billion at issuance. Fitch has identified 35 loans (38.4%) as
Fitch Loans of Concern, which includes seven specially serviced
loans (8.6%). There are no defeased loans in the pool.
Class A-M has been assigned a Negative Rating Outlook reflecting
several sub-performing loans which remain current, as well as a
significant exposure to properties in tertiary markets.
Fitch has downgraded these classes:
-- $196.5 million class A-M to 'AAsf' from 'AAAsf', Outlook to
Negative from Stable;
-- $152.3 million class A-J to 'CCCsf' from 'BBsf', RE 100%;
-- $41.8 million class B to 'CCsf' from 'CCCsf', RE 100%;
-- $19.7 million class C to 'Csf', RE 30% from 'CCCsf', RE 100%;
-- $31.9 million class D to 'Csf', RE 0% from 'CCCsf', RE 45%;
-- $17.2 million class E to 'Csf' from 'CCsf', RE 0%;;
-- $22.1 million class F to 'Dsf' from 'CCsf', RE 0%;
-- $17.2 million class G to 'Dsf' from 'Csf', RE 0%;
-- $22.1 million class H to 'Dsf' from 'Csf', RE 0%.
Fitch has affirmed these classes:
-- $56.9 million class A-3 at 'AAAsf', Outlook Stable;
-- $1.01 billion class A-4 at 'AAAsf', Outlook Stable;
-- $97.8 million class A-1A at 'AAAsf', Outlook Stable.
Classes J, K, L and M have been reduced to zero due to realized
losses and remain at 'Dsf', RE 0%. Classes A-1 and A-2 have paid
in full. Fitch does not rate classes N, O or P.
BANC OF AMERICA: Moody's Lowers Rating of Cl. 3-A-1 Notes to 'Ca'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 6 tranches
issued by Banc of America Alternative Loan Trust 2006-3.
Complete rating actions are:
Issuer: Banc of America Alternative Loan Trust 2006-3
Cl. 3-A-1, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa1 (sf)
Cl. 3-A-2, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa1 (sf)
Cl. 3-IO, Downgraded to Ca (sf); previously on Dec 7, 2010
Confirmed at Caa1 (sf)
Cl. 6-A-1, Downgraded to Baa3 (sf); previously on Dec 7, 2010
Downgraded to Baa1 (sf)
Cl. 6-IO, Downgraded to Baa3 (sf); previously on Dec 7, 2010
Downgraded to Baa1 (sf)
Cl. 6-PO, Downgraded to Caa1 (sf); previously on Dec 7, 2010
Downgraded to B2 (sf)
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 recent performance review of Alt-A
pools and reflect Moody's updated loss expectations on Alt-A pools
issued from 2005 to 2008.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
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) (SFW), 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 extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The approach is adjusted slightly when estimating losses on pools
left with a small number of loans 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. 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
varies from 10% to 21% on average. The baseline rates are higher
than the average rate of new delinquencies for larger pools for
the respective vintages.
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 in
performance. 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 with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. In addition, 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 80%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology" publication.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in early 2012, with a
3% remaining decline in 2012, and unemployment rate to start
declining, albeit slowly, as the year progresses.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on Banc of America Alternative Loan Trust 2006-3 Class
3-A-2 will have a neutral impact. However, the rating on Banc of
America Alternative Loan Trust 2006-3 Class 3-IO maybe negatively
affected and the rating on Banc of America Alternative Loan Trust
2006-3 Class 6-IO maybe positively affected. Please refer to
Moody's request for Comment, titled "Proposal Changing the Global
Rating Methodology for Structured Finance Interest-Only
Securities," for further details regarding the implications
of the proposed methodology change on Moody's rating. Please
see the Credit Policy page on www.moodys.com for a copy of this
methodology and the Request for Comment.
BANC OF AMERICA: S&P Cuts 2 Classes of Certs Ratings to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of commercial mortgage pass-through certificates from Banc
of America Commercial Mortgage Trust 2007-2, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "In addition, we
affirmed our ratings on nine other classes from the same
transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. Our
analysis also included a review of the deal structure and
the liquidity available to the trust. The downgrades reflect
credit support erosion that we anticipate will occur upon the
eventual resolution of 18 ($156.1 million, 6.1%) of the 26
specially serviced assets ($689.0 million, 27.0%) and one loan
($4.1 million, 0.2%) that we determined to be credit-impaired.
We also considered monthly interest shortfalls affecting the
trust and the potential for additional interest shortfalls due
to revised appraisal reduction amounts (ARAs) on the specially
serviced assets. We lowered our ratings on the class F and G
certificates to 'D (sf)' because we believe the accumulated
interest shortfalls will remain outstanding for the foreseeable
future," S&P related.
"The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. We affirmed our 'AAA
(sf)' rating on the class XW interest-only (IO) certificate based
on our current criteria," S&P said.
"Our analysis included a review of the credit characteristics
of the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.27x and a loan-to-value (LTV) ratio of
124.5%. We further stressed the loans' cash flows under our
'AAA' scenario to yield a weighted average DSC of 0.78x and
an LTV ratio of 167.0%. The implied defaults and loss severity
under the 'AAA' scenario were 89.7% and 45.4%, respectively. The
DSC and LTV calculations exclude 18 ($156.1 million, 6.1%) of the
26 specially serviced assets ($689.0 million, 27.0%) and one loan
($4.1 million, 0.2%) that we determined to be credit-impaired. We
separately estimated losses for these specially serviced and
credit-impaired assets and included them in our 'AAA' scenario
implied default and loss severity figures," S&P said.
"As of the Nov. 10, 2011 trustee remittance report, the trust
experienced monthly interest shortfalls totaling $1.2 million
primarily related to interest reduction due to rate modification
of $836,543, appraisal subordinate entitlement reduction (ASER)
amounts of $215,824, and special servicing fees of $92,855. The
interest shortfalls affected all classes subordinate to and
including class C. Although classes F and G have experienced
cumulative interest shortfalls for one month, we expect these
interest shortfalls to continue in the near term and cumulative
interest shortfalls to remain outstanding. Consequently, we
downgraded classes F and G to 'D (sf)'," S&P said.
Credit Considerations
As of the Nov. 10, 2011 trustee remittance report, 26 assets
($689.0 million, 27.0%) in the pool were with the special
servicer, Helios AMC LLC (Helios). The reported payment status of
the specially serviced assets is: three are real estate owned
(REO; $23.9 million, 0.9%), one is in foreclosure ($128.5 million,
5.0%), 11 are 90-plus-days delinquent ($104.9 million, 4.1%),
two are 60 days delinquent ($19.4 million, 0.8%), one is 30 days
delinquent ($5.5 million, 0.2%), six are in their grace period
($120.3 million, 4.7%), and two are current ($286.5 million,
11.3%). ARAs totaling $121.4 million are in effect against 18 of
the specially serviced assets. Details of the three largest
specially serviced assets, all of which are top 10 loans, are:
The Beacon Seattle & DC Portfolio loan, the largest loan
in the pool, has a whole-loan balance of $1.9 billion that
is split into seven pari passu pieces totaling $1.86 billion,
of which $274.8 million makes up 10.8% of the trust balance and
a subordinate B note totaling $39.0 million. The $39.0 million
B note is only subordinate to the trust's balance and the
$338.2 million A-5 note in the Bear Stearns Commercial Mortgage
Securities Trust 2007-PWR16 transaction. The loan is currently
secured by the fee interests in 13 office properties totaling
6.0 million sq. ft. in Northern Virginia, Washington, and the
District of Columbia, and the pledge of the borrower's cash flow
from a 1.1 million-sq.-ft. office building in Seattle. The loan
has a reported current payment status and was transferred to the
special servicer on April 7, 2010, due to imminent default. The
special servicer for this loan, C-III Asset Management LLC, stated
that the loan has since been modified. The modification terms
include, but are not limited to, extending the maturity date to
May 7, 2017, from May 7, 2012, releasing certain properties, and
lowering the contractual interest rate. The reported combined DSC
was 0.89x for year-end 2010 and combined occupancy was 83.3%,
according to the June 30, 2011, rent rolls.
The 575 Lexington Avenue loan, the fifth-largest loan in the pool,
has a whole-loan balance of $257.1 million that is divided into
two pari passu pieces, of which $128.5 million makes up 5.0% of
the trust balance. The loan is secured by a 637,685-sq.-ft. office
building in Manhattan. The loan was transferred to the special
servicer on March 12, 2010, due to imminent default. The special
servicer for this loan, LNR Partners LLC (LNR), indicated that the
loan, which was reported to be in foreclosure, has since been
modified. The modification terms include, but are not limited to,
a $75.0 million paydown applied to principal and interest on the
whole-loan balance and 5.0% pay rate for the first 24 months. The
loan matures on Oct. 1, 2013. An ARA of $39.3 million has been
reported for this loan. The reported DSC was 0.69x for the nine
months ended Sept. 30, 2010, and occupancy was 85.7%, according
to the Sept. 30, 2011, rent roll. LNR stated that the loan is
current, and LNR anticipates that it will return the loan to the
master servicer in the first quarter of 2012.
The 50 South Tenth Street loan ($76.2 million, 3.0%), the eighth-
largest loan in the pool, is secured by a 485,638-sq.-ft. office
building in Minneapolis. The loan was transferred to the special
servicer on Oct. 27, 2011, due to impending maturity default.
The loan, which matures on Jan. 1, 2012, is reported to be in
its grace period. According to Helios, the borrower initially
indicated that it would not be able to secure refinancing by its
maturity date. Helios informed us that the loan is now current
and that the borrower has since requested a payoff statement and
intends to pay the loan in full at or before the maturity date.
The reported DSC was 1.89x for year-end 2010, and occupancy was
98.8%, according to the June 30, 2011 rent roll.
"The 23 remaining specially serviced assets have individual
balances that represent less than 1.1% of the trust balance. ARAs
totaling $82.1 million are in effect against 17 of these assets.
We estimated losses for 18 of the 23 assets, arriving at a
weighted-average loss severity of 48.7%. Helios indicated that
four of the remaining five loans were modified while the
remaining loan was erroneously transferred to the special
servicer," S&P related.
"In addition to the specially serviced assets, we determined the
Plainfield Lot 1 loan ($4.1 million, 0.2%) to be credit-impaired
primarily due to its 30-days-delinquent payment status. The loan
is secured by a 14,026-sq.-ft. retail property in Plainfield, Ind.
According to the master servicer, the borrower has been
approximately 60 days delinquent since January 2011. The reported
DSC and occupancy were 1.61x and 100% as of year-end 2010. As a
result, we view this loan to be at an increased risk of default
and loss," S&P said.
Transaction Summary
As of the Nov. 10, 2011 trustee remittance report, the collateral
pool balance was $2.5 billion, which is 80.3% of the balance at
issuance. The pool consists of 163 loans and three REO assets,
down from 180 loans at issuance. The master servicer, Bank of
America N.A. (BofA), provided financial information for 96.2% of
the loans in the pool, of which 91.8% was partial- or full-year
2010 data.
"We calculated a weighted average DSC of 1.27x for the
loans in the pool based on the servicer-reported figures.
Our adjusted DSC and LTV ratio were 1.27x and 124.5%. Our
adjusted DSC and LTV figures excluded 18 ($156.1 million,
6.1%) of the 26 specially serviced assets ($689.0 million,
27.0%) and one loan ($4.1 million, 0.2%) that we determined
to be credit-impaired. We separately estimated losses for these
specially serviced and credit-impaired assets and included them
in our 'AAA' scenario implied default and loss severity figures.
The transaction has experienced $125.7 million in principal
losses from 14 assets to date. Forty loans ($548.0 million, 21.5%)
in the pool are on the master servicer's watchlist. Thirty loans
($649.3 million, 25.5%) have a reported DSC of less than 1.00x,
and nine loans ($84.6 million, 3.3%) have a reported DSC between
1.00x and 1.10xm," S&P said.
Summary of Top 10 Loans
"The top 10 loans have an aggregate outstanding balance of
$1.2 billion (48.9%). Using servicer-reported numbers, we
calculated a weighted average DSC of 1.20x for the top 10 loans.
Three ($479.5 million, 18.8%) of the top 10 loans are currently
with the special servicer. In addition, two ($221.4 million, 8.7%)
of the top 10 loans are on BofA's watchlist. Our adjusted DSC and
LTV ratio for the top 10 loans were 1.18x and 137.6%," S&P
related.
The Connecticut Financial Center loan ($130.4 million, 5.1%),
the fourth-largest loan in the pool, is secured by a 466,049-
sq.-ft. office building in New Haven, Conn. The loan is on
BofA's watchlist because the largest tenant's lease expires on
June 14, 2012. This tenant occupies a total of 217,190 sq. ft.
or 46.6% of net rentable area at the property. According to the
master servicer, the borrower indicated that it is currently
negotiating lease renewal with the tenant for a portion of the
space. The reported DSC was 1.43x for year-end 2010, and occupancy
was 90.4%, according to the June 30, 2011 rent roll.
The 200 West 57th Street loan ($91.0 million, 3.6%), the seventh-
largest loan in the pool, is secured by a 158,607-sq.-ft. office
building in Manhattan. The loan appears on the master servicer's
watchlist due to a low reported DSC, which was 0.81x for year-end
2010. Occupancy was 90.6%, according to the July 31, 2011, rent
roll.
In addition, the second-largest loan in the pool, the Howard
Crossing loan ($153.0 million, 6.0%), is an IO loan that matures
on Jan. 1, 2013. The loan is secured by 42 garden-style apartment
buildings totaling 1,350 units in Ellicott City, Md. BofA reported
a DSC of 1.20x for year-end 2010 and occupancy was 94.0%,
according to the June 30, 2011, rent roll.
"We stressed the collateral in the pool according to our current
criteria. The resultant credit enhancement levels are consistent
with our lowered and affirmed ratings," S&P said.
Ratings Lowered
Banc of America Commercial Mortgage Trust 2007-2
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M BBB- (sf) BBB+ (sf) 19.97
A-J B+ (sf) BB+ (sf) 10.01
A-JFL B+ (sf) BB+ (sf) 10.01
B B- (sf) BB (sf) 9.39
C CCC- (sf) CCC+ (sf) 7.52
F D (sf) CCC- (sf) 4.56
G D (sf) CCC- (sf) 3.47
ratings affirmed
Banc of America Commercial Mortgage Trust 2007-2
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 32.42
A-2FL AAA (sf) 32.42
A-3 AAA (sf) 32.42
A-AB AAA (sf) 32.42
A-4 A+ (sf) 32.42
A-1A A+ (sf) 32.42
D CCC- (sf) 6.27
E CCC- (sf) 5.65
XW AAA (sf) N/A
N/A -- Not applicable.
BANC OF AMERICA: S&P Cuts Class A-M Certs. Rating to 'BB'
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the
class A-M commercial mortgage pass-through certificates from Banc
of America Commercial Mortgage Trust 2006-3, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "In addition, we
affirmed our ratings on five other classes and withdrew our rating
on the class A-2 certificates from the same transaction," S&P
said.
"Our rating actions reflect our analysis of the transaction
primarily using our U.S. CMBS conduit/fusion criteria. Our
analysis included a review of the credit characteristics of all
of the assets in the pool, the transaction structure, and the
liquidity available to the trust. The downgrade of the class A-M
certificate reflects credit support erosion that we anticipate
will occur upon the eventual resolution of five ($37.2 million,
2.3%) of the seven assets ($139.8 million, 8.6 %) currently with
the special servicer. We also considered the monthly interest
shortfalls that are affecting the trust and the potential for
additional interest shortfalls associated with the specially
serviced assets," S&P related.
"The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. We affirmed our 'AAA
(sf)' rating on the class XW interest-only (IO) certificate based
on our current criteria," S&P said.
"We withdrew our rating on the class A-2 certificate following the
repayment of the class' remaining principal balance, as noted in
the November trustee remittance report," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.27x and a loan-to-value
(LTV) ratio of 124.0%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 0.79x
and an LTV ratio of 173.4%. The implied defaults and loss severity
under the 'AAA' scenario were 87.6% and 46.7%. We separately
estimated losses for five ($37.2 million, 2.3%) of the
transaction's seven ($139.8 million, 8.6%) specially serviced
assets and included them in our 'AAA' scenario implied default
and loss severity figures," S&P said.
"According to the November 2011 remittance report, five
Boscov's loans (which were previously with the special servicer)
had been liquidated, each with losses in excess of 100%, ranging
from 100.3% to 125.6%. The final realized loss to the trust was
$68.3 million and affected classes F, G, H, and J. Class F
incurred a partial principal loss (78.3% of original balance),
while classes G, H, and J incurred full principal losses. Due to
the liquidation, accumulated appraisal subordinate entitlement
reduction (ASER) amounts associated with the loans, as well as
advances that were previously deemed nonrecoverable, were paid
back with liquidation proceeds. Additionally, all outstanding
accumulated interest shortfalls affecting classes B, C, D, and E
were also repaid in full with liquidation proceeds," S&P said.
"We previously lowered our ratings on the class B, C, D, E, F, and
G certificates to 'D (sf)' due to ongoing interest shortfalls,"
S&P said.
Credit Concerns
Seven assets ($139.8 million, 8.6%) in the pool are with the
special servicer, CWCapital Asset Management LLC (CWCapital).
The reported payment status of these assets is: five assets
are real estate owned (REO) ($37.2 million, 2.3%); one is
currently in foreclosure ($8.6 million, 0.5%); and one is
current ($94.0 million, 5.8%). Five of the specially serviced
assets have appraisal reduction amounts (ARAs) in effect,
totaling $19.9 million. Details of the two largest specially
serviced assets, one of which is a top 10 asset, are:
"The Rushmore Mall loan ($94.0 million, 5.8%) is the sixth-largest
asset in the pool and largest asset with the special servicer. The
loan is secured by a 737,725-sq-ft. regional mall built in 1978
and renovated in 1993 in Rapid City, S.D. The loan's payment
status is reported as current, and the loan was transferred to the
special servicer due to imminent monetary default on July 27,
2011. There are reported structural issues with one particular
store for an anchor tenant, J.C. Penney (89,909 sq. ft., 12% GLA),
which recently renewed its lease. However, it is our understanding
that continuation of the lease is contingent upon resolution of
the structural issues which we believe will require significant
cost and effort on behalf of the borrower. A recent appraisal for
the property indicates a value below the current pool balance.
The DSC for the loan was 1.10x for the six months ended June 30,
2011, and occupancy was 97.6% as of June 30, 2011," S&P said.
The Centennial Plaza REO asset ($13.7 million, 0.8%) is secured
by a 43,610-sq-ft. retail center in Las Vegas. The loan was
transferred to the special servicer on Aug. 11, 2010, and
foreclosed on Aug. 9, 2011. A $9.6 million ARA is in effect
against this asset. Current occupancy for the property is reported
as approximately 78% and leasing opportunities are being pursued.
Standard & Poor's expects the resolution of this asset will cause
a significant loss to the trust.
"The remaining five specially serviced assets ($32.1 million,
2.0%) have balances that individually represent less than 1% of
the total pool balance. ARAs totaling $10.2 million are in effect
against four of these assets. We estimated losses for four of
these assets, arriving at a weighted-average loss severity of
45.1%. The remaining asset is in foreclosure though the payment
status was reported as current," S&P said.
Transaction Summary
As of the Nov. 10, 2011, trustee remittance report, the
transaction had an aggregate trust balance of $1.63 billion,
which consisted of 79 loans and five REO assets, compared
with $1.96 billion (96 loans) at issuance. Bank of America N.A.
(Bank of America), the master servicer, provided financial
information for 99.4% of the pool (by balance), which was
primarily full-year 2010 information. "We calculated a weighted-
average DSC of 1.30x for the loans in the pool based on the
reported figures. Our adjusted DSC and LTV were 1.27x and 124.0%,
excluding five ($37.2 million; 2.3%) of the seven specially
serviced assets. The trust has experienced principal losses
related to 10 assets to date totaling $125.4 million. Twenty-eight
assets ($485.8 million, 29.1%) are on the master servicer's
watchlist, including three of the top 10 loans, which are
discussed below. Ten loans ($149.0 million, 9.1%) have reported
DSC between 1.10x and 1.00x and 10 loans ($256.9 million, 15.8%)
have reported DSC below 1.00x," S&P said.
Summary of Top 10 Loans
"The top 10 loans have an aggregate outstanding trust balance of
$903.5 million (55.5%). Using servicer-reported information, we
calculated a weighted-average DSC of 1.29x for the top 10 loans.
Our adjusted DSC and LTV figures for the top 10 loans were 1.22x
and 136.5%. Three of the top 10 loans ($252.0 million, 15.47%) are
on the master servicer's watchlist," S&P said.
The Republic Place loan ($95.4 million, 5.9%), the fourth-largest
loan in the pool, is secured by one office property totaling
213,475 sq. ft. in Washington, D.C. The loan is on the watchlist
due to low DSC. The reported DSC and occupancy were 1.05x and
93.9% for the six months ending June 30, 2011.
The One Stamford Forum loan ($90.4 million, 5.5%), the sixth-
largest loan in the pool, is secured by one office property
totaling 504,471 sq. ft. in Stamford, Conn. The loan is on the
watchlist due to low DSC. The property is currently occupied by
two tenants, UBS and Purdue Pharma, with a reported DSC and
occupancy of 0.96x and 100%, respectively, for year-end 2010.
The Phoenix Airport Marriott loan ($66.3 million, 4.1%) is the
10th-largest loan in the pool. The property is secured by Phoenix
Airport Marriott hotel, a 345-room full-service hotel built in
1999. The loan is on the watchlist due to low DSC, which was
reported as 0.63x for year-end 2010.
"Standard & Poor's stressed the loans in the pool according to its
criteria. The resultant credit enhancement levels are consistent
with our lowered and affirmed ratings," S&P said.
Rating Lowered
Banc of America Commercial Mortgage Trust 2006-3
Commercial mortgage pass-through certificates series 2006-3
Rating
Class To From Credit enhancement (%)
A-M BB (sf) BBB (sf) 16.42
Ratings Affirmed
Banc of America Commercial Mortgage Trust 2006-3
Commercial mortgage pass-through certificates series 2006-3
Class Rating Credit enhancement (%)
A-3 AAA (sf) 28.48
A-4 A+ (sf) 28.48
A-1A A+ (sf) 28.48
A-J CCC+ (sf) 7.08
XW AAA (sf) N/A
Rating Withdrawn
Banc of America Commercial Mortgage Trust 2006-3
Commercial mortgage pass-through certificates series 2006-3
Rating
Class To From Credit enhancement (%)
A-2 NR AAA (sf) N/A
N/A -- Not applicable.
NR -- Not rated.
BIRCH REAL: Fitch Affirms Junk Rating on Four Note Classes
----------------------------------------------------------
Fitch Ratings has affirmed these four classes of notes issued by
Birch Real Estate CDO I, Ltd. (Birch I):
-- $19,693,250 class A-2L at 'CCCsf';
-- $3,787,163 class A-2 at 'CCCsf';
-- $10,000,000 class A-3L at 'CCsf';
-- $11,040,000 class B-1 at 'Csf'.
The review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model (SF PCM) for
projecting future default levels for the underlying portfolio.
These default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'.
Fitch also considered additional qualitative factors into its
analysis to conclude the rating actions for the rated notes.
Since Fitch's last rating action in November 2010, the credit
quality of the portfolio collateral has experienced modest
deterioration, with approximately 16% of the portfolio downgraded
a weighted average of 3.8 notches with approximately 5% of the
portfolio upgraded a weighted average 1.3 notches. Currently, 58%
of the portfolio has a Fitch derived rating below investment grade
with 53% of the portfolio rated in the 'CCC' category or below,
compared to 53% and 51%, respectively, at the last review.
The affirmation of the ratings of the class A-2 notes is based
upon continued portfolio amortization and paydowns due to coverage
test failures, which have benefited these notes in terms of
increased enhancement levels. Although the cash flow model
results indicate that the notes can pass higher rating stresses
than their current ratings, the notes susceptible to adverse
selection as the portfolio continues to become more concentrated,
exacerbated by further potential negative credit migration.
Interest collections currently pay 80% of current class A-2
periodic interest, where the current hedge counterparty payments
are creating a negative drag. Fitch expects that future paydowns
to the notes will be accelerated once the current hedge expires in
November 2012.
Breakeven levels for the class A-3L notes also indicate passing
ratings at higher rating stresses than their current ratings,
however, the notes are 100% reliant on principal proceeds to pay
current periodic interest. Consequently, the timely receipt of
interest and ultimate repayment of principal are more sensitive to
future portfolio deterioration, which the risk is also heightened
due to the current portfolio concentration.
The class B-1L notes continue to defer interest due to the failing
class A coverage tests. It is unlikely that the tests will cure
in the future and given the current interest shortfall amount of
$3.3 million, the notes are not expected to receive accrued
interest and its full principal at maturity. As a result, the
ratings of the class B-1L notes are affirmed at 'Csf'.
Birch I is a static, structured finance (SF) collateralized debt
obligation (CDO) that closed on Dec. 20, 2002. The initial
portfolio was selected by Bear, Stearns & Co., Inc. As of the
latest trustee report from November 2011, the portfolio is
comprised of residential mortgage-backed securities (74.4%),
commercial mortgage-backed securities (21.3%) and commercial
asset-backed securities (4.3%) from 1999 and 2002 vintages.
CITIGROUP COMM: Property Valuations Cue Fitch to Downgrade Ratings
------------------------------------------------------------------
Fitch Ratings has downgraded 11 classes and affirmed the mezzanine
and super senior classes of Citigroup Commercial Mortgage Trust
2007-C6, commercial mortgage pass-through certificates.
The downgrades reflect an increase in Fitch expected losses as a
result of recent property valuations obtained by the servicer for
specially serviced assets. Fitch modeled losses of 10.6% for the
remaining pool; expected losses of the original pool are at 11%,
including losses already incurred to date. Fitch has designated
99 loans (29.9%) as Fitch Loans of Concern, which includes 27
specially serviced loans (7.9%). Fitch expects classes K through
S may be fully depleted from losses associated with the specially
serviced assets.
As of the October 2011 distribution date, the pool's aggregate
principal balance has been paid down by approximately 2.4% to
$4.64 billion from $4.76 billion at issuance. One loan (0.03%) is
currently defeased. Interest shortfalls are affecting classes K
through S.
The largest contributor to modeled losses (2.6% of pool balance)
is secured by a 43-building multifamily portfolio with 951 units
located in the Hyde Park neighborhood of Chicago. The property is
near the completion of a three-phase renovation and final
renovations are expected to be finished in approximately six
months. Despite cash flow remaining insufficient to cover debt
service obligations, the loan remains current, and the borrower
has indicated to the servicer that it will continue to invest
additional equity to cover debt service until the renovations are
complete. As a majority of work has been completed, the
property's debt service coverage ratio (DSCR) has improved from
0.31 times (x) at year-end (YE) 2009 to 0.74x as of June 2011.
Fitch does not expect the property will stabilize to original
expectations due to softer market conditions which may affect the
target rental rates and occupancy assumptions that were considered
at loan origination.
The next largest contributor to losses (1.8%) is a loan secured by
a regional mall in Moreno Valley, CA, located within the Inland
Empire. The property totals 1,078,378 square feet (sf), with
472,844 sf of collateral. The asset, which was foreclosed upon in
February 2011, continues to suffer from high vacancy; occupancy as
of June 2011 fell to 52.7%, from 78.1% in June 2010. According to
the special servicer, leasing efforts continue and major areas of
deferred maintenance are being investigated in an effort to
stabilize the asset.
Fitch downgrades the following classes, revises Outlooks, and
assigns Recovery Estimates (REs) as indicated:
-- $248.3 million class A-J to 'BBsf' from 'BBB-sf'; Outlook to
Negative from Stable;
-- $150 million class A-JFL to 'BBsf' from 'BBB-sf'; Outlook to
Negative from Stable;
-- $23.8 million class B to 'Bsf' from 'BBsf'; Outlook to
Negative from Stable
-- $71.3 million class C to 'CCCsf'; RE 100%, from 'BBsf'
-- $35.7 million class D to 'CCCsf'; RE 100%, from 'Bsf'
-- $29.7 million class E to 'CCsf'; RE 100%, from 'CCCsf'
-- $35.7 million class F to 'CCsf'; RE 100%, from 'CCCsf'
-- $47.6 million class G to 'CCsf'; RE 100%, from 'CCCsf';
-- $53.5 million class H to 'Csf'; RE 100%, from 'CCCsf';
-- $65.4 million class J to 'Csf'; RE 60%, from 'CCsf';
-- $53.5 million class K to 'Csf'; RE 0%, from 'CCsf'.
In addition, Fitch affirms the following classes and assigns REs
as indicated:
-- $80 million class A-1 at 'AAAsf'; Outlook Stable
-- $259 million class A-2 at 'AAAsf'; Outlook Stable
-- $387 million class A-3 at 'AAAsf'; Outlook Stable
-- $126.3 million class A-3B at 'AAAsf'; Outlook Stable
-- $140 million class A-SB at 'AAAsf'; Outlook Stable
-- $1.573 billion class A-4 'AAAsf'; Outlook Stable
-- $200 million class A-4FL at 'AAAsf'; Outlook Stable
-- $483.1 million class A-1A at 'AAAsf'; Outlook Stable
-- $425.6 million class A-M at 'AAAsf'; Outlook Stable
-- $50 million class A-MFL at 'AAAsf'; Outlook Stable
-- $11.9 million class L at 'Csf'; RE 0%
-- $11.9 million class M at 'Csf'; RE 0%
-- $17.8 million class N at 'Csf'; RE 0%
-- $11.9 million class O at 'Csf'; RE 0%
-- $5.9 million class P at 'Csf'; RE 0%
-- $5.9 million class Q at 'Csf'; RE 0%.
CLARIS IV: DBRS Downgrades Class I-B Swap to 'BB'
-------------------------------------------------
DBRS, Inc., has downgraded the ratings on the Class I-A Swap,
Class I-B Swap, and Class I-C Swap issued by Claris IV Limited -
Series 36. Claris IV Limited - Series 36 is collateralized
primarily by a portfolio of U.S. residential mortgage-backed
securities (RMBS), commercial mortgage-backed securities (CMBS),
collateralized loan obligations (CLOs) and other asset-backed
securities (ABS). The DBRS ratings of the Class I-A Swap, Class
I-B Swap, and Class I-C Swap address the probability of breaching
their respective attachment points as defined in the transaction
documents at or prior to their maturity dates.
The actions reflect the deterioration in credit quality of the
underlying collateral pool since the transaction was last
confirmed on October 15, 2010.
The principal methodology is Rating US & European Structured
Finance CDO Restructurings, which can be found on DBRS' website
under Methodologies.
This credit rating has been issued outside the European Union (EU)
and may be used for regulatory purposes by financial institutions
in the EU.
Claris IV Limited - Series 36 Class I-A Swap, Series 36 Downgraded
BBB (sf) -- Nov 22, 2011 Claris IV Limited - Series 36 Class I-B
Swap, Series 36 Downgraded BB (high) (sf) -- Nov 22, 2011 Claris
IV Limited - Series 36 Class I-C Swap, Series 36 Downgraded B
(high) (sf) -- Nov 22, 2011
CLASSIC FINANCE: S&P Lowers Rating on Class A Notes to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A notes from Classic Finance B.V.'s series 2009-1A, a re-tranche
of the class A1-M-A floating-rate notes issued by Palmer Square
2 PLC, a collateralized debt obligation (CDO) transaction. The
downgrade reflects the nonpayment of interest to the Classic
Finance B.V.'s series 2009-1A class A notes on the Nov. 2, 2011
payment date.
According the trustee for Palmer Square 2, the controlling
noteholders of the CDO, including the owners of Classic Finance
series 2009-1A, elected to begin enforcement proceedings through
the appointment of receivers after the CDO failed its class A-1
EOD test, which triggered an event of default. Following the
appointment of receivers to enforce the noteholders' security over
the Palmer Square 2 PLC collateral, the trustee agreed with the
receivers that no distributions would be made to the Palmer Square
2 PLC noteholders until the CDO's collateral had been liquidated.
As a result, the class A notes from Classic Finance B.V.'s series
2009-1A did not receive any distribution from the class A1-M-A
notes of Palmer Square 2 PLC on the November 2011 payment date.
Under the terms of the transaction, interest on Classic Finance
2009-1A's class A notes cannot be deferred. "Accordingly, we have
lowered our rating on the class A notes to 'D (sf)' following the
nonpayment of interest on this nondeferrable class of notes," S&P
said.
"If Palmer Square 2 noteholders' had not elected to cease making
payments, we believe Classic Finance 2009-1A's class A notes had
credit enhancement commensurate with a 'A'. On Sept. 28, 2011,
prior to the occurrence of the enforcement action, we affirmed the
'A (sf)' rating assigned to Classic Finance 2009-1A's class A
notes at that time (see 'Classic Finance B.V. Series 2009-1A
Rating Affirmed,' published on Sept. 28, 2011)," S&P related.
CLYDESDALE CLO: S&P Affirms Rating on Class D Notes at 'CCC-'
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from Clydesdale CLO 2003 Ltd. and removed its rating
on the class C notes from CreditWatch, where it was placed with
positive implications on Sept. 2, 2011. "At the same time, we
affirmed our ratings on the class A and D notes. Clydesdale CLO
2003 Ltd. is a collateralized loan obligation (CLO) transaction
that closed in September 2003," S&P said.
"The upgrades reflect the improved performance we have observed
in the deal since our rating actions in November 2010. According
to the Oct. 7, 2011, trustee report, the transaction held
$4.88 million in defaulted assets and $11.8 million in assets
rated 'CCC'. This was down from $12.6 million in defaulted assets
and $14.9 million in assets rated 'CCC' as of the Sept. 3, 2010,
trustee report, which we used in our November 2010 analysis. Since
our November 2010 rating actions, the class A notes have paid down
over $82 million," S&P related.
Due to the decrease in defaults and 'CCC' rated assets and the
paydowns to the class A notes, the transaction has also benefited
from an increase in overcollateralization (O/C) available to
support the rated notes. The trustee reported these principal
coverage tests in the Oct. 7, 2011, trustee report:
The class A O/C test was 223.68%, compared with a reported
test of 133.51% in September 2010;
The class B O/C test was 147.09%, compared with a reported
test of 116.66% in September 2010;
The class C O/C test was 119.18%, compared with a reported
test of 107.38% in September 2010; and
The class D O/C test was 103.99%, compared with a reported
test of 101.19% in September 2010.
The affirmations reflect the sufficient credit support available
at the current rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
Rating Actions
Clydesdale CLO 2003 Ltd.
Rating
Class To From
B AAA (sf) A+ (sf)
C BBB+ (sf) BB+ (sf)/Watch Pos
Ratings Affirmed
Clydesdale CLO 2003 Ltd.
Class Rating
A AAA (sf)
D CCC- (sf)
CREDIT SUISSE: S&P Lowers Rating on Class F Certificates to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D (sf)'
from 'CCC- (sf)' on the class F commercial mortgage pass-through
certificates from Credit Suisse First Boston Mortgage Securities
Corp.'s series 2005-C3, a U.S. commercial mortgage-backed
securities (CMBS) transaction.
The downgrade follows a principal loss to the F class, which was
detailed in the Nov. 18, 2011 remittance report. Class F
experienced a loss of 7.9% of its $20.5 million original balance.
The class G certificates, which Standard & Poor's lowered to 'D
(sf)' on May 23, 2011, lost 100% of its beginning balance.
According to the November 2011 remittance report, the trust
experienced $6.1 million in principal losses following the
liquidation of the Banc of America Center -Naples asset.
The Banc of America Center - Naples property was the largest
asset in special servicing. The asset is a 77,762 sq.-ft. suburban
office building in Collier, Fla. The loan was transferred to the
special servicer on Aug. 6, 2010, because the borrower requested
a loan modification. The asset had an outstanding balance of
$13.3 million balance at the time of liquidation. Based on the
November 2011 remittance report, the loss severity was 46.1%.
DB MORTGAGE: Fitch Affirms Primary Servicer Rating at 'CPS2'
------------------------------------------------------------
Fitch Ratings affirms DB Mortgage Services, LLC's (DBMS)
commercial mortgage-backed securities (CMBS) primary servicer
rating at 'CPS2' and special servicer rating at 'CSS3+'.
The servicer rating affirmations are based on the company's
increased participation in the CMBS market via the Freddie Mac CME
program, minimal employee turnover over the past three years, and
its continued strong focus on staff training. Both ratings also
consider the strength and tenure of senior management as well as
the financial strength of parent company Deutsche Bank, rated 'AA-
' with a Negative Rating Outlook by Fitch.
Deutsche Bank is an active participant in the commercial real
estate market, with extensive experience in originating,
financing, and securitizing commercial real estate debt. DBMS is
the servicing and asset management arm of Deutsche Bank Berkshire
Mortgage, an active originator for Fannie Mae, Freddie Mac and
FHA. As of Sept. 30, 2011, DBMS's commercial mortgage primary
servicing portfolio consisted of 2,148 loans totaling $28.8
billion, of which 49 loans totaling $1.1 billion were CMBS. As of
the same date, DBMS was the named special servicer for 46 CMBS
loans totaling $1.1 billion and was actively specially servicing
52 non-CMBS loans totaling $409.6 million.
DENALI CAPITAL: S&P Hikes Ratings on 2 Classes of Notes From 'BB+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of notes issued by Denali Capital CLO IV Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Denali Capital LLC, and removed them from CreditWatch with
positive implications.
"The upgrades reflect the paydowns to the rated notes since we
reviewed the transaction in February 2011," S&P said.
"Since the Jan. 10, 2011 trustee report, which we used for our
February 2011 analysis, the deal has benefited from pay downs of
$157.2 million to the A-1 notes and $0.98 million to the D notes
from an interest turbo. These paydowns led to an improvement in
the overcollateralization (O/C) ratios for all classes according
to the Oct. 10, 2011 trustee report: The class A O/C ratio is
181.53%, up from 127.76% in January 2011; the class B O/C ratio is
138.44%, up from 115.35% in January 2011; the class C O/C ratio is
115.29%, up from 106.59% in January 2011; and the class D O/C
ratio is 113.50%, up from 105.48% in January 2011," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
Rating And CreditWatch Actions
Denali Capital CLO IV Ltd.
Rating
Class To From
A AAA (sf) AA+ (sf)/Watch Pos
B AAA (sf) AA- (sf)/Watch Pos
C A- (sf) BB+ (sf)/Watch Pos
D BBB+ (sf) BB+ (sf)/Watch Pos
DEUTSCHE ALT-A: Moody's Lowers Rating of Cl. I-A-4 Notes to Caa3
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class I-A-4
tranche issued by Deutsche Alt-A Securities 2005-1.
Complete rating actions are:
Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series
2005-1
Cl. I-A-4, Downgraded to Caa3 (sf); previously on Jun 16, 2010
Downgraded to B3 (sf)
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 recent performance review of Alt-A
pools and reflect Moody's updated loss expectations on Alt-A pools
issued from 2005 to 2008.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
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) (SFW), 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 extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in early 2012, with a
3% remaining decline in 2012, and unemployment rate to start
declining, albeit slowly, as the year progresses.
DISTRIBUTION FIN'L: Fitch Affirms Rating on Class D Notes at 'C'
----------------------------------------------------------------
Fitch Ratings affirms Class B and Class D of Distribution
Financial Services RV/Marine Trust 2001-1, and places the Class B
on rating watch negative, as part of its ongoing surveillance
process, as follows:
-- Class B notes affirmed at 'AAsf'; Outlook Stable;
-- Class C notes rated 'BBsf' and placed on Rating Watch
Negative;
-- Class D notes affirmed at 'C/RE0%'.
The transaction continues to generate negative excess spread and
the Class D is currently undercollateralized. The class C note is
being placed on Rating Watch Negative in order to evaluate the
potential for future losses.
Fitch's analysis incorporated anticipated losses on defaulted
collateral given Fitch's recovery expectations. Fitch's recovery
expectations are based on collateral-specific cash flow
expectations. The resulting anticipated collateral losses were
then applied to the transaction structure, enabling Fitch to
assess the impact of the losses on the securities and available
credit enhancement.
Fitch will continue to closely monitor the performance of the
transaction, and will take further rating actions as deemed
necessary.
EASI FINANCE: Fitch Withdraws Rating on 12 Note Classes at 'Dsf'
----------------------------------------------------------------
Fitch Ratings has withdrawn the ratings on 13 classes in EASI
Finance Limited Partnership 2007-1. The transaction was
terminated and all notes have been cancelled by the trustee, Wells
Fargo Bank, N.A.
Fitch has withdrawn the following ratings:
EASI Finance Limited Partnership 2007-1
-- Class A (EASHJ58O0) 'CCsf';
-- Class B-1 (EASLTLXX0) 'Dsf';
-- Class B-2 (EAS062Z00) 'Dsf';
-- Class B-3 (26825FAA2) 'Dsf';
-- Class B-4 (26825FAB0) 'Dsf';
-- Class B-5 (26825FAC8) 'Dsf';
-- Class B-6 (26825FAD6) 'Dsf';
-- Class B-7 (26825FAE4) 'Dsf';
-- Class B-8 (26825FAF1) 'Dsf';
-- Class B-9 (26825FAG9) 'Dsf';
-- Class B-10 (26825FAH7) 'Dsf';
-- Class B-11 (26825FAJ3) 'Dsf';
-- Class B-12 (26825FAK0) 'Dsf'.
FOUR CORNERS: S&P Raises Rating on Class D Notes to 'B+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, A-3, B, C, and D notes from Four Corners CLO 2005-1
Ltd., a U.S. collateralized loan obligation (CLO) transaction
managed by Four Corners Capital Management LLC. "At the same time,
we removed our ratings on the class A-1, A-2, and A-3 notes from
CreditWatch, where we placed them with positive implications on
Sept. 2, 2011," S&P related.
"The upgrades reflect improved performance we have observed
in the deal's underlying asset portfolio since we lowered our
ratings on all of the classes on Jan. 29, 2010, following the
application of our September 2009 corporate collateralized
debt obligation (CDO) criteria. As of the Oct. 5, 2011, trustee
report, the transaction's asset portfolio had $0.90 million in
defaulted obligations and approximately $3.00 million in assets
from obligors rated in the 'CCC' range. This was a decrease
from $8.74 million in defaulted obligations and approximately
$10.33 million in assets from obligors rated in the 'CCC' range
noted in the Jan. 11, 2010, trustee report, which we used for
our January 2010 rating actions," S&P said.
"We also observed an increase in the overcollateralization
available to support the rated notes," S&P said. The trustee
reported these overcollateralization (O/C) ratios in the Oct. 5,
2011 monthly report:
The senior O/C ratio was 129.57%, compared with a reported
ratio of 116.30% in January 2010; and
The mezzanine O/C ratio was 106.74%, compared with a reported
ratio of 102.44% in January 2010.
Standard & Poor's will continue to review whether, in its view,
the ratings on the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
Rating And Creditwatch Actions
Four Corners CLO 2005-1 Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA+ (sf)/Watch Pos
A-3 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A+ (sf)
C A+ (sf) BBB- (sf)
D B+ (sf) CCC+ (sf)
GCO EDUCATION: Fitch Confirms Rating on Class 2007-1 C-1L at 'Bsf'
------------------------------------------------------------------
Fitch Ratings confirms the ratings as listed below on the student
loan notes issued from GCO Education Loan Funding (ELF) Master
Trust II (the Trust). Fitch has been requested to confirm its
existing ratings in connection with the addition of Nelnet
Servicing LLC (Nelnet), as a subservicer of the Trust. Consistent
with its statements on policies regarding rating confirmations in
structured finance transactions (dated Jan. 13, 2009) and student
loan confirms (May 8, 2009), Fitch is treating this request as a
notification.
The Trust has entered a servicing agreement with Nelnet. Fitch
has reviewed the agreement, including the fee schedules, and has
determined that it will not adversely affect the Trust.
Additionally, Fitch believes Nelnet to be a capable servicer of
student loans under the Federal Family Education Loan Program.
Based on the information provided, Fitch has determined these
changes will not have an impact on the existing ratings at this
time. This determination only addresses the effect of the changes
on the current ratings assigned by Fitch to the securities listed
below. This determination does not address whether these changes
are permitted by the terms of the documents. It does not address
whether these changes are in the best interests of, or prejudicial
to, some or all of the holders of the securities listed.
These notes issued from GCO ELF Master Trust II are currently
rated by Fitch:
-- 2006-2 A-1AR 'AAAsf'; Outlook Stable;
-- 2006-2 A-1RRN 'AAAsf'; Outlook Stable;
-- 2006-2 A-2AR 'AAAsf'; Outlook Stable;
-- 2006-2 A-2L 'AAAsf'; Outlook Stable;
-- 2006-2 A-3AR 'AAAsf'; Outlook Stable;
-- 2006-2 A-3L 'AAAsf'; Outlook Stable;
-- 2006-2 A-4AR 'AAAsf'; Outlook Stable;
-- 2007-1 A-5AR 'AAAsf'; Outlook Stable;
-- 2007-1 A-5L 'AAAsf'; Outlook Stable;
-- 2007-1 A-6AR 'AAAsf'; Outlook Stable;
-- 2007-1 A-6L 'AAAsf'; Outlook Stable;
-- 2007-1 A-7AR 'AAAsf'; Outlook Stable;
-- 2007-1 A-7L 'AAAsf'; Outlook Stable;
-- 2006-2 B-1AR 'Bsf'; Outlook Stable;
-- 2006-2 B-2AR 'Bsf'; Outlook Stable;
-- 2006-2 B-3AR 'Bsf'; Outlook Stable;
-- 2007-1 C-1L 'Bsf'; Outlook Stable.
GOLDENTREE LOAN: S&P Raises Rating on Class E From 'B+' to 'BB'
---------------------------------------------------------------
Standard and Poor's Ratings Services raised its ratings on
all five classes from GoldenTree Loan Opportunities V Ltd., a
collateralized loan obligation (CLO) transaction managed by
GoldenTree Asset Management L.P. "At the same time, we removed
four of the raised ratings from CreditWatch positive, where we
placed them Sept. 2, 2011," S&P said.
The upgrades reflect improvements in the overcollateralization
(O/C) available to support the rated notes and in the credit
quality of the transaction's underlying asset portfolio since we
downgraded the classes in December 2009. As of the November 2011
trustee report, the class A/B O/C ratio increased to 131.2% from
126.3% as of the November 2009 trustee report. The balance of
defaulted securities held in the pool also decreased to $0 from
$15.32 million.
"We will continue to review our ratings on the notes and assess
whether, in our view, they remain consistent with the credit
enhancement available," S&P related.
Rating Actions
GoldenTree Loan Opportunities V Ltd.
Rating
To From
A AAA (sf) AA+
B AA (sf) A+ (sf)/Watch Pos
C A (sf) BBB+ (sf)/Watch Pos
D BBB (sf) BBB- (sf)/Watch Pos
E BB (sf) B+ (sf)/Watch Pos
ISCHUS CDO: S&P Gives 'D' Ratings on 5 Classes of Notes
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the
class A-1 notes from Ischus CDO I Ltd., a U.S. collateralized
debt obligation (CDO) transaction of mezzanine structured
finance assets, managed by Ischus Capital Management LLC.
"Concurrently, we removed our rating on the same class from
CreditWatch, where we placed it with negative implications on
Sept. 2, 2011," S&P said.
"The downgrade mainly reflects deterioration in the performance of
the transaction's underlying asset portfolio since Sept. 8, 2010,
when we last downgraded the class A-1 notes. As of the October
2011 trustee report, the transaction had $118.55 million in
defaulted assets. This was up from $106.56 million noted in the
July 2010 trustee report, which we referenced for our September
2010 rating actions," S&P said.
The transaction has also experienced a decrease in the
overcollateralization (O/C) available to support the rated
notes. The trustee reported a class A/B O/C ratio of 28.03%
in the Oct. 31, 2011, monthly report. This is down from a
reported ratio of 39.71% in July 2010.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
Rating And Creditwatch Actions
Ischus CDO I Ltd
Rating
Class To From
A-1 CCC- (sf) B- (sf)/Watch Neg
Other Outstanding Ratings
Ischus CDO I Ltd
Class Rating
A-2 D (sf)
B D (sf)
C-1 D (sf)
C-2 D (sf)
Combo secs D (sf)
Transaction Information
Issuer: Ischus CDO I Ltd.
Coissuer: Ischus CDO I LLC
Collateral manager: Ischus Capital Management LLC
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CDO
JP MORGAN 2011-FL1: S&P Gives 'BB' Rating on Class MH Certificates
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to J.P.
Morgan Chase Commercial Mortgage Securities Trust 2011-FL1's
$784.0 million commercial mortgage pass-through certificates.
The certificate issuance is a commercial mortgage-backed
securities transaction backed by five floating-rate mortgage loans
secured by 26 properties.
"The ratings reflect our view of the credit support provided by
the subordinate classes of certificates, the liquidity provided by
the trustee, the underlying loans' economics, the collateral's
historical and projected performance, and the transaction's
structure. Standard & Poor's determined that the pool has a debt
service coverage ratio of 1.57x based on Standard & Poor's net
cash flow and assuming a weighted average debt service constant of
9.8%, as well as a beginning and ending loan-to-value ratio of
63.7% based on Standard & Poor's value," S&P said.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at
http://standardandpoorsdisclosure-17g7.com/1111253.pdf
Ratings Assigned
J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-FL1
Class Rating Amount ($)
A AAA (sf) 540,055,000
X-WAC NR (i)
X-MHP NR (i)
X-BCR NR (i)
X-OFP NR (i)
X-SPA NR (i)
X-SPB NR (i)
X-INA NR (i)
X-INB NR (i)
X-EXT NR (i)
B AA (sf) 67,725,000
C A (sf) 61,015,000
D BBB- (sf) 70,205,000
MH BB (sf) 45,000,000(ii)
(i) Notional balance. (ii) The class MH certificates are nonpooled
and principal and interest payments thereon will be exclusively
funded by the subordinate portion of the Manhattan Hotel Portfolio
loan. NR -- Not rated.
JPMCC 2011-FL1: Moody's Gives 'Ba2' Rating to Cl. MH Notes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to fourteen classes
of CMBS securities, issued by JPMCC 2011-FL1 Commercial Mortgage
Pass-Through Certificates.
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. X-WAC, Definitive Rating Assigned Aaa (sf)
Cl. X-SPA, Definitive Rating Assigned Aaa (sf)
Cl. X-SPB, Definitive Rating Assigned Aaa (sf)
Cl. X-MHP, Definitive Rating Assigned Aaa (sf)
Cl. X-BCR, Definitive Rating Assigned Aaa (sf)
Cl. X-OFP, Definitive Rating Assigned Aaa (sf)
Cl. X-INA, Definitive Rating Assigned Aaa (sf)
Cl. X-INB, Definitive Rating Assigned Aaa (sf)
Cl. X-EXT, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. MH, Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The Certificates are collateralized by five floating rate loans
secured by 26 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 Stressed DSCR for the Pooled Trust is 1.68X which is
higher than the 2007 large transaction average of 1.63X. Moody's
LTV ratio for the Pooled Trust is 61.9%, which is slightly lower
than the 2007 large loan transaction average of 63.3%.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level Herfindahl score is
4.1. The score is consistent with Herfindahl scores represented by
large loan, multi-borrower transactions previously rated by
Moody's. With respect to property level diversity, the pool's
property level Herfindahl score is 12.2. The transaction's
property diversity profile is higher than most previously rated
large loan multi-borrower transactions.
Moody's grades properties on a scale of 1 to 5 (best to worst) and
considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 1.9, which is low compared to
other deals rated by Moody's since 2009. The low weighted average
grade is indicative of the strong market composition of the pool
and the institutional investor quality of underlying assets in the
deal.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000. However, on November 22, 2011, Moody's
released a Request for Comment in which the rating agency
requested market feedback on potential changes to its rating
methodology for structured finance interest-only securities. If
the revised methodology is implemented as proposed, the rating on
JPMCC 2011-FL1 interest-only certificates may be negatively
affected. Please refer to Moody's Request for Comment, entitled
"Proposal Changing the Global Rating Methodology for Structured
Finance Interest-Only Securities", for further details regarding
the implications of the proposed methodology change on Moody's
ratings. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found
on Moody's website.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.1. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
The V Score for this transaction is assessed as Medium, the same
as the V score assigned to the U.S. Large Loan 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 4%, 11%, or 23%, the model-indicated rating for the currently
rated Aaa class would be Aa1; Aa2; and A1. 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.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
KATONAH IX: S&P Raises Rating on Class B-2L Notes to 'CCC+'
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on
five classes of notes issued by Katonah IX CLO Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Katonah Debt Advisors and removed them from CreditWatch with
positive implications. "We also affirmed our ratings on two other
classes and removed one of them from CreditWatch with positive
implications," S&P said.
"The upgrades reflect improved performance we have observed
in the deal's underlying asset portfolio since we reviewed the
transaction in February 2010, while the affirmations demonstrate
adequate credit quality commensurate with their current rating
level," S&P related.
"Since the Dec. 15, 2009 trustee report, which we used for our
February 2010 analysis, the deal has had a decrease in the amount
of assets that it is holding as defaulted to 3.7% ($15.1 million)
from 6.1% ($25.3 million) based on the Oct. 13, 2011 trustee
report. The improvement in the underlying collateral benefited the
overcollateralization (O/C) ratios for all classes according to
the Oct. 13, 2011 trustee report: The class A O/C ratio is
120.85%, up from 117.20% in December 2009; the class A-3L O/C
ratio is 112.18%, up from 108.84% in December 2009; the class B-1L
O/C ratio is 107.73%, up from 104.53% in December 2009; and the
class B-2L O/C ratio is 103.61%, up from 99.49% in December 2009,"
S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
Rating And CreditWatch Actions
Katonah IX CLO Ltd.
Rating
Class To From
A-1L AA+ (sf) AA (sf)/Watch Pos
A-1LV AA+ (sf) AA (sf)/Watch Pos
A-2L A+ (sf) A+ (sf)/Watch Pos
A-3L BBB+ (sf) BBB- (sf)/Watch Pos
B-1L BB+ (sf) BB (sf)/Watch Pos
B-2L CCC+ (sf) CCC- (sf)/Watch Pos
Ratings Affirmed
Katonah IX CLO Ltd.
Class Rating
X AAA (sf)
KEYCORP STUDENT: Fitch Affirms Rating on Class II-C Loan at 'BBsf'
-----------------------------------------------------------------
Fitch Ratings affirms the ratings on student loan notes issued by
KeyCorp Student Loan Trust 2005-A (Group II). The Rating Outlook
remains Negative. Fitch's 'U.S. Private SL ABS Criteria' and
'Global Structured Finance Rating Criteria' were used to review
the ratings.
The affirmation on all student loan notes are based on sufficient
loss coverage multiples commensurate with the ratings. The
Negative Outlook is maintained on all the notes, and is consistent
with Fitch's negative view of the private student loan sector in
general. As of September 2011, parity, including the reserve
account, for the class II-A, II-B, and II-C notes are at 155.62%,
115.61%, and 103.04%, respectively. Review of KeyCorp Student Loan
Trust 2005-A (Group II) is based on collateral performance data as
of September 2011.
The loss coverage multiples were determined by comparing the
projected net loss amount to available credit enhancement for
the rating categories of KeyCorp Student Loan Trust 2005-A (Group
II). Fitch used both data provided by KeyCorp and proxy data from
other issuers to form a loss timing curve representative of each
pool depending on loan composition. After giving credit to the
seasoning of loans in repayment, Fitch applied the trust's current
cumulative gross level to the loss timing curve to derive the
expected gross losses over the projected remaining life. A
recovery rate of 15% was applied, which was the level that was
assumed during at the trust's initial review.
Credit enhancement consists of subordination, excess spread,
overcollateralization (OC), and a reserve account for the II-A and
II-B notes. The class II-C notes benefit from OC, excess spread
and the reserve account. Fitch assumed excess spread to be the
lesser of the current annualized excess spread; the average
historical excess spread; and the most recent 12-month average
spread, and applied that same rate over the remaining life.
The private student loan collateral consists primarily of Key
Alternative Loans originated to undergraduate students. The
trusts also include a combination of graduate student loans,
career loans, consolidation loans, and CampusDoor loans marketed
through the direct to consumer channel.
Fitch has affirmed the following ratings:
KeyCorp Student Loan Trust 2005-A (Group II):
-- Class II-A-2 at 'AAsf'; Outlook Negative;
-- Class II-A-3 at 'AAsf'; Outlook Negative;
-- Class II-A-4 at 'AAsf'; Outlook Negative;
-- Class II-B at 'BBBsf'; Outlook Negative;
-- Class II-C at 'BBsf'; Outlook Negative.
KEYCORP STUDENT: Fitch Junks Rating on Class II-D Loan
------------------------------------------------------
Fitch Ratings affirms the ratings on the class II-A, II-B and II-C
notes and downgrades the II-D note issued by KeyCorp Student Loan
Trust 2004-A (Group II). The Rating Outlook remains Negative on
the class II-A, II-B, and II-C notes. Fitch's 'U.S. Private SL ABS
Criteria' and 'Global Structured Finance Rating Criteria' were
used to review the ratings.
The affirmation on all the class II-A, II-B, and II-C notes are
based on sufficient loss coverage multiples commensurate with the
ratings. As of October 2011, parities, including the reserve
account, for the class II-A, II-B, and II-C are at 150.98%,
128.73% and 104.16%, respectively.
The downgrade of the II-D note reflects significant deterioration
of the private student collateral. Furthermore, the loss coverage
multiple was indicative of a lower rating for the II-D note. The
total parity continued to decrease from 96.03% to 95.09% (parity
includes the reserve) since the last review a year ago.
The Negative Outlook is maintained based on Fitch's negative view
of the private student loan sector in general, as well as, the
trust's overall performance. Review of KeyCorp Student Loan Trust
2004-A (Group II) is based on collateral performance data as of
October 2011.
Loss coverage multiples were determined by comparing the projected
net loss amount to available credit enhancement for the rating
categories of KeyCorp Student Loan Trust 2004-A (Group II). Fitch
used both data provided by KeyCorp and proxy data from other
issuers to form a loss timing curve representative of each pool
depending on loan composition.
After giving credit to the seasoning of loans in repayment, Fitch
applied the trust's current cumulative gross level to the loss
timing curve to derive the expected gross losses over the
projected remaining life. A recovery rate of 15% was applied,
which was the level was assumed during at the trust's initial
review.
Credit enhancement consists of excess spread,
overcollateralization, and a reserve account for the class II-A,
II-B, and II-C notes. The class II-D notes benefit from excess
spread and the reserve account. Fitch assumed excess spread to be
the lesser of the current annualized excess spread; the average
historical excess spread; and the most recent 12-month average
spread, and applied that same rate over the remaining life.
The private student loan collateral consists primarily of Key
Alternative Loans originated to undergraduate students. The
trusts also include a combination of graduate student loans,
career loans, consolidation loans, and CampusDoor loans marketed
through the direct to consumer channel.
Fitch has taken the following rating actions:
KeyCorp Student Loan Trust 2004-A (Group II)
-- Class II-A-2 affirmed at 'AAAsf'; Outlook Negative;
-- Class II-B affirmed at 'AAsf'; Outlook Negative;
-- Class II-C affirmed at 'BBBsf'; Outlook Negative;
-- Class II-D downgraded to 'CCsf' from 'B-sf'.
KIRKWOOD CDO: S&P Lowers Ratings on 3 Classes of Notes to 'CC'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on
the class A, B, C, and D notes from Kirkwood CDO 2004-1 Ltd.,
a U.S. hybrid collateralized debt obligation (CDO) transaction
backed by seven bespoke credit default swaps that reference
investment-grade corporate obligations and a portfolio of cash
flow CDOs.
"The downgrades of the notes reflect deterioration in the credit
quality available to support the notes since our May 2010 rating
actions, when we lowered the ratings on the notes. We downgraded
the B, C, and D notes to 'CC (sf)' to reflect our opinion that the
notes have a high likelihood of not receiving the full principal
amounts currently due on them," S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
Rating Actions
Kirkwood CDO 2004-1 Ltd.
Rating
Class To From
A BB- (sf) BB+ (sf)/Watch Neg
B CC (sf) CCC+ (sf)/Watch Neg
C CC (sf) CCC- (sf)
D CC (sf) CCC- (sf)
LCM I: S&P Lowers Ratings on 2 Classes of Notes From 'B+' to 'B'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised and simultaneously
removed from CreditWatch positive its ratings on the class B and
C notes from LCM I Ltd. Partnership, a U.S. collateralized loan
obligation (CLO) transaction managed by LCM Asset Management LLC.
"We affirmed our 'AAA (sf)' ratings on the class A-1 and A-2 notes
and lowered our ratings on the class D-1 and D-2 notes," S&P said.
"The upgrades reflect improvements in the overcollateralization
(O/C) available to support the rated notes and in the continued
principal paydowns to the senior notes since the transaction's
last rating action in October 2010. As of the November 2011
trustee report, the class AB O/C ratio increased to 203.53%
from 125.7% as of the September 2010 trustee report. During
the same time, the class A1 and A2 notes have paid down by
$163.4 million," S&P related.
"We lowered our ratings on the class D-1 and D-2 notes to levels
consistent with the credit support available to them. Further,
the transaction holds securities that are long-dated and have
maturities beyond the legal maturity of the transaction, which
could potentially expose the D-1 and D-2 notes to market-value
risks. If the long-dated assets are not given any credit, there
is currently enough collateral to cover up to the class C notes,"
S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available," S&P said.
Rating Actions
LCM I Ltd. Partnership
Rating
To From
B AAA (sf) AA+ (sf)/Watch Pos
C AAA (sf) AA (sf)/Watch Pos
D-1 B (sf) B+ (sf)
D-2 B (sf) B+ (sf)
Rating Affirmations
LCM I Ltd. Partnership
Rating
A-1 AAA (sf)
A-2 AAA (sf)
LENNAR CORP: Fitch to Rates Proposed $300 Mil. Sr. Notes at 'BB+'
-----------------------------------------------------------------
Fitch Ratings expects to assign a 'BB+' rating to Lennar
Corporation's (NYSE: LEN) proposed offering of $300 million
principal amount of convertible senior notes due 2021. This
issue will be ranked on a pari passu basis with all other senior
unsecured debt. Net proceeds from the notes offering will be used
for general corporate purposes, which may include the repayment or
repurchase of its existing senior notes or other indebtedness,
acquisitions of land suitable for residential development, and
purchases of or investments in, portfolios of distressed mortgages
or other debt instruments and foreclosed real estate.
Fitch's current Issuer Default Rating (IDR) for Lennar is 'BB+'.
The Rating Outlook is Stable.
The ratings and Outlook for Lennar reflect the company's strong
liquidity position and stable to slightly stronger prospects for
the housing sector in 2012. The ratings also reflect Lennar's
successful execution of its business model, geographic and product
line diversity, lessened joint venture exposure, and the still
challenging U.S. housing environment.
The economy is restraining the housing recovery as consumer
confidence has collapsed, employment growth is modest, and there
is little that policymakers can do to boost the economy. At the
same time, housing is not fulfilling its role as a key impetus to
the early stages of an economic recovery. The fall in mortgage
rates and the continued rise in nominal incomes results in
superior affordability and valuations. Mortgage rates are at
their lowest levels since the 1940s and housing appears more
undervalued versus incomes than at any time in the past 35 years.
But home prices may continue to be soft over at least the next
few quarters, as employment continues to stagnate, real incomes
decrease, and financial markets remain unsettled. Demand will
continue to be affected by widespread negative equity, more
challenging mortgage qualification standards and excess supply
due to foreclosures.
Fitch is forecasting a moderately weaker year for housing in 2011.
Total housing starts should edge down 2.7%, single-family starts
should fall roughly 13%, new home sales should decline 7.5%, and
existing home sales are expected to be off 2%. Fitch's housing
forecasts for 2012 assume a modest rise off a very low bottom.
In a slowly growing economy with slightly lesser distressed home
sales competition, less competitive rental cost alternatives, and,
perhaps, even lower mortgage rates, single-family housing starts
should improve about 6%, while new home sales increase 7% and
existing home sales grow 2%. Average single-family new home
prices (as measured by the Census Bureau) are projected to
decrease 1.5%-2.5% in 2011 and rise 1%-2% in 2012.
Lennar has solid liquidity with unrestricted homebuilding cash
of $800.3 million as of Aug.31, 2011. The company's homebuilding
debt maturities are well-laddered, with $267.7 million maturing
in March 2013 and $250 million due in September 2014. Although
the company has sufficient cash on hand to meet upcoming debt
maturities, Fitch expects Lennar to access the capital markets to
refinance these maturities. Lennar has demonstrated that it can
access the capital markets, even during periods of distress.
The company was the third largest homebuilder in 2010 and
primarily focuses on entry-level and first-time move-up
homebuyers. The company builds in 14 states with particular focus
on markets in Florida, Texas and California. Lennar's significant
ranking (within the top five or top 10) in many of its markets,
its largely presale operating strategy, and a return on capital
focus provide the framework to soften the impact on margins from
declining market conditions. Fitch notes that in the past,
acquisitions (in particular, strategic acquisitions) have played a
significant role in Lennar's operating strategy.
Compared to its peers Lennar had above-average exposure to
joint ventures (JVs) during this past housing cycle. Longer-dated
land positions are controlled off balance sheet. The company's
equity interests in its partnerships ranged from 10% to 50%.
These JVs have a substantial business purpose and are governed by
Lennar's conservative operating principles. They allow Lennar to
strategically acquire land while mitigating land risks and reduce
the supply of land owned by Lennar. They help Lennar to match
financing to asset life. JVs facilitate just-in-time inventory
management. Notwithstanding, Lennar has been substantially
reducing its number of JVs over the last few years (from 270 at
the peak in 2006 to 36 as of Aug. 31, 2011) and, as a consequence,
has very sharply lowered its JV recourse debt exposure (from $1.76
billion to $156.4 million as of Aug. 31, 2011). In the future,
management will still be involved with partnerships and JVs, but
there will be fewer of them and they will be larger, on average,
than in the past.
Lennar spent roughly $523 million on new land purchases during
2010 and had $181 million of land development spending during the
year. This compares to approximately $350 million of combined land
and development spending during 2009. Fitch expects land and
development spending for 2011 to slightly exceed 2010 levels. As
a result, Fitch expects Lennar to be cash flow negative this year.
Fitch is comfortable with this strategy given the company's cash
position, debt maturity schedule and proven access to the capital
markets.
The company has ramped up its investments in its newest segment,
Rialto Investments. This segment provides advisory services,
due-diligence, workout strategies, ongoing asset management
services, and acquires and monetizes distressed loans and
securities portfolios. (Management has considerable expertise
in this highly specialized business.) In February 2010, the
company acquired indirectly 40% managing member equity interests
in two limited liability companies in partnership with the FDIC,
for approximately $243 million (net of transaction costs and a
$22 million working capital reserve). Lennar has also invested
$67.5 million in a fund formed under the Federal government's
Public-Private Investment Program (PPIP), which is focused on
acquiring securities backed by real estate loans. On Sept. 30,
2010, Rialto completed the acquisitions of approximately
$740 million of distressed real estate assets, in separate
transactions, from three financial institutions. The company
paid $310 million for these assets, of which $124 million was
funded by a five-year senior unsecured note provided by one of
the selling financial institutions. In November 2010, Rialto
completed its first closing of a real estate investment fund
with initial equity commitments of approximately $300 million
(including $75 million committed by Rialto). During the nine
months ended Aug. 31, 2011, Rialto contributed $60.6 million to
the fund out of total investor contributions of $301 million.
As of Aug. 31, 2011, Rialto Investments had $765.9 million of
debt. Rialto provides Lennar with ancillary income as well as a
source of land purchases (either directly or leveraging Rialto's
relationship with owners of distressed assets). Fitch views this
operation as strategically material to the company's operation,
particularly as housing activity remains at absolute low levels.
Future ratings and Outlooks will be influenced by broad housing
market trends as well as company specific activity, such as trends
in land and development spending, general inventory levels,
speculative inventory activity (including the impact of high
cancellation rates on such activity), gross and net new order
activity, debt levels, free cash flow trends and uses, and the
company's cash position.
MASTR 2005-1: Moody's Downgrades Rating of Cl. 1-A-1 Notes to B2
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 2 tranches
issued MASTR Adjustable Rate Mortgages Trust 2005-1.
Complete rating actions are:
Issuer: MASTR Adjustable Rate Mortgages Trust 2005-1
Cl. 1-A-1, Downgraded to B3 (sf); previously on Apr 15, 2010
Downgraded to Ba1 (sf)
Cl. 1-A-X, Downgraded to B3 (sf); previously on Apr 15, 2010
Downgraded to Ba1 (sf)
RATINGS RATIONALE
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate Alt-A residential mortgage loans. The
actions are a result of the recent performance review of Alt-A
pools and reflect Moody's updated loss expectations on Alt-A pools
issued from 2005 to 2008.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
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) (SFW), 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 extended foreclosure timelines by servicers 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 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. 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 varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.
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 in
performance. 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 with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. In addition, 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 80%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology" publication.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in early 2012, with a
3% remaining decline in 2012, and unemployment rate to start
declining, albeit slowly, as the year progresses.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on MASTR Adjustable Rate Mortgages Trust 2005-1 Class
1-A-X will have a neutral impact. Please refer to Moody's request
for Comment, titled "Proposal Changing the Global Rating
Methodology for Structured Finance Interest-Only Securities," for
further details regarding the implications of the proposed
methodology change on Moody's rating. Please see the Credit Policy
page on www.moodys.com for a copy of this methodology and the
Request for Comment.
MC FUNDING: Moody's Raises Rating of Class E Notes to Ba2 (sf)
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by MC Funding Ltd.:
US$28,000,000 Class B Senior Secured Floating Rate Notes Due
December 20, 2020, Upgraded to Aa1 (sf); previously on June 22,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade;
US$40,000,000 Class C Secured Deferrable Floating Rate Notes Due
December 20, 2020, Upgraded to A1 (sf); previously on June 22,
2011 Baa3 (sf) Placed Under Review for Possible Upgrade;
US$18,400,000 Class D Secured Deferrable Floating Rate Notes Due
December 20, 2020, Upgraded to Baa2 (sf); previously on June 22,
2011 Ba3 (sf) Placed Under Review for Possible Upgrade;
US$17,600,000 Class E Secured Deferrable Floating Rate Notes Due
December 20, 2020, Upgraded to Ba2 (sf); previously on June 22,
2011 B3 (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in October 2009. Based on the November 2011 trustee report,
the weighted average rating factor is currently 2894 compared to
3243 in September 2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 balance of $394.7 million,
defaulted par of $15.2 million, a weighted average default
probability of 21.26% (implying a WARF of 3081), a weighted
average recovery rate upon default of 48.52%, and a diversity
score of 52. Moody's generally analyzes deals in their
reinvestment period by assuming the worse of reported and
covenanted values for all collateral quality tests. However, in
this case given the limited time remaining in the deal's
reinvestment period, Moody's analysis reflects the benefit of
assuming a higher likelihood that the collateral pool
characteristics will continue to maintain a positive "cushion"
relative to certain covenant requirements, as seen in the actual
collateral quality measurements. The 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.
MC Funding Ltd., issued in December 2006, is a collateralized loan
obligation backed primarily by a portfolio of senior secured loans
with significant exposure to loans of middle market issuers.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
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 June 2011.
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 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) 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 deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell 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.
2) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates.
MILL CREEK: S&P Gives 'BB' Rating on Class E Floating-Rate Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Mill Creek CLO Ltd./Mill Creek CLO LLC's
$241.75 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Nov. 28,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's assessment of:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread) and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria, (see "Update To
Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs," published Sept. 17, 2009).
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
The portfolio manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.30%-12.35%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of 75% of
excess interest proceeds that are available prior to paying
uncapped administrative expenses and fees; subordinated hedge
termination payments; portfolio manager incentive fees; and
subordinated note payments to the principal proceeds for the
purchase of additional collateral assets during the
reinvestment period and to reduce the balance of the rated
notes outstanding, sequentially, after the reinvestment
period.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111298.pdf
Preliminary Ratings Assigned
Mill Creek CLO Ltd./Mill Creek CLO LLC
Class Rating Amount
(mil. $)
A AAA (sf) 178.0
B AA (sf) 15.0
C (deferrable) A (sf) 26.0
D (deferrable) BBB (sf) 12.3
E (deferrable) BB (sf) 10.5
Subordinated notes NR 32.8
NR -- Not rated.
MOMENTUM CDO: S&P Lowers Rating on Floating-Rate Notes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D (sf)'
on the floating-rate notes from Momentum CDO (Europe) Ltd. Series
2007-6, a U.S. collateralized loan obligation (CLO) transaction.
"The notes are a repack of the class D notes from Volans Funding
2007-1 Ltd., the rating on which we lowered to 'D (sf)' on
Oct. 11, 2011," S&P said.
Rating Action
Momentum CDO (Europe) Ltd. Series 2007-6
Rating
Class To From
SecNotes D (sf) CC (sf)
Transaction Information
Issuer: Momentum CDO (Europe) Ltd. Series 2007-6
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
N-STAR REAL: Fitch Junks Rating on Eight Note Classes
-----------------------------------------------------
Fitch Ratings has downgraded nine classes issued by N-Star Real
Estate CDO III Ltd. (N-Star III) as a result of significant
negative credit migration on the underlying collateral.
Since Fitch's last rating action in December 2010,
approximately 40.8% of the underlying collateral has been
downgraded. Currently, 72.5% of the portfolio has a Fitch derived
rating below investment grade and 43.7% has a rating in the 'CCC'
category and below, compared to 65.4% and 30.7%, respectively, at
the last review. As of the Oct. 23, 2011 trustee report, 21.1% of
the underlying collateral is experiencing interest shortfalls,
compared to 4.7% at the prior review.
This transaction was analyzed under the framework described
in the report 'Global Rating Criteria for Structured Finance
CDOs' using the Portfolio Credit Model (PCM) for projecting
future default levels for the underlying portfolio. The default
levels were then compared to the breakeven levels generated by
Fitch's cash flow model of the CDO under the various default
timing and interest rate stress scenarios, as described in the
report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch
also analyzed the structure's sensitivity to the assets that are
distressed, experiencing interest shortfalls, and those with near-
term maturities. Based on this analysis, the class A through B
notes' breakeven rates are generally consistent with the ratings
assigned.
For the class C-1 through D notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
the class C-1 notes have been downgraded to 'CCCsf'. Similarly,
the class C-2 and D notes have been downgraded to 'CCsf',
indicating that default is probable.
The Negative Outlook on the class A-1 notes reflects the potential
for further deterioration on the underlying collateral. Fitch
does not assign Outlooks to classes rated 'CCC' and below.
N-Star III is a collateralized debt obligation (CDO) that closed
on March 10, 2005. The transaction is backed by 93 securities
from 80 obligors. The current portfolio consists of 78.7%
commercial mortgage backed securities (CMBS) from the 1998 through
2009 vintages, 11.3% are commercial real estate loans (CRELs),
8.4% are structured finance CDOs, 1.4% are real estate investment
trust (REIT) debt securities, and 0.2% are residential mortgage
backed securities (RMBS).
Fitch has taken the following actions as indicated below:
-- $244,635,062 class A-1 notes downgraded to 'Bsf' from 'BBsf';
Outlook Negative;
-- $14,872,148 class A-2A notes downgraded to 'CCCsf' from
'Bsf';
-- $4,957,383 class A-2B notes downgraded to 'CCCsf' from 'Bsf';
-- $14,872,148 class B notes downgraded to 'CCCsf' from 'Bsf';
-- $4,957,383 class C-1A notes downgraded to 'CCCsf' from 'Bsf';
-- $5,948,859 class C-1B notes downgraded to 'CCCsf' from 'Bsf';
-- $9,229,655 class C-2A notes downgraded to 'CCsf' from
'CCCsf';
-- $1,982,953 class C-2B notes downgraded to 'CCsf' from
'CCCsf';
-- $9,180,081 class D notes downgraded to 'CCsf' from 'CCCsf'.
NOMURA CRE: Fitch Affirms Junk Ratings on Eighteen Note Classes
---------------------------------------------------------------
Fitch Ratings has affirmed all classes of Nomura CRE CDO 2007-2,
Ltd. /LLC (Nomura 2007-2) reflecting Fitch's base case loss
expectation of 46.8%, a slight increase from 45.2% at last rating
action. Fitch's performance expectation incorporates prospective
views regarding commercial real estate market value and cash flow
declines.
Since the latest rating action and as of the October 2011 trustee
report, the transaction has paid down slightly by $3.6 million
(0.4% of the original deal balance). An additional $47 million is
currently held in principal cash. Since the latest rating action,
the disposal of four loans has resulted in realized losses of
approximately $25 million. The percentage of defaulted assets and
Fitch Loans of Concern has increased to 47.4% and 21.1%,
respectively, compared to 36.7% and 13.1% at the latest rating
action. The Fitch derived weighted average rating of the rated
securities has declined to 'CC' from 'CCC-' due to two additional
commercial real estate collateralized debt obligation (CRE CDO)
bonds defaulting since the latest rating action. Since the latest
rating action, four loans were sold at an average loss rate of
31%, three loans were repaid, one loan was restructured, and four
new loans were added.
Nomura 2007-2 is a commercial CRE CDO managed by C-III Investment
Management LLC. The transaction has a five-year reinvestment
period that ends in February 2013. As of the October 2011 trustee
report and per Fitch categorizations, the CDO was substantially
invested as follows: whole loans/A-note (75.4%), B-notes (9%),
commercial mortgage-backed securities (CMBS: 5.1%), CRE CDO (4%),
CRE mezzanine loans (2%), and principal cash (4.5%).
As of the October 2011 trustee report, all overcollateralization
ratios breached their covenants. Classes D and below are not
receiving any interest payments. Interest is being capitalized
on these classes. The capitalized interest totals $8.7 million.
Under Fitch's methodology, approximately 79.3% of the portfolio
is modeled to default in the base case stress scenario, defined as
the 'B' stress. In this scenario, the modeled average cash flow
decline is 7.9% from, generally, either year end 2010 or trailing
12-month second quarter 2011. Fitch estimates recoveries to be
40.9%.
The largest component of Fitch's base case loss expectation
is the B-note (6%) portion of a loan on a portfolio of 20
office properties in Washington, D.C. and Seattle, WA. The
collateral for the loan consists of the first mortgages on 16
office properties, the pledge of the mortgage and the borrower's
ownership interest in one office property, and the pledge of cash
flows from three office properties. The senior loan and B-note
were both transferred to special servicing in April 2010 for
imminent default. The borrower and the special servicer have
negotiated a modification whereby the asset manager expects no
interest payments to the B-note during the extension period. Fitch
modeled a full loss on this B-note position.
The next largest component of Fitch's base case loss expectation
is a whole loan (7.6%) initially secured by an eight property
multifamily portfolio located in Texas, Indiana, Florida, North
Carolina, and Tennessee. In the fourth quarter of 2008, the
collateral manager took title to the property via the default of a
mezzanine loan held outside the CDO. The collateral manager has
sold six of the properties in the portfolio and is currently
marketing the remaining two properties for sale. Fitch modeled a
term default with a substantial loss in its base case scenario.
The third largest component of Fitch's base case loss expectation
is the modeled loss on classes H and K (5.1%) of MSCI 2007-IQ14.
These bonds are defaulted and are currently experiencing interest
shortfalls. Fitch modeled a substantial loss on these bonds in its
base case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. Per Fitch
criteria, cash flow modeling was not performed as part of the
analysis as the difference in expected loss from the latest rating
action is less than 10%.
Fitch has affirmed and assigned Recovery Estimates (REs) to these
classes:
-- $459.6 million class A-1 at 'CCCsf'; RE 95%;
-- $75 million class A-R at 'CCCsf'; RE 95%;
-- $60.7 million class A-2 at 'CCCsf'; RE 0%;
-- $70.5 million class B at 'CCCsf'; RE 0%;
-- $26.6 million class C at 'CCCsf'; RE 0%;
-- $27.5 million class D at 'CCsf'; RE 0%;
-- $20.8 million class E at 'CCsf'; RE 0%;
-- $22 million class F at 'CCsf'; RE 0%;
-- $25.5 million class G at 'Csf'; RE 0%;
-- $20.7 million class H at 'Csf'; RE 0%;
-- $26 million class J at 'Csf'; RE 0%;
-- $24.4 million class K at 'Csf'; RE 0%;
-- $9.5 million class L at 'Csf'; RE 0%;
-- $6.2 million class M at 'Csf'; RE 0%;
-- $9 million class N at 'Csf'; RE 0%;
-- $14.7 million class O at 'Csf'; RE 0%.
SATURNS TRUST: S&P Lowers Rating on $60.192-Mil. Units to 'B'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on SATURNS
Trust No. 2003-1's US$60.192 million units to 'B' From 'B+'.
"Our rating on the units is dependent on our rating on the
underlying security, Sears Roebuck Acceptance Corp.'s 7% notes due
June 1, 2032 ('B')," S&P said.
"The rating action follows our Nov. 18, 2011, lowering of our
rating on the underlying security to 'B' from 'B+'. We may take
subsequent rating actions on the units due to changes in our
rating on the underlying security," S&P said.
VERITAS CLO: S&P Raises Rating on Class E Notes to 'CCC+'
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the
class B, C, and D notes from Veritas CLO I Ltd., a cash flow
collateralized loan obligation (CLO) transaction. "We also
affirmed our ratings on the class A and E notes. At the same
time, we removed our ratings on the class C, D, and E notes
from CreditWatch, where we placed them with positive implications
on Sept. 2, 2011," S&P said.
"The upgrades reflect a paydown to the class A notes and the
improved performance we have observed in the deal's underlying
asset portfolio since our February 2011 rating actions. Since
that time, the transaction has paid down the class A notes by
approximately $64 million, reducing the balance to about 28% of
the original balance. According to the Oct. 31, 2011, trustee
report, the transaction's asset portfolio held about $1.8 million
in defaulted assets, down from the $4.4 million noted in the
December 2010 trustee report," S&P said.
"The underlying portfolio held $19 million (approximately 16% of
the pool) in long-dated corporate assets noted in the October 2011
trustee report. According to our criteria (see 'CDO Spotlight:
General Cash Flow Analytics For CDO Securitizations,' published
Aug. 25, 2004), the par credit for the long-dated assets was
reduced by applying a present value of 10% per year to each
principal payment due on the asset beyond the transaction's legal
final maturity date. This adjustment stressed the transaction with
a potential par loss incurred for the forced sale of the asset
under less than ideal market conditions," S&P said.
"We affirmed our ratings on the class A and E notes to reflect the
sufficient credit support available at the classes' current rating
levels," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
Rating And CreditWatch Actions
Veritas CLO I Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)
C AA- (sf) A- (sf)/Watch Pos
D BBB- (sf) BB+ (sf)/Watch Pos
E CCC+ (sf) CCC+ (sf)/Watch Pos
Rating Affirmed
Veritas CLO I Ltd.
Class Rating
A AAA (sf)
WACHOVIA BANK: S&P Lowers Rating on Class O Certificates to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2004-C14, a
U.S. commercial mortgage-backed securities (CMBS) transaction,
due to interest shortfalls.
"We lowered our ratings on classes M and N due to reduced
liquidity support available to these classes, resulting
from continued interest shortfalls. Classes M and N have had
accumulated interest shortfalls outstanding for seven months.
In addition, we lowered our rating on class O to 'D (sf)'
because we expect the accumulated interest shortfalls to
remain outstanding for the foreseeable future. Class O has
had accumulated interest shortfalls outstanding for 13 months,"
S&P said.
According to the Nov. 18, 2011 trustee remittance report, the
trust experienced interest shortfalls totaling $32,733 primarily
related to appraisal subordinate entitlement reduction amounts of
$23,378 in effect for the two assets ($31.3 million, 4.9%) with
the special servicer and special servicing and workout fees of
$9,355.
Ratings Lowered
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C14
Credit Reported
Rating enhancement Interest shortfalls ($)
Class To From (%) Current Accumulated
M CCC+ (sf) B- (sf) 3.14 (6,564) 65,729
N CCC- (sf) CCC+ (sf) 2.71 12,049 84,342
O D (sf) CCC (sf) 2.29 12,049 112,767
WELLS FARGO: Fitch Puts Rating on Two Note Classes at Low-B
-----------------------------------------------------------
Fitch Ratings has assigned these ratings to Wells Fargo Bank, N.A.
WFRBS Commercial Mortgage Trust 2011-C5 commercial mortgage pass-
through certificates:
-- $66,527,000 class A-1 'AAAsf'; Outlook Stable;
-- $118,410,000 class A-2 'AAAsf'; Outlook Stable;
-- $107,908,000 class A-3 'AAAsf'; Outlook Stable;
-- $470,955,000 class A-4 'AAAsf'; Outlook Stable;
-- $849,728,000* class X-A 'AAAsf'; Outlook Stable;
-- $85,928,000 class A-S 'AAAsf'; Outlook Stable;
-- $54,557,000 class B 'AAsf'; Outlook Stable;
-- $40,918,000 class C 'Asf'; Outlook Stable;
-- $25,915,000 class D 'BBB+sf'; Outlook Stable;
-- $49,101,000 class E 'BBB-sf'; Outlook Stable;
-- $17,731,000 class F 'BBsf'; Outlook Stable;
-- $16,367,000 class G 'Bsf'; Outlook Stable.
Fitch does not rate the $241,415,970 interest-only class X-B, or
the $36,826,970 class H.
WFRBS 2011: Moody's Assigns Ba2 (sf) Rating to Cl. F Notes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to thirteen classes
of CMBS securities, issued by WFRBS Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2011-C5.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-S, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa1 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. G, Definitive Rating Assigned B2 (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The Certificates are collateralized by 75 fixed rate loans secured
by 98 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 1.37X is higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.05X is higher than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 98.3% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio (inclusive of subordinated debt) of 99.8% is also considered
when analyzing various stress scenarios for the rated debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level (includes cross
collateralized and cross defaulted loans) Herfindahl Index is
16.7. The transaction's loan level diversity is lower than the
band of Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl Index is 17.8. The
transaction's property diversity profile is lower than the indices
calculated in most multi-borrower transactions issued since 2009.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.09, which is better
than the indices calculated in most multi-borrower transactions
since 2009.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005. The rating for WFRBS 2011-C5 was assigned in line with
Moody's existing methodology entitled 'Moody's Approach to Rating
Fusion U.S. CMBS Transactions', dated April 2005. Moody's noted
that on November 22, 2011, it released a Request for Comment, in
which the rating agency has requested market feedback on potential
changes to its rating methodology for CMBS interest-only (IO)
certificates. If the revised methodology is implemented as
proposed, the ratings on WFRBS 2011-C5 IO certificates may
be NEGATIVELY affected. Please refer to Moody's Request for
Comment, titled 'Proposal Changing the Global Rating Methodology
for Structured Finance Interest-Only Securities,' for further
details regarding the implications of the proposed methodology
changes on Moody's ratings. Please see the Credit Policy page on
www.moodys.com for a copy of this methodology and the Request for
Comment.
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 Low/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%, 14%, or 23%, the model-indicated rating for the currently
rated Super Senior Aaa classes and the rated Aaa A-S class would
be Aaa, Aaa, and Aa1 and Aa1, Aa2, and 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.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer
at the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third
party for any loss, injury or cost caused to the issuer or
any other third party, in whole or in part, including by any
negligence (but excluding fraud, dishonesty and/or willful
misconduct or any other type of liability that by law cannot
be excluded) on the part of, or any contingency beyond the
control of, Moody's, or any of its employees or agents,
including any losses arising from or in connection with the
procurement, compilation, analysis, interpretation, communication,
dissemination, or delivery of any information or rating relating
to the issuer.
ZAIS INVESTMENT: Moody's Upgrades Rating of Class A-2 Notes to Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 5 classes of
notes issued by ZAIS Investment Grade Limited X. The classes of
notes affected by the rating actions are:
US$152,000,000 Class A-1a Senior Secured Floating Rate Notes Due
2057 (current outstanding balance of $141,014,031), Upgraded to
Baa3 (sf); previously on August 2, 2011 Upgraded to Ba2 (sf) and
Remained On Review for Possible Upgrade;
US$120,000,000 Class A-1b Senior Secured Floating Rate Notes Due
2057 (current outstanding balance of $111,326,867), Upgraded to
Baa3 (sf); previously on August 2, 2011 Upgraded to Ba2 (sf) and
Remained On Review for Possible Upgrade;
US$59,500,000 Class A-2 Senior Secured Floating Rate Notes Due
2057, Upgraded to Ba2 (sf); previously on August 2, 2011 Upgraded
to B2 (sf) and Remained On Review for Possible Upgrade;
US$75,000,000 Class A-3 Senior Secured Floating Rate Notes Due
2057, Upgraded to Ba3 (sf); previously on August 2, 2011 Upgraded
to Caa1 (sf) and Remained On Review for Possible Upgrade;
US$75,000,000 Class A-4 Senior Secured Floating Rate Notes Due
2057, Upgraded to B2 (sf); previously on August 2, 2011 Upgraded
to Caa2 (sf) and Remained On Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes result
primarily from the improvement in the credit quality of the
portfolio.
The rating actions on the notes reflect CLO tranche upgrades that
have taken place within the last six months, as well as a two
notch adjustment for CLO tranches which are currently on review
for possible upgrade. Since Moody's June 22nd announcement that
nearly all CLO tranches currently rated Aa1 and below were placed
on review for possible upgrade, 85.84% of the collateral had been
upgraded, 28.6% of which took place following the previous rating
action on the Notes in August. According to Moody's, 1% of the
collateral remains on review.
As of the latest trustee report in October 2011, the Class A
overcollateralization ratio improved and is reported at 92.78%
versus July 2011 levels of 80.33%. Currently all the OC tests are
failing, resulting in diversion of interest proceeds to the
payment of the principal on the Class A-1 notes and resulting in
the deferral of interest payments to the Classes B, C and D Notes.
All IC ratios are currently passing their test levels.
ZAIS Investment Grade Limited X is a collateralized debt
obligation backed primarily by a portfolio of CLOs.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.8 to model the loss distribution for SF CDOs. Within this
framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values. Together, the
simulated defaults and recoveries across each of the Monte Carlo
scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model . The cash flow model takes into account the following:
collateral cash flows, the transaction covenants, the priority of
payments (waterfall) for interest and principal proceeds received
from portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
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 rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are 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 Performing Assets notched up by 2 rating notches:
Class S: 0
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class A-3: 0
Class A-4: +1
Class B: 0
Class C: 0
Class D: 0
Moody's Performing Assets notched down by 2 rating notches:
Class S: 0
Class A-1a: -3
Class A-1b: -3
Class A-2: -3
Class A-3: -3
Class A-4: -3
Class B: 0
Class C: 0
Class D: 0
ZOHAR CDO: Moody's Raises Rating of Class A-3a Notes to 'B1'
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Zohar CDO 2003-1 Limited:
US$297,500,000 Class A-3a Floating Rate Senior Secured Delayed
Drawdown Notes due 2015 (current outstanding balance of
$259,745,062), Upgraded to B1 (sf); previously on June 22, 2011 B3
(sf) Placed On Review for Possible Upgrade.
Additionally, Moody's confirmed the ratings of the following
notes:
US$150,000,000 Class A-1 Floating Rate Senior Secured Revolving
Notes due 2015 (current outstanding balance of $133,819,316),
Confirmed at B3 (sf); previously on June 22, 2011 B3 (sf) Placed
On Review for Possible Upgrade;
US$32,000,000 Class A-2 Floating Rate Senior Secured Delayed
Drawdown Notes due 2015 (current outstanding balance of
$28,548,120), Confirmed at B3 (sf); previously on June 22, 2011 B3
(sf) Placed On Review for Possible Upgrade;
US$52,500,000 Class A-3b Floating Rate Senior Secured Delayed
Drawdown Notes due 2015; Confirmed at Caa3 (sf); previously on
June 22, 2011 Caa3 (sf) Placed on Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Moody's observed that the senior notes have amortized at a slower
speed than Moody's had previously anticipated during the last
rating action in February 2011.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates ("CEs"). Moody's
analysis reflects the application of certain stresses with respect
to the default probabilities associated with CEs. Specifically,
the default probability stresses include (1) a one-notch
equivalent downgrade assumed for CEs updated between 12-15 months
ago; and (2) assuming an equivalent of Caa3 for CEs that were not
updated within the last 15 months. Moody's notes that
approximately 40% of the assets in the collateral pool are either
not rated, have no Credit Estimate or have a Credit Estimate that
has not been updated for more than 15 months.
The ratings on the Class A-1 Notes and the Class A-2 Notes reflect
the financial guarantee insurance policy issued by MBIA Insurance
Corporation. The above actions are a result of, and are consistent
with, Moody's modified approach to rating structured finance
securities wrapped by financial guarantors as described in the
press release dated July 14, 2009, titled "Moody's modifies
approach to rating structured finance securities wrapped by
financial guarantors."
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 balance of $491.4 million,
defaulted par of $69.4 million, a weighted average default
probability of 55.84% (implying a WARF of 7429), a weighted
average recovery rate upon default of 46.06%, and a diversity
score of 19. The 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.
Zohar CDO 2003-1 Limited, issued on November 13, 2003, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans, most of which rely on credit estimates.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Other Factors used in this rating are described in "Updated
Approach to the Usage of Credit Estimates in Rated Transactions"
published in October 2009.
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 June 2011. Moody's also supplemented its
modeling with individual scenario analysis to assess the ratings
impact of jump-to-default by certain large obligors.
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 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy 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) De-leveraging: A source of uncertainty in this transaction is
the slow pace of de-leveraging.
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 deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties.
3) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to participate in amend-to-
extend offerings.
4) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates. Moody's also conducted stress tests to assess
the collateral pool's concentration risk in obligors bearing a
credit estimate that constitute more than 3% of the collateral
pool.
ZOHAR II: Moody's Upgrades Rating of Class A-1 Notes to 'B2'
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Zohar II 2005-1, Limited:
US$250,000,000 Class A-1 Notes due 2017 (current outstanding
balance of $227,087,986), Upgraded to B2 (sf); previously on
June 22, 2011 B3 (sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to B2 (sf); previously on Feb 11, 2011
Downgraded to Caa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on June 25, 2009)
US$550,000,000 Class A-2 Notes due 2017 (current outstanding
balance of $499,593,569), Upgraded to B2 (sf); previously on
June 22, 2011 B3 (sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to B2 (sf); previously on Feb 11, 2011
Downgraded to Caa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on June 25, 2009)
US$200,000,000 Class A-3 Notes due 2017 (current outstanding
balance of $181,670,389), Upgraded to B2 (sf); previously on
June 22, 2011 B3 (sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to B2 (sf); previously on Feb 11, 2011
Downgraded to Caa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on June 25, 2009)
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Moody's observed that the senior notes have amortized at a slower
speed than Moody's had previously anticipated during the last
rating action in February 2011.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates ("CEs"). Moody's
analysis reflects the application of certain stresses with
respect to the default probabilities associated with CEs.
Specifically, the default probability stresses include (1) a
one-notch equivalent downgrade assumed for CEs updated between
12-15 months ago; and (2) assuming an equivalent of Caa3 for CEs
that were not updated within the last 15 months. Moody's notes
that approximately 30% of the assets in the collateral pool are
either not rated, have no Credit Estimate or have a Credit
Estimate that has not been updated for more than 15 months.
The ratings on the Class A-1 Notes, Class A-2 Notes and Class
A-3 Notes reflect the actual underlying ratings of the Notes.
These underlying ratings are based solely on the intrinsic
credit quality of the Notes in the absence of the guarantee
from MBIA Insurance Corporation, whose insurance financial
strength rating is currently B3. The above actions are a result
of, and is consistent with, Moody's modified approach to rating
structured finance securities wrapped by financial guarantors as
described in the press release dated November 10, 2008, titled
"Moody's modifies approach to rating structured finance securities
wrapped by financial guarantors."
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized
Loan Obligations" published in June 2011, 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 balance
of $1.0 billion, defaulted par of $182 million, a weighted
average default probability of 55.33% (implying a WARF of
7433), a weighted average recovery rate upon default of
45.85%, and a diversity score of 25. The 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.
Zohar II 2005-1, Limited, issued on January 12, 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans, most of which rely on credit estimates.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Other Factors used in this rating are described in "Updated
Approach to the Usage of Credit Estimates in Rated Transactions"
published in October 2009.
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 June 2011. Moody's also supplemented its
modeling with individual scenario analysis to assess the ratings
impact of jump-to-default by certain large obligors.
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 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy 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) De-leveraging: A source of uncertainty in this transaction is
the slow pace of de-leveraging.
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 deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties.
3) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to participate in amend-to-
extend offerings.
4) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates. Moody's also conducted stress tests to assess
the collateral pool's concentration risk in obligors bearing a
credit estimate that constitute more than 3% of the collateral
pool.
ZOHAR III: Moody's Raises Rating of Class A-3 Notes to 'B1'
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Zohar III, Limited:
US$116,000,000 Class A-3 Floating Rate Third Priority Senior
Secured Term Notes Due 2019, Upgraded to B1 (sf); previously on
June 22, 2011 B3 (sf) Placed On Review for Possible Upgrade.
Additionally, Moody's confirmed the ratings of these notes:
US$200,000,000 Class A-1R Floating Rate Senior Secured Revolving
Notes Due 2019, Confirmed at A3 (sf); previously on June 22, 2011
A3 (sf) Placed On Review for Possible Upgrade;
US$150,000,000 Class A-1T Floating Rate Senior Secured Term Notes
Due 2019, Confirmed at A3 (sf); previously on June 22, 2011 A3
(sf) Placed On Review for Possible Upgrade;
US$350,000,000 Class A-1D Floating Rate Senior Secured Delayed
Drawdown Notes Due 2019, Confirmed at A3 (sf); previously on
June 22, 2011 A3 (sf) Placed On Review for Possible Upgrade;
US$200,000,000 Class A-2 Floating Rate Second Priority Senior
Secured Term Notes Due 2019, Confirmed at Ba2 (sf); previously on
June 22, 2011 Ba2 (sf) Placed On Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Moody's notes that the Weighted Average Rating Factor as reported
by the Trustee as well as calculated by Moody's has deteriorated
since the last rating action in February 2011.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates ("CEs"). Moody's
analysis reflects the application of certain stresses with
respect to the default probabilities associated with CEs.
Specifically, the default probability stresses include (1) a
one-notch equivalent downgrade assumed for CEs updated between
12-15 months ago; and (2) assuming an equivalent of Caa3 for CEs
that were not updated within the last 15 months. Moody's notes
that approximately 41% of the assets in the collateral pool are
either not rated, have no Credit Estimate or have a Credit
Estimate that has not been updated for more than 12 months.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 balance of $1.2 billion,
defaulted par of $131 million, a weighted average default
probability of 54.30% (implying a WARF of 6906), a weighted
average recovery rate upon default of 46.27%, and a diversity
score of 26. Moody's generally analyzes deals in their
reinvestment period by assuming the worse of reported and
covenanted values for all collateral quality tests. However,
in this case given the limited time remaining in the deal's
reinvestment period, Moody's analysis reflects the benefit of
assuming a higher likelihood that the collateral pool
characteristics will continue to maintain a positive "cushion"
relative to certain covenant requirements, as seen in the actual
collateral quality measurements. The 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.
Zohar III, Limited, issued in April 6, 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans, most of which rely on credit estimates.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Other Factors used in this rating are described in "Updated
Approach to the Usage of Credit Estimates in Rated Transactions"
published in October 2009.
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 June 2011. Moody's also supplemented its
modeling with individual scenario analysis to assess the ratings
impact of jump-to-default by certain large obligors.
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 2013
and 2015 which may create challenges for issuers to refinance.
CDO notes' performance may also be impacted by 1) the manager's
investment strategy 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) 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 deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to participate in amend-to-
extend offerings.
3) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels.
4) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates. Moody's also conducted stress tests to assess
the collateral pool's concentration risk in obligors bearing a
credit estimate that constitute more than 3% of the collateral
pool.
* S&P Lowers Ratings on 6 Classes of Certificates to 'D'
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage pass-through certificates from
three U.S. commercial mortgage-backed securities (CMBS)
transactions due to interest shortfalls.
"The downgrades reflect current and potential interest shortfalls.
We lowered our ratings on six of these classes to 'D (sf)' because
we expect the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The six classes that we
downgraded to 'D (sf)' have had accumulated interest shortfalls
outstanding between two and eight months," S&P said. The recurring
interest shortfalls for the certificates are primarily due to one
or more of these factors:
Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced loans;
The lack of servicer advancing for loans where the servicer
has made nonrecoverable advance declarations;
Special servicing fees; and
Interest rate reductions or deferrals resulting from loan
modifications.
"Standard & Poor's analysis primarily considered the ASER
amounts based on appraisal reduction amounts (ARAs) calculated
using recent Member of the Appraisal Institute (MAI) appraisals.
We also considered special servicing fees that are likely, in our
view, to cause recurring interest shortfalls," S&P said.
"The servicer implements ARAs and resulting ASER amounts in
accordance with each respective transaction's terms. Typically,
these terms call for the automatic implementation of an ARA equal
to 25% of the stated principal balance of a loan when a loan is 60
days past due and an appraisal or other valuation is not available
within a specified timeframe. We primarily considered ASER amounts
based on ARAs calculated from MAI appraisals when deciding which
classes from the affected transactions to downgrade to 'D (sf)'
because ARAs based on a principal balance haircut are highly
subject to change, or even reversal, once the special servicer
obtains the MAI appraisals," S&P related.
Servicer nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt service advancing, the recovery of
previously made advances deemed nonrecoverable, or the failure to
advance trust expenses when nonrecoverable declarations have been
determined. Trust expenses may include, but are not limited to,
property operating expenses, property taxes, insurance payments,
and legal expenses.
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9
"We lowered our ratings on the class E, F, G, and H
certificates from Bear Stearns Commercial Mortgage Securities
Trust 2005-PWR9. We lowered our ratings to 'D (sf)' on the
class G and H certificates to reflect accumulated interest
shortfalls outstanding for seven months. The interest shortfalls
resulted primarily from interest rate reductions ($292,407) due
to modifications on three loans (one of which is the Trilogy
Apartments loan ($135.9 million, 7.5%), the largest loan in the
pool, which was modified in April 2011), ASER amounts related to
two ($30.3 million, 1.7%) of the eight loans ($217.9 million,
12.0%) that are currently with the special servicer, Helios AMC
LLC (Helios), interest not advanced ($28,343), special servicing
fees ($46,447), and workout fees ($3,824). We lowered our ratings
on classes E and F due to reduced liquidity support available
to these classes. While Class F has had accumulated interest
shortfalls outstanding for seven months, we expect the outstanding
shortfalls to be repaid in full, based on the expected liquidation
of one of the specially serviced assets in the near term, as
indicated by Helios. As of the Nov. 14, 2011, trustee remittance
report, ARAs totaling $53.4 million were in effect for four loans,
two of which generated ASER amounts totaling $97,108. The current
reported monthly interest shortfalls, net of ASER recovery of
$99,542, totaled $450,722 and have affected all of the classes
subordinate to and including class G," S&P related.
LB-UBS Commercial Mortgage Trust 2001-C7
"We lowered our ratings on the class L, M, N, P, and Q
certificates from LB-UBS Commercial Mortgage Trust 2001-C7. We
lowered our ratings to 'D (sf)' on classes P and Q to reflect
accumulated interest shortfalls outstanding for four and eight
months, respectively. The interest shortfalls were due primarily
from ASER amounts related to three ($12.6 million, 19.4%) of the
six ($27.5 million, 42.2%) assets that are currently with the
special servicer, Berkadia Commercial Mortgage LLC, interest not
advanced ($9,078), and special servicing fees ($3,864). We lowered
our ratings on classes L, M, and N due to reduced liquidity
support available to these classes and the potential for these
classes to experience interest shortfalls in the future relating
to the specially serviced assets. As of the Nov. 18, 2011, trustee
remittance report, ARAs totaling $4.9 million were in effect for
three assets and the total reported monthly ASER amount on these
assets was $30,789. Subsequent to the November reporting date, the
master servicer indicated that another loan ($8.4 million, 12.9%)
was transferred to special servicing. As a result, seven assets
totaling $35.9 million or 55.1% of the pool balance is now in
special servicing. The reported monthly interest shortfalls
totaled $47,478 and have affected all of the classes subordinate
to and including class P," S&P said.
Morgan Stanley Capital I Trust 2006-TOP21
"We lowered our ratings on the class J, K, L, M, N, and O
certificates from Morgan Stanley Capital I Trust 2006-TOP21. We
lowered our ratings to 'D (sf)' on classes N and O to reflect
accumulated interest shortfalls outstanding for two and eight
months, respectively. The interest shortfalls resulted primarily
from ASER amounts related to one ($6.7 million, 0.6%) of the two
($10.9 million, 1.0%) assets that are currently with the special
servicer, C-III Asset Management LLC. We lowered our ratings on
classes J, K, L, and M due to reduced liquidity support available
to these classes and the potential for these classes to experience
interest shortfalls in the future relating to the specially
serviced assets. Classes K, L, and M have had accumulated interest
shortfalls outstanding for two months. As of the Nov. 14, 2011,
trustee remittance report, an ARA totaling $5.4 million was in
effect for one of the two assets, and the total reported monthly
ASER amount on this asset was $23,145. The reported monthly
interest shortfalls totaled $22,934, net of ASER and special
servicing fee recovery of $3,760 from a liquidated asset, and have
affected all of the classes subordinate to and including class K,"
S&P said.
Ratings Lowered
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement Interest Shortfalls ($)
Class To From (%) Current Accumulated
E B+ (sf) BB- (sf) 7.81 0 0
F CCC- (sf) B+ (sf) 6.62 (64,300) 111,997
G D (sf) B- (sf) 5.14 122,807 848,191
H D (sf) CCC- (sf) 3.95 98,246 678,553
LB-UBS Commercial Mortgage Trust 2001-C7
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement Interest Shortfalls ($)
Class To
From (%) Current Accumulated
L B- (sf) B+ (sf) 33.91 0 0
M CCC (sf) B- (sf) 22.31 0 0
N CCC- (sf) CCC+ (sf) 15.35 0 0
P D (sf) CCC (sf) 10.70 13,358 21,360
Q D (sf) CCC- (sf) 6.06 14,792 76,397
Morgan Stanley Capital I Trust 2006-TOP21
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement Interest Shortfalls
($)
Class To From (%) Current Accumulated
J CCC (sf) B- (sf) 1.67 (34,923) 0
K CCC- (sf) B- (sf) 1.36 3,869 17,838
L CCC- (sf) CCC+ (sf) 0.90 20,954 41,908
M CCC- (sf) CCC (sf) 0.74 6,985 13,969
N D (sf) CCC (sf) 0.59 6,985 13,969
O D (sf) CCC- (sf) 0.27 13,969 99,318
* S&P Lowers Ratings on 724 Classes from US Residential RMBS
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings
on 724 classes from 197 U.S. residential mortgage-backed
securities (RMBS) transactions issued from 2002 through
2004 and removed 18 of them from CreditWatch with negative
implications. "Concurrently, we raised our ratings on two
classes from two of the transactions with lowered ratings.
Additionally, we affirmed our ratings on 1,296 classes from
185 of the transactions with lowered ratings. We also withdrew
our ratings on 41 classes from 24 transactions based on our
interest-only (IO) criteria," S&P related.
The complete rating list is available for free at:
http://bankrupt.com/misc/S&P_Nov30_RatingsList.pdf
The 201 RMBS transactions in this review are backed by
Alternative-A (Alt-A) mortgage loan collateral issued from 2002
through 2004.
"The downgrades reflect our belief that projected credit
enhancement for the affected classes will be insufficient to cover
the projected losses we applied at the applicable rating stresses.
For certain classes, the downgrades incorporated our interest
shortfall criteria (for additional information, refer to
'Methodology for Assessing The Impact Of Interest Shortfalls On
U.S. RMBS,' published Sept. 23, 2011)," S&P related.
"Among other factors, the upgrades reflect our view of a
decrease in delinquencies within the structures associated
with the two affected classes from Impac CMB Trust Series 2004-9
Series 2004-9 and MASTR Adjustable Rate Mortgages Trust Series
2004-12. This has reduced the remaining projected losses for these
structures, allowing these classes to withstand more stressful
scenarios. In addition, each upgrade reflects our assessment that
the projected credit enhancement for each affected class will be
more than sufficient to cover projected losses at the revised
rating levels; however, we are limiting the extent of the upgrades
to reflect our view of ongoing market risk," S&P related.
"The affirmations reflect our belief that the amount of projected
credit enhancement available for the affected classes is
sufficient to cover our projected losses at the current rating
levels," S&P said.
"The rating withdrawals reflect the application of our interest-
only criteria.In order to maintain a 'B' rating on a class, we
assessed whether, in our view, a class could absorb the remaining
base-case loss assumptions we used in our analysis. In order to
maintain a rating higher than 'B', we assessed whether the class
could withstand losses exceeding our remaining base-case loss
assumptions at a percentage specific to each rating category, up
to 150% for a 'AAA' rating. For example, in general, we would
assess whether one class could withstand approximately 110% of our
remaining base-case loss assumptions to maintain a 'BB' rating,
while we would assess whether a different class could withstand
approximately 120% of our remaining base-case loss assumptions
to maintain a 'BBB' rating. Each class with an affirmed 'AAA'
rating can, in our view, withstand approximately 150% of our
remaining base-case loss assumptions under our analysis," S&P
said.
The tables provide additional structure-level information
regarding delinquencies and cumulative losses for the transactions
S&P reviewed for this release. The tables include data through the
October 2011 remittance period:
Losses and Delinquencies*
Adjustable Rate Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-1 744 17.52 1.28 13.35 10.53
2004-1 485 7.12 3.55 28.15 21.76
2004-2 450 8.86 3.13 36.35 30.36
2004-2 563 17.59 2.28 12.34 11.52
2004-3 244 7.18 1.63 14.52 12.71
2004-4 550 7.77 2.99 25.07 23.96
2004-4 522 21.67 2.36 14.08 11.44
Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-33 300 12.32 0.72 23.17 14.55
2003-51 611 26.70 0.58 11.56 7.28
2003-55 405 20.21 0.53 16.59 13.82
2003-59 541 22.99 0.46 10.97 6.97
2003-J11 829 19.10 0.24 11.63 8.50
2003-J14 426 11.23 0.21 8.76 4.98
2004-10CB 323 24.56 1.59 24.37 19.70
2004-12CB 485 29.22 0.58 9.29 5.76
2004-13CB 298 35.54 0.51 9.74 6.85
2004-15 299 17.18 1.70 30.21 26.46
2004-16CB 1,018 30.00 0.58 14.58 9.74
2004-17CB 1,278 17.64 2.28 29.25 24.39
2004-18CB 1,218 26.96 0.77 18.88 13.11
2004-1T1 253 16.28 1.10 21.96 15.78
2004-20T1 300 26.56 0.59 18.03 12.83
2004-22CB 1,202 26.10 0.90 20.55 14.84
2004-24CB 1,451 27.14 1.28 19.57 13.31
2004-25CB 300 30.53 1.42 23.38 18.16
2004-26T1 350 26.43 0.68 31.01 25.21
2004-27CB 400 29.46 1.40 21.83 16.16
2004-28CB 1,144 31.45 1.32 18.18 12.86
2004-29CB 551 36.38 1.27 18.05 11.73
2004-2CB 1,783 24.56 0.60 13.28 9.04
2004-30CB 953 36.49 1.25 17.60 12.50
2004-32CB 407 33.42 1.79 21.19 14.90
2004-34T1 211 34.09 0.87 29.59 25.59
2004-36CB 896 33.87 1.76 23.79 18.71
2004-3T1 250 21.61 0.12 24.26 14.08
2004-4CB 450 29.40 0.61 12.88 9.77
2004-5CB 210 22.31 0.39 13.50 8.10
2004-9T1 254 31.87 0.43 15.28 11.92
2004-J1 275 6.89 0.15 11.96 8.14
2004-J10 251 26.20 1.01 21.89 17.35
2004-J12 199 34.57 0.53 15.76 14.23
2004-J13 673 15.61 4.01 38.34 30.52
2004-J2 419 20.72 0.90 12.44 7.60
2004-J3 147 26.82 1.16 6.80 3.78
2004-J6 178 15.27 0.17 9.82 5.92
2004-J8 201 13.10 1.46 27.68 17.08
American Home Mortgage Investment Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-2 1,381 13.06 1.36 11.34 9.02
2004-3 264 25.32 4.32 21.34 12.13
2004-3 2,039 12.07 2.37 17.76 11.87
Banc of America Funding Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-C 51 18.69 0.00 3.66 0.00
2004-C 279 15.35 5.25 37.93 35.61
2004-C 135 22.84 1.48 34.63 26.24
Bear Stearns ALT-A Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-3 699 10.44 0.39 10.79 10.10
2003-5 511 11.00 0.40 17.49 16.59
2003-6 485 10.94 0.52 20.74 19.12
2004-1 616 8.69 0.76 34.19 28.42
2004-11 488 18.06 1.48 20.98 19.68
2004-11 815 12.62 2.01 25.22 22.84
2004-13 561 13.37 4.25 38.38 32.87
2004-2 609 9.33 0.60 26.86 19.13
2004-3 670 11.07 1.02 17.66 15.88
2004-4 500 14.09 1.24 21.54 18.77
2004-6 861 18.31 1.94 16.77 14.04
2004-7 987 21.21 1.52 17.19 12.63
2004-9 669 19.38 1.39 18.99 12.95
Bear Stearns ARM Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-12 1,105 24.54 2.20 19.93 15.96
Bear Stearns Asset Backed Securities I Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-AC2 271 18.26 1.78 14.38 11.87
2004-AC3 392 22.82 1.42 13.72 10.95
2004-AC4 456 25.37 2.17 16.70 13.71
2004-AC5 434 26.36 1.68 18.88 14.15
2004-AC6 414 24.30 1.91 27.12 22.50
2004-AC7 264 27.36 2.87 22.52 17.24
Bear Stearns Asset Backed Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-AC4 862 13.65 0.74 14.39 12.09
2003-AC5 589 18.49 1.13 10.51 7.78
2003-AC6 398 17.29 0.86 8.60 7.09
2003-AC7 710 17.82 0.99 11.93 8.74
CHL Mortgage Pass-Through Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-16 1,017 10.41 1.21 32.85 30.97
Citigroup Mortgage Loan Trust Inc.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-HYB2 374 13.70 0.14 9.09 8.32
2004-HYB4 183 22.33 0.31 1.92 0.85
2004-HYB4 142 13.86 1.38 43.46 33.26
2004-HYB4 207 5.40 0.69 7.19 5.47
Credit Suisse First Boston Mortgage Securities Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-AR12 176 1.61 1.46 54.39 54.39
2003-AR12 669 5.59 0.25 14.68 13.56
2003-AR18 423 5.69 0.55 13.02 11.84
2003-AR18 339 2.29 0.76 15.36 15.36
2003-AR26 266 1.80 1.20 53.78 35.99
2003-AR26 986 11.86 0.44 6.44 5.00
2003-AR28 331 3.04 0.54 20.94 20.11
2003-AR28 621 9.13 0.39 16.45 14.96
2003-AR30 682 11.62 0.67 19.34 16.98
2003-AR30 505 3.90 1.20 16.63 16.40
2003-AR5 319 2.75 0.75 19.27 19.27
2003-AR5 197 1.88 0.06 34.46 26.96
2004-AR1 475 10.67 1.18 14.57 12.76
2004-AR1 355 3.05 1.32 40.60 38.06
2004-AR2 550 11.64 0.97 14.18 13.06
2004-AR2 264 2.90 2.39 29.24 21.93
2004-AR3 811 13.34 0.50 14.39 12.07
2004-AR3 412 3.96 1.02 36.72 32.95
2004-AR4 605 12.46 1.30 19.49 17.93
2004-AR4 324 4.04 1.62 28.20 25.12
2004-AR5 197 13.40 1.76 10.00 3.89
2004-AR5 372 4.21 1.88 18.72 13.66
2004-AR5 908 20.22 0.60 12.75 11.91
2004-AR6 750 16.97 1.39 15.42 13.43
2004-AR6 415 4.77 2.24 36.09 33.44
2004-AR8 778 20.39 1.26 12.60 10.81
2004-AR8 564 6.09 2.60 28.62 25.32
CSFB Mortgage-Backed Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-29 831 17.91 0.76 13.58 10.94
Deutsche Alt-A Securities
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-2XS 294 14.63 1.30 15.30 13.05
2003-3 354 16.87 0.36 18.92 14.19
Deutsche Mortgage Securities
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-2 272 16.04 1.09 23.02 21.37
Deutsche Mortgage Securities Inc Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-1 310 14.24 1.16 16.25 13.38
2004-1 179 14.98 0.00 2.41 2.41
2004-3 250 7.43 1.52 21.95 21.30
2004-3 250 18.04 1.57 19.70 13.94
DSLA Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-AR3 969 9.28 0.58 13.76 10.18
2004-AR4 1,050 13.81 4.55 29.05 22.12
First Horizon Alternative Mortgage Pass-Through Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-AA1 290 22.47 1.42 10.39 8.24
First Horizon Alternative Mortgage Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-AA2 210 28.41 1.11 12.38 10.45
2004-AA3 220 23.85 1.35 9.84 7.77
2004-AA4 415 24.01 1.74 11.87 9.27
2004-AA5 290 24.68 1.72 10.17 8.71
2004-FA1 210 21.57 2.16 21.12 18.13
GSAA Home Equity Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-10 358 30.31 1.56 24.94 22.13
2004-11 479 15.01 3.21 35.93 32.78
2004-5 304 23.54 1.33 22.81 17.75
GSAA Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-3 423 21.35 0.82 18.65 12.96
2004-CW1 250 17.32 0.60 20.98 18.68
HarborView Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-11 1,819 16.82 3.23 44.75 41.72
2004-2 551 9.28 0.63 30.53 23.41
2004-9 1,220 15.98 2.27 36.00 33.08
HomeBanc Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-1 768 11.47 1.03 14.32 10.67
2004-1 225 11.54 0.85 18.55 13.99
2004-2 898 19.61 1.29 22.41 17.98
Homestar Mortgage Acceptance Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-2 388 18.88 2.04 10.81 10.12
2004-4 410 16.14 1.88 9.80 8.26
Impac CMB Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-11 642 11.63 2.78 38.08 33.89
2004-11 858 12.46 4.03 36.99 32.91
2004-4 200 25.19 1.41 13.43 10.32
2004-4 1,044 6.90 1.21 19.23 16.55
2004-9 2,060 9.30 3.12 22.32 18.22
Impac Secured Assets Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-2 200 28.27 1.35 14.42 14.21
2004-3 2,300 6.39 2.00 25.32 21.69
IndyMac INDX Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-11 333 13.14 3.31 24.04 16.20
2004-AR13 298 13.13 3.43 29.18 21.51
2004-AR4 784 13.32 1.91 19.71 14.10
2004-AR6 949 11.78 1.79 25.28 18.41
2004-AR9 151 12.00 3.04 35.42 26.72
2004-AR9 204 10.54 2.57 27.10 18.24
JPMorgan Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-S1 175 29.41 0.57 18.22 15.48
2004-S1 469 22.28 0.03 2.96 2.59
Lehman ABS Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-1 424 20.92 0.58 9.57 4.60
Manufacturers and Traders Trust Company Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-1 838 25.66 0.05 2.87 1.30
MASTR Adjustable Rate Mortgages Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-7 67 1.74 0.12 0.00 0.00
2003-7 214 7.88 0.23 5.71 3.82
2004-11 714 8.00 1.66 34.58 28.38
2004-12 330 18.21 1.72 18.98 12.50
2004-2 287 5.48 1.06 31.54 28.83
2004-7 342 28.40 0.31 16.92 15.65
2004-7 333 8.41 2.25 35.67 27.76
MASTR Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-7 884 22.29 0.28 10.41 8.00
2003-8 490 26.47 0.52 6.76 4.55
2003-9 471 26.15 0.35 2.84 1.18
2004-1 226 20.67 0.39 11.95 9.50
2004-10 421 25.55 0.27 15.55 10.48
2004-11 311 34.94 1.53 5.57 3.62
2004-11 387 24.25 1.00 21.99 13.97
2004-12 248 27.37 0.43 17.80 11.41
2004-12 208 39.32 1.70 10.40 6.39
2004-13 122 38.78 0.77 5.14 3.81
2004-13 331 30.75 0.96 17.06 10.18
2004-2 336 21.54 0.13 14.55 10.74
2004-2 299 28.46 0.86 7.96 5.68
2004-3 217 29.09 0.63 2.74 1.63
2004-3 270 11.06 0.45 19.33 16.19
2004-4 286 21.27 0.33 12.16 7.52
2004-4 289 31.08 0.79 7.08 5.25
2004-5 265 27.10 0.74 10.78 6.24
2004-6 686 26.63 0.63 17.68 11.15
2004-8 210 29.04 1.45 16.85 11.71
2004-8 189 37.96 0.78 7.66 4.05
2004-9 350 21.35 0.83 28.42 18.35
Morgan Stanley Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-11AR 596 15.20 2.35 18.67 14.34
2004-11AR 571 19.99 2.79 17.86 13.04
2004-8AR 124 4.87 1.09 17.27 17.27
2004-8AR 443 18.94 1.23 13.25 9.95
MortgageIT Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-1 811 19.02 1.87 13.70 8.28
Nomura Asset Acceptance Corporation
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-A3 246 12.18 0.54 10.07 8.32
2004-AR1 204 15.11 0.60 21.70 18.88
2004-AR1 186 6.11 1.83 32.88 24.65
Nomura Asset Acceptance Corporation Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-AP1 240 16.26 1.64 16.56 14.03
2004-AP2 228 19.81 2.22 17.01 13.84
2004-AP3 305 21.19 3.02 23.25 18.21
2004-AR2 376 6.32 2.93 25.34 20.81
PPT Asset-Backed Certificates
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-1 199 28.20 8.42 15.49 9.87
RAAC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-SP3 143 27.59 0.34 7.34 6.36
2004-SP3 166 22.22 0.82 21.29 19.05
RALI Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2002-QS7 477 4.33 0.38 15.65 7.43
2003-QS17 640 25.36 0.65 10.15 6.18
2003-QS19 475 21.39 0.85 10.79 5.65
2003-QS21 319 19.70 1.29 12.89 8.55
2003-QS22 373 21.62 0.68 9.93 5.03
2004-QA2 365 15.96 1.70 23.21 17.38
2004-QA3 320 14.64 1.19 15.27 11.79
2004-QA4 290 15.40 1.81 12.28 9.55
2004-QA5 325 20.57 2.35 12.55 7.49
2004-QA6 720 20.31 3.62 18.94 14.19
2004-QS1 320 23.75 0.79 13.60 9.05
2004-QS10 217 27.73 1.70 11.12 6.46
2004-QS11 218 27.88 1.25 10.62 5.98
2004-QS12 424 29.27 1.24 10.95 6.39
2004-QS14 213 30.53 1.62 10.31 8.41
2004-QS2 292 24.45 1.36 14.39 6.41
2004-QS4 321 26.26 1.15 8.05 5.12
2004-QS5 294 26.29 1.38 11.98 7.35
2004-QS7 449 30.08 1.14 12.21 8.33
2004-QS8 271 33.24 1.10 9.57 7.35
Residential Asset Securitization Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-K 301 14.71 0.43 17.61 7.50
2003-L 175 19.17 0.00 5.35 2.26
2003-M 254 17.93 0.15 14.47 10.40
2003-O 310 15.58 0.11 13.06 8.07
2004-A 251 18.14 0.33 12.90 5.75
2004-A2 224 18.75 0.31 9.88 7.05
2004-A2 61 9.81 0.00 23.77 6.95
2004-C 255 25.89 0.43 11.12 6.84
2004-D 255 21.94 0.30 9.66 5.84
2004-E 202 33.32 0.62 15.01 10.33
2004-G 235 15.91 0.29 17.05 9.08
2004-H 254 22.47 0.73 18.95 14.26
2004-I 248 25.50 1.38 20.22 8.49
2004-IP2 507 15.85 0.89 13.49 7.68
2004-J 260 29.41 1.34 18.12 9.69
RFMSI Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-S20 413 15.47 0.05 2.83 1.77
2003-S20 229 16.31 0.00 3.73 1.00
Specialty Underwriting and Residential Finance Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-AA1 191 32.84 0.20 14.31 8.37
Structured Adjustable Rate Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-9XS 300 20.56 0.92 14.82 11.96
Structured Asset Securities Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-28XS 262 14.60 2.20 21.36 19.08
2004-17XS 258 23.26 1.98 16.16 11.49
2004-21XS 246 31.81 1.43 20.93 17.13
2004-21XS 319 31.45 0.75 8.58 7.14
2004-2AC 713 20.82 0.63 9.65 6.05
2004-4XS 258 21.34 0.98 16.87 11.09
2004-4XS 147 26.40 0.27 12.31 9.36
Terwin Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-13ALT 55 32.49 2.82 17.48 10.87
2004-13ALT 174 9.02 2.50 20.86 8.90
2004-15ALT 54 27.48 0.20 25.79 19.28
Washington Mutual MSC Mortgage Pass-Through Certificates Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-RA1 335 8.33 0.17 19.70 14.07
Notes: Original balance represents the original collateral balance
for the structure represented. Pool factor represents the
percentage of the original pool balance remaining. Cumulative
losses represent a percentage of the original pool balance, and
total and severe delinquencies are percentages of the current pool
balance.
The information shows average pool factor, cumulative loss, and
total and severe delinquency information by vintage for pre-2005
vintage Alt-A collateral as of the October 2011 distribution
period.
Pre-2003 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
3.25 0.57 17.24 7.58
2003 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
13.30 0.51 12.99 6.69
2004 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
18.77 1.53 19.16 9.90
Subordination, overcollateralization (prior to its depletion), and
excess spread, when applicable, provide credit support for the
affected transactions.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland,
USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise
Marie Varquez, 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
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re-mailing and photocopying) is strictly prohibited without prior
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herein is obtained from sources believed to be reliable, but is
not guaranteed.
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