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T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, January 8, 2012, Vol. 16, No. 7
Headlines
1ST FINANCIAL: S&P Gives 'BB-p' Rating on Inter CCA Notes
1ST FINANCIAL: S&P Rates Intermediate CCA Notes 'BB-p'
ADJUSTABLE RATE: S&P Lowers Class 2-A-1-2 Rating to 'CCC'
ACAS CLO: S&P Raises Rating on Class D Notes From 'BB' to 'BB'
AMMC CLO IX: S&P Gives 'BB' Rating on Class E Deferrable Notes
ANTHRACITE CDO: S&P Affirms 'B-' Class F Note Rating; Off Watch
ANTHRACITE CDO: S&P Lowers Ratings on 2 Classes of Notes to 'CC'
APHEX CAPITAL 2006-1: S&P Withdraws 'B-' Series 2006-1 Note Rating
APIDOS CDO: S&P Puts 'B+' Rating on Class D on Watch Positive
APIDOS CDO: S&P Raises Rating on Class D Notes From 'B+' to 'BB-'
ARES VIII: S&P Raises Ratings on 3 Classes of Notes From 'BB'
ARLO III: S&P Lowers Rating on Notes From 'CCC-' to 'D'
ARLO LTD: S&P Puts 'BB+p' Rating on Class A on Watch Positive
ASHFORD CDO: Moody's Raises Rating of Class A-3L Notes to 'B1'
ASTORIA POWER: Fitch Affirms Rating on Two Cert. Classes at Low-B
BABSON CLO: S&P Affirms Ratings on 2 Classes of Notes at 'BB+'
BACM 2005-2: Moody's Affirms Rating of Cl. H Notes at 'Ba2'
BANC OF AMERICA: Fitch Affirms Junk Rating on Six Cert. Classes
BANC OF AMERICA: Fitch Junks Rating on Ten Class Notes
BANC OF AMERICA: S&P Cuts 3 Cert. Classes Ratings to 'D'
BANC OF AMERICA: S&P Lowers Class L Certificate to 'D'
BANC OF AMERICA: S&P Lowers Ratings on 2 Classes to 'CC'
BEAR STEARNS: Moody's Reviews 'Ba3' Rating of Cl. B-1 Notes
BEAR STEARNS: New Loan Defaults Cue Fitch to Downgrade Ratings
BLACK DIAMOND: S&P Affirms Rating on Class E Notes at 'CCC+'
BRISTOL BAY: Moody's Reviews 'Ba2' Rating on $40-Mil. Notes
CALLIDUS DEBT: S&P Withdraws 'BB+' Rating on Class E Notes
CANTOR COMMERCIAL: Fitch Puts Rating on Two Cert. Classes at Low-B
CARLYLE GLOBAL 2011-1: S&P Gives 'B' Rating on Class F Notes
CARLYLE MCLAREN: S&P Raises Rating on Class B-1L Notes to 'BB+'
CEDARWOODS CRE: S&P Puts 'CCC' Rating on Class F on Watch Negative
CENTRAL PARK: S&P Gives 'B+' Rating on Class F Deferrable Notes
CENTURION CDO: S&P Raises Ratings on 2 Classes of Notes to 'B+'
CFCRE 2011-C2: Moody's Gives Ba2 (sf) Rating to Cl. F Notes
CLYDESDALE CLO: Moody's Raises Rating of Class D Notes to 'Ba2'
COBALT CMBS: Fitch Junks Rating on Six Class Certificates
COMM 2006-FLI2: S&P Lowers Rating on Class J Certificates to 'D'
COMM 2011-STRT: Moody's Assigns 'Ba1' Rating to Cl. E Notes
COMM 2011-STRT: Moody's Gives (P)Ba1 Rating to Class E Notes
CONNECTICUT VALLEY: Moody's Raises Rating of $43MM Notes to 'Ba2'
CONNECTICUT VALLEY: Moody's Raises Raing of Class A-2 Notes to Ba1
COPPER RIVER: S&P Raises Class E Notes Rating From 'CCC' to 'CCC+'
CPS AUTO RECEIVABLES: Moody's Gives 'Ba2' Rating to Class C Notes
CREDIT & REPACKED: Moody's Raises Rating of $268.75MM Notes to Ba1
CREDIT SUISSE: Fitch Junks Rating on 11 Note Classes
CREDIT SUISSE: S&P Lowers Ratings on 2 Classes of Certs. to 'CCC-'
CREST EXETER: S&P Lowers Ratings on 2 Classes of Notes to 'CCC+'
DA VINCI: S&P Puts 'BB-' Rating on Class B Notes on Watch Negative
DBALT 2007-RAMP1: Moody's Gives B3 Rating, Which Addresses Risks
DIAMOND INVESTMENT: Moody's Lowers Rating of Class B-1 Notes to B3
DIVERSIFIED ASSET: S&P Affirms Rating on Class A-3L Notes at 'CC'
EAGLE CREEK: S&P Raises Rating on Class C Notes From 'BB-'
EDT FUNDING: Moody's Downgrades Rating of Bonds
EMPORIA PREFERRED: Fitch Affirms Rating on Two Note Class at Low-B
FC CBO IV: Moody's Raises Rating of Class B-2 Notes Baa1 From Caa1
FLATIRON CLO: S&P Gives 'BB' Rating on Class E Deferrable Notes
FOX TROT: S&P Affirms Ratings on 4 Classes of Notes at 'D'
FREDDIE MAC: Moody's Lowers Rating of Cl. B Notes to 'Caa2'
GCCFC 2003-C1: Moody's Affirms Rating of Class K Notes at 'Ba1'
GMAC 2004-C2: Moody's Lowers Rating of Cl. D Notes Rating to 'Ba1'
GRANITE VENTURES: S&P Affirms 'CCC+' Rating on Class D Notes
GREEN TREE: Moody's Lowers Rating of Cl. B Notes to 'Ba1'
GREENS CREEK: Moody's Ups Rating of Cl. C Notes to Baa3 From Ba1
GREENWICH CAPITAL: S&P Lowers Ratings on Class F Certs. to 'CCC+'
GS MORTGAGE: S&P Lowers Rating on Class D Certificates to 'B'
HARBOURVIEW CDO: Moody's Withdraws 'C' Rating of Class D Notes
HARLEY-DAVIDSON MOTORCYLE: S&P Raises 2008-1 C Rating From 'BB+'
HEDGED MUTUAL 2005-1: S&P Puts 'BB-' 2007-1 Note Rating on Watch
HELIOS FINANCE: Fitch Affirms Junk Rating on Two Note Classes
HIGH GRADE: S&P Lowers Rating on Class A-1 Notes to 'CC'
HOMETOWN COMMERCIAL: S&P Lowers Class A Certificates Rating to 'D'
HUDSON STRAITS: Moody's Raises Rating of Class E Notes to 'B1'
ING IM 2011-1: S&P Affirms 'BB' Rating on Class D Deferrable Notes
JP MORGAN: Fitch Downgrade Ratings on 14 Class Certificates
JP MORGAN: Fitch Junks Rating on Nine Class Certificates
JP MORGAN: Fitch Junks Two Subordinate Classes
JPMCC 2007-LDP11: Moody's Affirms Rating of Cl. A-J Notes at 'B2'
JPMORGAN CHASE: S&P Lowers Class J Cert. Rating to 'D'
JWS CBO: Fitch Affirms Rating on $21 Mil. Class D Notes at 'Csf'
KEY 2007-SL1: Moody's Affirms Rating of Cl. C Notes at 'B2'
LANDMARK III: Moody's Raises Rating of Class B-1L Notes to 'Ba3'
LB-UBS COMMERCIAL: Fitch Junks Rating on Seven Note Classes
LBCMT 1999-C1: Moody's Affirms Rating of Cl. G Notes at 'Ba2'
MARKET SQUARE: S&P Raises Class D Notes Rating From 'CCC+' to 'B+'
MH SECURITIES: Moody's Confirms Rating of Cl. A-5 Notes at 'Ca'
ML-FC COMMERCIAL: Fitch Downgrades Rating on 11 Note Classes
MLMT 2005-LC1: Moody's Lowers Rating of Class E Notes to 'Ba1'
MLMT 2005-MKB2: Moody's Reviews 'Ba3' Rating of Cl. F Notes
MORGAN STANLEY: Fitch Downgrades Rating on Eight Note Classes
MORGAN STANLEY: Fitch Downgrades Seven Certificate Classes
MORGAN STANLEY: Fitch Lowers Rating on Eight Note Classes to 'Dsf'
MORGAN STANLEY: S&P Withdraws 'CCC-' Class A Note Rating
MSC 2006-SRR2: S&P Lowers Ratings on 2 Classes of Notes to 'D'
N-STAR REAL: S&P Lowers Class D Note Rating From 'CCC+' to 'CC'
N-STAR REL: Moody's Affirms Rating of Cl. C Notes at 'Ba3'
N-STAR REL: Moody's Lowers Rating of Cl. A-2 Notes to 'Ba2'
NAVIGATOR CDO: Moody's Raises Rating of Class D Notes to 'Ba1'
NEWCASTLE CDO: Moody's Raises Rating of Cl.II-FL Notes to 'Ba3'
NICHOLAS-APPLEGATE: Moody's Raises Rating of Class B Notes to 'B1'
NYLIM FLATIRON: Moody's Raises Cl. D Notes Rating to Baa3 From Ba1
PRESBYTERIAN VILLAGES: Fitch Holds Rating on $30 Mil. Bonds at BB+
PRO RATA FUNDING: S&P Withdraws 'CCC-' Rating on Class D Notes
PSSA FLOATING: Moody's Reviews B3 Rating of Series 1998-1 Notes
RAIT CRE: Moody's Lowers Rating of Cl. B Notes to 'B1'
RAIT PREFERRED: Moody's Affirms Rating of Cl. B Notes at 'B2'
RESOURCE REAL: Moody's Affirms Rating of Cl. C Notes at 'Ba2'
RESOURCE REAL: Moody's Raises Rating of Cl. C Notes to 'Ba3'
SCSC 2004-CCF1: Moody's Affirms Rating of Cl. F Notes at 'Ba1'
SILVER CREEK: Moody's Raises Rating of Class B-1 Notes to 'Ba1'
SIX CENT: S&P Raises Rating on Class E Notes From 'B+' to 'BB'
SKYTOP CLO: Moody's Confirms Rating of Class C Notes at 'Caa1'
SORIN REAL: Moody's Affirms Rating of Cl. A-2 Notes at 'Caa1'
STONE TOWER: S&P Gives 'CCC+' Rating on Class D Notes
STRUCTURED INVESTMENTS: S&P Withdraws 'D' Rating on Notes
TARGETED RETURN: Moody's Raises Rating on Series HY-2006-1 to 'B1'
TERRA CDO: Moody's Raises Rating of Class A1 Notes to 'Caa3'
TIAA STRUCTURED: Moody's Lowers Rating of Class A-1 Notes to Caa2
TRAPEZA CDO: Moody's Raises Rating of Class B Notes to 'B2'
UBSC 2011-C1: Moody's Gives 'Ba2' Rating to Cl. F Notes
UNITED AIR LINES: Moody's Affirms Rating of Series 2007-1B at Ba2
VIRGIN ISLANDS: Fitch Puts Rating on $17 Million Bonds at 'BB'
WACHOVIA BANK 2007-C31: S&P Cuts 3 Cert. Classes Ratings to 'D'
WESTCHESTER CLO: S&P Raises Rating on Class C Notes From 'CCC+'
ZAIS INVESTMENT: Moody's Confirms Ba1 Rating of Type V Notes
* Fitch Sees Little Risk on CMBS From Closures of Sears & Kmart
* S&P Affirms Ratings on 211 US CMBS Classes From 19 Transactions
* S&P Lowers Ratings on 5 Tranches From US CDOs to 'D'
* S&P Lowers Ratings on 22 Classes from 15 1999-2007 RMBS Deals
* S&P Lowers Ratings on 53 Classes of Repackaged Securities
* S&P Lowers Ratings on 227 Classes from 44 US RMBS Transactions
* S&P Lowers Ratings on 253 Classes from US RMBS Transactions
* S&P Lowers Ratings on 388 Classes from 2000-2007 Transactions
* S&P Raises Ratings on 11 Tranches From Corp.-Backed CDO Deals
*********
1ST FINANCIAL: S&P Gives 'BB-p' Rating on Inter CCA Notes
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class B and C notes from four 1st Financial Credit Card Master
Note Trust II (FFCCMNT II) series. "Concurrently, we removed
these ratings from CreditWatch with negative implications,
where we placed them on Sept. 14, 2011. In addition, we affirmed
our ratings on the class A, D, and CCA (cash collateral account)
notes issued out of the same four FFCCMNT II series. FFCCMNT
II issuances are ABS securitizations backed by credit card
receivables conveyed to the trust that arise from designated
accounts selected from 1st Financial Bank USA's managed credit
card portfolio," S&P said.
"On Sept. 14, 2011, Standard & Poor's Ratings Services published
updated criteria for payment and purchase rate assumptions for
credit card ABS (see 'Revised Purchase And Payment Rate
Assumptions For U.S. Credit Card ABS'). Following the criteria
update, we placed our ratings on the downgraded classes on
CreditWatch negative to reflect our view of the potential ratings
impact from the criteria update," S&P said.
"With the application of our criteria, we believe that the credit
enhancement available for the class B and C notes in the affected
transactions is commensurate with the lowered ratings. The
affirmations of the ratings on the class A, D, and CCA notes
reflect our view of the adequate credit enhancement available in
the transactions to support the notes at their current rating
levels," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered And Removed From CreditWatch Negative
1st Financial Credit Card Master Note Trust II
Series 2010-A
Rating
Class To From
B A+ (sf) AA (sf)/Watch Neg
C A- (sf) A (sf)/Watch Neg
Series 2010-B
Rating
Class To From
B A+ (sf) AA (sf)/Watch Neg
C A- (sf) A (sf)/Watch Neg
Series 2010-C
Rating
Class To From
B AA- (sf) AA (sf)/Watch Neg
C A- (sf) A (sf)/Watch Neg
Series 2010-D
Rating
Class To From
B A+ (sf) AA (sf)/Watch Neg
C A- (sf) A (sf)/Watch Neg
Ratings Affirmed
1st Financial Credit Card Master Note Trust II
Series 2010-A
Class Rating
A AAA (sf)
D BBB- (sf)
Senior CCA BBp (sf)
Inter CCA BB-p (sf)
Series 2010-B
Class Rating
A AAA (sf)
D BBB- (sf)
Senior CCA BBp (sf)
Inter CCA BB-p (sf)
Series 2010-C
Class Rating
A AAA (sf)
D BBB- (sf)
Senior CCA BBp (sf)
Inter CCA BB-p (sf)
Series 2010-D
Class Rating
A AAA (sf)
D BBB- (sf)
Senior CCA BBp (sf)
Inter CCA BB-p (sf)
1ST FINANCIAL: S&P Rates Intermediate CCA Notes 'BB-p'
------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to 1st
Financial Credit Card Master Note Trust II's $130.3 million asset-
backed notes and cash collateral account (CCA) notes series 2011-
A.
The note issuance is an ABS securitization backed by credit card
receivables conveyed to the 1st Financial Credit Card Master Note
Trust II portfolio that arise from designated accounts selected
from 1st Financial Bank USA's managed credit card portfolio and
credit card receivables arising in designated MasterCard and VISA
revolving credit card accounts targeted to students who are
currently enrolled in, or who are recent graduates of, U.S.
colleges and universities.
The ratings reflect S&P's view of:
"The credit support for each class of notes -- 40.00% for
class A, 30.50% for class B, 19.75% for class C, 6.50% for
class D, 3.50% for the senior CCA, and 2.25% for the
intermediate CCA -- is sufficient to withstand the
simultaneous stresses we apply for each respective rating
category to our 9.0%-11.0% base-case loss rate assumption,
7.25%-9.25% base-case payment rate assumption, and 17.0%-19.0%
base-case yield assumption. In addition, we use 0% stressed
purchase rate for the 'AAA', 'AA', and 'A' rating categories,
0%-2% stressed purchase rate for the 'BBB' rating category,
and 0.5%-2.5% stressed purchase rate for the 'BB' rating
categories. In addition, we use stressed excess spread
assumptions to determine if the underlying credit support is
sufficient for each rating category. All of the stress
assumptions are based on our current criteria and assumptions
(see 'Revised Purchase And Payment Rate Assumptions For U.S.
Credit Card ABS,' published Sept. 14, 2011, and 'General
Methodology And Assumptions For Rating U.S. ABS Credit Card
Securitizations,' published April 19, 2010)," S&P said.
"Our expectation that under a moderate ('BBB') stress
scenario, all else being equal, our 'AAA (sf)' and 'AA- (sf)'
ratings on the class A and class B notes will remain within
one rating category of the assigned ratings in the next 12
months and our 'A- (sf)', 'BBB- (sf)', 'BBp (sf)/NRi', and
'BB-p (sf)/NRi' ratings on the class C and D notes and the
senior and intermediate CCA notes will remain within two
rating categories of the assigned ratings in the next 12
months based on our credit stability criteria (see
'Methodology: Credit Stability Criteria,' published May 3,
2010)," S&P said.
"Our view of the credit risk inherent in the collateral loan
pool quality, based on our economic forecast, the trust
portfolio's historical performance, the collateral
characteristics, and vintage performance data," S&P said.
"1st Financial Bank USA's servicing experience and our opinion
of the quality and consistency of its account origination,
underwriting, account management, collections, and general
operational practices," S&P said.
"Our expectation of the timely interest and ultimate principal
payments by the Jan. 15, 2020, final maturity date based on
stressed cash flow modeling scenarios using assumptions
commensurate with the assigned rating categories," S&P said.
The series 2011-A notes' underlying payment structure and cash
flow mechanics.
The transaction's legal structure.
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/1111341.pdf
Ratings Assigned
1st Financial Credit Card Master Note Trust II Series 2011-A
Class Rating(i) Maximum amount
($)
A AAA (sf) 83,125,500
B AA- (sf) 11,875,000
C A- (sf) 13,437,500
D BBB- (sf) 16,562,500
Senior CCA(ii) BBp (sf)/NRi(iii) 3,750,000
Intermediate CCA(ii) BB-p (sf)/NRi(iii) 1,562,500
Subordinate CCA NR 2,812,500
(i)All of the notes benefit from a spread account that traps
excess spread when the three-month average excess spread is
less than or equal to or less than 6.0%. (ii)The senior and
intermediate CCA notes are backed by the amounts on deposit
in the CCAs. (iii)The 'p' subscript indicates that the rating
addresses only the principal portion of the obligation.
CCA -- Cash collateral account.
NR -- Not rated.
ADJUSTABLE RATE: S&P Lowers Class 2-A-1-2 Rating to 'CCC'
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 36
classes from 11 U.S. residential mortgage-backed securities (RMBS)
resecuritized real estate mortgage investment conduit (re-REMIC)
transactions issued in 2003-2010, and removed eight of them from
CreditWatch negative. "In addition, we affirmed our ratings on 343
classes from seven transactions with lowered ratings and 22 other
transactions and removed five of them from CreditWatch negative.
We also withdrew our ratings on four classes from three
transactions that were paid in full, and on three other classes
from two transactions due to our IO criteria," S&P said.
All of the 35 reviewed transactions pay interest on a pro rata
basis, except for five, which pay interest sequentially.
"On Dec. 15, 2010, we placed our ratings on 13 classes from one
transaction, Deutsche Mortgage Securities REMIC Trust
Certificates, Series 2010-RS2, within this review on CreditWatch
negative, along with ratings from a group of other RMBS re-REMIC
securities (for more information, see 'S&P Corrects: 1,196
Ratings on 129 U.S. RMBS Re-REMIC Transactions Placed on
CreditWatch Negative'). Additionally, on April 1, 2011, we
provided an update on the CreditWatch placements and provided
clarification regarding our analysis of interest payment amounts
within re-REMIC transactions (see 'Standard & Poor's Provides
An Update On Outstanding RMBS Re-REMIC CreditWatch Placements And
Outlines Their Resolution')," S&P said.
"We intend our ratings on the re-REMIC classes to address the
timely payment of interest and ultimate payment of principal. We
reviewed the interest and principal amounts due on the underlying
securities, which are then passed through to the applicable re-
REMIC classes. When performing this analysis, we applied our
loss projections to the underlying collateral to identify the
principal and interest amounts that could be passed through from
the underlying securities under our rating scenario stresses. We
stressed our loss projections at various rating categories to
assess whether the re-REMIC classes could withstand the stressed
losses associated with their ratings while receiving timely
payment of interest and ultimate payment of principal," S&P said.
"In applying our loss projections we incorporated, where
applicable, our loss assumptions as outlined in 'Revised Lifetime
Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS Issued
In 2005-2007,' published on March 25, 2011, into our review. Such
updates pertain to the 2005-2007 vintage prime, subprime, and
Alternative-A (Alt-A) transactions; some of which are associated
with the re-REMICs we reviewed (see tables 1 and 2 for the overall
prior and revised vintage- and product-specific lifetime
loss projections as percentages of the original structure
balance)," S&P said.
Table 1
Lifetime Loss Projections For Prime And Subprime RMBS
(Percent of original balance)
Prime RMBS Subprime RMBS
Aggregate Aggregate
Vintage Updated Prior Updated Prior
2005 5.5 4.00 18.25 15.40
2006 9.25 6.60 38.25 35.00
2007 11.75 9.75 48.50 43.20
Table 2
Lifetime Loss Projections For Alternative-A RMBS
(Percent of original balance)
Fixed/
Aggregate long-reset
Vintage Updated Prior Updated Prior
2005 13.75 11.25 12.75 9.60
2006 29.50 26.25 25.25 25.00
2007 36.00 31.25 31.75 26.25
Short-reset
hybrid Option ARM
Vintage Updated Prior Updated Prior
2005 13.25 14.75 15.50 13.25
2006 30.00 30.50 34.75 26.75
2007 41.00 40.75 43.50 37.50
"We also based our downgrades on our assessment as to whether
there were interest shortfalls, as well as on our projections of
principal losses from the underlying securities that would impair
the re-REMIC classes at the applicable rating stresses," S&P said.
'In the Deutsche Mortgage Securities REMIC Trust Certificates
Series 2010-RS2 transaction, classes A2, A3, A4,and A5--which we
downgraded to 'BB+(sf)' -- had sufficient projected credit
enhancement to pay ultimate principal under our 'AAA' projected
loss stress, in our view. However, the downgrades reflect our
assessment of the impact of observed interest shortfalls that have
occurred over the previous 12 months, applying our criteria as
outlined in 'Methodology For Assessing the Impact of Interest
Shortfalls on U.S. RMBS,' published Sept. 23, 2011," S&P said.
"The affirmations reflect our assessment of the likelihood that
the re-REMIC classes will receive timely interest and the ultimate
payment of principal under the applicable stressed assumptions,"
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Adjustable Rate Mortgage Trust 2006-2A
Series 2006-2A
Rating
Class CUSIP To From
2-A-1-2 00703PAB0 CCC (sf) AAA (sf)
Alternative Loan Trust Resecuritization 2008-1R
Series 2008-1R
Rating
Class CUSIP To From
1-A-1 02152LAA3 CC (sf) B- (sf)
2-A-1 02152LAC9 CC (sf) CCC (sf)
2-A-2 02152LAD7 CC (sf) CCC (sf)
2-A-3 02152LAF2 CC (sf) CCC (sf)
BCAP 2006-RR1
Series 2006-RR1
Rating
Class CUSIP To From
PB 05529HAB9 NR AAA (sf)
BCAP LLC 2010-RR3 Trust
Series 2010-RR3
Rating
Class CUSIP To From
IV-A7 05532WBU8 CCC (sf) BBB (sf)
IV-A1 05532WBN4 A- (sf) AAA (sf)
IV-A9 05532WBW4 BBB- (sf) AA (sf)
IV-A5 05532WBS3 BB- (sf) A (sf)
IV-A10 05532WBX2 BB- (sf) A (sf)
IV-A11 05532WBY0 CCC (sf) BBB (sf)
IV-A3 05532WBQ7 BBB- (sf) AA (sf)
IV-A8 05532WBV6 CCC (sf) BBB (sf)
Bear Stearns ARM Trust 2003-2
Series 2003-2
Rating
Class CUSIP To From
X 07384MTE2 NR AAA (sf)
Bear Stearns Structured Products Inc. Trust 2008-R1
Series 2008-R1
Rating
Class CUSIP To From
A-1 07402WAA6 CC (sf) B (sf)
A-2 07402WAB4 CC (sf) CCC (sf)
Citigroup Mortgage Loan Trust 2008-RR1
Series 2008-RR1
Rating
Class CUSIP To From
A-1A1 173145AA1 CCC (sf) BBB (sf)
A-1A2 173145AB9 CC (sf) CCC (sf)
Citigroup Mortgage Loan Trust 2009-11
Series 2009-11
Rating
Class CUSIP To From
9A1D 17314QCC9 NR AAA (sf)
1A2 17314QAB3 B+ (sf) BBB (sf)
9A1B 17314QCA3 NR AAA (sf)
5A2 17314QAT4 CCC (sf) A (sf)
6A2 17314QAZ0 CC (sf) CCC (sf)
CMO Holdings III Ltd.
Series 2006-14
Rating
Class CUSIP To From
II-A-1 125879SV9 CC (sf) CCC (sf)
II-A-2 125879SW7 CC (sf) CCC (sf)
CSMC Series 2010-3R, Ltd.
Series 2010-3R
Rating
Class CUSIP To From
2-A-11 12643HAU4 BBB (sf) A (sf)
2-A-3 12643HAL4 BBB (sf) A (sf)
2-A-4 12643HAM2 B- (sf) BBB (sf)
2-A-12 12643HAV2 B- (sf) BBB (sf)
Deutsche Mortgage Securities, Inc. REMIC Trust Certificates,
Series 2010-RS2
Series 2010-RS2
Rating
Class CUSIP To From
A7A 25158KAX0 B (sf) B (sf)/Watch Neg
A7 25158KAH5 B (sf) B (sf)/Watch Neg
A1 25158KAA0 AAA (sf) AAA (sf)/Watch Neg
A5A 25158KAT9 BB+ (sf) BBB (sf)/Watch Neg
A2A 25158KAM4 BB+ (sf) AAA (sf)/Watch Neg
A2 25158KAC6 BB+ (sf) AAA (sf)/Watch Neg
A6 25158KAG7 BB (sf) BB (sf)/Watch Neg
A3 25158KAD4 BB+ (sf) AA (sf)/Watch Neg
A4A 25158KAR3 BB+ (sf) A (sf)/Watch Neg
A6A 25158KAV4 BB (sf) BB (sf)/Watch Neg
A4 25158KAE2 BB+ (sf) A (sf)/Watch Neg
A5 25158KAF9 BB+ (sf) BBB (sf)/Watch Neg
A3A 25158KAP7 BB+ (sf) AA (sf)/Watch Neg
GSMSC Pass Through Trust 2008-1R
Series 2008-1R
Rating
Class CUSIP To From
A1 362528AA9 CCC (sf) B- (sf)
Morgan Stanley Re-REMIC Trust 2010-R2
Series 2010-R2
Rating
Class CUSIP To From
1-B 61758VAL1 BB- (sf) BBB (sf)
Structured Asset Securities Corporation Pass Through Certificates
Series
2006-12
Series 2006-12
Rating
Class CUSIP To From
AXPI 86362AAA6 NR AAA (sf)
AXPR 86362AAB4 NR AAA (sf)
Structured Asset Securities Corporation Trust 2007-8
Series 2007-8
Rating
Class CUSIP To From
AXP 863624AA0 NR AAA (sf)
RATINGS AFFIRMED
Adjustable Rate Mortgage Trust 2006-2A
Series 2006-2A
Class CUSIP Rating
2-A-1-1 00703PAA2 AAA (sf)
Alternative Loan Trust Resecuritization 2003-23T2R
Series 2003-61R
Class CUSIP Rating
A-1 12669FJP9 AAA (sf)
A-2 12669FJQ7 AAA (sf)
A-3 12669FJR5 AAA (sf)
A-4 12669FJS3 AAA (sf)
A-9 12669FJX2 AAA (sf)
A-10 12669FJY0 AAA (sf)
Alternative Loan Trust Resecuritization 2005-5R
Series 2005-5R
Class CUSIP Rating
A-1 12667FW27 AAA (sf)
A-2 12667FW35 AAA (sf)
A-3 12667FW43 AAA (sf)
A-4 12667FW50 AAA (sf)
A-R 12667FW68 AAA (sf)
Banc of America Funding 2010-R1 Trust
Series 2010-R1
Class CUSIP Rating
1-A-4 05955VAH8 BBB (sf)
1-A-IO 05955VAF2 AAA (sf)
1-A-1 05955VAA3 AAA (sf)
1-A-9 05955VAN5 AA (sf)
1-A-6 05955VAK1 AAA (sf)
1-A-7 05955VAL9 BBB (sf)
1-A-2 05955VAB1 AA (sf)
1-A-3 05955VAG0 A (sf)
1-A-8 05955VAM7 A (sf)
BCAP 2006-RR1
Series 2006-RR1
Class CUSIP Rating
PC 05529HAC7 AAA (sf)
PD 05529HAD5 AAA (sf)
PE 05529HAE3 AAA (sf)
BCAP LLC 2010-RR3 Trust
Series 2010-RR3
Class CUSIP Rating
I-A3 05532WAC9 AA (sf)
XIII-A12 05532WGM1 BBB (sf)
XIII-A11 05532WGL3 A (sf)
XIV-A1 05532WGN9 AAA (sf)
XII-A5 05532WFS9 A (sf)
X-A11 05532WEY7 BBB (sf)
IX-A3 05532WEC5 AA (sf)
III-A10 05532WBK0 A (sf)
VIII-A11 05532WDY8 BBB (sf)
II-A11 05532WAY1 BBB (sf)
VIII-A8 05532WDV4 BBB (sf)
I-A8 05532WAH8 BBB (sf)
III-A9 05532WBJ3 AA (sf)
XIII-A10 05532WGK5 AA (sf)
V-A3 05532WCC7 AA (sf)
XIII-A1 05532WGA7 AAA (sf)
IX-A9 05532WEJ0 AA (sf)
V-A1 05532WCA1 AAA (sf)
III-A8 05532WBH7 BBB (sf)
II-A3 05532WAQ8 AA (sf)
III-A5 05532WBE4 A (sf)
XV-A4 05532WHU2 BBB (sf)
XII-A10 05532WFX8 A (sf)
V-A5 05532WCE3 A (sf)
III-A1 05532WBA2 AAA (sf)
X-A7 05532WEU5 BBB (sf)
V-A10 05532WCK9 A (sf)
V-A9 05532WCJ2 AA (sf)
XI-A7 05532WFG5 BBB (sf)
VIII-A10 05532WDX0 A (sf)
V-A8 05532WCH6 BBB (sf)
VII-A7 05532WDG7 BBB (sf)
XIV-A11 05532WGZ2 BBB (sf)
X-A10 05532WEX9 A (sf)
V-A11 05532WCL7 BBB (sf)
VII-A9 05532WDJ1 AA (sf)
X-A3 05532WEQ4 AA (sf)
XI-A9 05532WFJ9 AA (sf)
III-A7 05532WBG9 BBB (sf)
VIII-A1 05532WDN2 AAA (sf)
XII-A3 05532WFQ3 AA (sf)
XV-2A2 05532WHN8 A (sf)
XV-1A1 05532WHH1 AAA (sf)
II-A1 05532WAN5 AAA (sf)
XIV-A8 05532WGW9 BBB (sf)
VII-A3 05532WDC6 AA (sf)
VI-A1 05532WCN3 AAA (sf)
VII-A10 05532WDK8 A (sf)
VII-A11 05532WDL6 BBB (sf)
X-A5 05532WES0 A (sf)
II-A7 05532WAU9 BBB (sf)
XV-1A2 05532WHJ7 A (sf)
XIII-A5 05532WGE9 A (sf)
XII-A11 05532WFY6 BBB (sf)
XI-A11 05532WFL4 BBB (sf)
VII-A8 05532WDH5 BBB (sf)
VIII-A9 05532WDW2 AA (sf)
XII-A1 05532WFN0 AAA (sf)
XIV-A9 05532WGX7 AA (sf)
XIV-A3 05532WGQ2 AA (sf)
XV-A2 05532WHS7 A (sf)
IX-A7 05532WEG6 BBB (sf)
VII-A5 05532WDE2 A (sf)
XII-A8 05532WFV2 BBB (sf)
III-A3 05532WBC8 AA (sf)
VI-A8 05532WCV5 BBB (sf)
XI-A1 05532WFA8 AAA (sf)
XII-A7 05532WFU4 BBB (sf)
VI-A11 05532WCY9 BBB (sf)
I-A9 05532WAJ4 AA (sf)
X-A9 05532WEW1 AA (sf)
XV-A3 05532WHT5 A (sf)
IX-A10 05532WEK7 A (sf)
VI-A10 05532WCX1 A (sf)
IX-A11 05532WEL5 BBB (sf)
IX-A1 05532WEA9 AAA (sf)
II-A5 05532WAS4 A (sf)
XIV-A7 05532WGV1 BBB (sf)
XI-A10 05532WFK6 A (sf)
I-A10 05532WAK1 A (sf)
I-A7 05532WAG0 BBB (sf)
VIII-A3 05532WDQ5 AA (sf)
XIII-A8 05532WGH2 BBB (sf)
I-A5 05532WAE5 A (sf)
VI-A5 05532WCS2 A (sf)
I-A1 05532WAA3 AAA (sf)
XV-2A1 05532WHM0 AAA (sf)
II-A10 05532WAX3 A (sf)
V-A7 05532WCG8 BBB (sf)
XV-1A3 05532WHK4 BBB (sf)
II-A9 05532WAW5 AA (sf)
VI-A9 05532WCW3 AA (sf)
XIII-A7 05532WGG4 BBB (sf)
XII-A9 05532WFW0 AA (sf)
VII-A1 05532WDA0 AAA (sf)
II-A8 05532WAV7 BBB (sf)
X-A8 05532WEV3 BBB (sf)
VI-A3 05532WCQ6 AA (sf)
XV-A1 05532WHR9 AAA (sf)
XIV-A10 05532WGY5 A (sf)
X-A1 05532WEN1 AAA (sf)
VI-A7 05532WCU7 BBB (sf)
III-A11 05532WBL8 BBB (sf)
XI-A8 05532WFH3 BBB (sf)
I-A11 05532WAL9 BBB (sf)
XIII-A3 05532WGC3 AA (sf)
VIII-A7 05532WDU6 BBB (sf)
XIII-A9 05532WGJ8 BBB (sf)
XI-A3 05532WFC4 AA (sf)
IX-A5 05532WEE1 A (sf)
XI-A5 05532WFE0 A (sf)
XIV-A5 05532WGS8 A (sf)
VIII-A5 05532WDS1 A (sf)
IX-A8 05532WEH4 BBB (sf)
XV-2A3 05532WHP3 BBB (sf)
Bear Stearns ARM Trust 2003-2
Series 2003-2
Class CUSIP Rating
A-5 07384MTD4 AAA (sf)
Bear Stearns Structured Products Inc.
Series PRIME R1
Class CUSIP Rating
A-1 07383UHH1 AAA (sf)
A-2 07383UHJ7 AAA (sf)
A-7 07383UHP3 AAA (sf)
Citigroup Mortgage Loan Trust 2009-11
Series 2009-11
Class CUSIP Rating
6A1A 17314QBA4 AAA (sf)
8A1 17314QBR7 AAA (sf)
7A1E 17314QBM8 AAA (sf)
6A1D 17314QBD8 AAA (sf)
8A2 17314QBS5 A (sf)
7A1D 17314QBL0 AAA (sf)
7A1B 17314QBJ5 AAA (sf)
7A1H 17314QBQ9 AAA (sf)
8A1A 17314QBT3 AAA (sf)
7A1 17314QBE6 AAA (sf)
5A1B 17314QAV9 AAA (sf)
6A1C 17314QBC0 AAA (sf)
7A1F 17314QBN6 AAA (sf)
8A1B 17314QBU0 AAA (sf)
6A1B 17314QBB2 AAA (sf)
5A1D 17314QAX5 AAA (sf)
8A1D 17314QBW6 AAA (sf)
5A1A 17314QAU1 AAA (sf)
7A1A 17314QBH9 AAA (sf)
8A1C 17314QBV8 AAA (sf)
7A1C 17314QBK2 AAA (sf)
5A1C 17314QAW7 AAA (sf)
1A1 17314QAA5 AAA (sf)
6A1 17314QAY3 AAA (sf)
5A1 17314QAS6 AAA (sf)
7A1G 17314QBP1 AAA (sf)
Citigroup Mortgage Loan Trust Inc.
Series 2004-RR1
Class CUSIP Rating
IA-1 17307GDT2 AAA (sf)
XS-1 17307GDV7 AAA (sf)
IA-2 17307GDU9 AAA (sf)
IIA-1 17307GDX3 AAA (sf)
XS-2 17307GDW5 AAA (sf)
IIA-2 17307GDY1 AAA (sf)
Citigroup Mortgage Loan Trust Inc.
Series 2004-RR2
Class CUSIP Rating
A-1 17307GFL7 AAA (sf)
A-2 17307GFM5 AAA (sf)
A-3 17307GFN3 AAA (sf)
CMO Holdings III Ltd.
Series 2006-14
Class CUSIP Rating
I-A-2 125879SU1 B- (sf)
CSMC Series 2009-5R
Series 2009-5R
Class CUSIP Rating
2-A-33 12641TBX3 AAA (sf)
3-A-8 12641TCJ3 AAA (sf)
3-A-1 12641TCB0 AAA (sf)
2-A-9 12641TAX4 AAA (sf)
2-A-18 12641TBG0 AAA (sf)
2-A-23 12641TBM7 AAA (sf)
1-A-1 12641TAA4 AAA (sf)
3-A-3 12641TCD6 AAA (sf)
1-A-7 12641TAG1 AAA (sf)
2-A-1 12641TAQ9 AAA (sf)
2-A-6 12641TFZ4 AAA (sf)
2-A-2 12641TAR7 AAA (sf)
1-A-10 12641TAK2 AAA (sf)
2-A-19 12641TBH8 AAA (sf)
2-A-8 12641TAW6 AAA (sf)
2-A-10 12641TAY2 AAA (sf)
2-A-22 12641TBL9 AAA (sf)
1-A-4 12641TAD8 AAA (sf)
1-A-8 12641TAH9 AAA (sf)
1-A-9 12641TAJ5 AAA (sf)
2-A-14 12641TBC9 AAA (sf)
1-A-3 12641TAC0 AAA (sf)
2-A-20 12641TBJ4 AAA (sf)
1-A-5 12641TAE6 AAA (sf)
2-A-7 12641TAV8 AAA (sf)
3-A-4 12641TCE4 AAA (sf)
2-A-15 12641TBD7 AAA (sf)
2-A-35 12641TBZ8 AAA (sf)
3-A-6 12641TCG9 AAA (sf)
2-A-17 12641TBF2 AAA (sf)
3-A-7 12641TCH7 AAA (sf)
4-A-1 12641TCN4 AAA (sf)
1-A-6 12641TAF3 AAA (sf)
2-A-21 12641TBK1 AAA (sf)
3-A-5 12641TCF1 AAA (sf)
2-A-5 12641TAU0 AAA (sf)
2-A-29 12641TBT2 AAA (sf)
2-A-16 12641TBE5 AAA (sf)
4-A-3 12641TCQ7 AAA (sf)
2-A-31 12641TBV7 AAA (sf)
CSMC Series 2010-3R, Ltd.
Series 2010-3R
Class CUSIP Rating
1-A-6 12643HAF7 AAA (sf)
2-A-2 12643HAK6 AA (sf)
2-A-10 12643HAT7 AA (sf)
1-A-9 12643HCE8 AAA (sf)
1-A-1 12643HAA8 AAA (sf)
2-A-1 12643HAJ9 AAA (sf)
1-A-5 12643HAE0 AAA (sf)
1-A-4 12643HAD2 AAA (sf)
Fannie Mae Grantor Trust 2004-T5
Series 2004-T5
Class CUSIP Rating
A-1 31394AXN1 AAA (sf)
A-2A 31394AXQ4 AAA (sf)
A-2B 31394AXR2 AAA (sf)
A-3B 31394AXU5 AAA (sf)
A-3C 31394AXV3 AAA (sf)
A-4 31394AXX9 AAA (sf)
A-7 31394AYD2 AAA (sf)
A-9A 31394AYH3 AAA (sf)
A-9B 31394AYJ9 AAA (sf)
A-9C 31394AYK6 AAA (sf)
A-11 31394AYP5 AAA (sf)
A-12 31394AYQ3 AAA (sf)
A-13 31394AYR1 AAA (sf)
AB-1 31394AXP6 AAA (sf)
AB-2A AAA (sf)
AB-2B AAA (sf)
AB-3A AAA (sf)
AB-3B AAA (sf)
AB-3C AAA (sf)
AB-4 31394AXY7 AAA (sf)
AB-7 31394AYE0 AAA (sf)
AB-9A AAA (sf)
AB-9B AAA (sf)
AB-9C AAA (sf)
GMACM Mortgage Loan Trust 2004-JR1
Series 2004-JR1
Class CUSIP Rating
A-2 36185NR44 AAA (sf)
A-3 36185NR51 AAA (sf)
A-4 36185NR69 AAA (sf)
A-5 36185NR77 AAA (sf)
A-6 36185NR85 AAA (sf)
A-7 36185NR93 AAA (sf)
A-8 36185NS27 AAA (sf)
A-9 36185NS35 AAA (sf)
A-10 36185NS43 AAA (sf)
A-11 36185NS50 AAA (sf)
A-12 36185NS68 AAA (sf)
A-13 36185NS76 AAA (sf)
J.P. Morgan Resecuritization Trust, Series 2010-1
Series 2010-1
Class CUSIP Rating
4-A-3 46634DBG2 A (sf)
4-A-6 46634DBK3 A (sf)
5-A-2 46634DBT4 AA (sf)
4-A-2 46634DBF4 AA (sf)
5-A-1 46634DBS6 AAA (sf)
5-A-5 46634DBW7 AA (sf)
5-A-6 46634DBX5 A (sf)
5-A-13 46634DCE6 AAA (sf)
5-A-3 46634DBU1 A (sf)
4-A-5 46634DBJ6 AA (sf)
4-A-1 46634DBE7 AAA (sf)
MASTR Seasoned Securitization Trust 2004-2
Series 2004-2
Class CUSIP Rating
A-1 55265WCA9 AAA (sf)
A-2 55265WCB7 AAA (sf)
A-3 55265WCC5 AAA (sf)
PO 55265WCD3 AAA (sf)
Morgan Stanley Re-REMIC Trust 2010-R1
Series 2010-R1
Class CUSIP Rating
2-B 61758QAH1 BBB (sf)
1-A2 61758QAC2 AAA (sf)
3-A 61758QAK4 AAA (sf)
3-A1 61758QAL2 AAA (sf)
3-A2 61758QAM0 AAA (sf)
1-A 61758QAA6 AAA (sf)
2-A1 61758QAF5 AAA (sf)
2-A2 61758QAG3 AAA (sf)
3-B 61758QAN8 BBB (sf)
1-A1 61758QAB4 AAA (sf)
1-B 61758QAD0 BBB (sf)
2-A 61758QAE8 AAA (sf)
Morgan Stanley Re-REMIC Trust 2010-R2
Series 2010-R2
Class CUSIP Rating
3-A2 61758VAK3 AAA (sf)
1-A2 61758VAC1 AAA (sf)
2-A 61758VAD9 AAA (sf)
3-A 61758VAH0 AAA (sf)
1-A1 61758VAB3 AAA (sf)
2-A3 61758VAG2 AAA (sf)
3-B1 61758VAP2 BBB (sf)
2-A2 61758VAF4 AAA (sf)
3-A1 61758VAJ6 AAA (sf)
2-A1 61758VAE7 AAA (sf)
2-B 61758VAM9 BBB (sf)
1-A 61758VAA5 AAA (sf)
RALI Series 2003-QR13 Trust
Series 2003-QR13
Class CUSIP Rating
A-1 76110HKB4 AAA (sf)
A-3 76110HKD0 AAA (sf)
A-4 76110HKE8 AAA (sf)
RALI Series 2003-QR19 Trust
Series 2003-QR19
Class CUSIP Rating
CB-3 76110HLF4 AAA (sf)
CB-4 76110HLG2 AAA (sf)
RALI Series 2003-QR24 Trust
Series 2003-QR24
Class CUSIP Rating
A-3 76110HMP1 AAA (sf)
A-4 76110HMQ9 AAA (sf)
A-5 76110HMR7 AAA (sf)
A-6 76110HMS5 AAA (sf)
A-7 76110HMT3 AAA (sf)
RALI Series 2005-QR1 Trust
Series 2005-QR1
Class CUSIP Rating
A 76110HT41 AAA (sf)
Residential Asset Securitization Trust 2004-R1
Series 2004-R1
Class CUSIP Rating
A-2 45660NYY5 AAA (sf)
A-3 45660NYZ2 AAA (sf)
A-4 45660NZA6 AAA (sf)
A-6 45660NZC2 AAA (sf)
RFMSI Series 2004-SR1 Trust
Series 2004-SR1
Class CUSIP Rating
A-3 76111XKY8 AAA (sf)
A-4 76111XKZ5 AAA (sf)
A-5 76111XLA9 AAA (sf)
WaMu Mortgage Pass-Through Certificates Series 2004-RS1 Trust
Series 2004-RS1
Class CUSIP Rating
A-1 92922FML9 AAA (sf)
A-2 92922FMM7 AAA (sf)
A-3 92922FMN5 AAA (sf)
A-4 92922FMP0 AAA (sf)
A-5 92922FMQ8 AAA (sf)
A-6 92922FMR6 AAA (sf)
A-10 92922FMV7 AAA (sf)
A-11 92922FMW5 AAA (sf)
A-12 92922FMX3 AAA (sf)
A-13 92922FMY1 AAA (sf)
A-14 92922FMZ8 AAA (sf)
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 Trust
Series 2004-RS2
Class CUSIP Rating
A-1 92922FPE2 AAA (sf)
A-2 92922FPF9 AAA (sf)
A-3 92922FPG7 AAA (sf)
A-4 92922FPH5 AAA (sf)
A-5 92922FPJ1 AAA (sf)
A-6 92922FPK8 AAA (sf)
A-7 92922FPL6 AAA (sf)
ACAS CLO: S&P Raises Rating on Class D Notes From 'BB' to 'BB'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the
class A-2, B, C, and D notes from ACAS CLO 2007-1 Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
American Capital Asset Management LLC. "We also affirmed our
ratings on the class A-1-S, A-1-J, and A-1 notes," S&P said.
"The upgrades reflect improvement in the credit quality and
performance of the assets in the deal's underlying asset
portfolio since we last downgraded the notes on Nov. 9, 2009.
As of the Dec. 8, 2011, trustee report, the transaction had
no defaulted assets, compared with $3.7 million noted in the
Sept. 9, 2009, trustee report, which we referenced for our
November 2009 rating actions. The December trustee report noted
that the transaction had a weighted average spread of 3.46%,
compared with 3.39% reported in September 2009, and contrasted
with a trigger of 3.1%," S&P said.
The affirmations reflect the credit support available to the class
A-1-S, A-1-J, and A-1 notes at the current rating levels.
The transaction has also benefited from a modest increase in the
overcollateralization (O/C) available to support the rated notes.
The trustee reported these O/C ratios in the Dec. 8, 2011, monthly
report:
The class A-2 O/C ratio was 127.44%, compared with a reported
ratio of 127.26% in September 2009;
The class B O/C ratio was 118.85%, compared with a reported
ratio of 118.69% in September 2009;
The class C O/C ratio was 111.67%, compared with a reported
ratio of 111.52% in September 2009; and
The class D O/C ratio was 106.9%, compared with a reported
ratio of 106.75% in September 2009.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
ACAS CLO 2007-1 Ltd.
Rating
Class To From
A-2 AA+ (sf) AA- (sf)
B A+ (sf) A- (sf)
C BBB+ (sf) BBB- (sf)
D BB+ (sf) BB (sf)
Ratings Affirmed
ACAS CLO 2007-1 Ltd.
Class Rating
A-1-S AAA (sf)
A-1-J AA+ (sf)
A-1 AA+ (sf)
Transaction Information
Issuer: ACAS CLO 2007-1 Ltd.
Coissuer: ACAS CLO 2007-1 Corp.
Collateral manager: American Capital Asset Management LLC
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
AMMC CLO IX: S&P Gives 'BB' Rating on Class E Deferrable Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to AMMC
CLO IX Ltd./AMMC CLO IX Corp.'s $408.5 million floating-rate
notes.
The note issuance is a CLO securitization backed by a revolving
pool consisting primarily of broadly syndicated senior secured
loans.
The ratings reflect S&P's view of:
The credit enhancement provided to the 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
(excluding excess spread) and cash flow structure, which can
withstand the default rate projected by Standard & Poor's CDO
Evaluator model, as assessed by Standard & Poor's using the
assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria (see 'Update To
Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs,' published Sept. 17, 2009)," S&P said.
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 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 0.35%-13.84%," 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
subordinated portfolio manager fees, uncapped administrative
expenses and fees, portfolio manager incentive fees, and
payments to the subordinated notes.
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/1111280.pdf
Ratings Assigned
AMMC CLO IX Ltd./AMMC CLO IX Corp.
Class Rating Amount
(mil. $)
A AAA (sf) 290.0
B AA (sf) 43.0
C-1 (deferrable) A (sf) 17.5
C-2 (deferrable) A (sf) 17.5
D (deferrable) BBB (sf) 19.5
E (deferrable) BB (sf) 21.0
Subordinated notes NR 41.5
NR -- Not rated.
ANTHRACITE CDO: S&P Affirms 'B-' Class F Note Rating; Off Watch
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A, B, B-FL, C, C-FL, D, D-FL, E, E-FL, and F notes from
Anthracite CDO I Ltd., a U.S. collateralized debt obligation
(CDO) transaction managed by Blackrock Financial Management Inc.
"At the same time, we removed our ratings on the class C, C-FL,
D, D-FL, E, E-FL, and F notes from CreditWatch with negative
implications, where we placed them on Oct. 6, 2011," S&P said.
"We affirmed our ratings on all of the notes to reflect our belief
that the credit support available is commensurate with the current
ratings," S&P said.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Anthracite CDO I Ltd.
Rating
Class To From
C AA (sf) AA (sf)/Watch Neg
C-FL AA (sf) AA (sf)/Watch Neg
D A- (sf) A- (sf)/Watch Neg
D-FL A- (sf) A- (sf)/Watch Neg
E BBB- (sf) BBB- (sf)/Watch Neg
E-FL BBB- (sf) BBB- (sf)/Watch Neg
F B- (sf) B- (sf)/Watch Neg
Ratings Affirmed
Anthracite CDO I Ltd.
Class Rating
A AAA (sf)
B AA+ (sf)
B-FL AA+ (sf)
ANTHRACITE CDO: S&P Lowers Ratings on 2 Classes of Notes to 'CC'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of notes from Anthracite CDO III Ltd., a collateralized
debt obligation (CDO) collateralized by commercial mortgage-backed
securities (CMBS). "At the same time, we affirmed the rating on
the class A note and removed all nine classes from CreditWatch
with negative implications. Simultaneously, we affirmed the
ratings on the class F, G, and H notes," S&P said.
"The downgrades mainly reflect the decrease in the
overcollateralization (O/C) ratios due to an increase in the
defaults. Based on the November 2011 trustee report, the
transaction has $98 million in defaults, up from $83 million in
April 2011 that we referenced for our May 2011 rating actions,"
S&P said.
The trustee reported the O/C ratios in the November 2011 report:
The class C O/C ratio was 123.51%, compared with a reported
ratio of 134.2% in April 2011;
The class D O/C ratio was 109.58%, compared with a reported
ratio of 120.5% in April 2011;
The class E O/C ratio was 93.07%, compared with a reported
ratio of 104.19% in April 2011;
The class F O/C ratio was 85.07%, compared with a reported
ratio of 96.10% in April 2011; and
The class G O/C ratio was 82.74%, compared with a reported
ratio of 93.67% in April 2011.
"The class C O/C ratio is now failing (minimum requirement --
130.90%) and as result, the class D notes have started to defer
their interest. Due to the decline in their credit support, we
downgraded all classes below class A," S&P said.
"The class A balance continues to decline due to paydowns. The
balance as per the November 2011 trustee report is $122.38 million
-- 57.63% of the original balance -- down from $142.62 million in
April 2011. We affirmed the rating on the class A note based on
its existing credit support. We affirmed the ratings on classes F,
G, and H at 'CC (sf)' due to the classes' existing credit
support," 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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Affirmed And Removed From Creditwatch Negative
Anthracite CDO III Ltd.
Rating
Class To From
A A+ (sf) A+ (sf)/Watch Neg
Rating And Creditwatch Actions
Anthracite CDO III Ltd.
Rating
Class To From
BFX BB (sf) BBB+ (sf)/Watch Neg
BFL BB (sf) BBB+ (sf)/Watch Neg
CFX B- (sf) BB+ (sf)/Watch Neg
CFL B- (sf) BB+ (sf)/Watch Neg
DFX CCC- (sf) B+ (sf)/Watch Neg
DFL CCC- (sf) B+ (sf)/Watch Neg
EFX CC (sf) CCC- (sf)/Watch Neg
EFL CC (sf) CCC- (sf)/Watch Neg
Ratings Affirmed
Anthracite CDO III Ltd.
Class Rating
F CC (sf)
G CC (sf)
H CC (sf)
APHEX CAPITAL 2006-1: S&P Withdraws 'B-' Series 2006-1 Note Rating
------------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
notes from Aphex Capital NSCR Ltd.'s series 2006-1, 2007-6, and
2007-7FL, U.S. synthetic collateralized debt obligations (CDO)
transactions backed by commercial mortgage-backed securities
(CMBS).
"The withdrawals follow the complete redemption of the series
notes pursuant to redemption notices we received Dec. 12, 2011,"
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Withdrawn
Aphex Capital NSCR 2006-1 Ltd.
Series 2006-1
Rating
Class To From
Notes NR B- (sf)
Aphex Capital NSCR 2007-6 Ltd.
Series 2007-6
Rating
Class To From
A-1 NR CC (sf)
A-2 NR CC (sf)
B NR CC (sf)
C-FL NR CC (sf)
C-FX NR CC (sf)
Aphex Capital NSCR 2007-7FL Ltd.
Series 2007-7FL
Rating
Class To From
A NR CC (sf)
B NR CC (sf)
C NR CC (sf)
NR -- Not rated.
APIDOS CDO: S&P Puts 'B+' Rating on Class D on Watch Positive
-------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 308
tranches from 71 U.S. collateralized debt obligation (CDO)
transactions on CreditWatch with positive implications. "At the
same time, we placed our ratings on six tranches from two U.S.
CDO transactions on CreditWatch with negative implications,"
S&P said.
The tranches with ratings placed on CreditWatch positive are from
CDO transactions backed by securities from corporate obligors.
These tranches had an original issuance amount of $17.37 billion.
Most of the CreditWatch positive placements affect collateralized
loan obligations (CLOs) and reflect the continued improvement in
the credit quality of the underlying obligors. This improvement
included a reduced level of defaults that the portfolios hold due
to a continued benign corporate credit environment. Even though
the default rate in the S&P/LSTA Leveraged Loan Index increased
marginally to 0.23% in early December from a low of 0.17% observed
during November, a recent S&P Loan Commentary Data (LCD) report
notes that the rate is still significantly lower than default
rates of 1.87% observed at the end of 2010 and a fraction of
10.81% observed in November 2009.
"We placed our ratings on six tranches from two CDO transactions
on CreditWatch with negative implications due to deterioration in
the credit quality of each transaction's portfolio. Muzinich CBO
II Ltd. is a CDO backed by corporate bonds and Premium Loan Trust
I Ltd. is a corporate loan CLO. The CreditWatch negative
placements reflect the deterioration in the credit quality of the
securities held by these two transactions. The tranches with
ratings placed on CreditWatch negative had an original issuance
amount of $0.0878 billion," S&P said.
"We will resolve the CreditWatch placements after we complete a
comprehensive cash flow analysis and committee review for each of
the affected transactions. We expect to resolve these CreditWatch
placements within 90 days. We will continue to monitor the CDO
transactions we rate and take rating actions, including
CreditWatch placements, as we deem appropriate," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Placed On CreditWatch Positive
Apidos CDO III Ltd.
Rating
Class To From
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Apidos CDO IV
Rating
Class To From
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Apidos Cinco CDO
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2b AA (sf)/Watch Pos AA (sf)
A-3 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Ares Enhanced Loan Investment Strategy IR Ltd.
Rating
Class To From
B-1 A- (sf)/Watch Pos A- (sf)
B-2 A- (sf)/Watch Pos A- (sf)
C BBB (sf)/Watch Pos BBB (sf)
Ares IIR CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D-1 BBB (sf)/Watch Pos BBB (sf)
D-2 BBB (sf)/Watch Pos BBB (sf)
Ares VR CLO Ltd.
Rating
Class To From
A-1 A+ (sf)/Watch Pos A+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
A-3 A+ (sf)/Watch Pos A+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Armstrong Loan Funding Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D A+ (sf)/Watch Pos A+ (sf)
Avery Point CLO Ltd.
Rating
Class To From
C-1 AA- (sf)/Watch Pos AA- (sf)
C-2 AA- (sf)/Watch Pos AA- (sf)
D-1 BBB+ (sf)/Watch Pos BBB+ (sf)
D-2 BBB+ (sf)/Watch Pos BBB+ (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
Ballyrock CLO III Ltd.
Rating
Class To From
B AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Black Diamond CLO 2006-1 (Luxembourg) S.A.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
BlackRock Senior Income Series II
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D-1 CCC+ (sf)/Watch Pos CCC+ (sf)
D-2 CCC+ (sf)/Watch Pos CCC+ (sf)
Bridgeport CLO II Ltd.
Rating
Class To From
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D BB (sf)/Watch Pos BB (sf)
Callidus Debt Partners CLO Fund V Ltd.
Rating
Class To From
A-1A AA+ (sf)/Watch Pos AA+ (sf)
A-1B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
B A- (sf)/Watch Pos A- (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D BB (sf)/Watch Pos BB (sf)
Callidus Debt Partners CLO Fund IV Ltd.
Rating
Class To From
A-2 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D BB (sf)/Watch Pos BB (sf)
Camulos Loan Vehicle I Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BBB (sf)/Watch Pos BBB (sf)
E BB (sf)/Watch Pos BB (sf)
Cannington Fdg Ltd.
Rating
Class To From
B A- (sf)/Watch Pos A- (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Canyon Capital CLO 2006-1 Ltd.
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
Carlyle Daytona CLO Ltd.
Rating
Class To From
A-2L AA- (sf)/Watch Pos AA- (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
B-1L BB+ (sf)/Watch Pos BB+ (sf)
B-2L CCC- (sf)/Watch Pos CCC- (sf)
Cent CDO XI Ltd.
Rating
Class To From
A-1 AA- (sf)/Watch Pos AA- (sf)
A-2 A (sf)/Watch Pos A (sf)
B BBB- (sf)/Watch Pos BBB- (sf)
C B- (sf)/Watch Pos B- (sf)
Centurion CDO VII Ltd.
Rating
Class To From
A-1a AA+ (sf)/Watch Pos AA+ (sf)
A-1b AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B-1 Defer BBB+ (sf)/Watch Pos BBB+ (sf)
B-2 Defer BBB+ (sf)/Watch Pos BBB+ (sf)
C-1 Defer BB+ (sf)/Watch Pos BB+ (sf)
C-2 Defer BB+ (sf)/Watch Pos BB+ (sf)
D-1 Defer CCC+ (sf)/Watch Pos CCC+ (sf)
D-2 Defer CCC+ (sf)/Watch Pos CCC+ (sf)
Clydesdale CLO 2005 Ltd.
Rating
Class To From
A-4 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
COA Caerus CLO Ltd.
Rating
Class To From
A-1 A+ (sf)/Watch Pos A+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Denali Capital CLO V Ltd.
Rating
Class To From
B A (sf)/Watch Pos A (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
Dryden VIII-Leveraged Loan CDO 2005
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BBB (sf)/Watch Pos BBB (sf)
Dryden XVIII Leveraged Loan 2007 Ltd. XVIII
Rating
Class To From
B CCC- (sf)/Watch Pos CCC- (sf)
Eastland CLO Ltd.
Rating
Class To From
A-1 A+ (sf)/Watch Pos A+ (sf)
A-2a AA+ (sf)/Watch Pos AA+ (sf)
A-2b A+ (sf)/Watch Pos A+ (sf)
A-3 BBB+ (sf)/Watch Pos BBB+ (sf)
B B+ (sf)/Watch Pos B+ (sf)
C CCC- (sf)/Watch Pos CCC- (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
Eaton Vance CDO IX Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
Emporia Preferred Funding III Ltd.
Rating
Class To From
B AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Flagship CLO IV
Rating
Class To From
A Funded N AA- (sf)/Watch Pos AA- (sf)
A Rev Note AA- (sf)/Watch Pos AA- (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
Forest Creek CLO Ltd.
Rating
Class To From
A-4L AA- (sf)/Watch Pos AA- (sf)
B-1L CCC+ (sf)/Watch Pos CCC+ (sf)
B-2L CCC- (sf)/Watch Pos CCC- (sf)
Founders Grove CLO Ltd.
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
D B+ (sf)/Watch Pos B+ (sf)
Galaxy III CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Gateway CLO Ltd. V
Rating
Class To From
B CCC- (sf)/Watch Pos CCC- (sf)
GoldenTree Loan Opportunities III Ltd.
Rating
Class To From
A-2 AA- (sf)/Watch Pos AA- (sf)
B A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
D BB (sf)/Watch Pos BB (sf)
Grant Grove CLO Ltd.
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D BB- (sf)/Watch Pos BB- (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Grayston CLO II 2004-1 Ltd.
Rating
Class To From
A-2L AA+ (sf)/Watch Pos AA+ (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
B-1LA CCC+ (sf)/Watch Pos CCC+ (sf)
B-1LB CCC- (sf)/Watch Pos CCC- (sf)
Green Lane CLO Ltd.
Rating
Class To From
A-1 A+ (sf)/Watch Pos A+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
Gulf Stream-Compass CLO 2002-I Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Gulf Stream-Rashinban CLO 2006-I Ltd.
Rating
Class To From
A-1 AA- (sf)/Watch Pos AA- (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB (sf)/Watch Pos BBB (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Gulf Stream-Sextant CLO 2006-1 Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Harch CLO II Ltd.
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C A- (sf)/Watch Pos A- (sf)
D B- (sf)/Watch Pos B- (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Hillmark Funding Ltd.
Rating
Class To From
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C B+ (sf)/Watch Pos B+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Kingsland IV Ltd.
Rating
Class To From
A-1 A+ (sf)/Watch Pos A+ (sf)
A-1R A+ (sf)/Watch Pos A+ (sf)
B A (sf)/Watch Pos A (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
KKR Financial CLO 2005-1 Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E BB- (sf)/Watch Pos BB- (sf)
F B- (sf)/Watch Pos B- (sf)
LightPoint CLO VII Ltd.
Rating
Class To From
A-2 AA- (sf)/Watch Pos AA- (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
Longhorn CDO III Ltd.
Rating
Class To From
C BBB+ (sf)/Watch Pos BBB+ (sf)
D-1 CCC+ (sf)/Watch Pos CCC+ (sf)
D-2 CCC+ (sf)/Watch Pos CCC+ (sf)
Marathon Financing I B.V.
Rating
Class To From
B-1 AA (sf)/Watch Pos AA (sf)
C-1 A (sf)/Watch Pos A (sf)
MezzTermLo A (sf)/Watch Pos A (sf)
Mountain View CLO II Ltd.
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2 AA (sf)/Watch Pos AA (sf)
A-3 AA (sf)/Watch Pos AA (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
MSIM Peconic Bay Ltd.
Rating
Class To From
A-1-A AA+ (sf)/Watch Pos AA+ (sf)
A-1-B A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B (sf)/Watch Pos B (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Nantucket CLO I Ltd.
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C A- (sf)/Watch Pos A- (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Navigator CDO 2003 Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C-1 BBB (sf)/Watch Pos BBB (sf)
C-2 BBB (sf)/Watch Pos BBB (sf)
NYLIM Flatiron CLO 2004-1 Ltd.
Rating
Class To From
C A+ (sf)/Watch Pos A+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Oak Hill Credit Partners IV Ltd.
Rating
Class To From
B-1 A (sf)/Watch Pos A (sf)
B-2 A (sf)/Watch Pos A (sf)
C-1 B+ (sf)/Watch Pos B+ (sf)
C-2 B+ (sf)/Watch Pos B+ (sf)
C-3 B+ (sf)/Watch Pos B+ (sf)
Ocean Trails CLO I
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Ocean Trails CLO II
Rating
Class To From
A-1 Voting AA- (sf)/Watch Pos AA- (sf)
A-1NonVote AA- (sf)/Watch Pos AA- (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
A-3 A (sf)/Watch Pos A (sf)
B BBB- (sf)/Watch Pos BBB- (sf)
C BB (sf)/Watch Pos BB (sf)
D B (sf)/Watch Pos B (sf)
OHA Park Avenue CLO I Ltd.
Rating
Class To From
D CCC+ (sf)/Watch Pos CCC+ (sf)
One Wall Street CLO II Ltd.
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A- (sf)/Watch Pos A- (sf)
C BBB (sf)/Watch Pos BBB (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Pacifica CDO III Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2a AA- (sf)/Watch Pos AA- (sf)
A-2b AA- (sf)/Watch Pos AA- (sf)
B-1 A- (sf)/Watch Pos A- (sf)
B-2 A- (sf)/Watch Pos A- (sf)
Primus CLO I Ltd.
Rating
Class To From
A-1-B AA (sf)/Watch Pos AA (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Prospect Park CDO Ltd.
Rating
Class To From
A AA (sf)/Watch Pos AA (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
Red River CLO Ltd.
Rating
Class To From
A AA- (sf)/Watch Pos AA- (sf)
B A (sf)/Watch Pos A (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Summit Lake CLO Ltd.
Rating
Class To From
A-2L A+ (sf)/Watch Pos A+ (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
B-1L BB+ (sf)/Watch Pos BB+ (sf)
B-2L CCC+ (sf)/Watch Pos CCC+ (sf)
Symphony CLO I Ltd.
Rating
Class To From
A-1A AA (sf)/Watch Pos AA (sf)
A-1B AA (sf)/Watch Pos AA (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Symphony CLO III Ltd.
Rating
Class To From
A-1a AA+ (sf)/Watch Pos AA+ (sf)
A-1b AA- (sf)/Watch Pos AA- (sf)
A-2a AA- (sf)/Watch Pos AA- (sf)
A-2b AA- (sf)/Watch Pos AA- (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB (sf)/Watch Pos BBB (sf)
D B+ (sf)/Watch Pos B+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Symphony CLO V Ltd.
Rating
Class To From
A-1 A- (sf)/Watch Pos A- (sf)
A-2 BBB+ (sf)/Watch Pos BBB+ (sf)
B BB+ (sf)/Watch Pos BB+ (sf)
C B+ (sf)/Watch Pos B+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Symphony CLO VI Ltd.
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Union Square CDO Ltd.
Rating
Class To From
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C B+ (sf)/Watch Pos B+ (sf)
Venture II CDO 2002 Ltd.
Rating
Class To From
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB (sf)/Watch Pos BBB (sf)
C CCC- (sf)/Watch Pos CCC- (sf)
Venture VIII CDO Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D BB (sf)/Watch Pos BB (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Victoria Falls CLO Ltd.
Rating
Class To From
A-1B A+ (sf)/Watch Pos A+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
A-3 A+ (sf)/Watch Pos A+ (sf)
B-1 A- (sf)/Watch Pos A- (sf)
B-2 A- (sf)/Watch Pos A- (sf)
C Def BB+ (sf)/Watch Pos BB+ (sf)
D Def CCC- (sf)/Watch Pos CCC- (sf)
Waterfront CLO 2007-1 Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
A-3 A (sf)/Watch Pos A (sf)
B BBB- (sf)/Watch Pos BBB- (sf)
C BB- (sf)/Watch Pos BB- (sf)
D B- (sf)/Watch Pos B- (sf)
Ratings Placed On CreditWatch Negative
Muzinich CBO II Ltd.
Rating
Class To From
B-1 CCC- (sf)/Watch Neg CCC- (sf)
B-2 CCC- (sf)/Watch Neg CCC- (sf)
Premium Loan Trust I Ltd.
Rating
Class To From
B B (sf)/Watch Neg B (sf)
C CCC (sf)/Watch Neg CCC (sf)
D CCC- (sf)/Watch Neg CCC- (sf)
X B (sf)/Watch Neg B (sf)
APIDOS CDO: S&P Raises Rating on Class D Notes From 'B+' to 'BB-'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2 and D notes from Apidos CDO III Ltd., a U.S. collateralized
loan obligation (CLO) transaction managed by Apidos Capital
Management LLC. "At the same time, we affirmed our ratings on the
class A-1, B, and C notes, and we removed our ratings on the class
A-2, B, C, and D notes from CreditWatch, where we placed them with
positive implications on Dec. 20, 2011," S&P said.
"The upgrades reflect the improved performance we have observed in
the deal's underlying asset portfolio since we downgraded the
notes on Nov. 17, 2009. As of the Nov. 30, 2011, trustee report,
the transaction's asset portfolio had $8.55 million in 'CCC'
category rated obligations. This was a decrease from the $12.14
million noted in the Sept. 1, 2009 trustee report. In addition,
the transaction's asset portfolio had no defaulted obligations in
November 2011, compared to $11.96 million in September 2009," S&P
said.
"We also observed an increase in the overcollateralization (O/C)
available to support the rated notes," S&P said. The trustee
reported the O/C ratios in the Nov. 30, 2011, monthly report:
The class A O/C ratio was 119.94%, compared with a reported
ratio of 117.15% in September 2009;
The class B O/C ratio was 112.63%, compared with a reported
ratio of 110.01% in September 2009;
The class C O/C ratio was 108.02%, compared with a reported
ratio of 105.50% in September 2009;
The class C O/C ratio was 105.55%, compared with a reported
ratio of 103.09% in September 2009; and
"We affirmed our ratings on the class A-1, B, and C notes to
reflect our view that the credit support available is commensurate
with the current ratings," S&P said.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Apidos CDO III Ltd.
Rating
Class To From
A-2 AA- (sf) A+ (sf)/Watch Pos
B BBB+ (sf) BBB+ (sf)/Watch Pos
C BB+ (sf) BB+ (sf)/Watch Pos
D BB- (sf) B+ (sf)/Watch Pos
Rating Affirmed
Apidos CDO III Ltd.
Class Rating
A-1 AA+ (sf)
ARES VIII: S&P Raises Ratings on 3 Classes of Notes From 'BB'
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B-1, B-2, C-1, C-2, D-1, D-2, and D-3 notes from Ares VIII CLO
Ltd., a U.S. collateralized loan obligation (CLO) transaction
managed by Ares Management LLC. "At the same time we removed these
ratings from CreditWatch where we placed them with positive
implications on Oct. 6, 2011. We affirmed our ratings on the class
A-1A, A-1B, A-2, and A-3 notes," S&P said.
"The upgrades reflect a $134 million paydown to the class A-1A, A-
1B, and A-2 notes through amortization and a $0.66 million paydown
to the D-1, D-2, and D-3 notes through a turbo mechanism from
interest proceeds, since we upgraded the notes on May 23, 2011.
Additionally, we have observed improved performance in the
deal's underlying asset portfolio since the last upgrade. As
of the Nov. 18, 2011 trustee report, the transaction had only
$2.5 million in defaulted assets, compared with $6.9 million noted
in the March 9, 2011 trustee report, which we referenced for our
May 2011 rating actions. The affirmations reflect the credit
support available to the class A-1A, A-1B, A-2, and A-3 notes at
the current rating levels," S&P said.
The transaction has also benefited from an increase in the
overcollateralization (O/C) available to support the rated notes.
The trustee reported the O/C ratios in the Nov. 18, 2011, monthly
report:
The A-3 O/C ratio was 172.27%, compared with a reported ratio
of 138.62% in March 2011;
The B-2 O/C ratio was 140.31%, compared with a reported ratio
of 122.91% in March 2011;
The C-2 O/C ratio was 118.36%, compared with a reported ratio
of 110.40% in March 2011; and
The D-3 O/C ratio was 116.07%, compared with a reported ratio
of 108.84% in March 2011.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Ares VIII CLO Ltd.
Rating
Class To From
B-1 AA+ (sf) A+ (sf)/Watch Pos
B-2 AA+ (sf) A+ (sf)/Watch Pos
C-1 BBB+ (sf) BB+ (sf)/Watch Pos
C-2 BBB+ (sf) BB+ (sf)/Watch Pos
D-1 BBB+ (sf) BB (sf)/Watch Pos
D-2 BBB+ (sf) BB (sf)/Watch Pos
D-3 BBB+ (sf) BB (sf)/Watch Pos
Ratings Affirmed
Ares VIII CLO Ltd.
Class Rating
A-1A AAA (sf)
A-1B AAA (sf)
A-2 AAA (sf)
A-3 AAA (sf)
Transaction Information
Issuer: Ares VIII CLO Ltd.
Coissuer: Ares VIII CLO LLC
Collateral manager: Ares Management LLC
Trustee: U.S. Bank N.A.
Transaction type: Cash flow CLO
ARLO III: S&P Lowers Rating on Notes From 'CCC-' to 'D'
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the notes
issued by Arlo III Ltd. Series 2005 (Saint James) to 'D (sf)' from
'CCC- (sf)'.
The downgrade follows a number of write-downs in the transaction's
underlying reference portfolio that caused the notes to incur
principal losses.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at
http://standardandpoorsdisclosure-17g7.com
ARLO LTD: S&P Puts 'BB+p' Rating on Class A on Watch Positive
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on one
tranche from one corporate-backed synthetic collateralized debt
obligation (CDO) transaction. "At the same time, we placed
our ratings on 13 tranches from 11 corporate-backed CDO
transactions on CreditWatch positive. We also placed our ratings
on four tranches from two corporate-backed synthetic CDO
transactions on CreditWatch negative. In addition, we affirmed our
rating on one tranche from one corporate-backed synthetic CDO
transaction and removed it from CreditWatch negative. The rating
actions followed our monthly review of U.S. synthetic CDO
transactions," S&P said.
The raised rating reflects sufficient cushion at the higher rating
level and a synthetic rated overcollateralization (SROC) ratio
that was at or above 100%. The CreditWatch positive placements
reflect seasoning of the transactions, rating stability of the
obligors in the underlying reference portfolios over the past few
months, and SROC ratios that increased above 100% at the next
highest rating level. The CreditWatch negative placements reflect
negative rating migration in the respective portfolios and SROC
ratios that fell below 100% as of the October review. The
affirmation reflects sufficient cushion at the current rating
level.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
ARLO Ltd.
$50 mil principal amount secured limited recourse variable coupon
managed
CDO notes series 2006 (SKL CD0 - Series 11)
Rating
Class To From
A BB+p (sf)/Watch Pos BB+p (sf)
Credit And Repackaged Securities Ltd.
Series 2006-4
Rating
Class To From
Notes B+ (sf)/Watch Pos B+ (sf)
Credit Default Swap
Series REF: NGNGX
Rating
Class To From
Tranche BB-srb (sf) BB-srb (sf)/Watch Neg
Credit Default Swap
$187.5 mil Swap Risk Rating - Portfolio CDS Ref No.
PYR_8631051_82386545_Vizzavona
Rating
Class To From
Swap Asrp (sf)/Watch Pos Asrp (sf)
Credit Default Swap
$750 mil ZZRSS
Series 971739CF
Rating
Class To From
AA+srp (sf)/Watch Pos AA+srp (sf)
Marvel Finance 2007-3 LLC
Rating
Class To From
IA BB- (sf) B- (sf)
Morgan Stanley ACES SPC
Series 2007-8
Rating
Class To From
Senior BB+ (sf)/Watch Neg BB+ (sf)
A2 B- (sf)/Watch Neg B- (sf)
Mt. Kailash Ltd.
Rating
Class To From
Cr Link Ln BB (sf)/Watch Pos BB (sf)
North Street Referenced Linked Notes 2005-9 Ltd.
Rating
Class To From
E BBB+ (sf)/Watch Pos BBB+ (sf)
F CCC- (sf)/Watch Pos CCC- (sf)
REVE SPC
EUR15 mil, 3 bil, $81 mil REVE SPC Segregated Portfolio of Dryden
XVII
Notes
Series 34, 36, 37, 38, 39, & 40
Rating
Class To From
Series 37 B- (sf)/Watch Neg B- (sf)
Series 40 B (sf)/Watch Neg B (sf)
Rutland Rated Investments
$105 mil Dryden XII - IG Synthetic CDO 2006-2
Rating
Class To From
A1-$LS BB+ (sf)/Watch Pos BB+ (sf)
A1A-$LS BB+ (sf)/Watch Pos BB+ (sf)
Rutland Rated Investments
$12.5 mil Dryden XII - IG Synthetic CDO 2006-3
Rating
Class To From
A6-$LS CCC- (sf)/Watch Pos CCC- (sf)
STARTS (Cayman) Ltd.
Series 2006-2
Rating
Class To From
A1-D1 B- (sf)/Watch Pos B- (sf)
STARTS (Ireland) PLC
Series 2006-20
Rating
Class To From
A1-E1 B- (sf)/Watch Pos B- (sf)
Strata 2007-1 Ltd.
Rating
Class To From
Notes CCC- (sf)/Watch Pos CCC- (sf)
ASHFORD CDO: Moody's Raises Rating of Class A-3L Notes to 'B1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six classes
of notes issued by Ashford CDO II Ltd. The notes affected by
today's rating action are:
US$5,000,000 Class X Floating Rate Notes Due August 2013 (current
outstanding balance of $1,458,333.39), Upgraded to Aaa (sf);
previously on August 8, 2011 Upgraded to Aa1 (sf);
US$175,000,000 Class A-1LA Floating Rate Notes Due November 2041
(current outstanding balance of $149,647,514), Upgraded to A3
(sf); previously on August 8, 2011 Upgraded to Baa2 (sf) and
Remained On Review for Possible Upgrade;
US$42,000,000 Class A-1LB Floating Rate Notes Due November,
Upgraded to Baa3 (sf); previously on August 8, 2011 Upgraded to
Ba1 (sf) and Remained On Review for Possible Upgrade;
US$51,000,000 Class A-2L Floating Rate Notes Due November 2041,
Upgraded to Ba2 (sf); previously on August 8, 2011 Upgraded to Ba3
(sf) and Remained On Review for Possible Upgrade;
US$34,000,000 Class A-3L Floating Rate Notes Due November 2041,
Upgraded to B1 (sf); previously on August 8, 2011 Upgraded to Caa1
(sf) and Remained On Review for Possible Upgrade; and
US$22,000,000 Class B-1L Floating Rate Notes Due November 2041
(current outstanding balance of $21,467,502.39), Upgraded to Caa2
(sf); previously on August 8, 2011 Upgraded to Ca (sf) and
Remained On Review for Possible Upgrade;
Moody's also confirmed the rating of the following class of notes:
US$16,000,000 Class B-2L Floating Rate Notes Due November 2041
(current outstanding balance of $19,531,446), Confirmed at C (sf);
previously on June 24, 2011 C (sf) Placed Under Review for
Possible Upgrade;
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes result
primarily from 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. Since Moody's June
22nd announcement that nearly all CLO tranches currently rated Aa1
and below were placed on review for possible upgrade, 87.6% of the
collateral had been upgraded, 58.64% of which took place following
the previous rating action on the Notes in August.
As of the latest trustee report in November 2011, the Class A,
Class B-1L, and Class B-2L overcollateralization ratios improved
and are reported at 112.09%, 89.38%, and 83.81% versus August 2011
levels of 111.68%, 84.67% and 79.59%, respectively. Currently the
B-1L and B-2L OC tests are failing, resulting in diversion of
interest proceeds to the payment of principal on the Class A-1LA
notes and resulting in the deferral of interest payments to the
Classes B-1L and B-2L Notes. All IC ratios are currently passing
their test levels.
Ashford CDO II Ltd. is a collateralized debt obligation backed
primarily by a portfolio of collateralized loan obligations, of
which a majority are from the 2005-2006 vintage.
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 rating action today 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 1 rating notch:
Class A-1LA: +2
Class A-1LB: +2
Class A-2L: +2
Class A-3L: +2
Class B-1L: +2
Class B-2L: 0
Moody's Performing Assets notched down by 1 rating notch:
Class A-1LA: -2
Class A-1LB: -1
Class A-2L: -1
Class A-3L: -2
Class B-1L: -1
Class B-2L: 0
ASTORIA POWER: Fitch Affirms Rating on Two Cert. Classes at Low-B
-----------------------------------------------------------------
Fitch Ratings has affirmed the ratings for Astoria Power Project
Pass-Through Trust's series A, B, and C certificates:
-- $515 million series A certificates due 2016 at 'BBB-';
-- $210 million series B certificates due 2021 at 'BB';
-- $69.5 million series C certificates due 2021 at 'BB-'.
Fitch notes that Astoria Power Project Pass-through Trust was
formed to issue the certificates. The proceeds were used to
purchase the rights, titles, and interests of Astoria's lender in
Astoria Energy LLC's (the project) first and second lien loans and
corresponding collateral. Each of the certificates represents a
fractional interest in the trust.
The Rating Outlook is Stable.
Astoria Depositor Corp. deposited with the trust a first and
second lien loan executed by Astoria Energy LLC. The loans are
secured by a first or second priority mortgage lien on the real
estate, security interest in all of Astoria's personal property,
including the PPA and other contracts, and a pledge of all
accounts and the membership interests of Astoria Project Partners
LLC in the project.
Fitch views the credit quality of the series A certificates and
series B certificates to be closely aligned to the credit quality
of the first and second lien loans, respectively. Fitch considers
the series C certificates to be structurally subordinated to the
series A and B certificates given their position in the waterfall
and lower priority in the event of foreclosure. Additionally,
Fitch notes that the lien priorities will remain intact until full
cash payment of the first lien principal and interest. This
includes the commencement of a new first lien credit agreement.
Fitch believes the project will receive capacity and energy prices
consistent with the contracted price floor for the next three to
five years. Currently, market capacity prices are approximately
$5.50-$6.50 per kW-month or 25%-35% less than the price floor,
while average market energy prices are consistent with the price
floor. Fitch believes that the price floor will support scheduled
debt service through the PPA term. However, this will result in
lower than previously forecasted scheduled series A DSCRs,
increased refinance risk, and reduced financial flexibility.
The Fitch Base Case forecasts scheduled series A, B, and C DSCRs
of approximately 1.45 times (x), 1.15x, and 1.05x (respectively)
over the next three to five years. Fitch expects more robust
coverage thereafter given a recovery in market prices and an
assumed long-term refinancing of any outstanding first lien
balance. Fitch notes that the project may receive merchant
capacity revenues not included in Fitch's analysis, which could
improve DSCRs and reduce refinance risk. Nevertheless, the
project remains exposed to operational challenges that could
reduce cash flow without the financial support of a fully funded
operating reserve.
Fitch notes that the structural features of the debt allow for
market pricing improvements to benefit the debt holders, as the
project may not make equity distributions until all targeted
payments are met and debt service reserves are fully funded.
Fitch believes that the floor pricing structure and projected
price recovery, in conjunction with the structural features of the
debt, reduce the probability of default and help mitigate the
projected refinance risk.
Astoria is a 500MW gas-fired power plant in the Astoria section of
Queens, New York. The facility provides electric generating
capacity for NYISO's Zone J, which consists of the New York City
market. Astoria sells the majority of its capacity and energy to
Consolidated Edison (ConEd; Fitch rated 'BBB+' with a Stable
Outlook) under a PPA for an initial term of 10-years, expiring May
2016. Fitch notes that ConEd decided not to extend the PPA for an
additional five-year period through May 2021. The rate structure
for the capacity and energy components is priced at a 5% discount
from the then-current market price, which is subject to a floor
capacity and energy price, and a capacity ceiling price.
BABSON CLO: S&P Affirms Ratings on 2 Classes of Notes at 'BB+'
--------------------------------------------------------------
Standard and Poor's Ratings Services raised its ratings on the
class A-1, A-2A, A-2Av, A-2B, A-2C, B, C-1, and C-2 notes from
Babson CLO Ltd. 2004-II, a collateralized loan obligation (CLO)
transaction managed by Babson Capital Management LLC. "At the
same time, we affirmed our ratings on the class D-1 and D-2 notes.
We removed all the affected ratings from Credit Watch positive,
where we placed them on Oct. 6, 2011," S&P said.
"We last affirmed the ratings from this transaction on Feb. 10,
2011, where we referenced the January 2011 trustee report," S&P
said.
The upgrades reflect improvements in the overcollateralization
available to support the rated notes and in the paydowns to the
senior notes. As of the November 2011 trustee report, the senior
overcollateralization test increased to 136.46% from 123.89% in
January 2011 while the class A notes have paid down
$161.41 million.
"The affirmations 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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Rating And Creditwatch Actions
Babson CLO Ltd. 2004-II
Class Rating
To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2A AAA (sf) AA+ (sf)/Watch Pos
A-2Av AAA (sf) AA+ (sf)/Watch Pos
A-2B AAA (sf) AA+ (sf)/Watch Pos
A-2C AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A+ (sf)/Watch Pos
C-1 A+ (sf) BBB+ (sf)/Watch Pos
C-2 A+ (sf) BBB+ (sf)/Watch Pos
D-1 BB+ (sf) BB+ (sf)/Watch Pos
D-2 BB+ (sf) BB+ (sf)/Watch Pos
BACM 2005-2: Moody's Affirms Rating of Cl. H Notes at 'Ba2'
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings of 20 classes of
Banc of America, Commercial Mortgage Pass-Through Certificates,
Series 2005-2:
Cl. A-4, Affirmed at Aaa (sf); previously on Jul 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Jul 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-5, Affirmed at Aaa (sf); previously on Jul 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Affirmed at Aaa (sf); previously on Jul 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at Aaa (sf); previously on Aug 27, 2009
Confirmed at Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Aug 27, 2009 Confirmed
at Aa2 (sf)
Cl. C, Affirmed at Aa3 (sf); previously on Aug 27, 2009 Confirmed
at Aa3 (sf)
Cl. D, Affirmed at A3 (sf); previously on Aug 27, 2009 Downgraded
to A3 (sf)
Cl. E, Affirmed at Baa1 (sf); previously on Aug 27, 2009
Downgraded to Baa1 (sf)
Cl. F, Affirmed at Baa2 (sf); previously on Aug 27, 2009
Downgraded to Baa2 (sf)
Cl. G, Affirmed at Baa3 (sf); previously on Aug 27, 2009
Downgraded to Baa3 (sf)
Cl. H, Affirmed at Ba2 (sf); previously on Aug 27, 2009 Downgraded
to Ba2 (sf)
Cl. J, Affirmed at Ba3 (sf); previously on Aug 27, 2009 Downgraded
to Ba3 (sf)
Cl. K, Affirmed at B1 (sf); previously on Aug 27, 2009 Downgraded
to B1 (sf)
Cl. L, Affirmed at B2 (sf); previously on Aug 27, 2009 Downgraded
to B2 (sf)
Cl. M, Affirmed at Caa2 (sf); previously on Aug 27, 2009
Downgraded to Caa2 (sf)
Cl. N, Affirmed at Caa2 (sf); previously on Aug 27, 2009
Downgraded to Caa2 (sf)
Cl. O, Affirmed at Caa3 (sf); previously on Aug 27, 2009
Downgraded to Caa3 (sf)
Cl. X-C, Affirmed at Aaa (sf); previously on Jul 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. X-P, Affirmed at Aaa (sf); previously on Jul 5, 2005
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
2.5% of the current pooled balance compared to 3.2% at last
review. Moody's stressed scenario loss is 14.4% of the current
pooled balance. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for investment grade classes could
decline below the current levels. If future performance materially
declines, the expected level of credit enhancement and the
priority in the cash flow waterfall may be insufficient for the
current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter , amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
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 BACM 2005-2 Classes X-C and X-P 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 change on Moody's
rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The pool has a Herf of 25 as compared to 26
at last review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 3, 2011.
DEAL PERFORMANCE
As of the December 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $1.02
billion from $1.64 billion at securitization. The Certificates are
collateralized by 72 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans representing 53% of
the pool. The pool does not contain any loans with credit
estimates, but one loan, representing 1% of the pool, has defeased
and is secured by US Government securities.
Twenty-one loans, representing 22% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package.
Three loans have been liquidated resulting in $6 million
of realized losses (30% average loss severity). Four loans,
representing 3% of the pool, are currently in special
servicing. The largest specially serviced exposure is the
Captain's Portfolio ($22 million -- 1.9%), which is secured by a
retail property and three office buildings located in Houston and
Stafford, Texas. The exposure includes a $20 million A-Note and a
$3 million non-pooled or rake bond. The loans were transferred to
special servicing in September 2011 due to imminent maturity
default. The loan matured in October 2011, but the servicer and
borrower are currently negotiating a short-term extension to allow
time for the borrower to sell the properties. The portfolio was
appraised for $33.5 million in September 2010. Moody's is not
estimating a loss for the two Captain's Portfolio loans or for the
other two specially serviced loans. The other two specially
serviced loans are secured by a self storage and retail property.
Moody's expects both loans to be returned to the master servicer
without a loss to the trust. The servicer has not recognized an
appraisal reduction for any of the specially serviced loans.
Moody's has assumed a high default probability for five poorly
performing loans representing 6% of the pool and has estimated an
$8 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2010 and partial year 2011
operating results for 97% and 95% of the conduit loans,
respectively. The conduit portion of the pool excludes specially
serviced, troubled and defeased loans. Moody's weighted average
conduit LTV is 91% compared to 95% at last review. Moody's net
cash flow reflects a weighted average haircut of 12% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.2%.
Moody's actual and stressed DSCRs are 1.63X and 1.16X,
respectively, compared to 1.60X and 1.11X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 27% of the pool.
The largest loan is the NYU Housing -- 80 Lafayette Street Loan
($110 million -- 10.8% of the pool), which is secured by a 264-
unit student housing property located in the Tribeca submarket of
New York City. The property is 100% master leased to New York
University. Performance has increased since securitization due to
annual rent increases. Moody's LTV and stressed DSCR are 90% and
0.96X, respectively, compared to 96% and 0.90X, at last review.
The second largest loan is the Canyon Ranch Loan ($95 million --
9.3% of the pool), which is secured by two spa resort hotels
containing a total of 315 rooms. The resorts are located in
Tucson, Arizona and Lenox, Massachusetts. Performance continues to
improve due to increases in occupancy and total revenue per guest
night. Both of the collateral properties derive a large percentage
of revenue from spa services, therefore, total revenue per guest
night is considered a more appropriate performance metric than
revenue per available room (RevPAR) is. Moody's LTV and stressed
DSCR 71% and 1.59X, respectively, compared to 80% and 1.42X at
last review.
The third largest conduit loan is the 589 Fifth Avenue Loan
($74 million -- 7.2% of the pool), which is secured by a 165,000
SF office property located in the Diamond District of Manhattan,
New York. The property has a bank branch on the ground level and
approximately 80 jewelry industry-related tenants. The property is
87.5% leased as of September 2011. The loan is current, but is on
the watchlist for low debt service coverage. Moody's LTV and
stressed DSCR are 118% and 0.85X respectively, compared to 110%
and 0.91X at last review.
BANC OF AMERICA: Fitch Affirms Junk Rating on Six Cert. Classes
---------------------------------------------------------------
Fitch Ratings has affirmed the super senior and mezzanine 'AAA'
classes of Banc of America Commercial Mortgage (BACM) Inc., 2006-2
commercial mortgage pass-through certificates and downgraded two
classes.
The downgrades to classes G and J reflect a decrease in credit
enhancement from realized losses incurred by six specially
serviced loans which have been liquidated since Fitch's last
rating action. Fitch modeled losses of 5.13% of the remaining
pool. Expected losses of the original pool are at 6.29%,
including losses realized to date. Fitch designated 50 loans
(27.73% of the pool balance) as Fitch Loans of Concern, including
20 specially serviced loans (13.01%). Four of the Fitch Loans of
Concern (11.04%) are within the transaction's top 15 loans by
unpaid principal balance. Fitch expects classes K through T may
be fully depleted from losses associated with the specially
serviced assets.
As of the December 2011 distribution date, the pool's aggregate
principal balance has reduced by approximately 8.01% (including
1.58% of realized losses) to $2.48 billion from $2.70 billion at
issuance. No loans are currently defeased. Interest shortfalls
are affecting classes H through P.
The largest contributor to Fitch modeled losses is secured by
267,890 square feet (SF) of retail center(1.58%) located in
Glenview, IL. Major tenants include Dick's Sporting Goods, Van
Maur, and Regal Theaters. The property has experienced cash flow
issues due to lower than expected revenues in addition to a
significant increase in expenses since issuance. The September
2011 rent roll reported occupancy at 92%, however, net operating
income (NOI) debt service coverage ratio (DSCR) reported low at
0.73 times (x) for year-to-date (YTD) September 2011, compared to
issuance at 1.20x. The loan transferred to special servicing in
February 2009 due to imminent default and is now in monetary
default. The servicer has reported that negotiations with the
borrower have been unsuccessful and will be pursuing foreclosure.
The second-largest contributor to Fitch-modeled losses is secured
by a 139,500SF office building(0.74%) in Tustin, CA. The property
has experienced cash flow issues from occupancy declines.
Occupancy reported at 64% as of July 2011. The loan transferred
to special servicing in December 2009 for payment default . The
property converted to REO following the June 2011 foreclosure.
The property is currently being marketed for sale by the special
servicer.
The third largest contributor to losses is secured by a 279 room,
full-service hotel(0.93%) in Palm Beach Gardens, FL. The property
has experienced significant cash flow issues, reporting NOI DSCR
for YE December 2010 at 0.21x. The trailing twelve month
occupancy reported at 70.6%. The average daily rate (ADR) and
revenue per available room (RevPAR) reported at $87.28 and $61.66,
respectively. The loan transferred to special serving in June
2010 when the borrower had indicated they would no longer be able
to pay debt service payments, and requested a modification of the
loan. The loan went into monetary default in August 2010. The
servicer has reported negotiations with the borrower regarding the
modification of the subject loan terms are still on-going.
Fitch downgrades these classes, and assigns Recovery Estimates
(REs) as indicated:
-- $27.0 million class G to 'CCsf' from 'CCCsf'; RE 0%;
-- $10.1 million class J to 'Csf', from 'CCsf'; RE 0%.
Fitch also affirms these classes and assign's Recovery Estimates
(REs) and revises Ratings Outlooks:
-- $41.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $145 million class A-3 at 'AAAsf'; Outlook Stable;
-- $103.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $1,269.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $155.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $269.9 million class A-M at 'AAAsf'; Outlook Stable;
-- $215.9 million class A-J at 'Asf'; Outlook Stable;
-- $50.6 million class B at 'BBBsf'; Outlook Stable;
-- $27 million class C at 'BBB-sf'; Outlook Stable;
-- $40.5 million class D at 'BBsf'; Outlook to Stable from
Negative;
-- $27 million class E at 'Bsf'; Outlook to Stable from
Negative;
-- $30.4 million class F at 'CCCsf', RE 55%;
-- $33.7 million class H at 'CCsf', RE 0%;
-- $13.5 million class K at 'Csf', RE 0%;
-- $10.1 million class L at 'Csf', RE 0%;
-- $3.4 million class M at 'Csf', RE 0%;
-- $6.7 million class N at 'Csf', RE 0%;
Class O will remain at 'Dsf', RE 0% due to realized losses.
Fitch does not rate class P, which has been reduced to zero due to
realized losses. Class A-1 has repaid in full.
BANC OF AMERICA: Fitch Junks Rating on Ten Class Notes
------------------------------------------------------
Fitch Ratings has affirmed 11 and downgraded 11 classes of Banc of
America Commercial Mortgage Trust, series 2007-4 (BACM 2007-4).
The downgrades reflect an increase in Fitch expected losses
largely attributed to loans in special servicing. Fitch modeled
losses of 11.8% for the remaining pool; expected losses of the
original pool are at 13.7%, including losses already incurred to
date. The Outlook Negative on class A-M reflects the possibility
for further performance deterioration on the Hines Office
Portfolio, the La Jolla Executive Tower, and the Scottsdale
Spectrum properties.
Fitch has designated 32 loans (31.7%) as Fitch Loans of Concern,
which includes 11 specially serviced loans (15.3%). Classes O
through S and a portion of class N have been fully depleted from
realized losses associated with loan dispositions. Fitch expects
classes L through N may be fully depleted and class K to be
impacted from losses associated with the specially serviced
assets.
As of the December 2011 distribution date, the pool's aggregate
principal balance has been reduced by approximately 6.5% to
$2.09 billion from $2.23 billion at issuance. Since Fitch's last
rating action, the transaction has paid down by $57.1 million
(2.6% of the original transaction balance); however, realized
losses have been $54.6 million (2.4%).
The largest contributors to modeled losses are three cross
collateralized and cross defaulted interest-only loans (11.4% of
the pool) secured by five office properties totaling 1.16 million
square feet located in the Sacramento, CA metropolitan area.
These loans are currently in special servicing and were
transferred in May 2011 due to imminent default. Portfolio
occupancy fell to 75% as of year end (YE) 2010, down from 78% at
YE 2009 and 92% at issuance. The servicer-reported net operating
income debt service coverage ratio (NOI DSCR) declined to 1.14
times (x) as of YE 2010, down from 1.26x at YE 2009 and 1.79x
underwritten at issuance. This decrease is attributable to lower
base rents and expense reimbursements as a result of declining
occupancy at all of the properties in the portfolio.
The next largest contributor to modeled losses is a partial
interest-only loan (5.1%) secured by a 231,512 square foot (sf)
office property located in La Jolla, CA. The property has been
underperforming since issuance. For the trailing 12 month (TTM)
period ended June 30, 2011, the NOI DSCR was 0.07x, down
significantly from 1.29x reported at issuance. Approximately 74.8%
of the NRA rolls before the loan's October 2017 maturity date.
The property is located in the UTC Submarket of San Diego, which
reported a market vacancy of 19.5% according to CoStar as of third
quarter 2011. Although the property is underperforming, the loan
remains current as the borrower continues to cover debt service
shortfalls.
The third largest contributor to modeled losses is an interest-
only loan (3.1%) secured by a 256,670 sf office property located
in Scottsdale, AZ. Although the occupancy has increased to 94.5%
as of December 2011 due to multiple new leases signed during 2011,
the six-month year-to-date period ended June 30, 2011 NOI DSCR
remains low at 0.94x, which is down from 1.10x at YE 2010 and
1.50x underwritten at issuance. Approximately 83% of the NRA
rolls before the loan's July 2017 maturity date. The property is
located in the Central Scottsdale submarket of Phoenix, which
reported a market vacancy of 26.6% according to CoStar as of third
quarter 2011.
Fitch has downgraded, revised Rating Outlooks, and assigned
Recovery Estimates (REs) on these classes as indicated:
-- $223.1 million class A-M to 'AAsf' from 'AAAsf'; Outlook to
Negative from Stable;
-- $178.5 million class A-J to 'CCCsf'' from 'Bsf'; RE 80%;
-- $22.3 million class B to 'CCCsf'' from 'B-sf'; RE 0%;
-- $19.5 million class C to 'CCCsf'' from 'B-sf'; RE 0%;
-- $22.3 million class D to 'CCCsf'' from 'B-sf'; RE 0%;
-- $22.3 million class E to 'CCsf'' from 'B-sf'; RE 0%;
-- $13.9 million class F to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $16.7 million class G to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $27.9 million class H to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $22.3 million class J to 'Csf' from 'CCCsf'; RE to 0% from
100%;
-- $19.5 million class K to 'Csf' from 'CCsf'; RE to 0% from
60%.
Fitch has affirmed these classes as indicated:
-- $267.6 million class A-1A at 'AAAsf'; Outlook Stable;
-- $30.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $287.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $73.7 million class A-SB at 'AAAsf'; Outlook Stable;
-- $817.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $13.9 million class L at 'Csf'; RE 0%;
-- $5.6 million class M at 'Csf'; RE 0%;
-- $1.5 million class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
Class A-1 has paid in full. Fitch does not rate class S.
BANC OF AMERICA: S&P Cuts 3 Cert. Classes Ratings to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered the ratings on 11
classes of commercial mortgage pass-through certificates from Banc
of America Commercial Mortgage Inc.'s series 2002-PB2, a U.S.
commercial mortgage-backed securities (CMBS) transaction. "At the
same time, we placed eight of these classes on CreditWatch with
negative implications," S&P said.
"Our downgrades and negative CreditWatch placements reflect
interest shortfalls to the trust, which totaled $796,812 primarily
as a result of the servicer not advancing for loans that are
deemed to be nonrecoverable and approximately $5.7 million of
total outstanding advances that we believe are likely to be
recovered by the master servicer in the near future related to
four of the specially serviced assets. We lowered three classes to
'D (sf)' to reflect accumulated interest shortfalls outstanding
for three months that we believe will remain outstanding for the
foreseeable future," S&P said.
"As of the Dec. 12, 2011, restated remittance report, the trust
experienced shortfalls totaling $796,811, resulting from interest
not advanced ($757,895) and special servicing fees ($38,916). The
reported monthly interest shortfalls affected all of the classes
subordinate to and including class D. The master servicer, Bank of
America N.A. (BofA), indicated that it did not advance for six
($131.7 million, 45.7%) of the transaction's nine ($187.1 million,
64.9%) specially serviced assets. BofA has further communicated to
us that going forward it will not advance for any assets that are
with the special servicer. Therefore, we expect this deal to
experience a significant amount of interest shortfalls going
forward. We lowered our ratings on the classes K, L, and M
certificates to 'D (sf)' to reflect accumulated interest
shortfalls outstanding for three months. We expect these
accumulated interest shortfalls to remain outstanding and not be
repaid based on the master servicer's intention to no longer
advance for specially serviced assets," S&P said.
"The downgrades for the class D through J certificates reflect the
accumulated interest shortfalls to date. The CreditWatch
placements for these certificates reflect the potential for these
classes to experience continued interest shortfalls in the near
future. We downgraded classes B and C due to reduced liquidity
support available to these classes resulting from these interest
shortfalls," S&P said.
"Our CreditWatch placements on classes B through J certificates
reflects our opinion that interest shortfalls are likely to
continue for the foreseeable future and have the potential
to increase due to near term maturities. Eighteen loans
($252.2 million, 87.5%), including the nine specially serviced
loans, have already matured or are due to mature in the next
three months," S&P said.
"The upcoming maturities of the nonspecially serviced loans has
the potential to increase the interest shortfalls experienced by
the trust if some of the loans do not pay off at maturity and are
subsequently transferred to the special servicer -- particularly
if the master servicer does not advance any interest on specially
serviced assets. We also considered $5.7 million of total
outstanding advances related to four assets with the special
servicer: the Regency Square loan ($71.4 million, 24.8%), the 20
South Charles Street loan ($7.3 million, 2.55%), the Whispering
Pines loan ($5.4 million, 1.86%), and the Gaineseville Place loan
($15.5 million, 5.4%). While BofA indicated that it does not
intend to recover these prior advances in the near term, we expect
that BofA may potentially accelerate the recovery of prior
advances if the appraised valuation of the specially serviced
assets declines. We believe that further nonrecoverability
determinations made by the master servicer and the potential
recovery of prior advances may cause further liquidity
interruptions to the trust. The potential liquidity interruptions
from all these factors may prompt Standard & Poor's to lower the
outstanding senior classes by multiple rating categories. We may
downgrade some of the subordinate classes if the interest
shortfalls occur for an extended period," S&P said.
As of the restated Dec. 12, 2011, remittance report, the
transaction collateral comprised 21 commercial real estate
assets, including nine with the special servicer. The reported
payment status of the specially serviced assets is: six loans
($128.1 million, 44.5%) are nonperforming matured balloon
loans, one loan ($7.4 million, 2.6%) is in foreclosure, and
two loans ($51.6 million, 17.9%) are current. Twenty one loans
($282.2 million, 98.0%) are due to mature by March 2013," S&P
said.
"Standard & Poor's will resolve the CreditWatch negative
placements as more information concerning the recovery of advances
becomes available and after we review the credit characteristics
of the remaining loans in the pool," S&P said.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2002-PB2
Credit Reported
Rating enhancement interest
shortfalls ($)
Class To From (%) Current Accumulated
K D (sf) B+ (sf) 18.01 88,400 99,641
L D (sf) B- (sf) 11.18 103,134 309,401
M D (sf) CCC+ (sf) 8.25 44,200 132,601
Ratings Lowered And Placed On Creditwatch Negative
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2002-PB2
Credit Reported
Rating enhancement interest
shortfalls ($)
Class To From (%) Current Accumulated
B AA (sf)/Watch Neg AAA (sf) 60.92 0 0
C A (sf)/Watch Neg A (sf) 55.07 0 0
D BBB+ (sf)/Watch Neg AA- (sf) 50.20 14,046 14,046
E BB (sf)/Watch Neg BBB (sf) 43.37 105,708 105,708
F BB- (sf)/Watch Neg BBB-(sf) 39.47 61,135 61,135
G CCC+ (sf)/Watch Neg BB+ (sf) 34.59 78,715 78,715
H CCC (sf)/Watch Neg BB (sf) 28.74 95,849 95,849
J CCC- (sf)/Watch Neg BB- (sf) 23.86 80,860 80,860
BANC OF AMERICA: S&P Lowers Class L Certificate to 'D'
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from Banc
of America Large Loan Inc.'s series 2006-BIX1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "Concurrently, we
affirmed our ratings on six other classes from the same
transaction," S&P said.
"Our downgrades and affirmations reflect our analysis of the
transaction, which included the revaluation of the collateral
securing the remaining three floating-rate loans in the pool, all
of which are currently with the special servicer. Our analysis
also considered the liquidity available to the trust," S&P said.
"Our rating actions reflect our adjusted valuations, which yielded
a stressed loan-to-value (LTV) ratio of 73.2% on the aggregate
trust balance for the remaining collateral. We also considered the
monthly interest shortfalls that are affecting the trust. We
lowered our rating on the class L certificate to 'D (sf)' because
we believe the accumulated interest shortfalls will remain
outstanding for the foreseeable future. Class L has accumulated
interest shortfalls outstanding for nine consecutive months," S&P
said.
"The analysis of our ratings on the transaction certificates was
consistent with the rating approach outlined in the 'Approach'
and 'Surveillance' sections of the J.P. Morgan Chase Commercial
Mortgage Securities Trust 2011-FL1 Presale Report, published
Nov. 8, 2011 (see 'Presale: J.P. Morgan Chase Commercial Mortgage
Securities Trust 2011-FL1')," S&P said.
"We affirmed our 'AAA (sf)' ratings on the class X-1B and X-4
interest-only certificates based on our current criteria," S&P
said.
All of the remaining loans are indexed to one-month LIBOR. The
reported current LIBOR was 0.249% per the Dec. 15, 2011 trustee
remittance report. Office properties secure two loans totaling
$163.1 million (83.8% of the pooled trust balance as per the
Dec. 15, 2011, trustee remittance report). Retail property
secures the remaining loan totaling $31.5 million (16.2%).
"We based our office and retail analyses, in part, on a review of
the borrowers' operating statements for the available trailing-12-
months ended 2011, year-end 2010, and year-end 2009, as well as
the borrowers' 2011 budgets and the 2011 rent rolls. Based on our
analysis, our aggregate adjusted office property valuations
yielded a stressed LTV ratio of 64.2% on the trust balance and our
retail property valuation yielded a stressed LTV ratio of 352.0%
on the trust balance. Details of the three remaining loans are set
forth," S&P said.
The Blackstone/CarrAmerica National Portfolio loan is the
largest loan in the pool and is currently with the special
servicer. According to the master servicer, Bank of America N.A.
(BofA), 47 office properties have been released since issuance.
The remaining collateral consists of 26 office properties,
totaling 5.4 million sq. ft. (including joint venture interests)
in various locations throughout California, Texas, Colorado, and
Washington. The loan has a whole-loan balance of $529.3 million,
consisting of a $355.2 million senior participation that is split
into three pari passu pieces and a $174.1 million junior
participation that is held outside the trust. The senior
participation is further divided into two portions: a senior
pooled component totaling $313.5 million and a subordinate
nonpooled component with a balance of $41.7 million. The trust's
portion of the pooled balance is $125.2 million (64.3% of the
pooled trust balance), and its portion of the nonpooled balance
is $16.7 million, which provides 100% of the cash flow for the
class J-CP, K-CP, and L-CP raked certificates. In addition,
the borrower's equity interests in the properties secure a
$128.9 million mezzanine loan. The trust balance reflects
$468.9 million in paydowns since issuance due to collateral
releases.
The master servicer reported an in-trust debt service coverage
(DSC) of 12.15x for year-end 2010 and occupancy of 84.5% as of
September 2011. According to the special servicer, also BofA, the
loan was recently modified and extended to Aug. 9, 2012, with one
12-month extension option remaining. The terms of the modification
and extension include, among other things, a principal paydown of
$40.0 million and scheduled quarterly amortization. The loan has
experienced a significant amount of deleveraging due to property
releases. The loan's payment status is reported as current and the
loan was transferred to the special servicer on Feb. 1, 2011, due
to imminent maturity default. "Our adjusted valuation used a
capitalization rate of 9.47%, which yielded a stressed LTV ratio
of 54.1% on the pooled trust balance and a 61.3% on the trust
balance. We affirmed our ratings on the 'CP' raked certificates in
conjunction with our review of the COMM 2006-FL12 transaction on
Dec. 9, 2011. For more details, please refer to our publication,
'Various Rating Actions On COMM 2006-FL12, CSFB 2006-TFL2, And
BALL 2006-BIX1,' published Dec. 9, 2011, on RatingsDirect," S&P
said.
The JER Denver Office Portfolio loan is the second-largest loan
in the pool and is currently with the special servicer. According
to BofA, two office properties have been released since issuance.
The remaining collateral consists of four office properties
totaling 726,240 sq. ft. in Greenwood and Centennial, Colo. The
loan has a whole-loan balance of $65.5 million, which is split
into a $37.9 million senior participation (19.5% of the pooled
trust balance) and a $27.6 million junior participation held
outside the trust. According to the special servicer, the loan was
recently modified and extended to Oct. 5, 2012. The loan has
experienced deleveraging due to property releases. The loan has a
reported current payment status per the Dec. 15, 2011, trustee
remittance report. BofA reported an in-trust DSC of 13.8x and
occupancy of 83.6% for the nine months ended Sept. 30, 2011. "Our
adjusted valuation using a capitalization rate of 9.00% yielded a
stressed in-trust LTV ratio of 78.1%," S&P said.
The Ballantyne Village loan is the smallest loan in the pool and
is currently with the special servicer. The loan has a trust
balance of $31.5 million (16.2%) and a whole-loan balance of
$50.0 million. The loan is secured by a 166,000-sq.-ft. class A
lifestyle center in Charlotte, N.C. The loan, reported as a
nonperforming matured balloon, was transferred to the special
servicer on July 9, 2009. According to BofA, the loan is currently
performing under a forbearance agreement, which, among other
items, requires the borrower to contribute cash under certain
conditions and the borrower to pay interest on $14.0 million of
the trust balance. Interest on the remaining $17.5 million
trust balance is deferred. BofA reported an in-trust DSC of 1.08x
and occupancy of 81.0% for the nine months ended Sept. 30, 2011.
"Our adjusted valuation using a capitalization rate of 9.25%,
yielded a stressed in-trust LTV ratio of 352.0%," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
Banc of America Large Loan Inc.
Commercial mortgage pass-through certificates series 2006-BIX1
Rating
Class To From Credit enhancement (%)
H BB- (sf) BB+ (sf) 21.60
J CCC+ (sf) B+ (sf) 15.81
K CCC- (sf) B- (sf) 9.73
L D (sf) CCC+ (sf) 0.00
Ratings Affirmed
Banc of America Large Loan Inc.
Commercial mortgage pass-through certificates series 2006-BIX1
Class Rating Credit enhancement (%)
D AAA (sf) 79.71
E AA+ (sf) 65.18
F A+ (sf) 50.65
G BBB+ (sf) 36.12
X-1B AAA (sf) N/A
X-4 AAA (sf) N/A
N/A -- Not applicable.
BANC OF AMERICA: S&P Lowers Ratings on 2 Classes to 'CC'
--------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on class
1-A-3 from Banc of America Funding 2004-4 Trust (BAFT 2004-4) by
raising it to 'AAA (sf)' from 'AA (sf)'. "Concurrently, we lowered
our ratings on three other classes and affirmed our ratings on 15
additional classes from the same transaction. BAFT 2004-4 is a
residential mortgage-backed securities (RMBS) Alternative-A (Alt-
A) transaction," S&P said.
"On Nov. 30, 2009, we inadvertently lowered our rating on class 1-
A-3. The correction of the rating along with the affirmations
reflect our view that the amount of projected credit enhancement
available for the affected classes is expected to cover projected
losses based on the stress scenario associated with the current
rating levels," S&P said.
"The downgrades reflect our view that the current projected credit
enhancement likely will be insufficient to cover the projected
loss amount for these classes based on the stress scenarios
associated with the previous rating levels," S&P said.
Th is the pool information for Banc of America Funding Trust 2004-
4 as of Nov. 25, 2011:
Original Pool Cum. Total Severe
balance factor losses delinq. delinq.
(mil $) (%) (%) (%) (%)
189.39 23.53 0.18 7.70 2.71
In the table, the original balance represents the original pool
balance; the pool factor represents a percentage of the original
pool balance remaining; the cumulative loss projection is a
percentage of the original pool balance; and total and severe
delinquencies are percentages of the current pool balance.
"To assess the creditworthiness of each class, we reviewed the
ability of the credit enhancement of each class to withstand its
allocation of projected losses in the stress scenario associated
with its rating. In order to maintain a 'B' rating on a class, we
assessed whether, in our view, a class could absorb the additional
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 the remaining base-case
assumption at a percentage specific to each rating category, up to
150% for a 'AAA' rating. For example, in general, we would assess
whether a 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
is projected, in our view, to withstand approximately 150% of our
remaining base-case loss assumptions under our analysis," S&P
said.
Subordination, overcollateralization (prior to depletion), and
excess spread provide credit support for this transaction. The
underlying collateral for this transaction consists of
Alternative-A (Alt-A) mortgage loans secured by first liens on
one- to four-family residential properties.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Corrected
Banc of America Funding 2004-4 Trust
Rating
Class CUSIP Current 11/30/09 Pre-11/30/09
1-A-3 05946XKR3 AAA (sf) AA (sf) AAA (sf)
Rating Actions
Banc of America Funding 2004-4 Trust
Rating
Class CUSIP To From
30-B-1 05946XLE1 BBB- (sf) AA (sf)
30-B-2 05946XLF8 CC (sf) B- (sf)
30-B-3 05946XLG6 CC (sf) CCC (sf)
Ratings Affirmed
Banc of America Funding 2004-4 Trust
Class CUSIP Rating
1-A-1 05946XKP7 AAA (sf)
1-A-2 05946XKQ5 AAA (sf)
1-A-4 05946XKS1 AAA (sf)
1-A-5 05946XKT9 AAA (sf)
1-A-6 05946XKU6 AAA (sf)
1-A-7 05946XKV4 AAA (sf)
2-A-1 05946XKZ5 AAA (sf)
3-A-1 05946XLA9 AAA (sf)
15-IO 05946XLB7 AAA (sf)
30-IO 05946XKW2 AAA (sf)
X-PO 05946XLC5 AAA (sf)
15-PO 05946XLD3 AAA (sf)
15-B-1 05946XLH4 AA (sf)
15-B-3 05946XLK7 BBB (sf)
30-B-4 05946XLL5 CC (sf)
BEAR STEARNS: Moody's Reviews 'Ba3' Rating of Cl. B-1 Notes
-----------------------------------------------------------
Moody's Investors Service has placed the ratings of 96 tranches
on review for upgrade, 8 tranches on review for downgrade and
60 tranches on review with direction uncertain from 43 RMBS
transactions issued mainly by Bear Stearns, Chase Mortgage
Finance, CHL Mortgage, CSFB, First Horizon, GMAC, GSR, JPMorgan,
Merrill Lynch Sequoia and Thornburg. The collateral backing these
deals primarily consists of first-lien, fixed and adjustable-rate
jumbo and Alt-A residential mortgages. The actions impact
approximately $2.6 billion of RMBS issued from 2002-2007.
Complete rating actions are:
Deals requiring the "Individual group trigger" Approach
Issuer: Bear Stearns ARM Trust 2003-7
Cl. I-A, Aa3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Aa3 (sf)
Cl. II-A, Baa1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Baa1 (sf)
Cl. III-A, A2 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. IV-AM, A2 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. V-A, A3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A3 (sf)
Cl. VI-A, A2 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. VII-A, A2 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. VIII-A, A2 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. IX-A, A3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A3 (sf)
Cl. B-1, Ba3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Ba3 (sf)
Issuer: Bear Stearns ARM Trust 2003-8
Cl. I-A-1, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Baa3 (sf)
Cl. II-A-1, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Baa3 (sf)
Cl. II-A-2, Ba1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Ba1 (sf)
Cl. III-A, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Baa3 (sf)
Cl. IV-A-1, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Baa3 (sf)
Cl. IV-A-2, Ba1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Ba1 (sf)
Cl. V-A, Baa2 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Baa2 (sf)
Cl. I-A-2, Ba1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Ba1 (sf)
Cl. B-1, Caa2 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Caa2 (sf)
Cl. B-2, Ca (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2011 Downgraded to Ca (sf)
Issuer: Bear Stearns ARM Trust 2003-9
Cl. I-A-1, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to Baa1 (sf)
Cl. I-A-2, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to Baa1 (sf)
Cl. I-A-3, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to Baa1 (sf)
Cl. II-A-1, A2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. II-A-2, A2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. II-A-3, A2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. III-A-1, A2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. III-A-2, A2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. III-A-3, A2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. IV-A-1, A2 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to A2 (sf)
Cl. B-1, Ba3 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Downgraded to Ba3 (sf)
Issuer: Bear Stearns ARM Trust 2004-1
Cl. I-2-A-4M, B1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to B1 (sf)
Cl. I-6-A-1, Ba3 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Ba3 (sf)
Cl. I-7-A-1, Ba1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to Ba1 (sf)
Cl. I-B-1, Ca (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2011 Downgraded to Ca (sf)
Issuer: CHL Mortgage Pass-Through Trust 2003-46
Cl. B-1, Caa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Caa3 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2004-8
Cl. 1-A-3, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to B1 (sf)
Cl. 1-A-4, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to Baa3 (sf)
Cl. 1-A-5, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to B1 (sf)
Cl. 1-A-6, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to B1 (sf)
Cl. 1-A-7, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to B1 (sf)
Cl. 1-A-8, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to Ba2 (sf)
Cl. 1-A-11, Ba3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to Ba3 (sf)
Cl. 2-A-1, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to Ba2 (sf)
Issuer: CWMBS Mortgage Pass-Through Trust 2004-HYB1
Cl. 2-A, Ba1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 28, 2011 Downgraded to Ba1 (sf)
Issuer: GMACM Mortgage Loan Trust 2004-AR2
Cl. 1-A, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba2 (sf)
Cl. 2-A, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba1 (sf)
Cl. 5-A-I, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Aa3 (sf)
Cl. 5-A-II, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba2 (sf)
Issuer: GSR Mortgage Loan Trust 2003-10
Cl. 1A1, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to A1 (sf)
Cl. 1A8, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to A1 (sf)
Cl. 1A11, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to A1 (sf)
Cl. 1A12, A2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to A2 (sf)
Cl. 2A2, A2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to A2 (sf)
Issuer: GSR Mortgage Loan Trust 2004-12
Cl. 1B1, Caa2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to Caa2 (sf)
Cl. 1B2, Ca (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to Ca (sf)
Cl. 3A6, B1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to B1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2003-H
Cl. A-1, Baa2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 18, 2011 Downgraded to Baa2 (sf)
Cl. A-3B, Baa2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 18, 2011 Downgraded to Baa2 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-A
Cl. A-2, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 18, 2011 Downgraded to Ba1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-C
Cl. A-2, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 18, 2011 Downgraded to Baa2 (sf)
Cl. A-2B, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 18, 2011 Downgraded to Baa3 (sf)
Issuer: Mortgage Pass-Through Certificates, MLMI Series 2003-A2
Cl. II-A-2, A1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A1 (sf)
Cl. II-A-3, A1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A1 (sf)
Cl. II-A-4, A1 (sf) Placed Under Review Direction Uncertain;
previously on May 6, 2011 Downgraded to A1 (sf)
Issuer: Sequoia Mortgage Trust 2004-11
Cl. B-1, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 27, 2011 Downgraded to Ba2 (sf)
Cl. B-2, Caa2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 27, 2011 Downgraded to Caa2 (sf)
Issuer: Sequoia Mortgage Trust 2004-6
Cl. A-1, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 27, 2011 Downgraded to Baa3 (sf)
Cl A-3-B, Ba2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 27, 2011 Downgraded to Ba2 (sf)
Issuer: Thornburg Mortgage Securities Trust 2002-3
Cl. A-2, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 20, 2011 Downgraded to A1 (sf)
Issuer: Thornburg Mortgage Securities Trust 2003-3
Cl. A1, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 20, 2011 Downgraded to Baa2 (sf)
Cl. A2, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 20, 2011 Downgraded to A3 (sf)
Cl. A3, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 20, 2011 Downgraded to A3 (sf)
Cl. A4, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 20, 2011 Downgraded to A2 (sf)
Deals requiring the "Combined" Approach
Issuer: CHL Mortgage Pass-Through Trust 2004-14
Cl. 2-A-5, B2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to B2 (sf)
Cl. 4-A-2, B3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 19, 2011 Downgraded to B3 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-17
Cl. I-P, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa1 (sf)
Cl. III-P, Aaa (sf) Placed Under Review Direction Uncertain;
previously on Mar 18, 2011 Confirmed at Aaa (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-21
Cl. I-A-4, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-23
Cl. I-A-3, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa1 (sf)
Cl. I-A-7, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Cl. I-A-15, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Cl. I-A-18, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. I-P, A1 (sf) Placed Under Review for Possible Upgrade;
previously on May 6, 2011 Reinstated to A1 (sf)
CL. III-P, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A3 (sf)
Cl. IV-A-1, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A3 (sf)
Cl. V-A-1, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A3 (sf)
Cl. VI-A-1, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Baa1 (sf)
Cl. VII-A-1, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A3 (sf)
Cl. VIII-A-1, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A1 (sf)
CL. D-P, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Baa1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-27
Cl. 1-A-3, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. 1-A-4, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. II-A-1, Aa2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa2 (sf)
Cl. III-A-2, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. V-A-3, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. V-A-4, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. D-P, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-29
Cl. I-A-1, Aa3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. II-A-2, Aa3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. II-A-3, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Cl. II-A-4, Aa3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. V-A-1, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Cl. VI-A-1, Aa3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to Aa3 (sf)
Cl. VII-A-1, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-8
Cl. III-A-4, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Cl. III-A-25, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Cl. IV-PPA-1, A1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-1
Cl. I-A-2, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A3 (sf)
Cl. I-A-3, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A2 (sf)
Cl. I-P, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A1 (sf)
Cl. II-A-1, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A2 (sf)
Cl. II-A-2, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A2 (sf)
Cl. III-A-1, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A2 (sf)
Cl. IV-A-1, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to A3 (sf)
Cl. V-A-1, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Baa1 (sf)
Issuer: Charlie Mac Trust 2004-2
Cl. A-2, Aa1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 28, 2011 Downgraded to Aa1 (sf)
Cl. B-1, A2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 28, 2011 Downgraded to A2 (sf)
Issuer: Chase Mortgage Finance Trust, Series 2004-S3
Cl. IA-1, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 22, 2011 Downgraded to A1 (sf)
Cl. IIA-3, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 22, 2011 Downgraded to A1 (sf)
Cl. IIA-4, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 22, 2011 Downgraded to A1 (sf)
Cl. IIA-5, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 22, 2011 Downgraded to A1 (sf)
Cl. IIIA-1, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 22, 2011 Downgraded to A1 (sf)
Cl. A-P, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 22, 2011 Downgraded to A1 (sf)
Issuer: GSR Mortgage Loan Trust 2004-13F
Cl. 1A-1, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to Ba1 (sf)
Cl. 3A-3, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 29, 2011 Downgraded to B1 (sf)
Issuer: GSR Mortgage Loan Trust 2004-15F
Cl. 1A-4, B1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to B1 (sf)
Cl. 2A-1, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to Baa3 (sf)
Cl. 2A-2, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to Baa3 (sf)
Cl. 4A-1, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 21, 2011 Downgraded to Baa3 (sf)
Issuer: GSR Mortgage Loan Trust 2004-5
Cl. 1A1, B3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to B3 (sf)
Cl. 1A2, Caa2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Caa2 (sf)
Cl. 1A3, Caa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Caa1 (sf)
Cl. 2A1, B2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to B2 (sf)
Cl. 3A3, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to B1 (sf)
Issuer: GSR Mortgage Loan Trust 2004-7
Cl. 4A-1, Ba3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba3 (sf)
Issuer: GSR Mortgage Loan Trust 2004-9
Cl. 1A1, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba1 (sf)
Cl. 1A2, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba1 (sf)
Cl. 2A1, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba1 (sf)
Cl. 3A1, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Baa3 (sf)
Cl. 3A2, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba2 (sf)
Cl. 4A1, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba1 (sf)
Cl. 5A7, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to A2 (sf)
Cl. 5A8, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Ba1 (sf)
Cl. 6A1, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Baa3 (sf)
Cl. 7A1, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 21, 2011 Downgraded to Baa2 (sf)
Issuer: Sequoia Mortgage Trust 2003-3
Cl. A-2, Baa2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 27, 2011 Downgraded to Baa2 (sf)
Cl. B-1, Caa2 (sf) Placed Under Review Direction Uncertain;
previously on Apr 27, 2011 Downgraded to Caa2 (sf)
Cl. B-2, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Apr 27, 2011 Downgraded to Ca (sf)
Issuer: Sequoia Mortgage Trust 2003-5
Cl. A-1, Baa1 (sf) Placed Under Review Direction Uncertain;
previously on Apr 27, 2011 Downgraded to Baa1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-4
Cl. III-A-16, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Downgraded to B1 (sf)
Cl. III-X, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Downgraded to B1 (sf)
Issuer: MASTR Alternative Loan Trust 2005-2
Cl. 5-A-1, Caa1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 15, 2010 Downgraded to Caa1 (sf)
Issuer: GSR Mortgage Loan Trust 2005-6F
Cl. 2A-1, B3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 27, 2010 Downgraded to B3 (sf)
Issuer: GSR Mortgage Loan Trust 2005-7F
Cl. 1A-2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 27, 2010 Downgraded to B1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2005-A1
Cl. 5-A-2, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 18, 2011 Downgraded to Baa3 (sf)
Cl. I-B-1, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 18, 2011 Downgraded to Caa3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2005-A4
Cl. 1-A-1, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 6, 2010 Downgraded to Ba1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-2
Cl. I-A, B3 (sf) Placed Under Review for Possible Upgrade;
previously on May 5, 2010 Downgraded to B3 (sf)
Cl. II-A, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 18, 2011 Downgraded to B1 (sf)
Cl. III-A, Caa2 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 18, 2011 Downgraded to Caa2 (sf)
Cl. IV-A, Caa1 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 18, 2011 Downgraded to Caa1 (sf)
Cl. M-1, Ca (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2010 Downgraded to Ca (sf)
Issuer: First Horizon Mortgage Pass-Through Trust 2003-8
Cl. II-A-1, A3 (sf) Placed Under Review Direction Uncertain;
previously on Apr 19, 2011 Downgraded to A3 (sf)
RATINGS RATIONALE
The actions will correct an error in the Structured Finance
Workstation cash flow model used by Moody's in rating these
transactions, specifically in how the model handled cash
distribution from prepayments between senior and subordinate
certificates. When rating these deals, the error in the model
led to some senior certificates not being credited with the
appropriate amount of principal prepayments. The corrected model
output indicates, on average, a one-notch increase to the ratings
previously assigned to the senior certificates. It should be noted
that model-generated output is but one factor considered by
Moody's in rating these transactions.
During the review, Moody's will also assess deal performance to
date, which it will incorporate into its final rating actions. To
the extent deal performance has deteriorated, resolution of the
review actions may result in downgrades of certain bonds.
In some transactions involving multiple loan pools the cash flow
modeling was conservative in determining when some performance
triggers would send 100% of prepayments to the senior certificates
in deals.
RMBS structures initially allocate cash collections from voluntary
prepayments only to the senior certificates. Gradually over time,
a portion is then allocated to junior certificates. The amount of
cash that senior certificates receive from prepayments starts off
at 100%. After a certain number of months, that percentage starts
decreasing according to a deal-specific schedule as long as
certain conditions are met. However, the share of prepayments
to the senior certificates can revert back to 100% at any
distribution date if certain performance triggers are breached.
One performance trigger measures whether the current credit
protection, expressed as a percentage, to senior bonds from
subordination is greater than the percentage of original credit
protection. Should the deal perform poorly and absorb losses on
the underlying collateral and available credit protection falls
below the original level, then 100% of prepayment cash reverts
back to the senior certificates.
In cases where a deal has two or more loan pools, the calculation
for this performance trigger can be done in one of three ways:
1. "Aggregate level credit protection" Approach: When the
percentage of credit protection available for all senior
certificates, in aggregate, falls below the original percentage of
credit protection, then the prepayment share to all the senior
certificates groups reverts back to 100%.
2. "Individual group trigger" Approach: When the percentage of
credit protection available for a group of senior certificates
falls below the original percentage of group credit protection,
then the prepayment share to the senior certificates of that
particular group reverts back to 100%. All other senior
certificates' share of prepayment remains unchanged.
3. "Combined" Approach: This is a combination of the above two
approaches. When the percentage of credit protection available for
a senior certificates' group falls below the original percentage
of credit protection, then the prepayment share to all senior
certificates from all groups reverts back to 100%.
This trigger helps protect senior certificates if credit
protection is eroding by reducing principal payments to
junior certificates and diverting them to pay the senior
certificates instead. While all three approaches benefit
senior certificates, the third approach benefits senior
certificates the most, while the first approach benefits
senior certificates the least. The third approach redirects
payments to the senior certificates sooner than the other two
approaches. For example, consider a deal backed by two distinct
pools of mortgages (pool A and pool B) and over time there is a
vast difference in performance of two underlying pools. Pool A
performs much stronger, with lower losses, while pool B performs
much weaker. As per approach 1, the average loss, when pool A and
B are combined, will be medium and hence current combined credit
protection may be higher than the original credit protection. As a
result, payments will not be diverted to the senior certificates.
In contrast, approach 3 will test pool A and pool B individually
instead of taking the average of the two pools. Since pool B is
performing weaker, current credit protection may be lower than the
original credit protection. As a result, it will divert payments
to the senior certificates backed by both pools A and B. Approach
2 will only revert payments back to senior certificates backed by
pool B, so it is beneficial for only one group.
The Pooling and Servicing Agreements for the deals
impacted by this rating action require the use of a particular
trigger approach, either the "individual group trigger" or the
"combined trigger approach." Previous rating actions on these
deals mistakenly used the "aggregate level credit protection"
approach in their modeling. Under this approach, prepayment
allocation to senior certificates was changed back to 100% only
when all groups failed the test, with the result that senior
certificates received too little credit for prepayments while
junior certificates received too much. As a result the paydown
rate of the senior certificates was slower than it should have
been, while the reverse was true for the junior certificates. The
cash flow models have been corrected to reflect the application of
the appropriate approach required in the deals. The resolution of
the review actions will take into account the corrected models as
well as the performance of the impacted transactions.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011, and "Pre-2005 US RMBS Surveillance
Methodology" published January 2011.
The above mentioned approach was adjusted slightly to
update losses for jumbo pools issued before 2005. The severity
assumptions for 30- year jumbo pools was revised to 40% and
the severity assumption for 15- year jumbo pools was reduced to
25%, based on observed loan level severity data. In addition,
delinquency burnout rates were increased by 10 points across
vintages to reflect deterioration in economic projections since
January.
The above mentioned approach is also 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 3% to 10% 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" and "Pre-2005 US
RMBS Surveillance Methodology" publications.
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. 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.
BEAR STEARNS: New Loan Defaults Cue Fitch to Downgrade Ratings
--------------------------------------------------------------
Fitch Ratings affirms 12 and downgrades six classes of Bear
Stearns Commercial Mortgage Securities Trust, commercial mortgage
pass-through certificates, series 2006-TOP24, the downgrades are
due to greater certainty of losses associated with specially
serviced loans.
The downgrades reflect an increase in Fitch expected losses as a
result of new loan defaults and updated property valuations
obtained by the special servicer, which indicate further
deterioration. Fitch modeled losses of 5.6% for the remaining
pool; expected losses of the original pool are at 7.5%, including
losses already incurred to date. Fitch has designated 43 loans
(24.8%) as Fitch Loans of Concern, which includes seven specially
serviced loans (8.6%). Classes J through P have been fully
depleted from realized losses associated with loan dispositions.
As of the December 2011 distribution date, the pool's aggregate
principal balance has been reduced by approximately 21% to
$1.21 billion from $1.53 billion at issuance. Interest shortfalls
are affecting up to class G.
The largest contributor to modeled losses consists of a 258-room
full-service hotel in San Diego, CA. The asset, which transferred
to special servicing in April 2009, was foreclosed upon in August
2010. The special servicer was unable to provide updates
performance statistics for the property. Based on updated value
estimates provided by the special servicer, recovery prospects
continue to decline. The servicer is marketing the property for
sale with a target resolution date in the first quarter of 2012.
Fitch expects losses upon the disposition of the asset.
The next largest contributor to losses consists of a 295-room
full-service hotel located in Schiller Park, IL, within proximity
to Chicago O'Hare Airport. The loan, which was previously
performing under a modification, failed to stabilize, and
transferred back to the special servicer on December 15, 2011.
Based on the most recent property performance data, performance
remains below expectations from issuance.
The largest loan in the pool, US Bancorp Tower (15.4%), is
collateralized by a 1 million square foot class A office building
in Portland, OR. The largest tenant, US Bancorp (rated 'AA-' by
Fitch), occupies over 60% of the net rentable area under two
separate leases expiring in 2015. Property performance has been
stable since issuance. Whereas this loan represents 15% of the
transaction, any declines in future performance will have a
significant impact on overall deal expected losses. Fitch will
continue to monitor US Bancorp's 2015 lease expiration, which may
affect the loan's ability to refinance at the August 2016 maturity
date.
Fitch downgrades these classes, revises Outlooks, and assigns
Recovery Estimates (REs):
-- $28.8 million class B to 'Bsf' from 'BBsf'; Outlook Negative;
-- $13.4 million class C to 'CCCsf' from 'Bsf'; RE 100%;
-- $21.1 million class D to 'CCsf' from 'CCCsf'; RE 50%;
-- $13.4 million class E to 'Csf' from 'CCCsf'; RE 0%;
-- $13.4 million class F to 'Csf' from 'CCCsf'; RE 0%;
-- $19.2 million class G to 'Csf' from 'CCsf'; RE 0%.
Fitch also affirms these classes and assigns REs:
-- $51 million class A-3 at 'AAAsf'; Outlook Stable;
-- $79 million class A-AB at 'AAAsf'; Outlook Stable;
-- $715.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $153.5 million class A-M at 'AAsf'; Outlook Stable;
-- $101.7 million class A-J at 'BBB-sf'; Outlook Negative;
-- $3.2 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $1.9 million class N at 'Dsf'; RE 0%;
-- $1.9 million class O at 'Dsf'; RE 0%.
BLACK DIAMOND: S&P Affirms Rating on Class E Notes at 'CCC+'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-1B, and B notes from Black Diamond CLO 2005-1 Ltd., a
collateralized loan obligation (CLO) transaction managed by Black
Diamond Capital Management LLC. "At the same time, we affirmed
our ratings on the class A-1A, C, D-1, D-2, and E notes," S&P
said.
"The upgrades reflect the improved performance we have observed in
the deal's underlying asset portfolio since our October 2009
rating actions. According to the Nov. 7, 2011 trustee report, the
transaction's asset portfolio held approximately $44.5 million
of defaulted assets, down from the $72.8 million noted in the
September 2009 trustee report. Additionally, the collateral pool
consisted of approximately $58 million in assets from obligors
rated in the 'CCC' category in November 2011, down from
$105 million in September 2009," S&P said.
"We affirmed our ratings on the class A-1A, C, D-1, D-2, and E
notes to reflect the sufficient credit support available at the
classes' current rating levels," S&P said.
Standard & Poor's also noted that the trustee filed an
interpleader action on Aug. 15. As a result, the trustee has
placed $65.4 million of available funds in escrow pending the
resolution of an order from the court directing the application of
such funds.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Black Diamond CLO 2005-1 Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)
A-1B AAA (sf) AA+ (sf)
B AA+ (sf) AA- (sf)
Ratings Affirmed
Black Diamond CLO 2005-1 Ltd.
Class Rating
A-1A AAA (sf)
C A- (sf)
D-1 BB+ (sf)
D-2 BB+ (sf)
E CCC+ (sf)
BRISTOL BAY: Moody's Reviews 'Ba2' Rating on $40-Mil. Notes
-----------------------------------------------------------
Moody's Investors Service has placed under review for possible
downgrade the ratings of these notes issued by Bristol Bay Funding
Ltd.:
US$24,000,000 Class A-2 Floating Rate Senior Notes Due 2016, A1
(sf) Placed Under Review for Possible Downgrade; previously on
June 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade;
US$40,000,000 Class B Floating Rate Deferrable Senior Subordinate
Notes Due 2016 (currently outstanding balance of $39,427,918), Ba2
(sf) Placed Under Review for Possible Downgrade; previously on
June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade.
In addition, Moody's confirmed the rating of the following notes:
US$39,000,000 Class A-1 Floating Rate Senior Notes Due 2016
(currently outstanding balance of $11,126,178), Confirmed Aa3
(sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review for
Possible Upgrade.
RATINGS RATIONALE
According to Moody's, rating actions result primarily from
corrections to the modeling of assumptions as to the treatment of
long-dated assets, amortization of the reinvested assets, and
tracking of the GIC account that were used in Moody's previous
analyses of the transaction. Due to errors in the previous
modeling of these assumptions, the ratings assigned in the
previous rating action may have been higher than warranted. These
errors have been corrected, and the rating actions reflect the
appropriate assumptions.
The rating actions also reflect consideration 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 says that the decision to place the ratings under review
for possible downgrade is based in part on uncertainty as to the
accuracy of the Swap Notional Amount as reported in the October
2011 trustee report. Moody's has been advised that this figure may
be revised in the near future.
The actions also considered credit improvement of the underlying
portfolio and delevering of the senior notes since the rating
action in June 2009. Based on the September 2011 trustee report,
the weighted average rating factor is currently 2539 compared to
2817 in May 2009.
Moody's notes that the Class A-1 Notes have been paid down by
approximately 69% or $24 million since the rating action in June
2009. As a result of the delevering, the overcollateralization
ratios have increased. Based on the latest trustee report dated
October 19, 2011, the Class A and Class B overcollateralization
ratios are reported at 285.2% and 134.4%, respectively, versus May
2009 levels of 203.6% and 121.7%, respectively.
Additionally, Moody's noted that the underlying portfolio
includes a number of investments in securities that mature after
the maturity date of the notes, and that such exposure has grown
as a result of the deal's decision to participate in amend-and-
extend activities. Based on Moody's calculations, as of the
October 2011 trustee report, securities that mature after the
maturity date of the notes make up approximately 17% of the
underlying portfolio versus 1% in May 2009. The high percentage
of these securities potentially exposes the notes to market risk
in the event of liquidation at the time of the notes' maturity.
Furthermore, the rating actions taken on the Class A-1 Notes
also reflects the additional risk posed to the noteholders
due to the insurance financial strength rating of General
Electric Capital Corporation, which acts as Guarantor under the
Investment Agreement in the transaction. In its analysis, Moody's
added the Aa2 default risk associated with General Electric
Capital Corporation to the expected loss of each class of rated
notes, resulting in an Aa3 rating for Class A-1 in expected loss
terms. The impact on the Class A-1 Notes was more pronounced due
to their higher rating relative to the ratings of other classes
of rated notes.
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 reference pool to have a
swap notional of $410 million, defaulted par of $22 million, a
weighted average default probability of 15.73% (implying a WARF
of 2860), a weighted average recovery rate upon default of
47.69%, and a diversity score of 50. The default and recovery
properties of the reference 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
reference pool and Moody's expectation of the remaining life of
the reference pool. The average recovery rate to be realized
on future defaults is based primarily on the seniority of the
assets in the reference pool. In each case, historical and market
performance trends and collateral manager latitude for trading
the reference are also factors.
Bristol Bay Funding Ltd., issued in March 2004, is a synthetic
collateralized loan obligation referencing primarily by a
portfolio of senior secured loans.
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. 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) Amortization of the reference pool: The main source of
uncertainty in this transaction is the pace of amortization of the
reference pool from scheduled and unscheduled payments. Delevering
of the notes may accelerate due to high prepayment levels in the
loan market and/or collateral sales by the manager, which may have
significant impact on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the 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.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
CALLIDUS DEBT: S&P Withdraws 'BB+' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
class A-1, A-2, A-3, A-4, B, C, D, and E notes from Callidus Debt
Partners CLO Fund III Ltd., a U.S. collateralized loan obligation
(CLO) transaction managed by GSO/Blackstoone Debt Funds
Management.
The withdrawals follow the optional redemption of the rated notes
on the Dec. 2, 2011 payment date.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Withdrawn
Callidus Debt Partners CLO Fund III Ltd.
Rating
To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AAA (sf)
A-4 NR AAA (sf)
B NR AAA (sf)
C NR AA+ (sf)
D NR A- (sf)
E NR BB+ (sf)
CANTOR COMMERCIAL: Fitch Puts Rating on Two Cert. Classes at Low-B
------------------------------------------------------------------
Fitch Ratings has assigned these ratings to Cantor Commercial Real
Estate Lending, L.P.'s CFCRE Commercial Mortgage Trust 2011-C2
commercial mortgage pass-through certificates:
-- $52,288,000 class A-1 'AAAsf'; Outlook Stable;
-- $341,412,000 class A-2 'AAAsf'; Outlook Stable;
-- $34,139,000 class A-3 'AAAsf'; Outlook Stable;
-- $114,021,000 class A-4 'AAAsf'; Outlook Stable;
-- $620,236,000*a class X-A 'AAAsf'; Outlook Stable;
-- $78,376,000a class A-J 'AAAsf'; Outlook Stable;
-- $28,061,000a class B 'AAsf'; Outlook Stable;
-- $31,931,000a class C 'Asf'; Outlook Stable;
-- $18,384,000a class D 'BBB+sf'; Outlook Stable;
-- $28,061,000a class E 'BBB-sf'; Outlook Stable;
-- $10,644,000a class F 'BBsf'; Outlook Stable;
-- $9,676,000a class G 'Bsf'; Outlook Stable.
* Notional amount and interest only. a Privately placed pursuant
to Rule 144A.
Fitch does not rate the $153,850,416 interest-only class X-B or
the $27,093,416 class NR.
CARLYLE GLOBAL 2011-1: S&P Gives 'B' Rating on Class F Notes
------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Carlyle
Global Market Strategies CLO 2011-1 Ltd./Carlyle Global Market
Strategies CLO 2011-1 Corp.'s $471.0 million floating-rate notes
following the transaction's effective date as of Oct. 19, 2011.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral.
On the closing date, the collateral manager typically covenants to
purchase the remaining collateral within the guidelines specified
in the transaction documents to reach the target level of
portfolio collateral. Typically, the CLO transaction documents
specify a date by which the targeted level of portfolio collateral
must be reached. The "effective date" for a CLO transaction is
usually the earlier of the date on which the transaction acquires
the target level of portfolio collateral, or the date defined in
the transaction documents. Most transaction documents contain
provisions directing the trustee to request the rating agencies
that have issued ratings upon closing to affirm the ratings issued
on the closing date after reviewing the effective date portfolio
(typically referred to as an "effective date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio Collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee. (For more information on our criteria and our
analytical tools, see 'Update To Global Methodologies And
Assumptions For Corporate Cash Flow And Synthetic CDOs,' published
Sept. 17, 2009)," S&P said
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Affirmed
Carlyle Global Market Strategies CLO 2011-1 Ltd./Carlyle Global
Market
Strategies CLO 2011-1 Corp.
Class Rating Amount (mil. $)
A AAA (sf) 333.000
B AA (sf) 27.000
C (deferrable) A (sf) 49.000
D (deferrable) BBB (sf) 26.000
E (deferrable) BB (sf) 25.500
F (deferrable) B (sf) 10.500
Subordinated notes NR 35.989
NR -- Not rated.
CARLYLE MCLAREN: S&P Raises Rating on Class B-1L Notes to 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
B-1L notes from Carlyle McLaren CLO Ltd., a U.S. collateralized
loan obligation (CLO) transaction managed by Carlyle Investment
Management LLC. "At the same time, we affirmed our ratings on the
class X, A-1L, A-1LV, A-2L, A-3L, and B-2L notes," S&P said.
"The upgrade mainly reflects the improved performance of the
transaction's underlying asset portfolio since we lowered our
ratings on six of the notes in October 2009, following the
application of our September 2009 collateralized debt obligation
(CDO) criteria," S&P said.
"As of the December 2011 trustee report, the transaction had
$2.78 million of defaulted assets. This was down from the
$8.37 million of defaulted assets noted in the September 2009
trustee report, which we used for our October 2009 rating
actions. Additionally, the trustee reported $19.12 million in
assets from obligors rated in the 'CCC' category in December
2011, compared with $40.61 million in September 2009," S&P said.
The upgrade also reflects an improvement in the
overcollateralization (O/C) available to support the notes
since the October 2009 rating actions. The trustee reported
the O/C ratios in the December 2011 monthly report:
The senior class A O/C ratio was 118.49%, compared with a
reported ratio of 116.93% in September 2009;
The class A O/C ratio was 111.24%, compared with a reported
ratio of 109.79% in September 2009;
The class B-1L O/C ratio was 106.15%, compared with a reported
ratio of 104.76% in September 2009; and
The class B-2L O/C ratio was 102.10%, compared with a reported
ratio of 100.49% in September 2009.
"At the time of our last rating action, the 'largest-obligor
default test,' which we introduced as part of our CDO criteria
update, was the constraining factor for both the class B-1L and
B-2L ratings. For our current analysis, and mainly due to the
aforementioned improvements in the transaction, the class B-1L
rating was not constrained by the largest-obligor default test,"
S&P said.
"Standard & Poor's updated corporate CDO criteria include
two supplemental 'outside the model' tests intended to address
event and model risks that may be present in rated transactions.
The first test is the largest-obligor default test. This test
assesses whether a CDO tranche has sufficient credit enhancement
(not counting excess spread) to withstand specified combinations
of underlying asset defaults based on the underlying asset
ratings, with a flat recovery of 5%. The second test is the
'largest-industry default test,' which assesses whether a CDO
tranche rated 'AAA', 'AA+', 'AA', or 'AA-' has sufficient credit
enhancement (not counting excess spread) to withstand the default
of all obligors in the transaction's largest industry, with a
flat recovery of 17%, or to otherwise meet an alternative largest-
industry default test. Either of these tests may be a limiting
factor for our rating on a CDO tranche, in addition to the cash
flow analysis and output of the CDO evaluator, which the rating
committee also reviews for each transaction," S&P said.
"We affirmed our ratings on the class X, A-1L, A-1LV, A-2L, A-3L,
and B-2L notes to reflect the availability of credit support at
the 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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Raised
Carlyle McLaren CLO Ltd.
Rating
Class To From
B-1L BB+ (sf) B+ (sf)
Ratings Affirmed
Carlyle McLaren CLO Ltd.
Class Rating
X AAA (sf)
A-1L AA+ (sf)
A-1LV AA+ (sf)
A-2L A+ (sf)
A-3L BBB+ (sf)
B-2L CCC- (sf)
Transaction Information
Issuer: Carlyle McLaren CLO Ltd.
Co-issuer: Stanfield McLaren CLO (Delaware) Corp.
Underwriter: Bear Stearns Cos. LLC
Collateral manager: Carlyle Investment Management LLC
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CDO
CEDARWOODS CRE: S&P Puts 'CCC' Rating on Class F on Watch Negative
------------------------------------------------------------------
Standard & Poor's placed its ratings on CreditWatch with negative
implications on eight classes from Cedarwoods CRE CDO II Ltd.
(Cedarwoods II), a commercial real estate collateralized debt
obligation (CRE CDO) transaction.
The CreditWatch placements follow the receipt of notices from the
trustee indicating an EOD, the intent to liquidate the collateral,
and a subsequent written objection and intent to file an
interpleader complaint.
"According to the Dec. 2, 2011 trustee notice the transaction
experienced and continues to experience an event of default (EOD)
under Section 5.1(f) of the indenture. On Dec. 6, 2011, we
received an additional notice from the trustee indicating that,
pursuant to the EOD, the controlling noteholders had voted to
accelerate the maturity of the notes and liquidate the collateral.
Subsequent to these events, we received notice from the trustee on
Dec. 13, 2011, indicating a written objection to the declaration
of the EOD from both the collateral manager and the representative
of the class A-2 noteholder. The notice further noted the
trustee's intent to file an interpleader complaint against the
issuer, the collateral manager, the class A-1 noteholder, and the
class A-2 noteholder regarding the declaration of the EOD and
related issues. Until these matters have been resolved, it is our
understanding that the trustee will suspend the sale and
liquidation of the collateral and continue to escrow all amounts
payable to the notes," S&P said.
"We will update our CreditWatch placements on the affected ratings
from Cedarwoods II pending additional information on the
resolution of the interpleader complaint. If we receive notice
that an EOD is in effect, we will likely analyze the transaction
using our criteria for CDOs that have triggered EODs. The analysis
includes our assessment of the market value of the collateral and
the proceeds that the classes may receive in a liquidation
scenario. If liquidation proceeds fail to redeem the rated classes
in full, we will likely downgrade the respective class to 'D
(sf)'," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Placed On CreditWatch Negative
Cedarwoods CRE CDO II Ltd.
Rating
Class To From
A-1 AA- (sf)/Watch Neg AA- (sf)
A-2 BBB+ (sf)/Watch Neg BBB+ (sf)
A-3 BBB- (sf)/Watch Neg BBB- (sf)
B BB+ (sf)/Watch Neg BB+ (sf)
C BB- (sf)/Watch Neg BB- (sf)
D B+ (sf)/Watch Neg B+ (sf)
E B (sf)/Watch Neg B (sf)
F CCC (sf)/Watch Neg CCC (sf)
CENTRAL PARK: S&P Gives 'B+' Rating on Class F Deferrable Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Central
Park CLO Ltd./Central Park CLO Corp.'s $633.0 million floating-
rate notes following the transaction's effective date as of
Oct. 24, 2011.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach
the target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased,
and the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about
the transaction's investment guidelines. This is because not
all assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee. (For more information on our criteria and our
analytical tools, see 'Update To Global Methodologies And
Assumptions For Corporate Cash Flow And Synthetic CDOs,'
published Sept. 17, 2009)," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view,
the current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Affirmed
Central Park CLO Ltd./Central Park CLO Corp.
Class Rating Amount (mil. $)
A AAA (sf) 428.00
B AA (sf) 91.00
C (deferrable) A (sf) 38.00
D (deferrable) BBB (sf) 36.00
E (deferrable) BB (sf) 33.00
F (deferrable) B+ (sf) 7.00
Subordinated notes NR 57.17
NR -- Not rated.
CENTURION CDO: S&P Raises Ratings on 2 Classes of Notes to 'B+'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1A, A-1B, A-2, B, C, D-1, and D-2 notes from Centurion CDO 9
Ltd., a collateralized loan obligation (CLO) transaction managed
by Columbia Management Investment Advisors LLC.
"The upgrades reflect improved performance we have observed in
the deal's underlying asset portfolio since our October 2009
rating actions, when we lowered our ratings on all of the notes.
As of the Nov. 7, 2011, trustee report, the transaction held
$4.3 million in defaulted assets. This was down from the
$49.0 million in defaulted assets noted in the September 2009
trustee report, which we referenced for our October 2009 rating
actions. Also, as of November 2011, the transaction held
$40.5 million in assets from underlying obligors with ratings
in the 'CCC' range compared with the $71.9 million in 'CCC'
rated assets it held in September 2009," S&P said.
As of the November 2011 trustee report, each of the transaction's
overcollateralization (O/C) ratios has improved since September
2009:
The class A O/C ratio is 122.6% compared with 121.0%;
The class B O/C ratio is 115.8% compared with 114.0%;
The class C O/C ratio is 107.2% compared with 105.3%; and
The class D O/C ratio is 105.3% compared with 103.3%.
The improvement in the O/C ratios helped to mitigate obligor
concentration risk in the portfolio because the class D-1 and D-2
notes were able to withstand the specified combination of
underlying asset defaults at the 'BB (sf)' rating category in our
largest obligor default test.
The transaction is still in its reinvestment period and all of the
rated classes have their original principal balances outstanding.
"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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Centurion CDO 9 Ltd.
Rating
Class To From
A-1A AA+ (sf) AA (sf)
A-1B AA+ (sf) AA (sf)
A-2 AA- (sf) A+ (sf)
B BBB+ (sf) BBB- (sf)
C BB (sf) B+ (sf)
D-1 B+ (sf) CCC+ (sf)
D-2 B+ (sf) CCC+ (sf)
CFCRE 2011-C2: Moody's Gives Ba2 (sf) Rating to Cl. F Notes
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to thirteen classes
of CMBS securities, issued by CFCRE Commercial Mortgage Trust
2011-C2.
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. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Aaa (sf)
Cl. A-J, 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)
RATINGS RATIONALE
The Certificates are collateralized by 51 fixed rate loans secured
by 72 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 1.46X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.12X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 92.8% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio, (inclusive of subordinated debt) of 97.6% 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
20.3. 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 22.6. 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 2.14, 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.
On November 22, 2011, Moody's 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 ratings on
CFCRE 2011-C2 Classes X-A and X-B 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.
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 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%, 15%, or 23%, the model-indicated rating for the currently
rated junior Aaa class would be Aa1, Aa2, A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
CLYDESDALE CLO: Moody's Raises Rating of Class D Notes to 'Ba2'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Clydesdale CLO 2003 Ltd.:
US$13,000,000 Class C Third Priority Floating Rate Notes Due 2015,
Upgraded to Baa1 (sf); previously on Jul 25, 2011 Upgraded to Baa2
(sf);
US$10,000,000 Class D Fourth Priority Floating Rate Notes Due
2015, Upgraded to Ba2 (sf); previously on Jul 25, 2011 Upgraded to
B1 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of delevering of the Class A Notes since the
rating action in July 2011. Moody's notes that the Class A Notes
have been paid down by approximately $25 million since the rating
action in July 2011. Based on the latest trustee report dated
December 2011, the Class A, Class B, Class C, and Class D
overcollateralization ratios are reported at 227.35%, 149.51%,
121.13%, and 105.70%, respectively, versus June 2011 levels of
161.77%, 128.81%, 113.04%, and 103.32%, respectively.
Notwithstanding the delevering of the transaction, Moody's notes
that the credit quality of the underlying portfolio has
deteriorated since the rating action in July 2011. In particular,
the weighted average rating factor is currently 3246 compared to
2980 in June 2011.
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 $79 million,
defaulted par of $4.6 million, a weighted average default
probability of 17.5% (implying a WARF of 3480), a weighted average
recovery rate upon default of 50.5%, and a diversity score of 34.
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.
Clydesdale CLO 2003 Ltd., issued in September 2003, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
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. 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.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF - 20% (2784)
Class A: 0
Class B: +1
Class C: +3
Class D: +1
Moody's Adjusted WARF + 20% (4176)
Class A: 0
Class B: -1
Class C: -2
Class D: -1
Sources of additional performance uncertainties are:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the 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.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
COBALT CMBS: Fitch Junks Rating on Six Class Certificates
---------------------------------------------------------
Fitch Ratings has downgraded seven classes and placed one class on
Rating Watch Negative of COBALT CMBS Commercial Mortgage Trust
2007-C3 commercial mortgage pass-through certificates.
The downgrades reflect an increase in Fitch losses attributed to
updated valuations of specially serviced loans and performing
loans with declines in performance indicative of a higher
probability of default and loss. Fitch modeled losses of 15.3%
of the original pool (including losses of 0.7% incurred to date).
Class A-M has been placed on Rating Watch due to the potential
for additional losses associated with the 2 Rector Street loan
(5.06%) and two other loans in the pool that are secured by office
buildings in Burbank, CA and Stamford, CT (combined 2.68%). Fitch
expects to resolve the Rating Watch status of this class, which
could result in a one or more category downgrade, following the
receipt of updated leasing information for the properties.
As of the December 2011 distribution date, the pool's aggregate
principal balance was $1.97 billion, down from $2 billion at
issuance. There are no defeased loans. There are cumulative
interest shortfalls in the amount of $4.8 million currently
affecting classes H through P. Fitch has identified 43 loans
(42.6%) as Fitch Loans of Concern, which includes 12 specially
serviced loans (6.8%).
The largest contributor to losses is the Irvine EOP San
Diego Portfolio loan (6.94%), which is collateralized by seven
properties consisting of six class A and B office buildings and
one single-tenant restaurant all located in San Diego, CA. The
aggregate square footage for the portfolio is 380,954 square feet
(sf). The loan remains current and is with the master servicer.
As of September 2011 the portfolio's occupancy was at 80.7%
compared to approximately 90% at origination.
The second largest contributor to losses is the 2 Rector Street
loan which is collateralized by a 417,473 sf class B office
property located in Manhattan. This loan was previously in
special servicing and returned to the master servicer in September
2010. A debt service reserve was established, which will likely
be depleted in the near future. The property continues to
underperform the market with the most recent reported occupancy
of 74% as of October 2011 compared to 98.6% at the time of
origination.
The third largest contributor to losses is the Arbor at Broadlands
loan (2.55%) which is collateralized by a 240-unit multifamily
property located in Ashburn, VA. As of September 2011, the
occupancy was 94% and the 2010 debt service coverage ratio (DSCR)
was 0.89 times (x). The low DSCR and high occupancy are due to an
increase in concessions to retain tenants.
Fitch downgrades, placed on Rating Watch Negative, and assigns
Recovery Estimates to these classes as indicated:
-- $201.7 million class A-M at 'AAAsf'; on Rating Watch Negative
from Stable Outlook;
-- $153.8 million class A-J to 'B-sf' from 'BBsf'; Outlook
Negative;
-- $40.3 million class B to 'CCCsf' from 'B-sf'; RE 100%;
-- $22.7 million class G to 'CCsf' from 'CCCsf'; RE 100%;
-- $25.2 million class H to 'CCsf' from 'CCCsf'; RE 100%;
-- $7.6 million class J to 'Csf' from 'CCCsf'; RE 100%;
-- $5 million class K to 'Csf' from 'CCsf'; RE to 65% from 100%;
-- $10.1 million class L to 'Csf' from 'CCsf'; RE to 0% from
80%.
Fitch affirms and assigns a Recovery Estimate to these classes as
indicated:
-- $103 million class A-2 at 'AAAsf'; Outlook Stable.
-- $93.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $45.5 million class A-PB at 'AAAsf'; Outlook Stable;
-- $783 million class A-4 at 'AAAsf'; Outlook Stable;
-- $359.5 million class A-1A at 'AAAsf'; Outlook Stable;
-- $20.2 million class C at 'CCCsf'; RE 100%;
-- $25.2 million class D at 'CCCsf'; RE 100%;
-- $20.2 million class E at 'CCCsf'; RE 100%
-- $25.2 million class F at 'CCCsf'; RE 100%
-- $25.2 million class M at 'Csf'; RE 0%;
-- $25.2 million class N at 'Csf'; RE 0%;
-- $25.2 million class O at 'Csf'; RE 0%.
Class A-1 is paid in full. Fitch does not rate class P. The rating
on class IO was previously withdrawn.
COMM 2006-FLI2: S&P Lowers Rating on Class J Certificates to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D (sf)'
on the class J commercial mortgage pass-through certificates from
COMM 2006-FL12, a U.S. commercial mortgage-backed securities
(CMBS) transaction.
"The downgrade of the class J certificates to 'D (sf)' from 'CCC-
(sf)' reflects a $10.9 million principal loss following the
liquidation of the Legacy Bayside\real estate owned asset, as
reported in the Dec. 15, 2011, trustee remittance report. The
property was sold on Dec. 1, 2011, for $14.0 million. For more
information on our Dec. 9, 2011, rating actions, see 'Various
Rating Actions On COMM 2006-FL12, CSFB 2006-TFL2, And BALL 2006-
BIX1,'" S&P said.
As of the Dec. 15, 2011, remittance report, nine loans remain in
the trust with an aggregate principal balance of $1.2 billion,
down from 17 loans totaling $2.6 billion at issuance.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
COMM 2011-STRT: Moody's Assigns 'Ba1' Rating to Cl. E Notes
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CMBS securities, issued by COMM 2011-STRT Commercial Mortgage
Pass-Through Certificates.
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. X-1, Definitive Rating Assigned Aaa (sf)
Cl. X-2, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa1 (sf)
Cl. C, Definitive Rating Assigned A1 (sf)
Cl. D, Definitive Rating Assigned Baa2 (sf)
Cl. E, Definitive Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to two regional malls. The
borrowers underlying the mortgage are special-purpose entity
(SPE): Oaks Mall, LLC and Westroads Mall LLC.
The ratings are based on the collateral and the structure of the
transaction.
Moody's rating approach for securities backed by a single loan
compares the credit risk inherent in the underlying properties
with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The loan is collateralized by fee interests in The Oaks Mall ,a
single-level, enclosed regional mall located in Gainesville,
Florida and Westroads Mall, a regional mall located in Omaha,
Nebraska.
The credit risk of the loan is determined primarily by two
factors: 1) Moody's assessment of the probability of default,
which is largely driven by the DSCR, and 2) Moody's assessment of
the severity of loss in the event of default, which is largely
driven by the LTV of the underlying loan.
Moody's Trust LTV Ratio of 71.3% is in-line with other loans that
have previously been assigned an underlying rating of Ba1. The
Moody's Trust Actual DSCR of 2.26X and Moody's Stressed Trust DSCR
of 1.40X are considered to be in line with other Moody's rated
loans of similar respective leverages.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's notes 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 structured
finance interest-only securities. If the revised methodology is
implemented as proposed, the rating on COMM 2011-STRT's Class X-1
and Class X-2 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 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. Single Borrower 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 Aaa classes would be Aa1, A1, or Baa1, 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 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.
COMM 2011-STRT: Moody's Gives (P)Ba1 Rating to Class E Notes
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of CMBS securities, issued by COMM 2011-STRT
Commercial Mortgage Pass-Through Certificates.
Cl. A, Assigned (P)Aaa (sf)
Cl. X-1, Assigned (P)Aaa (sf)
Cl. X-2, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa1 (sf)
Cl. C, Assigned (P)A1 (sf)
Cl. D, Assigned (P)Baa2 (sf)
Cl. E, Assigned (P)Ba1 (sf)
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to two regional malls. The
borrowers underlying the mortgage are special-purpose entity
(SPE): Oaks Mall, LLC and Westroads Mall LLC.
The ratings are based on the collateral and the structure of the
transaction.
Moody's rating approach for securities backed by a single loan
compares the credit risk inherent in the underlying properties
with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The loan is collateralized by fee interests in The Oaks Mall ,a
single-level, enclosed regional mall located in Gainesville,
Florida and Westroads Mall, a regional mall located in Omaha,
Nebraska.
The credit risk of the loan is determined primarily by two
factors: 1) Moody's assessment of the probability of default,
which is largely driven by the DSCR, and 2) Moody's assessment of
the severity of loss in the event of default, which is largely
driven by the LTV of the underlying loan.
Moody's Trust LTV Ratio of 71.3% is in-line with other loans that
have previously been assigned an underlying rating of Ba1. The
Moody's Trust Actual DSCR of 2.26X and Moody's Stressed Trust DSCR
of 1.40X are considered to be in line with other Moody's rated
loans of similar respective leverages.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's notes 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 structured
finance interest-only securities. If the revised methodology is
implemented as proposed, the rating on COMM 2011-STRT's Class X-1
and Class X-2 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 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. Single Borrower 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 Aaa classes would be Aa1, A1, or Baa1, 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.
CONNECTICUT VALLEY: Moody's Raises Rating of $43MM Notes to 'Ba2'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
classes of notes, and confirmed the ratings of two classes of
notes issued by Connecticut Valley CLO Funding IV, LTD. The notes
affected by the rating action are:
US$225,000,000 Class A-1 Floating Rate Notes Due 2027 (current
balance of $180,454,851), Upgraded to Baa3 (sf); previously on
July 29, 2011 Upgraded to Ba2 (sf) and Remained On Review for
Possible Upgrade;
US$43,000,000 Class A-2 Floating Rate Notes Due 2027, Upgraded to
Ba2 (sf); previously on July 29, 2011 Upgraded to B3 (sf) and
Remained On Review for Possible Upgrade;
US$50,000,000 Class A-3 Floating Rate Notes Due 2027, Upgraded to
B2 (sf); previously on July 29, 2011 Upgraded to Caa2 (sf) and
Remained On Review for Possible Upgrade;
US$28,000,000 Class B Floating Rate Notes Due 2027, Confirmed at
Caa3 (sf); previously on July 29, 2011 Upgraded to Caa3 (sf) and
Remained On Review for Possible Upgrade; and
US$29,500,000 Class C Floating Rate Notes Due 2027, Confirmed at
Ca (sf); previously on July 29, 2011 Upgraded to Ca (sf) and
Remained On Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes result
primarily from improvement in the credit quality of the portfolio.
Since the last rating action in July 2011, the weighted average
rating factor has improved to 2013 from 2505 as of the June 2011
trustee report. Also as of the latest trustee report dated
November 25, 2011, the Class A, B and C Par Value ratios have
improved and are reported at 105.93%, 95.45% and 86.7% compared to
June 2011 levels of 94.15%, 85.3% and 77.9%, respectively.
The rating actions on the notes also reflect CLO tranche upgrades
that have taken place within the last six months. Since Moody's
June 22nd announcement that nearly all CLO tranches currently
rated Aa1 and below were placed on review for possible upgrade,
90.31% of the collateral has been upgraded, 70.85% of which took
place following the previous rating action on the Notes in July.
According to Moody's, none of the collateral remains on review.
Connecticut Valley CLO Funding IV, LTD., is a collateralized debt
obligation issuance backed by a portfolio of CLO tranches which
originated between 1999 and 2007, with the majority originated in
2006 and 2007.
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 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:
Performing collateral upgraded by one notch:
Class A-1: +2
Class A-2: +2
Class A-3: +1
Class B: +2
Class C: +1
Performing collateral downgraded by one notch:
Class A-1: -2
Class A-2: -3
Class A-3: -2
Class B: -1
Class C: 0
CONNECTICUT VALLEY: Moody's Raises Raing of Class A-2 Notes to Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four classes
of notes issued by Connecticut Valley Structured Credit CDO III,
Ltd. The notes affected by the rating action are:
US$225,500,000 Class A-1 Floating Rate Notes Due 2023 (current
balance of $182,440,763), Upgraded to Aa3 (sf); previously on
August 18, 2011 Upgraded to A3 (sf) and Remained On Review for
Possible Upgrade;
US$35,500,000 Class A-2 Floating Rate Notes Due 2023, Upgraded to
Baa2 (sf); previously on August 18, 2011 Upgraded to Ba1 (sf) and
Remained On Review for Possible Upgrade;
US$48,000,000 Class A-3A Floating Rate Notes Due 2023, Upgraded to
Ba2 (sf); previously on August 18, 2011 Upgraded to B1 (sf) and
Remained On Review for Possible Upgrade; and
US$11,500,000 Class A-3B Fixed Rate Notes Due 2023, Upgraded to
Ba2 (sf); previously on August 18, 2011 Upgraded to B1 (sf) and
Remained On Review for Possible Upgrade.
Moody's also confirmed the ratings of the following classes of
notes:
US$30,000,000 Class B-1 Floating Rate Notes Due 2023 (current
balance of $31,819,157), Confirmed at Caa3 (sf); previously on
August 18, 2011 Upgraded to Caa3 (sf) and Remained On Review for
Possible Upgrade;
US$10,000,000 Class B-2 Fixed Rate Notes Due 2023 (current balance
of $11,992,565), Confirmed at Caa3 (sf); previously on August 18,
2011 Upgraded to Caa3 (sf) and Remained On Review for Possible
Upgrade;
US$14,500,000 Class C-1 Floating Rate Notes Due 2023 (current
balance of $ 13,301,789), Confirmed at Ca (sf); previously on
August 18, 2011 Upgraded to Ca (sf) and Remained On Review for
Possible Upgrade; and
US$2,500,000 Class C-2 Fixed Rate Notes Due 2023 (current balance
of $ 2,582,260), Confirmed at Ca (sf); previously on August 18,
2011 Upgraded to Ca (sf) and Remained On Review for Possible
Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes
result primarily from an increase in the transaction's
overcollateralization ratios and delevering of the Class A-1
notes since the last rating action in August 2011. Moody's notes
that the Class A-1 Notes have been paid down by approximately 6.1%
or $11.9 million since the rating action in August. Based on the
latest trustee report dated November 2011, the Class A, Class B,
and Class C overcollateralization ratios improved and are reported
at 112.03%, 96.75%, and 92.19% versus August 2011 levels of
97.74%, 84.98% and 81.14%, respectively.
The rating actions on the notes also reflect CLO tranche upgrades
that have taken place within the last six months. Since Moody's
June 22nd announcement that nearly all CLO tranches currently
rated Aa1 and below were placed on review for possible upgrade,
69.5% of the collateral had been upgraded, 32.7% of which took
place following the previous rating action on the Notes in August.
Connecticut Valley Structured Credit CDO III, Ltd., is a
collateralized debt obligation backed primarily by a portfolio
of CLOs which originated between 2004 and 2006.
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 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 upgraded by 1 rating notch (WARF: 1127):
Class A-1: +2
Class A-2: +3
Class A-3A: +2
Class A-3B: +2
Class B-1: +3
Class B-2: +3
Class C-1: +3
Class C-2: +3
Moody's Performing Assets downgraded by 1 rating notch (WARF:
1855):
Class A-1: -2
Class A-2: -2
Class A-3A: -2
Class A-3B: -2
Class B-1: -1
Class B-2: -1
Class C-1: 0
Class C-2: 0
COPPER RIVER: S&P Raises Class E Notes Rating From 'CCC' to 'CCC+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1A, A-1B, A-2A, A-2B, D, and E notes from Copper River CLO Ltd.,
a collateralized loan obligation (CLO) transaction with an APEX
credit swap feature, managed by Guggenheim Investment Management
LLC. "We also affirmed our ratings on the class B and C notes. At
the same time, we removed our ratings on the class A-1A, A-1B, A-
2A, A-2B, B, and C notes from CreditWatch, where we placed them
with positive implications on Oct. 6, 2011," S&P said.
"The upgrades reflect the improved performance we have observed in
the deal's underlying asset portfolio since our March 2010 rating
actions. According to the Nov. 18, 2011 trustee report, the
transaction's asset portfolio held about $5 million in defaulted
assets, down from the $29 million noted in the February 2010
trustee report," S&P said.
"We affirmed our ratings on the class B and C 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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Copper River CLO Ltd.
Rating
Class To From
A-1A A+ (sf) A (sf)/Watch Pos
A-1B A+ (sf) A (sf)/Watch Pos
A-2A AA (sf) A+ (sf)/Watch Pos
A-2B A+ (sf) A (sf)/Watch Pos
B BBB- (sf) BBB- (sf)/Watch Pos
C BB (sf) BB (sf)/Watch Pos
D B+ (sf) B (sf)
E CCC+ (sf) CCC (sf)
CPS AUTO RECEIVABLES: Moody's Gives 'Ba2' Rating to Class C Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by CPS Auto Receivables Trust 2011-C. This is the
third senior/subordinated transaction of the year for Consumer
Portfolio Services, Inc. (CPS).
The complete rating actions are:
Issuer: CPS Auto Receivables Trust 2011-C
Class A Notes, rated A2 (sf);
Class B Notes, rated Baa2 (sf);
Class C Notes, rated Ba2 (sf);
Class D Notes, rated B2 (sf);
RATINGS RATIONALE
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, the experience and expertise of CPS as
servicer, and the backup servicing arrangement with Aa3-rated
Wells Fargo Bank, N.A.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. Auto Loan-Backed Securities," published in
May 2011.
Moody's median cumulative net loss expectation for the underlying
pool is 12.0%. The loss expectation was based on an analysis of
CPS' portfolio vintage performance as well as performance of past
securitizations, and current expectations for future economic
conditions.
The Assumption Volatility Score for this transaction is
Medium/High versus a Medium for the sector. This is driven by the
Medium/High assessment for Governance due to the unrated
sponsor/servicer.
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 the net loss used in
determining the initial rating were changed to 20%, or 25%, the
initial model output for the Class A notes might change from A2 to
Baa2, and B1, respectively; Class B notes might change from Baa2
to B3, and below B3, respectively; Class C notes might change from
Ba2 to below B3 in all three scenarios, respectively; Class D
notes might change from B2 to below B3 in all three scenarios.
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.
CREDIT & REPACKED: Moody's Raises Rating of $268.75MM Notes to Ba1
------------------------------------------------------------------
Moody's Investors Service announced these rating actions on Credit
and Repackaged Securities Limited Series 2006-14 and 2007-11,
leveraged super senior collateralized debt obligation transactions
(the " Collateralized Synthetic Obligations" or "CSOs")
referencing a portfolio of synthetic corporate bonds.
Issuer: CARS 2006-14
US$268,750,000.00 Single Tranche Notes due December 20, 2016,
Upgraded to Ba1 (sf); previously on October 28, 2010 Upgraded to
Ba3 (sf)
Issuer: Credit and Repackaged Securities, Limited 2007-11
US$268,750,000.00 CARS 2007-11 Notes, Upgraded to Ba1 (sf);
previously on October 28, 2010 Upgraded to Ba3 (sf)
RATINGS RATIONALE
Moody's rating action is the result of increasing cushion to
spread trigger from current weighted-average spread (WAS) of the
underlying portfolio, stabilizing credit quality in the underlying
portfolio and a shortened time-to-maturity.
Since the last rating action in October 2010, the 10-year weighted
average rating factor (WARF) of the portfolio has remained stable,
increasing marginally from 910 to 924, excluding settled credit
events. There have been no additional credit events over the
same period. The weighted-average spread of the portfolio has
deteriorated since the last rating action, increasing from 159 bps
to 216 bps. However, due to the shorter time-to-maturity, the
cushion to spread trigger has increased from 427 bps to 458 bps.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios. Results are given in terms of the number of
notches' difference versus the base case, where higher notches
correspond to lower expected losses, and vice-versa:
-- Moody's performs a stress analysis consisting of defaulting
all entities rated C or Ca, and applying a thirty percent
default probability stress on the remaining reference
entities. The result from this run was two notches below the
base case.
-- Moody's performs a stress analysis consisting of defaulting
all entities rated Caa1 and below. The result from this run
was three notches lower than the base case.
-- Moody's reviews a scenario consisting of reducing the
maturity of the CSO by six months, keeping all other
parameters constant. The result from this run was comparable
to the base case.
-- Market Implied Ratings ("MIRS") are modeled in place of
the corporate fundamental ratings to derive the default
probability of the reference entities in the portfolio. The
gap between an MIR and a Moody's corporate fundamental rating
is an indicator of the extent of the divergence in credit
view between Moody's and the market. The result of this run
was comparable to the base case.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
The methodologies used in this rating were "Moody's Approach
to Monitoring Leveraged Super Senior Transactions" published
in August 2008, and "Moody's Approach to Rating Corporate
Collateralized Synthetic Obligations" published in September
2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's analysis of CSOs is subject to uncertainties, the
primary sources of which include complexity, governance and
leverage. Although the CDOROM model captures many of the
dynamics of the Corporate CSO structure, it remains a
simplification of the complex reality. Of greatest concern
are (a) variations over time in default rates for instruments
with a given rating, (b) variations in recovery rates for
instruments with particular seniority/security characteristics
and (c) uncertainty about the default and recovery correlations
characteristics of the reference pool. Similarly on the
legal/structural side, the legal analysis although typically
based in part on opinions (and sometimes interpretations) of
legal experts at the time of issuance, is still subject to
potential changes in law, case law and the interpretations of
courts and (in some cases) regulatory authorities. The performance
of this CSO is also dependent on on-going decisions made by one
or several parties. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in Moody's assumptions. Given the tranched nature of CSO
liabilities, rating transitions in the reference pool may have
leveraged rating implications for the ratings of the CSO
liabilities, thus leading to a high degree of volatility. All
else being equal, the volatility is likely to be higher for more
junior or thinner liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.
CREDIT SUISSE: Fitch Junks Rating on 11 Note Classes
----------------------------------------------------
Fitch Ratings has affirmed the super senior classes and downgraded
13 classes of Credit Suisse Commercial Mortgage Trust (CSMC),
series 2007-C5.
The downgrades reflect an increase in Fitch modeled losses
across the pool and greater certainty of losses associated with
specially serviced assets. Fitch modeled losses of 19.3% of the
original pool (includes losses realized to date) based on updated
valuations of specially serviced loans, many of which experienced
cash flow declines from the prior year. There are currently 19
specially serviced loans (14%) in the pool.
As of the November 2011 distribution date, the pool's aggregate
principal balance was reduced to $2.6 billion from $2.72 billion
at issuance. There are no defeased loans. There are cumulative
interest shortfalls in the amount of $21.4 million currently
affecting classes D through S. Fitch has identified 72 loans
(52.28%) as Fitch Loans of Concern, which includes 19 specially
serviced loans (14%).
The largest contributor to losses is the Gulf Coast Town Center
Phases I & II loan, which is secured by a 991,027-sf open-air
anchored retail mall located in Fort Myers, FL. The property,
which was completed in 2007, is shadow anchored by a 175,000 sf
Target. Property performance has deteriorated as a result of the
increased vacancy, new leases executed at lower rents, rent
abatement for existing tenants, and higher property expenses. As
a result, the servicer-reported NOI DSCR was 0.98 times (x) from
January through September 2011. Several tenants have been on a
rent reduction agreement to help the tenants and the property
compete during the recession and most of these agreements expire
Dec. 31, 2011. Occupancy has increased from 94.3% as of December
2010 to 96.4% as of September 2011.
The second largest contributor to losses is the Jericho Plaza
I & II loan, which is secured by two class A office buildings
located in Jericho, NY. The sponsors of the loan are SL Green
and Onyx Equities, LLC. Market conditions have shown slight
improvement and as a result occupancy has increased to 93% as of
September 2011 from 90% at YE2009. Additionally, the servicer-
reported NOI DSCR increased to 1.24 times (x) for the nine months
ended September 2011 up from 1.12x at YE2010. Leases representing
19% of NRA expire through YE2012.
The third largest contributor to losses is the TIAA Industrial
Portfolio loan, which is secured by 11 industrial properties,
aggregating approximately 5.27 million square feet. The
properties are located across nine states: Kentucky, Tennessee,
Georgia, California, Utah, Delaware, Illinois, Arizona and Texas.
The two largest properties, located in Hebron, KY (Cincinnati MSA)
and Memphis, TN, account for approximately 58% of the total square
footage of the portfolio. This portfolio has been struggling the
past several years due to weak local economies causing increased
tenant turnover and vacancy. Recently, occupancy in the portfolio
has begun to recover and increased from 84% as of December 2010 to
92% as of August 2011. As a result, the servicer-reported DSCR
increased to 1.05x for the six months ended June 2011 compared to
1.0x as of YE2010.
Fitch downgrades these classes and assigns Recovery Estimates (RE)
as indicated:
-- $198 million class A-M to 'BBsf' from 'BBBsf'; Outlook
Negative;
-- $74.1 million class A-1-AM to 'BBsf' from 'BBBsf'; Outlook
Negative;
-- $153.5 million class A-J to 'CCCsf' from 'B-sf'; RE 40%;
-- $57.4 million class A-1-AJ to 'CCCsf' from 'B-sf'; RE 40%;
-- $23.8 million class B to 'CCsf' from 'CCCsf'; RE 0%;
-- $20.4 million class C to 'CCsf' from 'CCCsf'; RE 0%;
-- $34 million class D to 'CCsf' from 'CCCsf'; RE 0%;
-- $30.6 million class E to 'Csf' from 'CCCsf'; RE 0%;
-- $13.6 million class F to 'Csf' from 'CCCsf'; RE 0%;
-- $40.8 million class G to 'Csf' from 'CCCsf'; RE 0%;
-- $20.4 million class H to 'Csf' from 'CCsf'; RE 0%;
-- $30.6 million class J to 'Csf' from 'CCsf'; RE 0%;
-- $23.8 million class K to 'Csf' from 'CCsf'; RE 0%.
In addition, Fitch affirms these classes and assigns Recovery
Estimates (RE) as indicated:
-- $305.4 billion class A-2 at 'AAAsf'; Outlook Stable;
-- $161 million class A-3 at 'AAAsf'; Outlook Stable;
-- $65.1 million class A-AB at 'AAAsf'; Outlook Stable;
-- $982.5 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $338.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $10.2 million class L at 'Csf'; RE 0%;
-- $10.2 million class M at 'Csf'; RE 0%;
-- $.95 million class N at 'Dsf'; RE 0%.
Fitch does not rate classes O, P, Q and S. Class A-1 has been paid
in full. Fitch previously withdrew the ratings assigned to the
interest-only classes, A-SP and A-X.
CREDIT SUISSE: S&P Lowers Ratings on 2 Classes of Certs. to 'CCC-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of U.S. commercial mortgage-backed securities (CMBS) from
Credit Suisse Commercial Mortgage Trust series 2007-C2, a U.S.
CMBS transaction. "In addition, we affirmed our ratings on 10
other classes from the same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. CMBS conduit/fusion criteria. Our
analysis included a review of the credit characteristics of
the remaining assets in the pool, the transaction structure,
and the liquidity available to the trust. The downgrades
reflect credit support erosion that we anticipate will occur
upon the eventual resolution of 14 ($675.2 million, 21.3%)
of the 18 ($734.1 million, 23.1%) assets with the special
servicer and four loans that we determined to be credit-impaired
($196.5 million, 6.2%)," S&P said.
"The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity levels that are consistent
with the current ratings. We affirmed our 'AAA (sf)' rating on the
A-X interest-only (IO) certificate based on our current criteria,"
S&P said.
"Using servicer-provided financial information, we calculated
adjusted debt service coverage (DSC) of 1.40x and a loan-to-
value (LTV) ratio of 119.3% for the loans in the pool. 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
158.7%. The implied defaults and loss severity under the 'AAA'
scenario were 93.9% and 38.5%. The DSC and LTV calculations noted
above exclude fourteen ($675.2 million, 21.3%) of the eighteen
($734.1 million, 23.1%) specially serviced assets and four loans
that we determined to be credit impaired ($196.5 million, 6.2%).
We separately estimated losses for these assets and included them
in our 'AAA' scenario implied default and loss severity figures,"
S&P said.
Credit Considerations
As of the Nov. 18, 2011 trustee remittance report, 18 assets
($734.1 million; 23.1%) in the pool were with the special
servicer, Torchlight Loan Services LLC (Torchlight). The
reported payment status of these loans as of the November
2011 trustee remittance report is: five ($19.3 million, 0.6%)
are in foreclosure, 10 ($594.6 million, 18.7%) are 90-plus-
days delinquent, one ($68.9 million, 2.2%) is 30-days delinquent,
and two ($51.3 million, 1.6%) are current. Appraisal reduction
amounts (ARAs) totaling $195.3 million were in effect against 15
of the specially serviced assets. Details of the three largest
specially serviced assets, all of which are top 10 loans, are set
forth:
The Alliance SAFD - PJ Portfolio loan, the largest asset with the
special servicer and the largest loan in the pool, has a trust
balance of $475.0 million (15.0%) and a total reported trust
exposure of $494.6 million. The loan is secured by 32 multifamily
properties totaling 9,504 units located in Texas (59% of units),
Arizona (19%of units), Florida (9% of units), Georgia (8% of
units), and Tennessee (5% of units) built between 1974 and 1990.
The loan, which has a reported 90-plus-days delinquent payment
status, was transferred to the special servicer on March 11, 2011,
after the borrower filed for Chapter 11 bankruptcy. According to
the special servicer for this loan, Torchlight, a public auction
is in process in which qualified bidders compete for the right to
invest new equity. Once the auction is completed, the bid deemed
"highest and best" is entered as the new equity investment in the
borrower's proposed plan of reorganization and the old equity
cancelled out. An auction among the competing bidders is underway
and the best and final bids are expected in the near term. Once
the highest and best bid is selected, the debtor is expected to
proceed with its plan of reorganization utilizing the new equity.
If special servicer determines that the reorganization plan
provides a better return to the trust than contesting the plan, it
will likely consent to the reorganization. Torchlight is currently
evaluating a modification proposal. As of September 2011, the
combined occupancy for the properties was 86.0% and the reported
trailing-12-month DSC for the loan was 0.88x. "We expect a
significant loss upon the eventual resolution of this loan," S&P
said.
The Broadway Portfolio loan ($68.9 million, 2.2%), the second-
largest asset with the special servicer, is the sixth-largest loan
in the pool. The loan has a reported trust exposure of $72.2
million. The loan is secured by eight multifamily properties
totaling 455 units in New York City. The loan was transferred to
the special servicer on Nov. 2, 2010, due to imminent monetary
default, and the current reported payment status is 30-days
delinquent. An ARA of $17.5 million is in effect against this
loan. The special servicer is currently pursuing foreclosure while
marketing the note for sale. "We expect a moderate loss upon the
resolution of this loan," S&P said.
The Metro Square 95 Office Park loan ($48.0 million, 1.5%), the
third-largest asset with the special servicer and ninth-largest
loan in the pool, is secured by a 472,322-sq.-ft. office property
built in 1961 in Jacksonville, Fla. The loan was transferred to
the special servicer on Sept. 8, 2011, due to imminent monetary
default, and the reported payment status is current. Torchlight
stated that it is currently conducting due diligence to determine
a workout strategy. The occupancy at the property was 88.0% as of
the September 2011 rent roll, and the reported DSC for the loan
was 1.10x as of mid-year 2011.
"The remaining 15 assets with the special servicer individually
represent less than 1.5% of the total pool balance. ARAs of $59.1
million are in effect for 13 of these assets. We estimated losses
for 12 of these assets and arrived at a weighted-average loss
severity of 54.1%. Of the three remaining loans, two were recently
transferred to the special servicer and are current, and we expect
one to be returned to the master servicer," S&P said.
"In addition to the specially serviced assets, we determined four
loans ($196.5 million, 6.2%) to be credit-impaired primarily
because of their reported payment statuses and low DSCs. The Four
Westlake Park & Three Westlake Park loan ($145.6 million, 4.6%)
consists of two cross-collateralized loans and is secured by two
office buildings in Houston, Texas, and has a reported payment
status of maturity default. The reported DSC for this loan was
1.63x as of year-end 2010; however, the master servicer indicated
that the borrower requested and has received a 90-day extension to
pay off the loan. The Canterbury Apartments loan ($43.4 million,
1.4%) is secured by a multifamily property in Myrtle Beach, S.C.,
and has a reported payment status of 30-days delinquent. The
reported DSC for the loan was 0.99x as of year-end 2010. The
third credit-impaired loan, Comfort Inn Lehigh Valley West, is
secured by a limited-service hotel in Allentown, Pa., and has a
reported payment status of less-than-30 days delinquent. The
reported DSC for the loan was 0.48x as of year-end 2010. The last
credit-impaired loan is the 31st Street loan ($1.8 million, 0.1%)
secured by a retail property in Astoria, N.Y. The current
reported payment status is 60-days delinquent. We believe these
four loans are at an increased risk of default and loss to the
trust," S&P said.
Transaction Summary
As of the Nov. 18, 2011 trustee remittance report, the transaction
had an aggregate trust balance of $3.2 billion (198 loans),
compared with $3.3 billion (207 loans) at issuance. KeyBank Real
Estate Capital (KeyBank) and Wells Fargo Bank N.A. (Wells Fargo),
the master servicers, provided financial information for 98.0% of
the pool (by balance), which was primarily full-year 2010 and
partial-year 2011 information. "We calculated a weighted-average
DSC of 1.22x for the loans in the pool based on the reported
figures. Our adjusted DSC and LTV were 1.40x and 119.3%, which
exclude 14 ($675.2 million, 21.3%) of the 18 ($734.1 million,
23.1%) specially serviced assets and the four loans that we deemed
to be credit-impaired ($196.5.7 million, 6.2%). We calculated a
weighted-average DSC of 1.03x for 15 of the 18 excluded loans for
which we had financial information. The trust has experienced
principal losses to date totaling $68.3 million from 15 assets.
Forty-seven loans ($744.5 million, 23.5%) are on the master
servicers' combined watchlist, including two of the top 10 loans.
Forty-six loans ($1.05 billion, 33.0%) have a reported DSC below
1.10x, 33 ($431.3 million, 13.6%) of which have reported DSCs of
less than 1.00x," S&P said.
Summary of Top 10 Loans
"The top 10 loans have an aggregate outstanding trust balance
of $1.4 billion (45.1%). Using servicer-reported information,
we calculated a weighted-average DSC of 1.17x for six of the
top 10 loans. Our adjusted DSC and LTV figures for five of
the top 10 loans, excluding the specially serviced and credit-
impaired loans, were 1.29x and 132.8%. Two of the top 10 loans
($260.4 million, 8.2%), one of which is The Four Westlake Park
& Three Westlake Park loanare on the master servicers' watchlist.
We discuss the second top 10 loan," S&P said.
The Park Central loan is the fifth-largest loan in the pool
($114.8 million, 3.6%) and is secured by a 553,944-sq.-ft.
office building in Denver, Colo. The loan appears on the master
servicer's watchlist because of its near-term maturity on Jan. 11,
2012. According to the master servicer, KeyBank, a modification
was executed on May 6, 2011. The modification terms include an
extension of the loan term to Jan. 11, 2013, and an adjusted note
rate of 4% for one year. The DSC for the loan was 1.29x for the
six months ended June 30, 2011, and occupancy at the property was
100% as of the September 2011 rent roll.
"Standard & Poor's stressed the assets in the pool according to
our criteria and the resultant credit enhancement levels are
consistent with our affirmed ratings," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
Credit Suisse Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C2
Rating
Class To From Credit enhancement (%)
A-J B- (sf) B (sf) 10.05
B CCC+(sf) B (sf) 9.53
C CCC-(sf) CCC(sf) 7.84
D CCC-(sf) CCC(sf) 6.93
Ratings Affirmed
Credit Suisse Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C2
Class Rating Credit enhancement (%)
A-2 AAA(sf) 28.99
A-AB AAA(sf) 28.99
A-3 A- (sf) 28.99
A-1-A A- (sf) 28.99
A-M BB+(sf) 18.61
A-MFL BB+(sf) 18.61
E CCC-(sf) 6.41
F CCC- (sf) 5.51
G CCC- (sf) 4.60
A-X AAA (sf) N/A
N/A -- Not applicable.
CREST EXETER: S&P Lowers Ratings on 2 Classes of Notes to 'CCC+'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on
eight notes from Crest Exeter Street Solar 2004-1 Ltd., a
collateralized debt obligation (CDO) transaction backed by
commercial mortgage-backed securities (CMBS) managed MFS
Investment Management. "We also removed the ratings from
CreditWatch with negative implications, where we placed them
Oct. 6, 2011. At the same time, we affirmed our ratings on
two other classes," S&P said.
"The downgrades reflect a decline in the overall credit quality of
the collateral pool's assets since we last took rating action on
some of the notes in August 2010," S&P said.
"The affirmations reflect current credit support levels that we
believe are sufficient to maintain the current ratings," 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 we deem necessary.
Rating And CreditWatch Actions
Crest Exeter Street Solar 2004-1 Ltd.
Rating
Class To From
A-1 A+ (sf) AA- (sf)/Watch Neg
A-2 A+ (sf) AA- (sf)/Watch Neg
B-1 BBB+ (sf) A (sf)/Watch Neg
B-2 BBB+ (sf) A (sf)/Watch Neg
C-1 BB (sf) BBB- (sf)/Watch Neg
C-2 BB (sf) BBB- (sf)/Watch Neg
D-1 CCC+ (sf) B (sf)/Watch Neg
D-2 CCC+ (sf) B (sf)/Watch Neg
Ratings Affirmed
Crest Exeter Street Solar 2004-1 Ltd.
Class Rating
E-1 CCC- (sf)
E-2 CCC- (sf)
DA VINCI: S&P Puts 'BB-' Rating on Class B Notes on Watch Negative
------------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'BB- (sf)' rating on
Da Vinci Synthetic PLC's (Da Vinci's) class B notes on CreditWatch
with negative implications following AMR Corp.'s and American
Airlines Inc.'s Chapter 11 bankruptcy filing on Nov. 29, 2011.
"At the same time, we affirmed our 'BBB (sf)' rating on Da Vinci's
class A notes," S&P said.
Da Vinci is a synthetic securitization originated by Banca Intesa
SpA (now Intesa Sanpaolo) to transfer risk associated with a
portfolio backed by aircraft loans made to airlines. Two loans in
the portfolio -- each backed by an MD-83 aircraft -- were made to
American Airlines. These loans represent a relatively small part
of the total loan portfolio (about 6%), but could affect the
credit support available to the class B notes.
"The placement of the ratings on CreditWatch negative reflects our
concerns that American Airlines could return the two MD-83
aircraft to lenders and that the market value of the two MD-83
aircraft could decline significantly. Compared with other
aircraft, MD-80 class aircraft are less fuel-efficient and,
therefore, have lost value in recent years. American Airlines is
the largest user of MD-80 class aircraft and, as a result, we
believe its bankruptcy will likely have an unprecedented negative
influence on the market price of MD-80 class aircraft," S&P said.
"The affirmation reflects our view that the current credit
enhancement for the class A notes is sufficient at the current
rating even if we assume the recovery on the aircraft loans made
to American Airlines in the Da Vinci securitization is zero," S&P
said.
"AMR and American Airlines filed for Chapter 11 bankruptcy on
Nov. 29, 2011, in New York bankruptcy court, and we subsequently
lowered our ratings on both entities to 'D' from 'CCC+'. The
bankruptcy followed failed negotiations with American Airlines'
unions on cost-saving contracts sought by the company's
management. (for additional information, see 'AMR And American
Airlines Downgraded To 'D' On Bankruptcy Filing; Issue Ratings
Also Lowered,' published Nov. 29, 2011)," S&P said.
Standard & Poor's rates four additional U.S. aircraft
securitizations that have exposure to AMR and American Airlines.
Standard & Poor's will continue to monitor these securitizations
and take rating actions, including CreditWatch placements, when
appropriate.
Rating Placed On CreditWatch Negative
Da Vinci Synthetic PLC
Class Rating Amount (mil. œ)
B BB- (sf)/Watch Neg 20.8
Rating Affirmed
Da Vinci Synthetic PLC
Class Rating Amount (mil. œ)
A BBB (sf) 25.9
Other Outstanding Rating
Da Vinci Synthetic PLC
Class Rating Amount (mil. œ)
C D (sf) 7.7
DBALT 2007-RAMP1: Moody's Gives B3 Rating, Which Addresses Risks
----------------------------------------------------------------
Moody's Investors Service has assigned a B3 (sf) rating on the
Swap to the DBALT 2007-RAMP1 transaction. Moody's rating addresses
the credit risk posed to the swap counterparty. This rating only
addresses the risk attributable to the ability of the trust to
continue to honor its obligations under the swap. The rating does
not address market risk that may be experienced by the party
facing the trust under the swap contract.
Issuer: DBALT 2007-RAMP1
Swap: Swap (Reference Number N572145N)
Interest Rate Swap, Assigned B3 (sf)
RATINGS RATIONALE
The rating takes into account the rating of the swap counterparty,
the transaction's legal structure and the characteristics of the
collateral mortgage pool of the respective trust. Because there is
relatively limited historical performance data for the types of
instruments, this credit rating may have a greater potential
rating volatility than would ratings for transactions supported by
more historical performance data.
Our rating approach for this counterparty instrument rating (CIR)
rests on three propositions:
-- The CIRs are based on an analysis of the payment promise
made by the trust, the position of the instrument in the
payment waterfall, the credit quality of the rated payment
flows, the security arrangements governing the trust's
relationship with the counterparty, the support mechanisms
available to the counterparty, the termination date of the
swap and other structural features of the transaction in
question. In this regard, the rating process is similar to
that for all other ratings assigned by Moody's.
-- The credit quality and ratings assigned to counterparty
instrument obligations of the trust may differ from those of
its payment obligations to bondholders. As a result, ratings
assigned to bonds issued by the trust may diverge from the
CIR and therefore the bond ratings may offer only a limited
guidance on the CIR.
-- Although counterparty instrument ratings address payments to
rather than from the counterparty, in certain circumstances
the credit strength of the counterparty itself may have a
bearing on the CIR. For example, where a counterparty's non-
performance under a swap agreement leads to the trust having
to make a termination payment to that counterparty, Moody's
will take into account the likelihood of the counterparty's
non-performance occurring and the position of termination
payments in the cash flow waterfall . Specifically, in the
event that the swap counterparty causes a termination event,
any termination payment owed to the swap counterparty may be
paid at the bottom of the cash flow waterfall. As a result, a
default by the swap counterparty, which is currently rated
Aa3, makes payment in full to the counterparty unlikely.
By way of background, the swap counterparty, Deutsche Bank AG, New
York Branch in this case, receives a fixed rate from, and pays
LIBOR to, the trust on a notional amount that is balance
guaranteed, i.e. the notional amount is the lesser of either the
deal's outstanding bond balance or a monthly amount set forth in
the schedule to the swap agreement. This is typically a positive
feature for a swap because it insures that the trust will never
have to make payments based on a notional balance that exceeds
the trust's outstanding collateral balance. In this transaction,
however, the outstanding bonds are not written down when losses
reduce the collateral pool balance. As a result, the notional
floor set by the outstanding bond balance will exceed the
outstanding collateral balance as losses increase beyond senior
credit enhancement. Per the terms of the deal documents, the
swap counterparty receives payments prior to bondholders, and
is thus in a senior position to all bonds issued by the trust.
The termination date for the Swap is 25th January, 2020. To pay
the swap counterparty, the trust also has access to principal
payments, liquidation proceeds and interest collections. This
provision strengthens the nature of senior payment right of the
swap counterparty.
The primary risks driving the rating on the swap are the risk
that the collateral pool amortizes at a rate that exceeds the
scheduled amortization rate of the swap notional and the risk
of a termination event triggered by a default of the swap
counterparty. It is likely that the notional amount of the
swap will exceed the collateral balance as losses continue
to flow through the pipeline. The counterparty in the swap,
Deutsche Bank AG, New York Branch, has a Aa3 long term rating
and a P-1 short term rating by Moody's.
Our methodology for rating swaps on US RMBS transactions includes
running collateral cashflows and considers the rating of the swap
counterparty. Moody's stresses the cashflows by increasing
defaults and prepayments to determine what level of collateral
stress would cause a shortfall in proceeds owed to the swap
counterparty. The cashflows are modeled to reflect the waterfall
of the underlying transaction, which results in all swap payments
other than termination payments caused by a counterparty default
coming at the top of the waterfall. Termination payments owed to
the swap counterparty resulting from a default of the swap
counterparty are paid at the bottom of the waterfall. The swap in
this transaction passed scenarios consistent with the Ba2
collateral cashflow stresses. However, when considering the long
remaining life of the swap, the sensitivity of the swap to a
decline in the weighted average interest rate of the collateral
pool and additional qualitative considerations that were not
modeled, such as interest rate reduction modifications or more
conservative servicer advancing approaches, Moody's assigned the
swap a B3 (sf) rating.
Moody's projected remaining loss on the mortgage pool as a
percentage of the current balance is 43%.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website.
The rating for this swap is in line with Moody's existing
methodology. Moody's noted that on September 19, 2011, it released
a Request for Comment, in which the rating agency has requested
market feedback on potential changes to its rating methodology for
Counterparty Instrument Ratings. If the revised methodology is
implemented as proposed, the rating on this swap will not be
positively affected. Please refer to Moody's Request for Comment,
titled "Moody's Approach to Counterparty Instrument Ratings:
Request for Comment," for further details regarding the
implications of the proposed methodology changes on Moody's
ratings.
DIAMOND INVESTMENT: Moody's Lowers Rating of Class B-1 Notes to B3
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of these
notes issued by Diamond Investment Grade CDO, Ltd.:
US$29,000,000 Class B-1 Floating Rate Notes due 2014 (current
outstanding balance of $14,176,910), Downgraded to B3 (sf);
previously on October 16, 2009 Downgraded to B2 (sf);
US$36,000,000 Class B-2 Fixed Rate Notes due 2014 (current
outstanding balance of $17,598,922), Downgraded to B3 (sf);
previously on October 16, 2009 Downgraded to B2 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of an deterioration in the credit quality of
the underlying portfolio. Credit deterioration is observed through
an increase in the weighted average rating factor and a decrease
in the transaction's overcollateralization ratios since the
rating action in October 2009. Based on the latest trustee
report dated November 15, 2011, the weighted average rating
factor is currently 2491 compared to 1086 in the September 2009,
and the overcollateralization ratio for the Class B notes is
currently at 92.2% compared to the September 2009 level of
93.5%. The deal has also experienced an increase in defaulted
securities. The defaulted securities held in the portfolio
increased from $7.1 million in September 2009 to $9.1 million
in November 2011.
Additionally, Moody's notes that the underlying portfolio
includes a number of investments in securities that mature after
the maturity date of the notes. Based on the November 2011 trustee
report, securities that mature after the maturity date of the
notes currently make up approximately 20.1% of the underlying
portfolio. These investments potentially expose the notes to
market risk in the event of liquidation at the time of the notes'
maturity.
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 assumed the underlying collateral pool to have a
performing par and principal proceeds balance of $28 million,
defaulted par of $16.7 million (including $7.7 million assumed to
be defaulted by Moody's), a weighted average default probability
of 1.3% (implying a WARF of 1091), a weighted average recovery
rate upon default of 29.4%, and a diversity score of 6. 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.
Diamond Investment Grade CDO, Ltd., issued in September 2000, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. This publication incorporates rating criteria that
apply to both collateralized loan obligations and collateralized
bond obligations.
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. In addition, due to the
low diversity of the collateral pool, CDOROM 2.8 was used to
simulate a default distribution that was then applied as an input
in the cash flow model. 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 debt maturing between 2012 and 2014 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.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (873)
Class B: 0
Moody's Adjusted WARF + 20% (1309)
Class B: 0
Sources of additional performance uncertainties are:
1. Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2. Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the 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.
3. Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
4. Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors. Due to the deal's low diversity score and lack of
granularity, Moody's supplemented its typical Binomial Expansion
Technique analysis with a simulated default distribution using
Moody's CDOROMTM software and individual scenario analysis.
DIVERSIFIED ASSET: S&P Affirms Rating on Class A-3L Notes at 'CC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1L, A-2, and A-3L notes from Diversified Asset
Securitization Holdings III L.P., a collateralized debt
obligation (CDO) transaction.
The affirmation reflects the sufficient credit support available
to the notes at the current rating levels. The transaction is now
amortizing, and the class A-1L and A-2 notes have paid down
significantly and currently have less than 10% of the original
balance outstanding. The transaction is a structured finance CDO
backed substantially by residential mortgage-backed securities.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Affirmed
Diversified Asset Securitization Holdings III L.P.
Class Rating
A-1L BB+ (sf)
A-2 BB+ (sf)
A-3L CC (sf)
Other Outstanding Rating
Diversified Asset Securitization Holdings III L.P.
Class Rating
B-1L D (sf)
EAGLE CREEK: S&P Raises Rating on Class C Notes From 'BB-'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2, B, and C notes from Eagle Creek CLO Ltd., a collateralized
loan obligation (CLO) transaction managed by 4086 Advisors Inc.
"At the same time, we affirmed our ratings on the class A-1 and D
notes," S&P said.
"The upgrades reflect the improved performance we have observed in
the deal's underlying asset portfolio since our November 2009
rating actions. According to the Nov. 17, 2011, trustee report,
the transaction's asset portfolio did not hold any defaulted
assets, down from the $4.6 million noted in the September 2009
trustee report. Additionally, the collateral pool consisted of
approximately $5.7 million in assets from obligors rated in the
'CCC' category in November 2011, down from $12.9 million in
September 2009," S&P said.
"We affirmed our ratings on the class A-1 and D 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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Eagle Creek CLO Ltd.
Rating
Class To From
A-2 AA+ (sf) AA (sf)
B A (sf) BBB+ (sf)
C BBB (sf) BB- (sf)
Ratings Affirmed
Eagle Creek CLO Ltd.
Class Rating
A-1 AAA (sf)
D CCC+ (sf)
EDT FUNDING: Moody's Downgrades Rating of Bonds
-----------------------------------------------
Moody's Investors Service has downgraded the rating assigned to
these Bonds issued by EDT Funding Ltd.:
$142,739,000 8.0979% Secured Guaranteed Bonds due 4/15/2030, Class
A-4 Bond (current balance: $137,209,595), Downgraded to Baa3 (sf);
previously on August 13, 2010 Downgraded to Baa1 (sf)
RATINGS RATIONALE
The rating assigned by Moody's to the Bonds are linked to several
factors, including, but not limited to, the ratings of various
series of perpetual and long-dated floating rate notes ("FRNs")
owned by the Company and the rating of JPMorgan Chase Bank, N.A.
as Swap Counterparty and will change upon changes in Moody's
ratings of these factors. The Bonds also benefit from a financial
insurance agreement entered into between the Company and MBIA
Insurance Corporation, as a successor to Capital Markets Assurance
Corporation.
The action reflects the credit quality of the FRNs. Since last
review 25% of the FRNs have been downgraded and 13% of the FRNs
remain on review for downgrade. Currently 24.5% of the portfolio
has a negative outlook and 16.4% of the FRNs are rated below
investment grade with the lowest rating at a Ba2.
The actions are not based on the rating of MBIA whose B3 insurance
financial strength rating was placed on review for downgraded by
Moody's on 12/19/11. The rating actions are consistent with
Moody's modified approach to rating structured finance securities
wrapped by financial guarantors as described in a press release
dated November 10, 2008, titled "Moody's modifies approach to
rating structured finance securities wrapped by financial
guarantors."
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
EMPORIA PREFERRED: Fitch Affirms Rating on Two Note Class at Low-B
------------------------------------------------------------------
Fitch Ratings has affirmed four and upgraded three classes of
notes issued by Emporia Preferred Funding I, Ltd./Corp. (Emporia
I):
-- $274,713,721 class A notes affirmed at 'AAAsf'; Outlook
Stable;
-- $36,615,000 class B-1 notes affirmed at 'AAsf'; Outlook
Stable;
-- $5,000,000 class B-2 notes affirmed at 'AAsf'; Outlook
Stable;
-- $24,360,000 class C notes affirmed at 'Asf'; Outlook Stable;
-- $24,360,000 class D notes upgraded to 'BBBsf' from 'BBsf';
Outlook Stable;
-- $8,000,000 class E-1 notes upgraded to 'BBsf' from 'Bsf';
Outlook Stable;
-- $5,195,000 class E-2 notes upgraded to 'BBsf' from 'Bsf';
Outlook Stable.
The rating actions reflect the overall stability in credit quality
of the underlying loan portfolio and the expectation of near term
increase in credit enhancement as the portfolio has exited its
reinvestment period. Since Fitch's last review in December 2010,
the portfolio has experienced a slightly improved weighted average
rating quality with reduced exposure to assets rated 'CCC+' or
below. The amount of performing assets Fitch considers rated
'CCC+' or below has decreased to 11.9% from 13.6% at the last
review. Fitch currently considers the weighted average rating of
the $403.2 million performing portfolio to be 'B/B-', within the
same category as the portfolio in December 2010.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various default timing and interest rate stress scenarios,
as described in the report 'Global Criteria for Cash Flow Analysis
in CDOs'. While Fitch's cash flow analysis indicates higher
passing rating levels for the class B-1, B-2 and C notes, the
current ratings appropriately reflect the risk profile of the
remaining portfolio.
Emporia I is a cash flow collateralized loan obligation (CLO) that
closed on Oct. 12, 2005 and is managed by Ivy Hill Asset
Management, a portfolio management company of Ares Capital
Corporation. Emporia I has a revolving portfolio primarily
composed of U.S. middle market loans, approximately 90.1% of which
are senior secured positions and approximately 5.4% of which are
second lien loans. The transaction recently exited its
reinvestment period in October 2011.
FC CBO IV: Moody's Raises Rating of Class B-2 Notes Baa1 From Caa1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by FC CBO IV Ltd.:
US$21,400,000 Class B-1 Subordinate Fixed Rate Notes due 2012
(current outstanding balance of $965,462), Upgraded to Baa1 (sf);
previously on March 1, 2005 Downgraded to Caa1 (sf);
US$28,000,000 Class B-2 Subordinate Floating Rate Notes due 2012
(current outstanding balance of $1,160,356), Upgraded to Baa1
(sf); previously on March 1, 2005 Downgraded to Caa1 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of amortization of the Class B Notes, an
increase in the Class B overcollateralization ratio and credit
improvement of the underlying portfolio since the rating action in
Mar 2005. Moody's notes that the Class B Notes are no longer
deferring interest and that all previously deferred Class B Note
interest has been paid in full. Since the rating action in March
2005, the Class B-1 Notes and Class B-2 Notes have been paid down
by approximately 96.1% or $23.9 million and $28.8 million
respectively. Based on the latest trustee report dated November
18, 2011, the Class B overcollateralization ratio is reported at
122.4%, versus the February 18, 2005 level of 100.8%. The weighted
average rating factor is currently 120 compared to 3017 in Mar
2005.
Moody's analysis focused on the credit quality, principal amount,
and cash flow characteristics of the underlying collateral, which
currently consists largely of a single senior unsecured bond with
a long-term senior unsecured rating of A2 (on review for possible
downgrade) issued by New Cingular Wireless Services, Inc. in the
face amount of $2.5 million and maturing in May 2012, as well as
principal collections of approximately $0.1 million. The rating
actions also reflect 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.
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 analysis assumed that the underlying collateral pool
consisted of principal proceeds of $101,591, one performing bond
with a par balance of $2.5 million, and no defaulted securities.
Moody's also assumed that the performing portfolio has a weighted
average default probability of 0.07% (implying a WARF of 260), a
weighted average recovery rate upon default of 30%, and a
diversity score of 1.
FC CBO IV Ltd, issued in August 2000, is a collateralized bond
obligation backed by a portfolio of unsecured bonds.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
This publication incorporates rating criteria that apply to both
collateralized loan obligations and collateralized bond
obligations.
Because of the low diversity score of the deal, Moody's also
adopted individual scenario analysis to assess the ratings impact
of jump-to-default by the only obligor in the portfolio.
Sources of additional performance uncertainties are described
below:
Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a single
obligor, especially when they experience jump to default.
FLATIRON CLO: S&P Gives 'BB' Rating on Class E Deferrable Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings
to Flatiron CLO 2011-1 Ltd./Flatiron CLO 2011-1 Inc.'s
$322.25 million floating-rate notes.
The transaction is a cash flow 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
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 asset 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%-13.83%," 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.
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/1111350.pdf
Ratings Assigned
Flatiron CLO 2011-1 Ltd./Flatiron CLO 2011-1 Inc.
Class Rating Amount (mil. $)
A AAA (sf) 220.00
B AA (sf) 53.00
C-1 (deferrable) A (sf) 8.25
C-2 (deferrable) A (sf) 11.00
D (deferrable) BBB (sf) 16.00
E (deferrable) BB (sf) 14.00
Subordinated notes NR 31.85
NR -- Not rated.
FOX TROT: S&P Affirms Ratings on 4 Classes of Notes at 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'A-1+' rating on
the commercial paper (CP) notes issued by Fox Trot CDO Ltd. Fox
Trot CDO Ltd. is a cash flow collateralized debt obligation (CDO)
of asset-backed securities backed mainly by senior tranches
of residential mortgage-backed securities (RMBS) and other
structured finance assets.
"The affirmation of the CP note rating is based on our review of
the liquidity agreement between Fox Trot CDO Ltd. and Cooperatieve
Centrale Raiffeisen-Boerenleenbank B.A. (Rabobank Nederland), the
liquidity provider for the CP tranche. Based on this review, we
believe that the liquidity provider is obligated to continue to
supply funding to the class CP notes regardless of any
deterioration in the credit quality of the transaction's
underlying asset pool. As a result, and based on the 'A-1+' short
term rating of Cooperatieve Centrale Raiffeisen-Boerenleenbank
B.A. (Rabobank Nederland), we affirmed our 'A-1+ (sf)' rating on
the class CP notes," S&P said.
Standard & Poor's will continue to review whether, in its view,
the rating assigned to the notes remains consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Affirmed
Fox Trot CDO Ltd.
Class Rating
CP A-1+ (sf)
Other Outstanding Ratings
Fox Trot CDO Ltd.
Class Rating
A D (sf)
B D (sf)
C D (sf)
D D (sf)
Transaction Information
Issuer: Fox Trot CDO Ltd.
Coissuer: Fox Trot CDO Inc.
Collateral manager: Rabobank
Underwriter: Rabobank Securites USA Inc.
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CDO
FREDDIE MAC: Moody's Lowers Rating of Cl. B Notes to 'Caa2'
-----------------------------------------------------------
Moody's has downgraded ratings of one class of Notes issued by
Freddie Mac Multifamily Variable Rate Certificates Series M017.
The downgrade is due to deterioration in the underlying collateral
as evidenced by the Moody's weighted average rating factor (WARF)
and concern over the potential for term defaults on certain
collateral. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO CLO) transactions.
Cl. B Certificate, Downgraded to Caa2 (sf); previously on Dec 15,
2010 Downgraded to B2 (sf)
RATINGS RATIONALE
Freddie Mac Multifamily Variable Rate Certificates Series M017 is
a static CRE CDO transaction backed by a portfolio of multifamily
affordable housing bonds. The bonds are issued by state and local
government entities and are secured by first liens on multifamily
affordable housing properties as well as certain other assets
pledged by certain municipal and state housing authorities, and
government entities.
While there are no defaulted assets in the pool, there is
considerable stress on several of the assets in the portfolio. Six
multifamily properties (12.8% of the balance) have Moody's debt
service coverage ratios (DSCR) that are below 1.0X. In addition, a
two multifamily properties (5.6% of the balance) have DSCRs less
than 0.6X. Any loss given default will result in principal losses.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), weighted average recovery rate (WARR), and
Moody's asset correlation (MAC). These parameters are typically
modeled as actual parameters for static deals and as covenants for
managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 4,047 compared to 2,666 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (1.7% compared to 8.9% at last review), A1-A3
(4.2% compared to 5.4% at last review), Baa1-Baa3 (5.6% compared
to 5.6% at last review), Ba1-Ba3 (10.9% compared to 13.4% at last
review), B1-B3 (13.3% compared to 36.6% at last review), and Caa1-
C (61.8% compared to 32.6% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 24.8 years compared
to 25.7 at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
60% compared to 60% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 0.0% compared to 0.0% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
60% to 50% or up to 70% would result in average rating movement on
the rated tranches of 0 to 1 notches downward and 0 to 1 notches
upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.
GCCFC 2003-C1: Moody's Affirms Rating of Class K Notes at 'Ba1'
---------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class,
downgraded the ratings of four classes and affirmed the ratings of
ten CMBS classes of Greenwich Capital Commercial Funding Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2003-C1:
Cl. A-4, Affirmed at Aaa (sf); previously on Jul 24, 2003 Assigned
Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Nov 10, 2006 Upgraded
to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Nov 10, 2006 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Nov 10, 2006 Upgraded
to Aaa (sf)
Cl. E, Affirmed at Aaa (sf); previously on Mar 18, 2010 Upgraded
to Aaa (sf)
Cl. F, Affirmed at Aa1 (sf); previously on Mar 18, 2010 Upgraded
to Aa1 (sf)
Cl. G, Upgraded to Aa3 (sf); previously on Sep 25, 2008 Upgraded
to A1 (sf)
Cl. H, Afirmed ar Baa1 (sf); previously on Nov 10, 2006 Upgraded
to Baa1 (sf)
Cl. J, Affirmed at Baa3 (sf); previously on Jul 24, 2003
Definitive Rating Assigned Baa3 (sf)
Cl. K, Affirmed at Ba1 (sf); previously on Jul 24, 2003 Definitive
Rating Assigned Ba1 (sf)
Cl. L, Downgraded to B1 (sf); previously on Jul 24, 2003
Definitive Rating Assigned Ba2 (sf)
Cl. M, Downgraded to B3 (sf); previously on Mar 18, 2010
Downgraded to B1 (sf)
Cl. N, Downgraded to Caa3 (sf); previously on Feb 24, 2011
Downgraded to Caa1 (sf)
Cl. O, Downgraded to C (sf); previously on Feb 24, 2011 Downgraded
to Ca (sf)
Cl. XC, Affirmed at Aaa (sf); previously on Jul 24, 2003
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The upgrade is due to increased credit support due to loan payoffs
and amortization. The downgrades are due to higher than expected
losses from troubled loans and loans in special servicing.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
3.3% of the current balance. At last review, Moody's cumulative
base expected loss was 2.7%. Moody's stressed scenario loss is
6.8% of the current balance. Realized losses have increased from
2.0% of the original balance to 2.6% since the prior review.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate
Moody's forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may, if
warranted, change these expectations. Performance that falls
outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when
the related securities ratings were issued. Even so, a deviation
from the expected range will not necessarily result in a rating
action nor does performance within expectations preclude such
actions. The decision to take (or not take) a rating action is
dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Primary sources of assumption uncertainty are the current
sluggish macroeconomic environment and performance in the
commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline
and job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors
are tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. The availability of debt capital continues to improve
with terms returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
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 Greenwich Capital Commercial Funding Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2003-C1Class
XC 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
change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 27 compared to 25 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 24, 2010.
DEAL PERFORMANCE
As of the December 7, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 48% to $632 million
from $1.22 billion at securitization. The Certificates are
collateralized by 55 mortgage loans ranging in size from less than
1% to 6% of the pool, with the top ten non-defeased loans
representing 36% of the pool. Nine loans, representing 30% of the
pool, have defeased and are secured by U.S. Government securities.
Defeasance at last review represented 26% of the pool.
Thirteen loans, representing 20% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Five loans have been liquidated from the pool, resulting in a
realized loss of $31.3 million (58% loss severity). Currently five
loans, representing 4% of the pool, are in special servicing. The
largest specially serviced loan is the Gateway Plaza Shopping
Center Loan ($11.6 million -- 1.8% of the pool), which is secured
by a 143,520 square foot (SF) unanchored retail building located
in Overland Park, KS. The loan was transferred to special
servicing in August 2011 due to imminent default. The borrower has
indicated that falling rents and occupancy have destabilized the
property. The special servicer is currently reviewing the loan for
potential exit strategies.
The remaining four specially serviced properties are secured by a
mix of property types. Moody's estimates an aggregate $10.2
million loss for the specially serviced loans (38% expected loss
on average).
Moody's has assumed a high default probability for three poorly
performing loans representing 4% of the pool and has estimated an
aggregate $3.4 million loss (15% expected loss based on a 30%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 89%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 84% compared to 83% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 10% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 8.8%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.39X and 1.28X, respectively, compared to
1.43X and 1.32X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 14% of the pool. The largest
loan is the Tide Point Office Loan ($35.5 million -- 5.6% of the
pool), which is secured by a 397,000 square foot office building
located in Baltimore, Maryland. In June 2011, Under Armour agreed
to purchase the property, make it into its national headquarters,
and assume the existing debt. The property is currently 100%
leased compared to 82% at last review. Under a master lease, Under
Armour has agreed to take over all of the existing and upcoming
vacant space at the property. Moody's LTV and stressed DSCR are
69% and 1.49X, respectively, compared to 98% and 1.05X at last
review.
The second largest loan is the Frontier Building Office Loan
($30.1 million -- 4.8% of the pool), which is secured by a 280,000
square foot office building located in Anchorage, Alaska. As of
March 2011, the property was 100% leased, the same as at last
review. Overall, performance has been stable and the loan is
benefitting from amortization. Moody's LTV and stressed DSCR are
57% and 1.80X, respectively, compared to 60% and 1.72X at last
review.
The third largest loan is the Rosebud MHC Loan ($25.1 million --
4.0% of the pool), which is secured by a 903 pad mobile home park
located in Bridgeview, Illinios. As of March 2011, the property
was 90% leased compared to 87% at last review. Overall,
performance has been stable and the loan is benefitting from
amortization. Moody's LTV and stressed DSCR are 81% and 1.21X,
respectively, compared to 82% and 1.20X at last review.
GMAC 2004-C2: Moody's Lowers Rating of Cl. D Notes Rating to 'Ba1'
------------------------------------------------------------------
Moody's affirmed the ratings of 12 classes and downgraded four
classes of GMAC Commercial Mortgage Securities, Inc., Series 2004-
C2:
Cl. A-1A, Affirmed at Aaa (sf); previously on Aug 16, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on Aug 16, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Aug 16, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Aug 16, 2004
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Feb 9, 2011 Downgraded
to Aa2 (sf)
Cl. C, Affirmed at A2 (sf); previously on Feb 9, 2011 Downgraded
to A2 (sf)
Cl. D, Downgraded to Ba1 (sf); previously on Feb 9, 2011
Downgraded to Baa2 (sf)
Cl. E, Downgraded to B1 (sf); previously on Feb 9, 2011 Downgraded
to Ba1 (sf)
Cl. F, Downgraded to Caa1 (sf); previously on Feb 9, 2011
Downgraded to B1 (sf)
Cl. G, Downgraded to Caa3 (sf); previously on Feb 9, 2011
Downgraded to Caa2 (sf)
Cl. H, Affirmed at Ca (sf); previously on Feb 9, 2011 Downgraded
to Ca (sf)
Cl. J, Affirmed at C (sf); previously on Feb 9, 2011 Downgraded to
C (sf)
Cl. K, Affirmed at C (sf); previously on Feb 9, 2011 Downgraded to
C (sf)
Cl. L, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded
to C (sf)
Cl. X-1, Affirmed at Aaa (sf); previously on Aug 16, 2004
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The downgrades are primarily due to realized and anticipated
losses from specially serviced and troubled loans and interest
shortfalls. Interest shortfalls have reached as high as Class E
in recent months. Moody's expects that interest shortfalls may
continue becuase of the pool's high exposure to specially serviced
loans. The affirmations are due to key parameters, including
Moody's loan to value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining
within acceptable ranges. Based on Moody's current base expected
loss, the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss
of 8.7% of the current balance compared to 8.3% at last review.
Although the current cumulative base expected loss is in-line
with last review on a numerical basis ($62.7 million this review
compared to $64.0 million last review), realized losses have
increased from $4.6 million at last review to $14.2 million at
this review. Moody's stressed scenario loss is 11.7% of the
current balance. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans,
the credit enhancement level for investment grade classes could
decline below the current levels. If future performance materially
declines, the expected level of credit enhancement and the
priority in the cash flow waterfall may be insufficient for the
current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected
range will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the current sluggish
macroeconomic environment and performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. The
availability of debt capital continues to improve with terms
returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Fusion Transactions" published in April 2005, and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
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 GMAC Commercial Mortgage Trust Series 2004-C2 Class
X-1 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 change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, down from 18 at last review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel based Large Loan Model v 8.0 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship.
These aggregated proceeds are then further adjusted for any
pooling benefits associated with loan level diversity, other
concentrations and correlations. Moody's ratings are determined by
a committee process that considers both quantitative and
qualitative factors. Therefore, the rating outcome may differ from
the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 11, 2011.
DEAL PERFORMANCE
As of the December 12, 2011 distribution date, the
transaction's aggregate certificate balance had decreased by 23%
to $719.9 million from $933.7 million at securitization. The
Certificates are collateralized by 60 mortgage loans which range
in size from less than 1% to 10% of the pool, with the top ten
loans representing 46% of the pool. Eight loans, representing 29%
of the pool, have defeased and are collateralized by U.S.
Government securities. The pool also contains two loans,
representing 16% of the pool, with investment grade credit
estimates, the same as at last review.
Twelve loans, representing 11.0% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Six loans have been liquidated from the pool since securitization,
resulting in a $14.2 million loss (24% loss severity overall).
There are currently six loans, representing 15% of the pool, in
special servicing. The largest specially serviced loan is the
Parmatown Shopping Center Loan ($62.4 million -- 8.7% of the
pool), which is secured by an 861,207 square foot (SF) enclosed
regional shopping mall located in Parma, Ohio. The loan was
transferred to special servicing in January 2011 due to imminent
default. CBRE was appointed as receiver summer 2011. The mall
includes Macy's, JC Penney, Wal-mart and Dick's Sporting Goods as
anchor tenants. Financial performance has declined since last
review.
The second largest specially serviced loan is the Providence
Biltmore Hotel ($22.4 million -- 3.1% of the pool), which is
secured by a 290-room full service hotel located in downtown
Providence, Rhode Island. The loan was transferred back to special
servicing after the borrower defaulted on a recent loan
modification which was completed in February 2010. A receiver was
appointed in April 2011 and Jones Lang LaSalle is marketing the
property for sale for the receiver.
The third largest specially serviced loan is the Turnbury Park
Apartments Loan ($15.5 million -- 2.1% of the pool), which is
secured by a 161-unit apartment complex located in Canton,
Michigan. The loan was transferred to special servicing in July
2009 due to imminent default. The property's leasing and financial
performance has declined since last review. The remaining three
specially serviced loans are secured by a mix of property types.
The master servicer has recognized appraisal reductions totaling
$53 million from specially serviced loans. Moody's has estimated
an aggregate $53.2 million loss (49% expected loss on average) for
all of the specially serviced loans.
Moody's has assumed a high default probability for two poorly
performing loans representing 2% of the pool and has estimated a
$2.5 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Based on the most recent remittance statement, Classes H through
P have experienced cumulative interest shortfalls totaling
$2.2 million. Last month, interest shortfalls reached as high as
Class E and totaled $2.5 million. Moody's anticipates that the
pool will continue to experience interest shortfalls because of
the high exposure to specially serviced loans. Interest shortfalls
are caused by special servicing fees, including workout and
liquidation fees, appraisal subordinate entitlement reductions
(ASERs) and extraordinary trust expenses.
Moody's was provided with full year 2010 and partial year 2011
operating results for 98% and 70%, respectively, of the pool's
non-defeased loans. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 71% compared to 84% at
Moody's prior review. Moody's net cash flow reflects a weighted
average haircut of 11.3% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.68X and 1.50X, respectively, compared to
1.44X and 1.19X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit estimate is the Jersey Gardens
Loan ($74.1 million -- 10.3% of the pool), which represents a 52%
participation interest in a $143.6 million first mortgage loan.
The loan is secured by the borrower's interest in a 1.3 million SF
outlet mall located in Elizabeth, New Jersey. The largest tenants
are Loews Theatres (9% of the gross leasable area (GLA); lease
expiration December 2020), Burlington Coat Factory (6% of the GLA;
lease expiration January 2020) and Forever 21 (5% of the GLA;
lease expiration January 2021). The property was 100% leased as
of June 2011; essentially the same as at last review. Property
performance has been stable. The loan sponsor is Glimcher Realty
Trust (Moody's senior unsecured rating Ba3; stable outlook).
Moody's current credit estimate and stressed DSCR are A2 and
2.03X, respectively, the same as at last review.
The second largest loan with a credit estimate is the 731
Lexington Avenue Loan ($40.4 million -- 5.6% of the pool), which
represents a 16% participation interest in the senior portion of a
first mortgage loan totaling $253.9 million. The loan is secured
by a 694,000 SF office condominium situated within a 1.4 million
square foot complex located in midtown Manhattan. The property is
also encumbered by a $86 million B-note that is held outside of
the trust. The property is 100% leased to Bloomberg, LP through
2028. Moody's current credit estimate is A3, the same as at last
review.
The top three performing conduit loans represent 16% of the
pool balance. The largest loan is the Military Circle Mall Loan
($55.1 million -- 7.7% of the pool), which is secured by a 740,788
SF enclosed regional shopping mall located in Norfolk, Virginia.
Anchor tenants include JC Penney, Macy's, Sears and Cinemark
Theater. Financial performance has declined slightly since last
review. The property was 89% leased as of June 2011 compared to
94% as of December 2010. The loan has also amortized 2% since last
review. Moody's LTV and stressed DSCR are 83% and 1.24X,
respectively, compared to 82% and 1.26X at last review.
The second largest loan is the Escondido Village Shopping Center
Loan ($17.1 million -- 2.4% of the pool), which is secured by a
191,629 SF retail center located north of San Diego in Escondido,
California. Financial performance has declined slightly since last
review due to higher operating expenses. The center was 96% leased
as of March 2011, the same as at last review. The loan has
amortized 2% since last review. Moody's LTV and stressed DSCR are
82% and 1.22X, respectively, compared to 79% and 1.27X at last
review.
The third largest loan is the Stonybrook Apartments Loan
($14.1 million -- 2.0% of the pool), which is secured by a
258-unit apartment complex located in Deptford, New Jersey.
Financial performance is consistent with last review due to
sustained occupancy. The property was 92% leased as of March
2011 versus 91% at last review. This loan has amortized 2% since
last review. The loan is on the Master Servicer's watchlist due to
a lower occupancy and lower DSCR. Moody's LTV and stressed DSCR
are 94% and 0.98X, respectively, compared to 97% and 0.95X at last
review.
GRANITE VENTURES: S&P Affirms 'CCC+' Rating on Class D Notes
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on
the class A-2 and B notes from Granite Ventures II Ltd. and
removed them from CreditWatch positive, where S&P placed them
with positive implications on Oct. 6, 2011. "Granite Ventures II
is a U.S. collateralized loan obligation (CLO) transaction managed
by Stone Tower Debt Advisors LLC. At the same time, we affirmed
our ratings on the class A-1, C, and D notes," S&P said.
"The upgrades reflect a paydown to the class A-1 notes and
improved performance we have observed in the deal's underlying
asset portfolio since our last rating action on Feb. 7, 2011,
following the application of our September 2009 corporate
collateralized debt obligation (CDO) criteria. As of the
Nov. 7, 2011 trustee report, the transaction's asset portfolio
had $1.96 million in defaulted obligations. This was a decrease
from $2.62 million in defaulted obligations noted in the Dec. 6,
2010, trustee report, which we used for our February 2011 rating
actions. In addition, over the same time period, the transaction
paid down the class A-1 notes by $105.98 million, reducing their
balance to approximately 35.59% of the original outstanding
balance," S&P said.
"We also observed an increase in the overcollateralization
available to support the rated notes," S&P said. The trustee
reported the overcollateralization (O/C) ratios in the Nov. 7,
2011 monthly report:
The class A O/C ratio was 142.92%, compared with a reported
ratio of 122.12% in December 2010;
The class B O/C ratio was 123.45%, compared with a reported
ratio of 112.89% in December 2010;
The class C O/C ratio was 110.87%, compared with a reported
ratio of 106.20% in December 2010; and
The class D O/C ratio was 106.52%, compared with a reported
ratio of 103.74% in December 2010.
"We affirmed our ratings on the class A-1, C, and D notes to
reflect our belief that the credit support available is
commensurate with the current ratings," S&Ps aid.
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
Granite Ventures II Ltd.
Rating
Class To From
A-2 AAA (sf) AA (sf)/Watch Pos
B A+ (sf) A (sf)/Watch Pos
Ratings Affirmed
Granite Ventures II Ltd.
Class Rating
A-1 AAA
C BB
D CCC+
GREEN TREE: Moody's Lowers Rating of Cl. B Notes to 'Ba1'
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 18
manufactured housing loans-backed securities (MH) aggregating
$252 million from 9 transactions, upgraded the ratings of 4 MH
securities aggregating $14 million from 4 transactions, and
confirmed the rating of 1 MH security aggregating $14 million
from 1 transaction. The collateral backing these transactions
consists primarily of manufactured housing loans. The MH
securities are seasoned and were issued between 1993 and 2007.
RATINGS RATIONALE
The loss projections account for continued weakness in the macro
economy and the recent performance of the sector. Cumulative
losses have increased modestly to approximately 19% and serious
delinquencies, measured as a percentage of outstanding balance,
have remained stable at approximately 3%.
Payment deferrals, a common loss mitigation tool, mask true
delinquencies and can account for up to half of the outstanding
pool balance. Deferments are granted to borrowers who could not
pay the full arrears but have demonstrated the ability to make
future installments. Repayment plans are the capitalization of
past due payments to cure the delinquencies. While deferrals can
reduce overall default rates, deferred accounts that are re-
classified as current are still riskier than loans that have been
contractually current. Re-default rates on deferred accounts are
similar to subprime borrowers at 65%.
To estimate losses, Moody's first forecasted losses on the loans
that had a payment deferral based on 65% re-default rates and 85%
severity assumptions. Secondly, losses were projected on the
remaining loans that have not had any payment deferral based on
Moody's annual conditional prepayment rates (CPR), annual constant
default rates (CDR), and 85% severity assumptions.
The CPR rate is derived from the average of actual CPR observed
over the last six months. The CDR rate is based on pipeline
defaults -- derived from days-aged delinquencies and Moody's
assumptions for default based on days delinquent or REO (15% for
30 days delinquent loans, 30% for 60 days delinquent loans, 90%
for more than 90 days delinquent loans, and 100% for loans in
REO). Moody's has further assumed that both CDR and CPR will
remain constant over the life of each deal. A sudden reversal in
the existing trend of projected prepayments, defaults and losses
is not anticipated for these deals as they are well seasoned.
The losses from loans that had a deferral and those from the
remaining loans based on the CPR-CDR approach are weighed to
calculate the total projected loss for the deal.
Rating Actions
To assess the rating implications, Moody's calculated a deal
specific loss projection and compared it to the tranches' credit
enhancement from subordination; excess spread; and reserve account
and third-party support (if any) and the timing of principal
repayment. The actions for bonds rated Aaa, Aa, A, and Baa
considered where full expected principal repayment exceeds 5, 7,
10, and 10 years respectively because of uncertainty of cash flows
and losses.
For securities insured by a financial guarantor, the rating on the
securities is the higher of (i) the guarantor's financial strength
rating and (ii) the current underlying rating (i.e., absent
consideration of the guaranty) on the security. Securities wrapped
by Ambac Assurance Corporation are rated at their underlying
rating without consideration of Ambac's guaranty. The principal
methodology used in determining the underlying rating is the same
methodology for rating securities that do not have a financial
guaranty and is as described earlier.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high. Moody's now projects the unemployment rate to start
declining by fourth quarter of 2011.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Residential Mortgage-Backed Securities"
published in December 2008.
Complete rating actions are:
Issuer: Green Tree Financial Corporation MH 1993-03
A-7, Downgraded to Baa1 (sf); previously on Nov 2, 2011 Aa2 (sf)
Placed Under Review for Possible Downgrade
B, Downgraded to Ca (sf); previously on Nov 2, 2011 Caa1 (sf)
Placed Under Review for Possible Downgrade
Issuer: Green Tree Financial Corporation MH 1993-04
A-5, Downgraded to Baa3 (sf); previously on Nov 2, 2011 Aa2 (sf)
Placed Under Review for Possible Downgrade
Issuer: Origen Manufactured Housing Conract Trust 2005-A
Cl. A-4, Downgraded to A1 (sf); previously on Nov 2, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A3 (sf); previously on Nov 2, 2011 Aa2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to Ba1 (sf); previously on Nov 2, 2011 Baa3 (sf)
Placed Under Review for Possible Downgrade
Issuer: Origen Manufactured Housing Conract Trust Collateralized
Notes, Series 2005-B
Cl. A-4, Downgraded to Aa3 (sf); previously on Nov 2, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A3 (sf); previously on Nov 2, 2011 A1 (sf)
Placed Under Review for Possible Downgrade
Issuer: Origen Manufactured Housing Contract Trust 2004-A
Cl. A-4, Downgraded to Aa3 (sf); previously on Nov 2, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A3 (sf); previously on Nov 2, 2011 Aa2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: Origen Manufactured Housing Contract Trust 2006-A
Cl. A-1, Confirmed at B2 (sf); previously on Nov 2, 2011 B2 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Origen Manufactured Housing Contract Trust Collateralized
Notes, Series 2004-B
Cl. A-4, Downgraded to Aa3 (sf); previously on Nov 2, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A3 (sf); previously on Oct 12, 2004
Assigned Aa2 (sf)
Cl. M-2, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: Origen Manufactured Housing Contract Trust Collateralized
Notes, Series 2007-A
Cl. A-1, Downgraded to Caa3 (sf); previously on Nov 2, 2011 Caa2
(sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Security Pacific Acceptance Corporation 1995-1
A-4, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A1 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: Capital Markets Assurance Corporation
(Downgraded to B3, Outlook Negative on Jun 25, 2009)
Issuer: Signal Securitization Corp. Series 1998-1
Class A, Upgraded to Aa2 (sf); previously on Nov 2, 2011 Baa1 (sf)
Placed Under Review for Possible Upgrade
Issuer: UCFC Funding Corporation 1996-2
Class A, Upgraded to Aa3 (sf); previously on Nov 2, 2011 A1 (sf)
Placed Under Review for Possible Upgrade
Issuer: UCFC funding Corporation Series 1997-2
M, Downgraded to Caa1 (sf); previously on Nov 2, 2011 B2 (sf)
Placed Under Review for Possible Downgrade
Issuer: UCFC Funding Corporation Series 1997-3
A-4, Upgraded to A3 (sf); previously on Nov 2, 2011 Baa2 (sf)
Placed Under Review for Possible Upgrade
Issuer: UCFC Funding Corporation Series 1997-4
A-4, Upgraded to A3 (sf); previously on Nov 2, 2011 B1 (sf) Placed
Under Review for Possible Upgrade
GREENS CREEK: Moody's Ups Rating of Cl. C Notes to Baa3 From Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Greens Creek Funding Ltd.:
US$25,500,000 Class A-2 Floating Rate Senior Notes Due 2021,
Upgraded to Aa2 (sf); previously on September 23, 2011 Confirmed
at Aa3 (sf);
US$26,000,000 Class B Floating Rate Deferrable Senior Subordinate
Notes Due 2021, Upgraded to A3 (sf); previously on September 23,
2011 Upgraded to Baa1 (sf);
US$18,000,000 Class C Floating Rate Deferrable Senior Subordinate
Notes Due 2021, Upgraded to Baa3 (sf); previously on September 23,
2011 Upgraded to Ba1 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes
reflect consideration of the issuance of additional Income Notes.
On December 21, 2011, the issuer issued additional Income Notes in
the aggregate principal amount of $17,500,000, which provides the
benefit of increased collateralization on the rated notes.
Moody's notes that its analysis takes into account (1) the current
constraints around reinvesting due to the failure to meet certain
reinvestment criteria and (2) the possibility that the deal will
be allowed to reinvest in additional collateral obligations if the
restrictions on reinvesting were removed. Currently, the deal does
not have the ability to reinvest and as a result, cash has been
accumulating in the deal since March 2009. As of the November 2011
trustee report, the principal collections account balance is
$232,304,665. Although Moody's examined a static case which
assumes that the current outstanding principal collections along
with future amortizations are held in a reserve account until
applied in accordance to the priority of payments after the end of
the reinvestment period, in reaching its conclusions Moody's
assigned a material likelihood to the case where reinvesting will
resume in the near future. Due to substantial uncertainties
relating to the composition of a new asset pool combining the
characteristics of legacy collateral as well as a significant
proportion of new collateral, Moody's modeled covenant levels for
weighted average rating factor, weighted average spread, and
diversity that are captured in the current Grid Test. Moody's also
assumed a blended weighted average recovery rate consisting of the
actual recovery rate of the current portfolio and a senior secured
loan recovery rate for the additional collateral obligations. The
weighted average life is modeled at the current covenant level. In
determining the appropriate point in the Grid Test to model,
Moody's chose a combination of WARF, WAS, and Diversity that is
currently elected by the collateral manager. The deal is required
to satisfy its collateral quality tests or maintain and improve
actual levels if the collateral quality tests are breached. In its
analysis, Moody's expects that the new asset pool, comprising of
legacy collateral and additional collateral obligations purchased
with principal collections plus the issuance of additional income
notes, will have a combined credit risk profile that is consistent
with the Grid Test. Additionally, Moody's notes that the deal is
limited in purchasing additional structured finance securities
after the initial ramp up period.
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, assuming
the deal is able to reinvest, to have a performing par and
principal proceeds balance of $423.6 million, defaulted par of
$4.9 million, a weighted average default probability of 20.40%
(implying a WARF of 2694), a weighted average recovery rate upon
default of 47.4%, and a diversity score of 55. 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.
Greens Creek Funding Ltd., issued in May of 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
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.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2117)
Class A-1: 0
Class A-2: +2
Class B: +2
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3013)
Class A-1: -1
Class A-2: -2
Class B: -2
Class C: -1
Class D: 0
Sources of additional performance uncertainties are:
1) Currently, a substantial proportion of the portfolio is held in
cash due to high prepayment levels in the loan market and the
static nature of the deal. While Moody's expects reinvesting has a
material likelihood of resuming, such a case is subject to
significant uncertainty relating to the composition of the new
asset pool. In its analysis, Moody's assumed that the cash would
be reinvested in primarily senior secured loans. The deal is also
impacted by the timing and pace of reinvesting.
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. 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.
GREENWICH CAPITAL: S&P Lowers Ratings on Class F Certs. to 'CCC+'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
commercial mortgage pass-through certificates from Greenwich
Capital Commercial Funding Corp. 2006-GG7, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "In addition, we
affirmed our ratings on five other classes 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 downgrades also reflect
credit support erosion that we anticipate will occur upon the
eventual resolution of 16 ($252.5 million, 8.1%) of the 17
specially serviced assets ($279.8 million, 9.0%), and our concerns
with one additional loan ($5.9 million, 0.2%) that we determined
to be credit-impaired. We also considered the monthly interest
shortfalls that are affecting the trust and the potential
additional interest shortfalls associated with the specially
serviced assets," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.17x and a loan-to-value
(LTV) ratio of 124.7%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 0.77x
and an LTV ratio of 171.0%. The implied defaults and loss severity
under the 'AAA' scenario were 95.5% and 45.3%. The DSC and LTV
calculations noted above exclude 16 ($252.5 million, 8.1%) of
the transaction's 17 ($279.8 million, 9.0%) specially serviced
assets and one loan ($5.9 million, 0.2%) that we determined to be
credit-impaired. We separately estimated losses for the 16
excluded specially serviced assets and the credit-impaired loan
and included them in our 'AAA' scenario implied default and loss
severity figures," S&P said.
"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 X interest-only (IO) certificate based
on our current criteria," S&P said.
Credit Concerns
17 assets ($279.8 million, 9.0%) in the pool are with the special
servicer, LNR Partners Inc. (LNR). The reported payment status of
the specially serviced assets is: six are real estate owned (REO)
($63.6 million, 2.0%); three are in foreclosure ($14.3 million,
0.5%); four are matured nonperforming ($101.0 million, 3.2%); one
is 90-plus-days delinquent ($18.5 million, 0.6%); one is 60-days
delinquent ($44.5 million, 1.4%); one is 30-days delinquent
($10.6 million, 0.3%); and one is in its grace period
($27.2 million, 0.9%). Fourteen of the specially serviced
assets have appraisal reduction amounts (ARAs) in effect,
totaling $80.5 million. Details of the two largest specially
serviced assets are:
The Mount Kemble Corporate Center loan ($44.5 million, 1.4%), is
the largest asset with the special servicer. The loan is secured
by a 227,860-sq.-ft. office center in Morristown, N.J., built in
2000. The loan was transferred to the special servicer on Feb. 4,
2011, due to imminent default. The loan's reported payment status
is 60-days delinquent. The special servicer stated that it is
proceeding with foreclosure. "We expect a significant loss upon
the eventual resolution of the asset," S&P said.
"The Citadel Crossing loan ($31.4 million, 1.0%) is secured by a
492,052-sq.-ft. retail property in Colorado Springs, Colo. The
loan was transferred to the special servicer on Nov. 29, 2007,
due to delinquent payments. A forbearance agreement was entered
into on Sept. 6, 2011, with an expiration date of April 6, 2013,
during which time the borrower will be required to pay down the
principal balance of the note along with any interest accrued. An
$8.2 million ARA is in effect for this asset. We expect a moderate
loss upon the eventual resolution of the asset," S&P related.
"The remaining 15 assets with the special servicer
($203.9 million, 6.5%) have balances that individually
represent less than 1.0% of the total pool balance. ARAs
totaling $72.2 million are in effect against 13 of these
assets. We estimated losses for 14 of the 15 assets,
arriving at a weighted-average loss severity of 45.7%.
We did not estimate a loss for the remaining loan, which
was recently transferred to the special servicer," S&P
said.
"In addition to the specially serviced assets, we determined the
Balmoral Centre loan ($5.9 million, 0.2%) to be credit-impaired.
The loan is secured by a 46,001-sq.-ft. office property in Royal
Oak, Mich. The loan is on the master servicer's watchlist due to
low reported DSC, which was 0.49x as of Dec. 31, 2010. Given the
weak reported financial information, we view this loan to be
at an increased risk of default and loss," S&P said.
Transaction Summary
"As of the Dec. 12, 2011 trustee remittance report, the
transaction had an aggregate trust balance of $3.12 billion
(115 loans and six REO assets), compared with $3.61 billion
(134 loans) at issuance. Midland Loans Services Inc. (Midland),
the master servicer, provided financial information for 95.9%
of the pool (by balance), which was primarily full-year 2010
information. We calculated a weighted-average DSC of 1.52x for the
loans in the pool based on the reported figures. Our adjusted DSC
and LTV were 1.17x and 124.7%, which exclude 16 ($252.5 million,
8.1%) of the transaction's 17 ($279.8 million, 9.0%) specially
serviced assets and one loan ($5.9 million, 0.2%) that we
determined to be credit-impaired. To date, the trust has
experienced principal losses totaling $127.7 million on 12
assets. Twenty-two assets ($495.2 million, 15.9%) are on the
master servicer's watchlist, including one of the top 10 loans.
Eighteen loans ($486.5 million, 15.6%) have reported DSC between
1.00x and 1.10x. Fourteen loans ($191.1 million, 6.1%) have
reported DSC below 1.00x," S&P said.
Summary of The Top 10 Loans
"The top 10 loans have an aggregate outstanding trust balance of
$1.52 billion (48.7%). Using servicer-reported information, we
calculated a weighted-average DSC of 1.73x for the top 10 loans.
Our adjusted DSC and LTV figures for the top 10 loans were 1.04x
and 140.4%. The fourth-largest loan in the pool, 350 Madison
Avenue ($180.0 million, 5.8%), is on the master servicer's
watchlist. The property is secured by a 383,927-sq.-ft. office and
retail property in midtown Manhattan. The loan is on the watchlist
due to low reported DSC, which was 1.08x as of Sept. 30, 2011. The
reported occupancy at the property was 76.9% as of the same
period," S&P said.
"Standard & Poor's stressed the pool collateral according to our
criteria and the resultant credit enhancement levels are
consistent with our lowered and affirmed ratings," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
Greenwich Capital Commercial Funding Corp. 2006-GG7
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-4 A- (sf) A+ (sf) 30.62
A-1-A A- (sf) A+ (sf) 30.62
A-M BB+ (sf) BBB (sf) 19.05
A-J B+ (sf) BB (sf) 10.66
B B+ (sf) BB (sf) 9.79
C B (sf) BB- (sf) 8.06
D B- (sf) B+ (sf) 7.19
E B- (sf) B+ (sf) 6.47
F CCC+ (sf) B- (sf) 5.02
Ratings Affirmed
Greenwich Capital Commercial Funding Corp. 2006-GG7
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 30.62
A-3 AAA (sf) 30.62
A-AB AAA (sf) 30.62
G CCC- (sf) 4.01
X AAA (sf) N/A
N/A -- Not applicable.
GS MORTGAGE: S&P Lowers Rating on Class D Certificates to 'B'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from GS
Mortgage Securities Trust 2006-GG6, a U.S. commercial mortgage-
backed securities (CMBS) transaction. "Concurrently, we affirmed
our ratings on 10 other classes from the same transaction," S&P
said.
"Our rating actions primarily reflect our analysis of the
transaction using our U.S. CMBS conduit/fusion criteria. Our
analysis included a review of the credit characteristics of all of
the remaining assets in the pool, the transaction structure, and
the liquidity available to the trust. Furthermore, the downgrades
reflect credit support erosion we anticipate will occur upon
the eventual resolution of 18 ($518.5 million, 15.9%) of the
transaction's 22 ($640.8 million, 20.1%) specially serviced assets
and three loans ($54.3 million, 1.7%) that we determined to be
credit-impaired. The rating actions also reflect the monthly
interest shortfalls that are affecting the trust," S&P said.
"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)' ratings on the classes X-C and X-P interest-only (IO)
certificates based on our current criteria," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.35x and a loan-to-value
(LTV) ratio of 115.2%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 0.80x
and an LTV ratio of 157.6%. The implied defaults and loss severity
under the 'AAA' scenario were 91.6% and 39.8%. The DSC and LTV
calculations noted above exclude 18 ($518.5 million, 15.9%) of
the transaction's 22 ($640.8 million, 20.1%) specially serviced
assets, and three loans ($54.3 million, 1.7%) that we determined
to be credit-impaired," S&P said.
"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 Dec. 12, 2011 trustee remittance report, the trust
experienced monthly interest shortfalls totaling $833,370
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts of $432,711, interest reduction due to rate
modifications of $327,772, and special servicing fees of $207,967.
The interest shortfalls affected all classes subordinate to and
including class G.
Credit Considerations
As of the Dec. 12, 2011, trustee remittance report, 22
($640.8 million, 20.1%) assets in the pool were with the special
servicer, Torchlight Loan Services LLC (Torchlight). The payment
status of the specially serviced assets is: one is real estate
owned (REO) ($14.7 million, 0.5%), six ($69.9 million, 2.2%)
are in foreclosure, 13 ($164.0 million, 5.1%) are 90-plus-days
delinquent, one ($34.5 million, 1.1%) is 60 days delinquent,
and one ($7.3 million, 0.2%) is 30 days delinquent. Appraisal
reduction amounts (ARAs) totaling $139.2 million are in effect
for 19 of the specially serviced assets.
Details of the three largest specially serviced assets, all of
which are top 10 loans, are:
The Windsor Capital Embassy Portfolio loan ($174.4 million,
5.4%) is the third-largest loan in the pool and the largest
specially serviced asset. The loan has a total reported exposure
of $178.2 million. The loan is currently secured by the fee
interests in eight hotels totaling 1,906 rooms located in six
different states. The loan is a matured balloon loan and was
transferred to the special servicer on Oct. 12, 2010, due to
imminent maturity default. For year-end 2009, the reported
combined DSC and occupancy were 1.14x and 68.2%. "We expect a
significant loss upon the eventual resolution of this loan," S&P
said.
The Hughes Airport Center Portfolio loan ($79.7 million, 2.5%)
is the seventh-largest loan in the pool and second-largest
specially serviced asset. The loan has a total reported exposure
of $80.2 million. The loan is secured by a portfolio of 14
industrial properties totaling 703.6 thousand sq. ft. in Las
Vegas. The loan was transferred to the special servicer on Dec. 7,
2010, due to imminent maturity default. The loan's reported
payment status is classified as matured balloon. The reported DSC
was 1.24x as of June 2010, and occupancy was 72.7% as of June
2011. According to Torchlight, various workout strategies are
currently being evaluated, including but not limited to a loan
modification. An ARA of $4.6 million is in effect against this
loan. "We expect
a significant loss upon the eventual resolution of this loan," S&P
said.
The Met Park East loan ($77.7 million, 2.4%) is the ninth-largest
loan in the pool and third-largest specially serviced asset. The
loan is secured by a 363,243-sq.-ft. office building in Seattle,
Wa. The loan was transferred to special servicing on Nov. 6, 2010,
due to imminent default. The loan's reported payment status is
classified as late less than 30 days. The special servicer stated
that a modification agreement has been executed, which includes
some principal paydown and an extension of the maturity date to
Nov. 6, 2015. An ARA of $9.5 million is in effect against the
loan.
"The remaining 19 specially serviced assets have balances that
individually represent less than 2.1% of the total pool balance.
ARAs totaling $125.0 million are in effect against 16 of these
assets. We estimated losses for 15 of these assets, arriving at a
weighted average loss severity of 45.9%. The special servicer
indicated that the remaining loans are posted to be transferred
back to the master servicer," S&P said.
"In addition to the specially serviced assets, we determined three
loans ($54.3 million, 1.7%) to be credit-impaired due to a
reported delinquent payment status or low reported DSC. The three
loans are secured by retail and office properties. The two largest
loans that we determined to be credit-impaired are the Market
Street at DC Ranch (A note) loan ($22.5 million, 0.7%) and the
Market Street at DC Ranch (B note) loan ($24.6 million, 08%). The
loans -- which previously was one loan totaling $47.5 million,
prior to being transferred to the special servicer and
subsequently transferred back to the master servicer as two notes
as part of a modification, are secured by a 240,948-sq.-ft.
retail center in Scottsdale, Az., that is on the master servicer's
watchlist due to low DSC. The reported DSC was 0.22x for year-end
2010," S&P said.
"The third loan we determined to be credit-impaired is the
Southwood Tower loan ($7.3 million, 0.2%). The loan is secured by
a 78,626-sq.-ft. office building in The Woodlands, Texas that is
on the master servicer's watchlist due to low DSC. As of September
2011, the reported DSC and occupancy was 0.88x and 81.2%," S&P
said.
"As a result, we view these loans to be at an increased risk of
default and loss," S&P said.
Transaction Summary
As of the Dec. 12, 2011, trustee remittance report, the total pool
balance was $3.2 billion, which is 81.7% of the pool balance at
issuance. The pool includes 172 loans and one REO asset, down from
188 loans at issuance. The master servicer, Wells Fargo Bank N.A.
(Wells Fargo), provided financial information for 89.7% of the
assets in the pool, the majority of which was full-year 2010 data
(53.4%), with the remainder reflecting partial- or full-year 2009,
2010, or 2011 data.
"We calculated a weighted average DSC of 1.35x for the assets in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.35x and 115.2%. Our adjusted DSC and LTV
figures excluded 18 ($518.5 million, 15.9%) of the transaction's
22 ($640.8 million, 20.1%) specially serviced assets, which have
a weighted average reported DSC of 1.26x, and three loans
($54.3 million, 1.7%) that we determined to be credit-impaired,"
S&P said.
To date, the transaction has experienced $78.6 million in
principal losses in connection with nine assets. Sixty-one loans
($725.3 million, 22.7%) in the pool are on the master servicers'
combined watchlist. Forty-two loans ($500.1 million, 15.7%)
have a reported DSC of less than 1.10x, including 27 loans
($248.7 million, 7.8%) with a reported DSC of less than 1.00x.
Summary of Top 10 Loans
"The top 10 loans have an aggregate outstanding balance of
$1.3 billion (40.0%). Using servicer-reported numbers, we
calculated a weighted average DSC of 1.38x for the top 10 loans.
Our adjusted DSC and LTV ratio for the top 10 loans were 1.37x and
116.1%. Three of the top 10 loans ($331.8 million, 10.4%) are with
the special servicer. In addition, one ($72.1 million, 2.2%) of
the top 10 loans appears on the master servicers combined
watchlist," S&P said.
The Millennium in Midtown loan ($72.1 million, 2.2%) is the 10th-
largest loan in the pool and the largest loan on the master
servicers' combined watchlist. The loan is secured by a 410,624-
sq.-ft. office building in Atlanta. The loan appears on the master
servicers' combined watchlist due to lease rollover and pending
leasing expenses. The reported DSC was 1.94x for year-end 2010,
and occupancy was 96.1% as of March 2010.
"Standard & Poor's stressed the assets in the pool according to
its current criteria. The resultant credit enhancement levels are
consistent with our rating actions," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
GS Mortgage Securities Trust 2006-GG6
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-J BB- (sf) BB+ (sf) 12.84
B B+ (sf) BB (sf) 12.22
C B+ (sf) BB- (sf) 10.69
D B (sf) B+ (sf) 9.47
Ratings Affirmed
GS Mortgage Securities Trust 2006-GG6
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 34.26
A-3 AAA (sf) 34.26
A-AB AAA (sf) 34.26
A-4 AA- (sf) 34.26
A-1A AA- (sf) 34.26
A-M BBB+ (sf) 22.02
E B- (sf) 8.55
F CCC- (sf) 7.17
X-C AAA (sf) N/A
X-P AAA (sf) N/A
N/A -- Not applicable.
HARBOURVIEW CDO: Moody's Withdraws 'C' Rating of Class D Notes
--------------------------------------------------------------
Moody's withdraws the ratings of $15.7 million CLO notes issued by
Harbourview CDO II, Limited.
US$21,600,000 Class D Subordinated Secured Fixed Rate Notes due
2012 (current outstanding balance of $15,679,963), Withdrawn (sf);
previously on September 12, 2003 Downgraded to C (sf).
RATINGS RATIONALE
Moody's has withdrawn the rating for its own business reasons.
HARLEY-DAVIDSON MOTORCYLE: S&P Raises 2008-1 C Rating From 'BB+'
----------------------------------------------------------------
Standard & Poor's Ratings Services took various rating actions on
nine series of asset-backed securities issued by Harley Davidson
Motorcycle Trusts (HDMTs) between 2007 and 2011.
"We raised our long-term ratings on eight classes from four series
and affirmed our long-term ratings on 21 classes from nine series.
In addition, we placed the ratings on two classes from series
2010-1 on CreditWatch with positive implications," S&P said.
"The rating actions reflect each transaction's collateral
performance to date, our views regarding future collateral
performance, the structure of each transaction, and the respective
credit enhancement levels. In addition, our analysis incorporates
secondary credit factors, such as credit stability and payment
priorities, under various scenarios," S&P said.
"The upgrades and affirmations reflect growth in credit support,
as a percent of the amortizing pool balances, and our revised
expectations for lower remaining losses. For each series, the
upgraded or affirmed classes were able to withstand cash flow
stress scenarios at their respective rating levels using our
revised lifetime loss expectations," S&P said.
"Collateral performance for each transaction has improved
significantly in the past few years and we are revising our loss
expectations downward to reflect that improvement (see table 1).
Specifically, the late-2009 transactions (series 2009-3 and 2009-
4) are performing much better than older vintage transactions.
A lower frequency of defaulted loans combined with higher
recoveries has resulted in lower net losses. We believe a
stronger macroeconomic environment coupled with a stronger
collateral mix in the more recent transactions support lower
loss expectations," S&P said.
Table 1
Collateral Performance (%)
As of November 2011 distribution
Series Mo. Pool Current Current Former Revised
factor CRR CNL lifetime lifetime
CNL exp. CNL exp.
2007-2 54 12.73 56.09 6.13 7.00-7.50 6.30-6.50
2007-3 51 14.07 55.81 5.45 6.35-6.85 5.65-5.85
2008-1 45 17.16 55.43 5.02 6.35-6.85 5.30-5.50
2009-1 30 35.83 55.27 4.06 7.00-7.25 5.25-5.45
2009-2 28 39.23 55.06 3.67 7.00-7.25 5.00-5.20
2009-3 25 38.65 56.20 2.27 7.15-7.30 3.60-3.80
2009-4 23 40.37 58.26 1.59 7.15-7.30 2.90-3.10
2010-1 12 67.02 55.30 0.69 6.50-6.75 N/A
2011-1 3 90.20 51.28 0.02 4.75-5.00 N/A
CRR -- Cumulative recovery rate. CNL -- Cumulative net loss.
Each transaction has a sequential principal payment structure,
which pays principal to the senior classes of notes in full before
the subordinate classes receive any principal. The issuer
initially structured each series with credit enhancement in the
form of subordination for class A (and class B in all but series
2009-1, 2009-2, and 2009-3 because they only issued senior debt),
a reserve account, and excess spread. In addition, series 2007-3
was structured with a yield supplement account to cover interest
payments on lower-yielding loans.
The reserve accounts for HDMT series 2007-2 and 2007-3 were funded
initially with 0.25% of the initial collateral balance and were
structured to grow to a target of 1.5% of the current collateral
balance. The reserve account for series 2008-1 was also funded
initially with 0.25% of the initial collateral balance, but it was
structured to grow to 2.25% of the current collateral balance,
with a floor of 1.0% of the initial note balance.
The reserve accounts for HDMT series 2009-1, 2009-2, 2009-3, 2009-
4, 2010-1, and 2011-1 were funded initially with 1.0% of the
initial collateral balance and structured to grow to a target of
2.7% of the current collateral balance, with a floor of 1.0% of
the initial notes and certificate balance for series 2009-1, 2009-
3, 2009-4, and 2010-1; 1.0% of the initial note balance for
series 2009-2; and 1.0% of the initial collateral balance for
series 2011-1.
Each deal is also structured with three performance triggers --
average (net) loss, average delinquency, and cumulative net loss -
- that, if breached, require additional trapping of excess spread,
up to 6.0% of the current collateral balance benefitting the
transaction (see table 2). If at any point pool performance
improves below the trigger levels for three consecutive months
such that the breach of the triggers is cured, the transaction
documents allow for all cash above and beyond the required reserve
target to be released back to the seller.
Table 2
Performance Trigger Information
As of November 2011 distribution
Series Initial Initial Average CNL Average Current
deposit target net loss trigger delinq. required
(%) (% of trigger violated trigger reserve
current) violated violated account
(%)
2007-2 0.25(iii) 1.5(ii) No Yes No 1.0(i)
2007-3 0.25(iii) 1.5(ii) No Yes No 1.0(i)
2008-1 0.25)iii) 2.25(ii) No Yes No 6.0(ii)
2009-1 1.0(iv) 2.7(ii) No No No 2.7(ii)
2009-2 1.0(iv) 2.7(ii) No No No 2.7(ii)
2009-3 1.0(iv) 2.7(ii) No No No 2.7(ii)
2009-4 1.0(iv) 2.7(ii) No No No 2.7(ii)
2010-1 1.0(iv) 2.7(ii) No No No 1.0(iv)
2011-1 1.0(iii) 2.7(ii) No No No 2.7(ii)
(i)Percent of initial aggregate principal balance of the notes.
(ii)Percent of the current principal balance of the contracts.
(iii)Percent of the initial principal balance of the contracts.
(iv)Percent of the initial principal amount of the notes and
certificates.
"As of the November 2011 distribution date, for transactions
issued in 2007 and 2008, cumulative net losses are above the
highest trigger threshold and, thus, we do not expect these
triggers to be cured. As such, the reserve accounts are at their
floor and will continue to grow as a percentage of the amortizing
pool balance," S&P said.
"The 2009, 2010, and 2011 transactions are currently not in breach
of any performance triggers and we assumed no step-ups in reserve
account when analyzing these transactions. As seen in table 2
above, for series 2007-2, 2007-3, and 2010-1, the reserve floor of
1% is operative because this value exceeds the target of 6% of the
current principal balance of the contracts," S&P said.
"The upgrades and affirmations reflect growth in credit support,
as a percent of the amortizing pool balances, compared with our
expectations for remaining losses (see table 3). For each series,
the upgraded or affirmed classes were able to withstand cash flow
stress scenarios at their rating levels using our revised lifetime
loss expectations," S&P said.
Table 3
Hard Credit Support
As of November 2011 distribution
Series Class Pool Total hard Current total hard
factor credit support credit support
at issuance(i) (% of current)(i)
2007-2 A 12.73 9.50 80.55
2007-2 B 12.73 3.00 29.47
2007-2 C 12.73 0.25 7.86
2007-3 A 14.07 9.50 72.88
2007-3 B 14.07 3.00 26.66
2007-3 C 14.07 0.25 7.11
2008-1 A 17.16 10.25 64.59
2008-1 B 17.16 3.25 23.81
2008-1 C 17.16 0.25 6.33
2009-1 A 35.83 23.00 64.19
2009-2 A 39.23 23.00 58.79
2009-3 A 38.65 23.00 59.62
2009-4 A 40.37 23.80 59.18
2009-4 B 40.37 20.30 50.51
2009-4 C 40.37 14.15 35.28
2010-1 A 67.02 20.85 32.32
2010-1 B 67.02 17.00 26.58
2010-1 C 67.02 11.55 18.44
2011-1 A 90.20 14.80 17.43
2011-1 B 90.20 10.50 10.96
2011-1 C 90.20 6.30 8.58
(i)Consists of a reserve account and subordination, and excludes
excess spread and a yield supplement account that can also provide
additional enhancement.
"We incorporated our cash flow analysis in the review of each
series, which included current and historical performance to
estimate future performance. The various cash flow scenarios
included forward-looking assumptions on recoveries, the timing of
losses, and voluntary absolute prepayment speeds that we believe
are appropriate given each transaction's current performance.
The results demonstrated, in our view, that all of the classes
from the transactions we reviewed have adequate credit enhancement
at their rating levels," S&P said.
"We will continue to monitor the performance of all of the
outstanding HDMT transactions to ensure that the credit
enhancement remains sufficient, in our view, to cover our revised
cumulative net loss expectations under our stress scenarios for
each of the rated classes. For series 2010-1, we will continue
to gather information we deem necessary to resolve the CreditWatch
placement in the next few months," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Raised
Harley-Davidson Motorcycle Trust
Rating
Series Class To From
2007-2 B AA+ (sf) AA- (sf)
2007-2 C AA (sf) BBB (sf)
2007-3 B AA+ (sf) AA- (sf)
2007-3 C AA (sf) BBB (sf)
2008-1 B AA+ (sf) A- (sf)
2008-1 C AA (sf) BB+ (sf)
2009-4 B AA+ (sf) AA (sf)
2009-4 C AA (sf) A (sf)
Ratings Placed On Creditwatch Positive
Harley-Davidson Motorcycle Trust
Rating
Series Class To From
2010-1 B AA (sf)/Watch Pos AA (sf)
2010-1 C A (sf)/Watch Pos A (sf)
Ratings Affirmed
Harley-Davidson Motorcycle Trust
Series Class Rating
2007-2 A-4 AAA (sf)
2007-3 A-4 AAA (sf)
2008-1 A-4 AAA (sf)
2009-1 A-3 AAA (sf)
2009-1 A-4 AAA (sf)
2009-2 A-3 AAA (sf)
2009-2 A-4 AAA (sf)
2009-3 A-3 AAA (sf)
2009-3 A-4 AAA (sf)
2009-4 A-3 AAA (sf)
2009-4 A-4 AAA (sf)
2010-1 A-2 AAA (sf)
2010-1 A-3 AAA (sf)
2010-1 A-4 AAA (sf)
2011-1 A-1 A-1+ (sf)
2011-1 A-2a AAA (sf)
2011-1 A-2b AAA (sf)
2011-1 A-3 AAA (sf)
2011-1 A-4 AAA (sf)
2011-1 B AA (sf)
2011-1 C A (sf)
HEDGED MUTUAL 2005-1: S&P Puts 'BB-' 2007-1 Note Rating on Watch
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'BBB (sf)' rating on
the notes from Hedged Mutual Fund Fee Trust 2005-1 on CreditWatch
with positive implications. "At the same time, we placed our 'BB-
(sf)' rating on the notes from Hedged Mutual Fund Fee Trust
2007-1 on CreditWatch with negative implications," S&P said.
The cash flow for these transactions comes from securitized mutual
fund 12b-1 fees and contingent deferred sales charges (CDSCs),
both of which are generally sensitive to fluctuations in the net
asset value (NAV) of each associated mutual fund.
The positive CreditWatch placement of the rating on the notes from
series 2005-1 reflects strong performance projections, including
loss frequency and loss severity, as well as the likelihood that
the notes will be fully redeemed in 2012. The 2005-1 series has
been paying on average $1.04 million in principal each month and
has an outstanding balance of $3.25 million.
"The negative CreditWatch placement of the rating on the notes
from series 2007-1 reflects our view of the continued
deterioration of several key performance indicators, such as the
increase in the loss frequency. This series has a principal pool
factor of 22.9%, which is behind the pace that the base-case
amortization schedule assumed at issuance. The slower amortization
can be attributed to several factors, including an early decrease
in NAVs of the underlying mutual funds the fees are based on and
the delay in the receipt of residuals from Hedged Mutual Fund
Fee Trust transactions issued in 2003. The series 2007-1
securitization was structured with a reliance on the residuals
from the 2003-1 and 2003-2 trust receivables. Since the 2003-1
and 2003-2 trusts amortized more slowly than initially projected
because of market volatility and declining NAVs, the subsequent
receivables were passed on to the 2007-1 trust later than
anticipated. This yielded a smaller percentage of fees and
slowed the amortization schedule of series 2007-1," S&P said.
"Standard & Poor's expects to resolve the CreditWatch placements
within the next three months after we conduct a more detailed
review, and we may take further rating actions as appropriate,"
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at
http://standardandpoorsdisclosure-17g7.com
CreditWatch Actions
Hedged Mutual Fund Fee Trust 2005-1
Rating
Class To From
2005-1 Fltg BBB (sf)/Watch Pos BBB (sf)
Hedged Mutual Fund Fee Trust 2007-1
Rating
Class To From
2007-1 BB- (sf)/Watch Neg BB- (sf)
HELIOS FINANCE: Fitch Affirms Junk Rating on Two Note Classes
-------------------------------------------------------------
Fitch Ratings has affirmed seven classes of asset-backed notes of
HELIOS Finance Limited Partnership 2007-S1 (2007-S1).
The ratings are based on available credit enhancement and loss
performance. Although cumulative net losses have exceeded Fitch's
initial base case expectations, credit enhancement levels have
continued to increase since the last review due to stabilizing
loss pace and the continuing delevering of the transaction. As
such, under the credit enhancement structure, the securities are
able to withstand stress scenarios consistent with the current
ratings and make full payments to investors in accordance with the
terms of the documents.
Fitch has affirmed the ratings and Outlooks on these tranches:
-- Class A-1 at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class A-3 at 'AAAsf'; Outlook Stable;
-- Class B-1 at 'AAAsf'; Outlook Stable;
-- Class B-2 at 'Asf'; Outlook Stable;
-- Class B-3 at 'Csf / RE 80%';
-- Class B-4 at 'Csf / RE 0%.
HIGH GRADE: S&P Lowers Rating on Class A-1 Notes to 'CC'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-1 notes from High Grade Structured Credit CDO 2005-1 Ltd., a
collateralized debt obligation (CDO) transaction, to 'CC (sf)'.
The transaction is a structured finance CDO backed substantially
by residential mortgage-backed securities. The deal experienced an
event of default and the note holders voted to accelerate the
notes in March 2009.
The downgraded notes have lower credit support available to
maintain their current rating.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Lowered
High Grade Structured Credit CDO 2005-1 Ltd.
Rating
Class To From
A-1 CC (sf) CCC (sf)
OTHER RATINGS OUTSTANDING
High Grade Structured Credit CDO 2005-1 Ltd.
Class Rating
A-2 D (sf)
B D (sf)
C D (sf)
X D (sf)
HOMETOWN COMMERCIAL: S&P Lowers Class A Certificates Rating to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D (sf)'
on the class A commercial mortgage pass-through certificates from
Hometown Commercial Trust 2006-1, a U.S. commercial mortgage
backed securities (CMBS) transaction.
The downgrade of the class A certificate to 'D (sf)' reflects a $
6,351,276 principal loss to the trust, 7.3%, to the outstanding
beginning principal balance of the trust. The current outstanding
principal balance for class A as of the Dec. 12, 2011, remittance
report is $80,534,509. In addition, the class B certificate also
experienced a principal loss. The current outstanding principal
balance of class B has been reduced to zero. "We previously
downgraded class B to 'D (sf)'," S&P said.
As of the Dec. 12, 2011 remittance report, the collateral
pool consisted of 26 assets with an aggregate trust balance of
$80.5 million, down from 45 assets totaling $149.2 million at
issuance. To date, the trust has experienced losses totaling $20.8
million from nine assets.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
HUDSON STRAITS: Moody's Raises Rating of Class E Notes to 'B1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Hudson Straits CLO 2004, Ltd.:
US$25,250,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due 2016, Upgraded to Aa1(sf); previously on
July 26, 2011 Upgraded to Aa3(sf);
US$23,500,000 Class D-1 Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due 2016, Upgraded to Baa3(sf); previously on
July 26, 2011 Upgraded to Ba1(sf);
US$1,500,000 Class D-2 Fourth Priority Mezzanine Deferrable Fixed
Rate Notes Due 2016, Upgraded to Baa3(sf); previously on July 26,
2011 Upgraded to Ba1(sf);
US$12,100,000 Class E Fifth Priority Mezzanine Deferrable Floating
Rate Notes Due 2016 (current balance of US$9,051,971), Upgraded to
B1 (sf); previously on July 26, 2011 Upgraded to B2(sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the Class A notes and an
increase in the transaction's overcollateralization ratios.
Moody's notes that the Class A Notes have been paid down by
approximately 17% or $19 million since the rating action in
July 2011. Based on the latest trustee report dated December 2011,
the Class A/B, Class C, Class D and Class E Principal Coverage
Tests are reported at 155.98%, 130.34%, 112.10% and 106.69%,
respectively, versus July 2011 levels of 135.59%, 120.75%, 108.94%
and 105.22%.
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
$198 million, defaulted par of $4 million, a weighted average
default probability of 16% (implying a WARF of 2780), a weighted
average recovery rate upon default of 50%, and a diversity score
of 41. 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.
Hudson Straits CLO 2004, Ltd, issued in July 2004, is a
collateralized loan obligation backed primarily by a portfolio
of senior secured loans.
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. 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.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2224)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +1
Class D-1: +2
Class D-2: +2
Class E: +1
Moody's Adjusted WARF + 20% (3336)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -2
Class D-1: -1
Class D-2: -1
Class E: -2
Sources of additional performance uncertainties are:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the 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.
ING IM 2011-1: S&P Affirms 'BB' Rating on Class D Deferrable Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on ING IM
CLO 2011-1 Ltd./ING IM CLO 2011-1 LLC's $368.50 million floating-
rate notes following the transaction's effective date as of
Nov. 10, 2011.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee. (For more information on our criteria and our
analytical tools, see 'Update To Global Methodologies And
Assumptions For Corporate Cash Flow And Synthetic CDOs,' published
Sept. 17, 2009)," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P said.
Ratings Affirmed
ING IM CLO 2011-1 Ltd./ING IM CLO 2011-1 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 260.00
A-2 AA (sf) 38.00
B (deferrable) A (sf) 34.00
C (deferrable) BBB (sf) 20.00
D (deferrable) BB (sf) 16.50
Subordinated NR 41.00
NR -- Not rated.
JP MORGAN: Fitch Downgrade Ratings on 14 Class Certificates
-----------------------------------------------------------
Fitch Ratings downgrades 14 classes of JP Morgan Chase Commercial
Mortgage Securities Corp., series 2006-LDP9 commercial mortgage
pass-through certificates.
The downgrades reflect an increase in Fitch modeled losses across
the pool, which includes assumed losses on loans in special
servicing and on performing loans with declines in performance
indicative of a higher probability of default. Fitch modeled
losses of 14.7% (15.6% cumulative transaction losses which
includes losses realized to date). Fitch expects classes F
through P to be fully depleted by losses on specially serviced
loans and classes E and E-S to be impacted.
As of the December 2011 distribution date, the pool's aggregate
principal balance has been reduced by 7.2% to $4.53 billion from
$4.88 billion at issuance. There are no defeased loans. There
are cumulative interest shortfalls in the amount of $11.9 million
affecting classes E through NR.
The largest contributor to losses is the Belnord loan (7.9%)
secured by a 215 unit residential rental property located in the
Upper West Side neighborhood of New York City. In addition to the
residential rentals, the property also includes 60,514 square feet
(sf) of retail space. The loan is sponsored by Gary Barnett. The
property consists of both rent controlled/stabilized and market
rent units. At issuance, the borrower estimated that units would
be converted from rent controlled/stabilized to market rents
benefiting from the upside in revenue. The New York State Supreme
Court recently ruled that if a property received a J-51 Tax
Abatement from the city, such as the subject, they could not
increase the rents on rent controlled/stabilized units to market
rents. This decision will have a major impact on the borrower's
ability to execute its business plan.
The loan transferred to the special servicer in June 2011 for
imminent default. Workout discussions are ongoing. The year-end
(YE) 2010 debt service coverage ratio (DSCR) and occupancy were
95% and 0.56 times (x) compared to issuance of 98% and 0.47x,
respectively. The loan was structured with a $50 million reserve
for debt service shortfall, of which $12.2 million remains
outstanding. Fitch expects that, at current operating levels, the
debt service reserve is sufficient to cover shortfalls for
approximately one more year.
The second largest contributor to losses is the
Americold Portfolio, which is secured by four cold storage
warehouse/distribution facilities totaling 3,328,621 sf
(51,654,912 cubic feet) located across four states. The
properties are located in Carthage, MO (66% of portfolio NRA);
Fort Worth, TX (14.3% of portfolio NRA); West Point, MS (10.3% of
portfolio NRA) and Garden City, KS (9.5% of portfolio NRA). The
loan is sponsored by Vornado Realty Trust, Crescent Real Estate
Equities and the Yucaipa Companies. The servicer reported DSCR
for YE 2010 and issuance was 0.67x and 1.85x, respectively. The
drop in DSCR is attributed to the loss of a major tenant, Sarah
Lee, who has ceased renting space in the Fort Worth property.
This Fort Worth property has since been closed in an effort to
reduce operating expenses.
The third largest contributor to losses is the Bank of America
Plaza loan which is secured by a 1,253,499 sf class A office
property in Atlanta, GA. The loan transferred to the special
servicer in February 2011 due to imminent default. Workout
discussions continue, hoverer no agreement has yet been reached.
The loan is 60 days delinquent.
The property was 82% occupied as of YE 2009 (the most recent
figure available), compared with approximately 100% at issuance.
Ernst & Young (17% of NRA) vacated upon expiration of its lease in
April 2007. The largest tenant, Bank of America, has indicated
that it will significantly downsize its space to approximately 13%
of NRA from 30% beginning in October 2011. Additionally, the
lease rate on the space will be approximately half of what Bank of
America was previously paying.
Fitch has downgraded these classes as indicated:
-- $318.5 million class A-J to 'CCCsf' from 'Bsf'; RE 60%;
-- $106.3 million class A-JS to 'CCCsf' from 'Bsf'; RE 60%;
-- $22.8 million class C to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $7.6 million class C-S to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $50 million class D to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $16.7 million class D-S to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $40.9 million class E to 'Csf' from 'CCCsf'; RE to 0% from
100%;
-- $13.7 million class E-S to 'Csf' from 'CCCsf'; RE to 0% from
100%;
-- $40.9 million class F to 'Csf' from 'CCCsf'; RE to 0% from
100%;
-- $13.7 million class F-S to 'Csf' from 'CCCsf'; RE to 0% from
100%;
-- $36.4 million class G to 'Csf' from 'CCsf'; RE to 0% from
100%;
-- $12.1 million class G-S to 'Csf' from 'CCsf'; RE to 0% from
100%;
-- $45.5 million class H to 'Csf' from 'CCsf'; RE to 0% from
100%;
-- $15.2 million class H-S to 'Csf' from 'CCsf'; RE to 0% from
60%;
Additionally, Fitch has affirmed these classes and revised
Outlooks and Recovery Estimates:
-- $114.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $364.7 million class A-2S at 'AAAsf'; Outlook Stable;
-- $34 million class A-2SFX at 'AAAsf'; Outlook Stable.
-- $160.4 million class A-2SFL at 'AAAsf'; Outlook Stable;
-- $1,652 million class A-3 at 'AAAsf'; Outlook Stable;
-- $145.3 million class A-3SFL at 'AAAsf'; Outlook Stable;
-- $671.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $364 million class A-M at 'Asf'; Outlook to Negative from
Stable;
-- $121.4 million class A-MS at 'Asf'; Outlook to Negative from
Stable;
-- $72.8 million class B at 'CCCsf'; RE to 0% from 100%;
-- $24.3 million class B-S at 'CCCsf'; RE to 0% from 100%;
-- $18.2 million class J at 'Csf'; RE 0%.
Class NR is not rated by Fitch. Classes K through P have realized
losses and remain at 'Dsf'RE 0%. Classes A-1 and A-1S have paid
in full. Fitch withdrew the ratings of the interest only class X.
JP MORGAN: Fitch Junks Rating on Nine Class Certificates
--------------------------------------------------------
Fitch Ratings has affirmed the super senior classes and downgraded
10 classes of J.P. Morgan Chase Mortgage Securities Trust, Series
2007-LDP12 commercial mortgage pass-through certificates.
The downgrades reflect greater certainty of expected losses on
specially serviced loans following updated valuations obtained by
the servicer. Fitch modeled losses of 14.8% of the remaining
pool. Fitch has designated 35 loans (32.4%) as Fitch Loans of
Concern, which includes 18 specially serviced loans (15.3%).
Fitch expects classes L thru NR may be fully depleted from losses
associated with the specially serviced assets and that class K
will also be affected.
As of the December 2011 distribution date, the pool's
aggregate principal balance has decreased by approximately 2.2% to
$2.4 billion from $2.5 billion at issuance. Interest shortfalls
totaling $7.3 million are affecting classes K through NR.
Two of the largest contributors to loss are two office properties
in Atlanta, GA, that are also amongst the top 15 loans in the
transaction.
The largest contributor to loss (2.7%) is secured by a 438,709
square foot (sf), office building located in Atlanta, GA. The
largest tenants are CitiCorp, Inc. (14%), Club Management
Enterprises (8%), and Nsoro Mastec, LLC (5.6%), with lease
expirations of 2013, 2011, and 2017, respectively. All remaining
tenants in the building occupy less than 10% of net rentable area
(NRA). The property continues to exhibit declining performance
since issuance as a result of tenant vacancies and challenging
market conditions. As of June 30, 2011, the most recent debt
service coverage ratio (DSCR) was 0.63 times (x). The loan
remains current and the most recent servicer reported occupancy
is 71.1% as of June 2011, with average asking rent of $20 per
square foot (psf). Per REIS, as of third quarter 2011 (3Q'11),
the Atlanta market had a vacancy rate of 20.8% with average asking
rent of $21.27 psf.
The second largest contributor to loss (2.6%) is secured by a
415,324 sf, class A, multi-tenant, 18-story office building also
located in Atlanta, GA. Largest tenants are Wells Fargo Bank (8%),
Willis Insurance (4.6%), and Knowledge Development Centers (4.4%).
The remaining tenants occupy 5% NRA or less. The most recent
servicer-reported June 30, 2011 DSCR was 0.57x, a decrease from
0.66x at year-end (YE) 2010 due to free-rent incentives. The
property was 80% occupied as of August 2011, with average asking
rent of $21.62 psf. Per REIS, as of 3Q'11, the Atlanta market had
a vacancy rate of 20.8% with average asking rent of $21.27 psf.
The property has yet to reach stabilization expectations as net
operating income (NOI) has declined since issuance. The loan
remains current with the sponsor, Berwind Properties Group,
covering operating shortfalls.
The third largest contributor to loss (1.3%) is secured by a
189,610 sf anchored retail center located in Edison, NJ. The loan
transferred to special servicing in January 2011 due to imminent
monetary default as a result of the anchor tenant vacating. The
special servicer has rejected a recent modification proposal from
the borrower and filed a foreclosure complaint. In September
2011, the borrower submitted a lease proposal for 22,500 sf of
the vacant 74,000 sf, but the special servicer has not received
sufficient information in order to approve it. The property is
currently approximately 60% occupied.
Fitch downgrades and assigns Recovery Estimates (RE):
-- $197.2 million class A-J to 'B-', RE 65% from 'B'; Outlook
Negative;
-- $21.9 million class B to 'CCC', RE 0% from 'B-';
-- $28.2 million class C to 'CCC', RE 0% from 'B-';
-- $21.9 million class D to 'CCC', RE 0% from 'B-';
-- $12.5 million class E to 'CCC', RE 0% from 'B-';
-- $25 million class F to 'CC', from 'CCC', RE 0% from 100%;
-- $28.2 million class G to 'CC', from 'CCC', RE 0% from 100%;
-- $28.2 million class H to 'CC', from 'CCC', RE 0% from 100%;
-- $28.2 million class J to 'C', from 'CC', RE 0% from 100%;
-- $28.2 million class K to 'C', from 'CC', RE 0% from 95%.
Fitch also affirms these classes and revises Outlooks as
indicated:
-- $441.3 million class A-2 at 'AAA'; Outlook Stable;
-- $346.2 million class A-3 at 'AAA'; Outlook Stable;
-- $601.7 million class A-4 at 'AAA'; Outlook Stable;
-- $53.3 million class A-SB at 'AAA'; Outlook Stable;
-- $282 million class A-1A at 'AAA'; Outlook Stable;
-- $250.5 million class A-M at 'A'; Outlook to Stable from
Negative;
-- $9.4 million class L at 'C', RE 0%;
-- $9.4 million class M at 'C', RE 0%;
-- $6.3 million class N at 'C', RE 0%;
-- $6.3 million class P at 'C', RE 0%;
-- $6.3 million class Q at 'C', RE 0%;
-- $3.1 million class T at 'C', RE 0%.
Fitch does not rate the $14.4 million class NR. Class A-1 has
been paid in full.
JP MORGAN: Fitch Junks Two Subordinate Classes
----------------------------------------------
Fitch Ratings has downgraded two subordinate classes and upgraded
one class of J.P. Morgan Chase Commercial Mortgage Securities
Corp., series 2004-PNC1 commercial mortgage pass-through
certificates.
The downgrades of classes F and G reflect greater certainty of
Fitch expected losses from specially serviced assets which will
reduce credit enhancement to the classes. Fitch modeled losses of
4.32% of the outstanding pool, of which 1.61% are from specially
serviced loans. The expected losses of the original pool are at
5.16%, which includes losses of 4% to date. Current cumulative
interest shortfalls totaling $2,437,144 are affecting classes H
through NR.
As of the November 2011 distribution date, the pool's certificate
balance has paid down 24.21% to $787.7 million from $1 billion.
Fitch has identified 19 (14.6%) Fitch Loans of Concern (LOC), of
which 3 (3.1%) are specially serviced. In addition, there are 16
(26.7%) defeased loans within the pool.
The largest contributor to Fitch expected losses is a loan (0.83%)
secured a by 236 unit apartment building located in Arlington, TX.
The most recent occupancy reported by the Master Servicer is 39.4%
as of June 2011 and the property does not produce sufficient
income to meet its debt service obligations. The loan remains
current and the master servicer continues to monitor performance
of the loan.
The second largest contributor to Fitch expected losses is a loan
(1.12%) collateralized by a 77,952 square feet (sf) suburban
office building located in Phoenix, AZ. The loan transferred to
special servicing in November 2009 for monetary default due to the
loss of the largest tenant. Occupancy has not improved and a
receiver has been appointed. The special servicer is working to
stabilize occupancy before disposing of the asset.
The third largest contributor to Fitch expected losses is a loan
(1.54%) secured by a 172,758-sf grocery anchored retail center
located in Palm Coast, FL. The loan transferred to special
servicing in April 2011 for imminent maturity default. The
borrower was granted a one year extension and is current on debt
service payments. In June 2011 second largest tenant (20.6%),
Beall's, went dark but continues to pay rent through the April
2012 lease maturity. In addition, Blockbuster (3.8%) is vacating
their space in Dec. 2011. The special servicer reports the
property is 57% occupied as of Oct. 2011.
Fitch downgrades these classes and assigns Recovery Estimates
(REs) as indicated:
-- $16.4 million class F to 'CCCsf' from 'B-sf'; RE 100%;
-- $10.9 million class G to 'CCsf' from 'CCCsf'; RE 50%.
Fitch upgrades this class and affirms Outlook as indicated:
-- $13.7 million class C to 'Asf' from 'BBBsf'; Outlook Stable.
Fitch affirms these classes and assigns Recovery Estimates as
indicated:
-- $39.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $426.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $206.5 million class A-1A at 'AAAsf'; Outlook Stable;
-- $28.8 million class B at 'AAsf'; Outlook Stable;
-- $17.8 million class D at 'BBsf'; Outlook Stable;
-- $10.9 million class E at 'Bsf'; Outlook Stable;
-- $16.4 million class H at 'Dsf'; RE 0%.
Fitch does not rate class NR.
Class A-1 and A-2 have paid in full. Classes J, K, L, M, N and P
remain at 'D' with a Recovery Estimate of 0% due to losses
incurred.
Fitch has previously withdrawn the ratings on the interest-only
class X.
JPMCC 2007-LDP11: Moody's Affirms Rating of Cl. A-J Notes at 'B2'
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 24 classes of
J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial
Mortgage Pass-Through Certificates, Series 2007-LDP11:
Cl. A-2, Affirmed at Aaa (sf); previously on Aug 1, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-2FL, Affirmed at Aaa (sf); previously on Aug 1, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Aug 1, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aa2 (sf); previously on May 5, 2010
Downgraded to Aa2 (sf)
Cl. A-SB, Affirmed at Aa2 (sf); previously on May 5, 2010
Downgraded to Aa2 (sf)
Cl. A-1A, Affirmed at Aa2 (sf); previously on May 5, 2010
Downgraded to Aa2 (sf)
Cl. A-M, Affirmed at A3 (sf); previously on May 5, 2010 Downgraded
to A3 (sf)
Cl. A-J, Affirmed at B2 (sf); previously on May 5, 2010 Downgraded
to B2 (sf)
Cl. B, Affirmed at Caa2 (sf); previously on May 5, 2010 Downgraded
to Caa2 (sf)
Cl. C, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded
to Ca (sf)
Cl. D, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded
to Ca (sf)
Cl. E, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded
to Ca (sf)
Cl. F, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded
to Ca (sf)
Cl. G, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. H, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. J, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. K, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. L, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. M, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. N, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. P, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. Q, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. T, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. X, Affirmed at Aaa (sf); previously on Aug 1, 2007 Definitive
Rating Assigned Aaa (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
12.1% of the current balance. At last review, Moody's cumulative
base expected loss was 12.8%. Moody's stressed scenario loss is
30.4% of the current balance. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
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 J.P. Morgan Chase Commercial Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-
LDP11 Class X 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 change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity,
is a primary determinant of pool level diversity and has a
greater impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated April 27, 2011.
DEAL PERFORMANCE
As of the November 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $5.3 billion
from $5.4 billion at securitization. The Certificates are
collateralized by 260 mortgage loans ranging in size from less
than 1% to 6% of the pool, with the top ten loans representing 33%
of the pool.
Seventy-three loans, representing 37% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $18.1 million (52% loss severity
overall). Thirty-three loans, representing 17% of the pool, are
currently in special servicing. The largest specially serviced
loan is the 315 Park Avenue South Loan ($219.0 million -- 4.1% of
the pool), which is secured by a 334,000 square foot (SF) office
building located in New York, New York. The loan was transferred
to special servicing in October 2011 due to the borrower's request
for a discounted payoff. The property was 100% leased as of
September 2011 compared to 85% as of December 2010 and 99% as of
December 2009. The largest tenant is Credit Suisse (81% of the net
rentable area (NRA); lease expiration in April 2017). The special
servicer is discussing workout options with the borrower, but a
final resolution has not been determined. The remaining 32
specially serviced loans are secured by a mix of multifamily,
retail, hotel, office and industrial property types. Most of these
loans are either real estate owned (REO) or in the process of
foreclosure. The master servicer has recognized an aggregate
$210.0 million appraisal reduction for 22 of the specially
serviced loans. Moody's has estimated an aggregate $350.8 million
loss (51% expected loss on average) for the specially serviced
loans.
Moody's has assumed a high default probability for 30 poorly
performing loans representing 16% of the pool and has estimated a
$126.4 million aggregate loss (15% expected loss based on a 50%
probability default) from these troubled loans.
As of the most recent remittance date, the pool has experienced
cumulative interest shortfalls totaling $31.9 million and
affecting Classes H through NR. Moody's anticipates that the
pool will continue to experience interest shortfalls caused
by specially serviced loans. Interest shortfalls are caused
by special servicing fees, including workout and liquidation
fees, appraisal subordinate entitlement reductions (ASERs),
extraordinary trust expenses and non-advancing by the master
servicer based on a determination of non-recoverability.
Moody's was provided with full year 2010 and partial year 2011
operating results for 97% and 86% of the pool's non-specially
serviced loans, respectively. Excluding specially serviced and
troubled loans, Moody's weighted average LTV is 129% compared to
130% at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 10% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 9.4%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.20X and 0.82X, respectively, compared to
1.21X and 0.81X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 60 compared to 61 at Moody's prior review.
The top three performing loans represent 13% of the pool balance.
The largest conduit loan is the GSA Portfolio Loan ($284.0 million
-- 5.3% of the pool), which is secured by nine office properties
located in West Virginia (4 properties), New York (2), Colorado
(1), Pennsylvania (1) and Kansas (1). The portfolio totals
1.1 million square feet (SF) and was 100% leased as of September
2011, essentially the same as last review and securitization. The
loan is interest only for its entire term and matures in 2012.
Although performance has been stable, Moody's is concerned about
near term refinancing risk. The risk is partially mitigated by
a fact that the portfolio is 97% leased to the United States
Government Service Administration. Additionally, 54% of the NRA
expires in 2015 and 2016 and 86% of the NRA expires in 2015 and
beyond. Moody's LTV and stressed DSCR are 134% and 0.71X,
respectively, compared to 132% and 0.72X at last review.
The second largest loan is the Maple Drive Portfolio Loan
($220.0 million -- 4.1% of the pool), which is secured by three
office properties, totaling 584,000 SF, located in Beverly Hills,
California. As of July 2011, the portfolio was 74% leased compared
to 80% at last review and 97% at securitization. The largest
tenant is Fox Interactive Media (28% of the NRA; lease expiration
May 2016). Performance has declined due to the decline in
occupancy. Moody's LTV and stressed DSCR are 145% and 0.65X,
respectively, compared to 138% and 0.69X at last review.
The third largest loan is the 5 Penn Plaza Loan ($203.0 million --
3.8% of the pool), which is secured by a 657,000 SF office
building located in New York, New York. The property was 98%
leased as of July 2011, compared to 99% as of December 2010 and
98% as of December 2009. Performance is stable. Moody's LTV and
stressed DSCR are 126% and 0.75X, respectively, compared to 121%
and 0.78X at last review.
JPMORGAN CHASE: S&P Lowers Class J Cert. Rating to 'D'
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
pooled classes of commercial mortgage pass-through certificates
from JPMorgan Chase Commercial Mortgage Securities Corp.'s series
2002-C2, a U.S. commercial mortgage-backed securities (CMBS)
transaction. "In addition, we lowered our ratings on two 'SP'
raked (nonpooled) certificates to 'D'. Finally, we affirmed our
ratings on six other pooled classes from the same transaction and
removed four of these ratings from CreditWatch with negative
implications," S&P said.
"Our rating actions on the pooled certificates primarily reflect
our analysis of the transaction using our U.S. CMBS conduit/
fusion criteria. Our analysis included a review of the credit
characteristics of the remaining assets in the pool, the
transaction structure, and the liquidity available to the trust,"
S&P said.
"The downgrades on the pooled certificates reflect credit support
erosion that we anticipate will occur upon the eventual resolution
of the five assets ($66.6 million, 9.8%) currently with the
special servicer. We also considered monthly interest shortfalls
affecting the trust and the potential for additional interest
shortfalls due to revised appraisal reduction amounts (ARAs) and
additional trust-related expenses on the specially serviced
assets. We lowered our rating on class J to 'D (sf)' because we
believe the accumulated interest shortfalls will remain
outstanding for the foreseeable future. In addition, our analysis
considered the transaction's near-term maturities. By balance,
87.7% of the loans are scheduled to mature by the end of 2012
(after excluding the 20 fully or partially defeased loans
{$316.9 million, 46.6%} and four specially serviced assets
{$66.6 million, 9.8%})," S&P said.
"Our analysis also reflects our application of our
'U.S. Government Support In Structured Finance And Public
Finance Ratings' criteria document, published on Sept. 19,
2011, on RatingsDirect on the Global Credit Portal at
www.globalcreditportal.com. We placed our ratings on the
class B, C, D, and E certificates on CreditWatch with
negative implications on July 15, 2011, after we placed
our U.S. sovereign long-term rating on CreditWatch negative.
As of the Dec. 12, 2011, trustee remittance report, 46.6%
of the pooled trust balance consisted of defeased collateral,"
S&P said.
"The affirmed ratings on the pooled 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 X-1 interest-only (IO) certificate
based on our current criteria," S&P said.
"The lowered ratings to 'D (sf)' on the class SP-1 and SP-2 raked
(nonpooled) certificates follow our analysis of the Simon
Portfolio II asset, the largest asset in the pool ($41.1 million,
pooled portion {6.0%}; $6.3 million nonpooled portion) and because
we believe the accumulated interest shortfalls will remain
outstanding for the foreseeable future. Classes SP-1 and SP-2 have
accumulated interest shortfalls outstanding for three months. The
raked certificates derive 100% of their cash flows from the
subordinate, nonpooled portion of the asset. The analysis of
the ratings on the raked certificates was consistent with the
rating approach outlined in the 'Approach' section of the J.P.
Morgan Chase Commercial Mortgage Securities Trust 2011-FL1 Presale
Report, published Nov. 8, 2011," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.30x and a loan-to-value
(LTV) ratio of 80.6% for the pool. We further stressed the loans'
cash flows under our 'AAA' scenario to yield a weighted average
DSC of 1.12x and a LTV ratio of 99.3%. The implied defaults and
loss severity under the 'AAA' scenario were 28.4% and 30.3%,
respectively. The DSC and LTV calculations noted exclude four
($66.6 million, 9.8%) specially serviced assets, and 20 fully or
partially defeased loans ($316.9 million, 46.6%). We separately
estimated losses for the four excluded specially serviced assets
and included them in our 'AAA' scenario implied default and loss
severity figures," S&P said.
"As of the Dec. 12, 2011 trustee remittance report, the pooled
certificates experienced monthly interest shortfalls totaling
$113,070 due primarily to interest not advanced of $145,973, an
appraisal subordinate entitlement reduction (ASER) of $94,588, and
special servicing and workout fees of $16,283. The interest
shortfalls were reduced this month by principal loss on class SP-3
of $105,592. The interest shortfalls have affected all classes
subordinate to and including class J. Class J has had accumulated
interest shortfalls outstanding for eight consecutive months, and
we expect these interest shortfalls to continue for the
foreseeable future. Consequently, we lowered our rating on class J
to 'D (sf)'," S&P said.
Credit Considerations
As of the Dec. 12, 2011 trustee remittance report, four
($66.6 million, 9.8%) assets in the pool were with the special
servicer, C-III Asset Management LLC (C-III). The reported payment
status of the specially serviced assets as of the December 2011
trustee remittance report is: two ($59.9 million, 8.8%) are real
estate owned (REO), one ($1.3 million, 0.2%) is 90-plus-days
delinquent, and one ($5.4 million, 0.8%) is a matured balloon
loan. ARAs totaling $33.9 million are in effect for three of the
specially serviced assets.
The Simon Portfolio II is the largest asset in the pool and the
largest asset with the special servicer. The loan has a current
whole loan balance of $47.4 million, which consists of senior
pooled balance of $41.1 million (6.0%) and a $6.3 million
subordinate, nonpooled component that provides 100% of the cash
flow to the class "SP" certificates. The asset has a total
reported trust exposure of $49.6 million. According to the special
servicer, two properties have been released since issuance. The
asset consists of a three-story enclosed regional mall known as
the "Century III Mall in West Mifflin, Penn., built in 1979 and
renovated in 1997. The loan was transferred to the special
servicer Jan. 13, 2011, for imminent default and became REO on
Sept. 1, 2011. C-III indicated that a third-party property manager
is currently managing the property. An ARA of $19.1 million is in
effect against the asset. "Our adjusted valuation yielded a whole-
loan LTV of 148.7% based on the most recent available valuation.
The 'SP' raked certificates have accumulated interest shortfalls
outstanding for three consecutive months and we believe that the
accumulated interest shortfalls will remain outstanding for the
foreseeable future. Consequently, we lowered our ratings to 'D
(sf)' on the SP-1 and SP-2 certificates. The rating on the class
SP-3 certificate was previously lowered to 'D (sf)'. We expect a
moderate loss on the pooled trust balance upon the eventual
resolution of this asset," S&P said.
The Circuit City Distribution Center is the second-largest asset
in the pool ($18.8 million; 2.8%) and consists of a 1.1 million-
sq.-ft. warehouse facility in Marion, Ill., built in 2000. The
current reported exposure for this asset totals $24.1 million. The
loan was transferred to the special servicer on April 22, 2009,
due to an imminent payment default following Circuit City's
bankruptcy and its subsequent lease rejection as sole tenant at
the property and became REO on May 13, 2010. C-III indicated that
it is marketing the property for sale or lease as it remains 100%
vacant. An ARA of $13.4 million is in effect against the asset.
"We expect a significant loss upon the resolution of this asset,"
S&P said.
The Andover Club Apartments loan ($5.4 million, 0.8%) is secured
by a 186-unit multifamily property in Tampa, Fla. The matured
balloon loan was transferred to the special servicer on Sept. 2,
2009, for payment default and is currently due for the Sept. 1,
2011 debt service payment. The loan matured on Nov. 1, 2011.
According to C-III, the borrower has been disputing property
insurance related issues and is currently negotiating to refinance
the debt. The total reported exposure is $5.6 million and a
$1.4 million ARA is in effect against the loan. "We expect a
moderate loss upon the eventual resolution of this loan," S&P
said.
The Twin Pines MHP loan ($1.3 million, 0.2%) is secured by a 118-
pad manufactured housing property in Warren, Mich. The loan was
transferred to the special servicer on Sept. 27, 2011 because the
borrower was unable to make its debt service payments. The payment
status of the loan was reported as being 90-plus-days delinquent.
The special servicer is currently evaluating various liquidation
strategies. Reported DSC was 0.78x as of year ended Dec. 31, 2010.
"We expect a moderate loss upon the eventual resolution of this
loan," S&P said.
Transaction Summary
As of the Dec. 12, 2011 trustee remittance report, the
transaction had a pooled trust balance of $680.5 million, down
from $1.0 billion at issuance. The pool comprises 83 loans and two
REO assets, down from 108 loans at issuance. There are 19 fully
defeased loans and one partially defeased loan in the trust
($316.9 million, 46.6% of the pooled trust balance). The master
servicer, Wells Fargo Bank N.A., provided financial information
for 90.0% of the nondefeased trust balance, 66.1% of which was
full-year 2010 data.
"We calculated a weighted average DSC of 1.35x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.30x and 80.6%. Our adjusted DSC and LTV
figures exclude four ($66.6 million, 9.8%) specially serviced
assets, and 20 fully or partially defeased loans ($316.9 million,
46.6%). The transaction has experienced $22.1 million in principal
losses from eight assets. Nineteen loans ($103.5 million,
15.2% of the pooled trust balance) are on the master servicer's
watchlist. Ten loans ($61.3 million, 9.0%) have a reported DSC of
less than 1.10x, eight of which ($45.5 million, 6.7%) have a
reported DSC of less than 1.00x," S&P said.
Summary of Top 10 Assets
"The top 10 assets, composed of eight loans secured by real
estate and two REO assets, has an aggregate outstanding pooled
trust balance of $161.9 million (23.8%). Using servicer-reported
numbers, we calculated a weighted average DSC of 1.22x for
eight of the top 10 assets. The remaining two top 10 assets
($59.9 million, 8.8%) are with the special servicer. Our adjusted
DSC and LTV ratio for eight the top 10 assets, excluding the
two top 10 specially serviced assets, were 1.11x and 91.9%,
respectively. Four of the top 10 assets ($54.0 million, 7.9%)
are on the master servicer's watchlist," S&P said.
The West Valley Business Park loan ($15.1 million, 2.2%) is the
third-largest asset secured by real estate in the pool and is
secured by a 205,655-sq.-ft. flex industrial building in Kent,
Wash. The loan is on the master servicer's watchlist due to a low
reported DSC, which was 0.93x for the year-end 2010, and occupancy
was 79.6% according to the September 2011 rent roll.
The Avon Commons loan ($14.3 million, 2.1%) is the fourth-largest
asset in the pool and is secured by a 172,605-sq.-ft. retail
property in Avon, Ind. The loan is on the master servicer's
watchlist because of an upcoming lease expiration for a tenant
that occupies 13.3% of the gross leaseable area. The master
servicer indicated that the borrower is negotiating a lease
renewal with the tenant. The reported DSC and occupancy were 1.06x
and 100% as of year-end 2010.
The Richmond Distribution Center loan ($14.1 million, 2.1%) is the
fifth-largest asset in the pool and is secured by a 425,676-sq.-
ft. industrial property in Richmond, Calif. The loan is on the
master servicer's watchlist due to a low reported occupancy. The
reported DSC and occupancy were 1.16x and 76.0% as of year-end
2010.
The Willowbrook II Shopping Center loan ($10.5 million, 1.5%) is
the 10th-largest asset in the pool and is secured by a 66,547-sq.-
ft. retail property in Houston, Texas. The loan is on the master
servicer's watchlist due to a low reported DSC, which was 0.87x
for the year-end 2010. The reported occupancy was 81.8%, according
to the September 2011 rent roll.
"Standard & Poor's stressed the assets in the pool according to
its current criteria. The resultant credit enhancement levels are
consistent with our lowered and affirmed ratings," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered (Pooled Certificates)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-C2
Rating
Class To From Credit enhancement (%)
F BB- (sf) BBB- (sf) 8.11
G CCC+ (sf) BB- (sf) 6.22
H CCC- (sf) B- (sf) 3.94
J D (sf) CCC- (sf) 2.24
Ratings Lowered (Nonpooled Certificates)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-C2
Rating
Class To From Credit enhancement (%)
SP-1 D (sf) CCC- (sf) N/A
SP-2 D (sf) CCC- (sf) N/A
Ratings Affirmed And Removed From CreditWatch Negative
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-C2
Rating
Class To From Credit enhancement (%)
B AAA (sf) AAA (sf)/Watch Neg 18.71
C AAA (sf) AAA (sf)/Watch Neg 17.20
D AA (sf) AA (sf)/Watch Neg 13.03
E A+ (sf) A+ (sf)/Watch Neg 10.95
Ratings Affirmed
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-C2
Class Rating Credit enhancement (%)
A-2 AAA (sf) 24.77
X-1 AAA (sf) N/A
N/A -- Not applicable.
JWS CBO: Fitch Affirms Rating on $21 Mil. Class D Notes at 'Csf'
----------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed one class of
notes issued by JWS CBO 2000-1, LTD./CORP (JWS CBO):
-- $1,156,037 class C-1 notes upgraded to 'BBBsf' from 'CCCsf',
Outlook Stable;
-- $1,271,641 class C-2 notes upgraded to 'BBBsf' from 'CCCsf',
Outlook Stable;
-- $21,973,057 class D notes affirmed at 'Csf'.
The upgrade of the C-1 and C-2 (Class C) notes is the result of
the significant amortization of the capital structure. Since the
last review in January 2011, the notes have amortized 92.3% of
their original balance and are now fully covered by the principal
collection account balance of the transaction. The class C notes
have become the most senior notes in the structure since the class
B notes paid in full in March 2011.
This review did not utilize Fitch's Global Cash Flow model, which
incorporates interest rate stresses and default timings, given
that seven months remain until maturity and few performing
obligors remain in the portfolio.
The affirmation of the class D notes is due to their significant
undercollateralization. The outstanding balance of the class D
notes greatly exceeds expected proceeds from the $7.8 million
performing portfolio, $6.7 million remaining principal collection
account balance, and minimal recoveries anticipated on
$24.7 million of defaulted assets. As a result, an ultimate
principal shortfall remains inevitable, and is reflected by the
'Csf' rating of the notes.
JWS CBO is a collateralized bond obligation (CBO) managed by
Stonegate Capital Management, L.L.C. (Stonegate) that closed on
July 18, 2000. The transaction is scheduled to mature in July
2012.
KEY 2007-SL1: Moody's Affirms Rating of Cl. C Notes at 'B2'
-----------------------------------------------------------
Moody's affirmed the ratings of 13 classes of Key Commercial
Mortgage Securities Trust 2007-SL1, Commercial Mortgage Pass-
Through Certificates, Series 2007-SL1:
Cl. A-1, Affirmed at A3 (sf); previously on Mar 18, 2010
Downgraded to A3 (sf)
Cl. A-2, Affirmed at A3 (sf); previously on Mar 18, 2010
Downgraded to A3 (sf)
Cl. A-1A, Affirmed at A3 (sf); previously on Mar 18, 2010
Downgraded to A3 (sf)
Cl. B, Affirmed at Baa3 (sf); previously on Mar 18, 2010
Downgraded to Baa3 (sf)
Cl. C, Affirmed at B2 (sf); previously on Mar 18, 2010 Downgraded
to B2 (sf)
Cl. D, Affirmed at Caa2 (sf); previously on Sep 16, 2010
Downgraded to Caa2 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on Sep 16, 2010
Downgraded to Caa3 (sf)
Cl. F, Affirmed at Ca (sf); previously on Sep 16, 2010 Downgraded
to Ca (sf)
Cl. G, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at A3 (sf); previously on Mar 18, 2010 Downgraded
to A3 (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
This transaction is classified as a small balance CMBS
transaction. Small balance transactions, which represent
approximately 1% of the Moody's rated conduit/fusion universe,
have generally experienced higher defaults and losses than
traditional conduit and fusion transactions.
Moody's rating action reflects a cumulative base expected loss of
5.9% of the current balance. At last review, Moody's cumulative
base expected loss was 6.6%. Moody's stressed scenario loss is
14.1% of the current balance compared to 19.2% at last review.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline
below the current levels. If future performance materially
declines, the expected level of credit enhancement and the
priority in the cash flow waterfall may be insufficient for
the current ratings of these classes.
The performance expectations for a given variable indicate
Moody's forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may, if
warranted, change these expectations. Performance that falls
outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when
the related securities ratings were issued. Even so, a deviation
from the expected range will not necessarily result in a rating
action nor does performance within expectations preclude such
actions. The decision to take (or not take) a rating action is
dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Primary sources of assumption uncertainty are the current
sluggish macroeconomic environment and performance in the
commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline
and job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors
are tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. The availability of debt capital continues to improve
with terms returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Small Loan Transactions" published in December 2004.
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 GMAC Commercial Mortgage Trust Series 2002-C1 Class
X-1 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 change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 74 compared to 86 at Moody's prior full review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated April 22, 2011.
DEAL PERFORMANCE
As of the November 15, 2011 distribution date, the
transaction's aggregate certificate balance has decreased by 23%
to $182.3 million from $237.5 million at securitization. The
Certificates are collateralized by 125 mortgage loans ranging in
size from less than 1% to 4% of the pool, with the top ten loans
representing 26% of the pool.
Forty-four loans, representing 40% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Eight loans have been liquidated from the pool since
securitization, resulting in an aggregate $4.4 million loss (54%
loss severity on average). Eight loans, representing 4% of the
pool, are currently in special servicing. The master servicer has
recognized an aggregate $1.9 million appraisal reduction for five
of the specially serviced loans. Moody's has estimated an
aggregate $2.9 million loss (50% expected loss on average) for the
specially serviced loans.
LANDMARK III: Moody's Raises Rating of Class B-1L Notes to 'Ba3'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Landmark III CDO LTD:
US$16,500,000 Class A-2L Floating Rate Notes Due January, 2016,
Upgraded to Aaa (sf); previously on July 22, 2011 Upgraded to Aa1
(sf);
US$19,700,000 Class A-3L Floating Rate Notes Due January, 2016,
Upgraded to A2 (sf); previously on July 22, 2011 Upgraded to Baa2
(sf);
US$14,150,000 Class B-1L Floating Rate Notes Due January, 2016
(current outstanding balance of $14,456,153), Upgraded to Ba3
(sf); previously on July 22, 2011 Upgraded to B2 (sf);
US$7,750,000 Class B-2L Floating Rate Notes Due January, 2016
(current outstanding balance of $8,271,500), Upgraded to Caa3
(sf); previously on July 17, 2009 Downgraded to Ca (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of delevering of the Class A-1L and Class A-1LA
Notes since the rating action in July 2011. Moody's notes that the
Class A-1L Notes have been paid down by approximately $18 million
and the Class A-1LA Notes have been paid down by approximately
$34 million since the rating action in July 2011. Based on the
latest trustee report dated November 2011, the Senior Class A,
Class A, Class B-1L, and Class B-2L overcollateralization ratios
are reported at 153.89%, 123.54%, 107.64%, and 94.14%,
respectively, versus April 2011 levels of 128.59%, 114.07%,
105.34%, and 97.89%, respectively.
Notwithstanding the delevering of the transaction, Moody's notes
that the credit quality of the underlying portfolio has
deteriorated since the rating action in July 2011. In particular,
the weighted average rating factor is currently 3492 compared to
3154 in April 2011.
Moody's notes that the transaction benefits from the diversion of
all excess interest, which is used to delever the senior notes
instead of being distributed to the equity notes, due to the
failure of the Class B-2L overcollateralization test. As the test
is failing by a wide margin (94.14% in November 2011 versus a
trigger of 102%), the delevering of the senior notes will likely
continue for the foreseeable future.
Moody's also notes that the Class B-1L Notes and Class B-2L Notes
are no longer deferring interest, despite having outstanding
deferred interest balances.
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 balance, including principal proceeds, of $122
million, defaulted par of $10.5 million, a weighted average
default probability of 20.9% (implying a WARF of 3730), a weighted
average recovery rate upon default of 47.9%, and a diversity score
of 49. These default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends, and collateral manager
latitude for trading the collateral are also factors.
Landmark III CDO LTD, issued in December 2003, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
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
2016 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF - 20% (2984)
Class A-1L: 0
Class A-1LA: 0
Class A-1LB: 0
Class A-2L: 0
Class A-3L: +3
Class B-1L: +1
Class B-2L: +2
Moody's Adjusted WARF + 20% (4476)
Class A-1L: 0
Class A-1LA: 0
Class A-1LB: 0
Class A-2L: 0
Class A-3L: -1
Class B-1L: -1
Class B-2L: 0
Sources of additional performance uncertainties are:
1. Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2. Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus selling defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3. Exposure to credit estimates: The deal is exposed to a 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.
LB-UBS COMMERCIAL: Fitch Junks Rating on Seven Note Classes
-----------------------------------------------------------
Fitch Ratings affirms 12 and downgrades seven junior classes of
LB-UBS Commercial Mortgage Trust 2007-C1.
The downgrades are due to greater certainty of Fitch expected
losses associated with specially serviced loans based on updated
valuations. Fitch modeled losses of 10.3% for the remaining pool;
expected losses of the original pool are 11.4%, including losses
already incurred. Fitch designated 30 loans (22.8%) as Fitch
Loans of Concern, including 10 specially serviced loans (14.7%).
Classes M and N have been depleted from realized losses associated
with loan dispositions.
As of the December 2011 distribution date, the pool's aggregate
principal balance has been reduced by approximately 10% to
$3.35 billion from $3.71 billion at issuance.
The largest contributor to modeled losses is a $297 million loan
collateralized by 16 multifamily properties located in Austin, TX,
Houston, TX, and Maryland. The portfolio, known as the Bethany
Portfolio, was assumed in 2009 by a new owner with the expectation
that operations would be stabilized. Property performance and
cash flow remain below expectations due to soft market conditions,
high concessions, and certain liens on the properties which caused
the loan to transfer back to special servicing in 2011. The
special servicer is discussing workout options with the sponsor.
Losses are likely at disposition of the loan based on current
performance.
The second largest contributor to modeled losses is a loan
secured by a 636,598 square foot (sf) class A office in the
Times Square/West Side submarket of New York, NY. The building
is 100% occupied by Random House, which uses this location as
its headquarters. Random House (parent company and guarantor
is Bertelsman AG [rated 'BBB+' by Fitch]) occupies its space
pursuant to a triple net lease expiring in June 2018. In the
event Random House does not renew their lease at expiration, the
risks associated with re-leasing the building at future market
rates will impact the refinance prospects of the loan. The loan
is scheduled to mature in November 2017.
Fitch downgrades these classes, revises Outlooks, and assigns
Recovery Estimates (REs):
-- $27.8 million class B to 'CCCsf' from 'BBsf'; RE 40%;
-- $55.7 million class C to 'CCCsf' from 'B-sf'; RE 0%;
-- $32.5 million class F to 'CCsf' from 'CCCsf'; RE 0%;
-- $32.5 million class G to 'Csf' from 'CCCsf'; RE 0%;
-- $41.8 million class H to 'Csf' from 'CCCsf'; RE 0%
-- $41.8 million class J to 'Csf' from 'CCsf'; RE 0%
-- $51.1 million class K to 'Csf' from 'CCsf'; RE 0%.
In addition, Fitch affirms these classes, revises Outlooks, and
assigns REs:
-- $108.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $225 million class A-3 at 'AAAsf'; Outlook Stable;
-- $95 million class A-AB at 'AAAsf'; Outlook Stable;
-- $1.2 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $734.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $371.3 million class A-M at 'AAAsf'; Outlook Stable;
-- $315.6 million class A-J at 'BBsf'; Outlook to Negative from
Stable;
-- $37.1 million class D at 'CCCsf'; RE 0%;
-- $18.6 million class E at 'CCCsf'; RE 0%;
-- $9 million class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
LBCMT 1999-C1: Moody's Affirms Rating of Cl. G Notes at 'Ba2'
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of six classes of
LB Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 1999-C1:
Cl. E, Affirmed at Aaa (sf); previously on Oct 28, 2010 Upgraded
to Aaa (sf)
Cl. F, Affirmed at A2 (sf); previously on May 20, 2011 Upgraded to
A2 (sf)
Cl. G, Affirmed at Ba2 (sf); previously on Jun 10, 1999 Definitive
Rating Assigned Ba2 (sf)
Cl. H, Affirmed at Caa2 (sf); previously on Oct 28, 2010
Downgraded to Caa2 (sf)
Cl. J, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Aaa (sf); previously on Jun 10, 1999 Definitive
Rating Assigned Aaa (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
18.1% of the current balance. At last review, Moody's cumulative
base expected loss was 17.3%. Moody's stressed scenario loss is
20.7% of the current balance. Moody's base expected loss is a
function of the total anticipated losses for the loans remaining
in the pool. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for investment grade classes could
decline below the current levels. If future performance materially
declines, the expected level of credit enhancement and the
priority in the cash flow waterfall may be insufficient for the
current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter , amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
In rating this transaction, Moody's used also its credit-tenant
lease ("CTL") financing methodology approach ("CTL" approach) .
Under Moody's CTL approach, the rating of a transaction's
certificates is primarily based on the senior unsecured debt
rating (or the corporate family rating) of the tenant, usually an
investment grade rated company, leasing the real estate collateral
supporting the bonds. This tenant's credit rating is the key
factor in determining the probability of default on the underlying
lease. The lease generally is "bondable", which means it is an
absolute net lease, yielding fixed rent paid to the trust through
a lock-box, sufficient under all circumstances to pay in full all
interest and principal of the loan. The leased property should be
owned by a bankruptcy-remote, special purpose borrower, which
grants a first lien mortgage and assignment of rents to the
securitization trust. The dark value of the collateral, which
assumes the property is vacant or "dark", is then examined to
determine a recovery rate upon a loan's default. Moody's also
considers the overall structure and legal integrity of the
transaction. For deals that include a pool of credit tenant loans,
Moody's currently uses a Gaussian copula model, incorporated in
its public CDO rating model CDOROMv2.8 to generate a portfolio
loss distribution to assess the ratings
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 LBCMT 1999-C1 Class X may be negatively affected.
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.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5 compared to 6 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.2 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated May 20, 2011.
DEAL PERFORMANCE
As of the November 15, 2011 distribution date, the
transaction's aggregate certificate balance has decreased by
94% to $90.7 million from $1.58 billion at securitization. The
Certificates are collateralized by 29 mortgage loans ranging in
size from less than 1% to 22% of the pool, with the top ten non-
defeased loans representing 71% of the pool. The pool contains no
loans with investment grade credit estimates and four loans that
have been fully defeased by US Government securities, representing
28% of the pool.
Four loans, representing 5% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Twenty-seven loans have been liquidated from the pool,
resulting in a realized loss of $24.1 million (28% loss severity).
Currently five loans, representing 37% of the pool, are in special
servicing. The largest exposure in special servicing is the Wal-
Mart Portfolio Loans ($17.1 million -- 18.9% of the pool), which
consists of two cross-collateralized and cross defaulted loans
secured by 13 retails centers located in the Midwest that are
shadow anchored by Wal-Mart or Sam's Club. The loans transferred
to special servicing in April 2010 due to imminent default after
the portfolio experienced a decrease in occupancy. As of April
2011, the collateral was 64% leased, compared to 86% in September
2009. The sponsor and special servicer are currently negotiating a
loan modification.
The remaining four specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $11.1 million
loss for the five specially serviced loans (33% expected loss on
average).
Moody's was provided with full year 2010 operating results for
100% of the pool's non-specially serviced and defeased loans.
Excluding specially serviced, troubled loans and defeased, Moody's
weighted average LTV is 76%, which is an increase from 70% at the
prior review. Moody's net cash flow reflects a weighted average
haircut of 12% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 10.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.21X and 1.53X, respectively, compared to
1.67X and 2.11X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 10% of the pool. The largest
loan is the Kohl's Shopping Center Loan ($5.1 million -- 5.6% of
the pool), which is secured by a 101,964 SF retail center located
in suburban Knoxville, Tennessee. The property was 100% leased as
of September 2011, which is in-line with the prior review. Kohl's
Department Store leases 86% of the net rentable area (NRA) through
February 2019. Property performance has been stable. Moody's LTV
and stressed DSCR are 80% and 1.29X, respectively, compared to 83%
and 1.24X at last review.
The CTL component includes 14 loans secured by properties leased
under bondable leases. Moody's provides public ratings for 86% of
the CTL component and an internal credit estimate on the remainder
of the CTL component. The largest exposures include Rite Aid Corp.
(48% of the CTL component, Moody's Long Term Corporate Family
Rating Caa2 -- stable outlook) and CVS/Caremark (23% of the CTL
component; Moody's senior unsecured rating Baa2 -- stable outlook)
MARKET SQUARE: S&P Raises Class D Notes Rating From 'CCC+' to 'B+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the
class A, B, C, and D notes from Market Square CLO Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Deerfield Capital Management LLC. "At the same time, we removed
our ratings on each of the notes from CreditWatch, where we
placed them with positive implications on Oct. 6, 2011," S&P
said.
"The upgrades reflect a paydown to the class A notes and
improved performance we have observed in the deal's underlying
asset portfolio since we last raised our ratings on some of
the classes on May 3, 2010. As of the Nov. 10, 2011, trustee
report, the transaction's asset portfolio had $2.23 million
in defaulted obligations and approximately $13.87 million in
assets from obligors rated in the 'CCC' range. This was down
from $14.10 million in defaulted obligations and approximately
$38.31 million in assets from obligors rated in the 'CCC' range
noted in the March 10, 2010, trustee report, which we used for
our May 2010 rating actions. Over that same time period, the
class A note balance decreased by $60.09 million due to paydowns,
leaving the balance for the A notes at approximately 56.40% of
its original balance," S&P said.
S&P also observed an increase in the overcollateralization (O/C)
available to support the rated notes. The trustee reported these
O/C ratios in the Nov. 10, 2011, monthly report:
The class A O/C ratio was 140.67%, compared with a reported
ratio of 124.30% in March 2010;
The class B O/C ratio was 116.66%, compared with a reported
ratio of 108.93% in March 2010;
The class C O/C ratio was 110.88%, compared with a reported
ratio of 104.96% in March 2010; and
The class D O/C ratio was 105.33%, compared with a reported
ratio of 101.07% in March 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
Market Square CLO Ltd.
Rating
Class To From
A AAA (sf) AA (sf)/Watch Pos
B A+ (sf) BBB (sf)/Watch Pos
C BBB (sf) BB (sf)/Watch Pos
D B+ (sf) CCC+ (sf)/Watch Pos
MH SECURITIES: Moody's Confirms Rating of Cl. A-5 Notes at 'Ca'
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 11
manufactured housing loans-backed securities (MH) aggregating
$315 million from 2 transactions, upgraded the ratings of 14 MH
securities aggregating $277 million from 7 transactions, and
confirmed the rating of 4 MH securities aggregating $155 million
from 4 transactions. The collateral backing these transactions
consists primarily of manufactured housing loans. The MH
securities are seasoned and were issued between 1997 and 2002.
In addition, the ratings on Class A-6 issued by Green Tree
Financial Corporation MH 1997-02, Class A-5 issued by Conseco
Finance Securitizations Corp. Series 2000-4, and Class A-6 issued
by Conseco Finance Securitizations Corp. Series 2000- 5 have been
corrected to reflect accurate credit enhancements for these
tranches. Due to an administrative error, the previous rating
review actions reflected overstated credit enhancements for these
tranches.
RATINGS RATIONALE
The loss projections account for continued weakness in the macro
economy and the recent performance of the sector. Cumulative
losses have increased modestly to approximately 19% and serious
delinquencies, measured as a percentage of outstanding balance,
have remained stable at approximately 3%.
Payment deferrals, a common loss mitigation tool, mask true
delinquencies and can account for up to half of the outstanding
pool balance. Deferments are granted to borrowers who could not
pay the full arrears but have demonstrated the ability to make
future installments. Repayment plans are the capitalization of
past due payments to cure the delinquencies. While deferrals can
reduce overall default rates, deferred accounts that are re-
classified as current are still riskier than loans that have been
contractually current. Re-default rates on deferred accounts are
similar to subprime borrowers at 65%.
To estimate losses, Moody's first forecasted losses on the loans
that had a payment deferral based on 65% re-default rates and 85%
severity assumptions. Secondly, losses were projected on the
remaining loans that have not had any payment deferral based on
Moody's annual conditional prepayment rates (CPR), annual constant
default rates (CDR), and 85% severity assumptions.
The CPR rate is derived from the average of actual CPR observed
over the last six months. The CDR rate is based on pipeline
defaults -- derived from days-aged delinquencies and Moody's
assumptions for default based on days delinquent or REO (15% for
30 days delinquent loans, 30% for 60 days delinquent loans, 90%
for more than 90 days delinquent loans, and 100% for loans in
REO). Moody's has further assumed that both CDR and CPR will
remain constant over the life of each deal. A sudden reversal in
the existing trend of projected prepayments, defaults and losses
is not anticipated for these deals as they are well seasoned.
The losses from loans that had a deferral and those from the
remaining loans based on the CPR-CDR approach are weighed to
calculate the total projected loss for the deal.
Rating Actions
To assess the rating implications, Moody's calculated a deal
specific loss projection and compared it to the tranches'
credit enhancement from subordination; excess spread; and
reserve account and third-party support (if any) and the timing
of principal repayment. The actions for bonds rated Aaa, Aa, A,
and Baa considered where full expected principal repayment exceeds
5, 7, 10, and 10 years respectively because of uncertainty of cash
flows and losses.
For securities insured by a financial guarantor, the rating
on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying
rating (i.e., absent consideration of the guaranty) on the
security. Securities wrapped by Ambac Assurance Corporation
are rated at their underlying rating without consideration of
Ambac's guaranty. The principal methodology used in determining
the underlying rating is the same methodology for rating
securities that do not have a financial guaranty and is as
described earlier.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high. Moody's now projects the unemployment rate to start
declining by fourth quarter of 2011.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Residential Mortgage-Backed Securities"
published in December 2008.
Moody's notes 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 ratings on Lehman ABS Manufactured Housing Contract Trust
2001-B Class A-IOC and Madison Avenue Manufactured Housing
Contract Trust 2002-A Class A-IO 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 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.
Complete rating actions are:
Issuer: Conseco Finance Securitizations Corp. Series 2000-4
Cl. A-5, Confirmed at Ca (sf); previously on Nov 2, 2011 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Conseco Finance Securitizations Corp. Series 2000-5
Cl. A-6, Confirmed at Ca (sf); previously on Nov 2, 2011 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Green Tree Financial Corporation - MH Contract Ser. 1997-2
A-6, Confirmed at Baa1 (sf); previously on Nov 2, 2011 Baa1 (sf)
Placed Under Review for Possible Upgrade
Issuer: Greenpoint Manufactured Housing Contract Trust 1999-5
Cl. A-4, Upgraded to Aa2 (sf); previously on Nov 2, 2011 Ba1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-5, Upgraded to A3 (sf); previously on Nov 2, 2011 Ba1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-1A, Upgraded to B3 (sf); previously on Nov 2, 2011 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-1B, Upgraded to Caa1 (sf); previously on Nov 2, 2011 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Greenwich Capital Acceptance, Inc. MH Contract Series
1995-BA1
B-1, Upgraded to A3 (sf); previously on Nov 2, 2011 Ba3 (sf)
Placed Under Review for Possible Upgrade
Issuer: Lehman ABS Manufactured Housing Contract
Senior/Subordinate Asset-Backed Certificates, Series 2001-B
Cl. A-1, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-IOC, Downgraded to Baa1 (sf); previously on Nov 2, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 10, 2009
Upgraded to Caa2 (sf)
Issuer: Lehman ABS Manufactured Housing Contract Trust 2002-A
Cl. A, Downgraded to A2 (sf); previously on Nov 2, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A3 (sf); previously on Dec 6, 2004
Confirmed at Aa2 (sf)
Issuer: Madison Avenue Manufactured Housing Contract Trust 2002-A
Cl. A-IO, Confirmed at A1 (sf); previously on Nov 2, 2011 A1 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. M-1, Upgraded to A1 (sf); previously on Nov 2, 2011 Baa1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Baa3 (sf); previously on Aug 2, 2006 Upgraded
to Ba3 (sf)
Issuer: MERIT Securities Corporation Collateralized Bonds, Series
12
1-A-3, Upgraded to A3 (sf); previously on Nov 2, 2011 Baa2 (sf)
Placed Under Review for Possible Upgrade
Issuer: MERIT Securities Corporation Collateralized Bonds, Series
13
A4, Upgraded to Baa1 (sf); previously on Nov 2, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade
Issuer: Oakwood Mortgage Investors, Inc. Series 1997-D
A-3, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A2 (sf)
Placed Under Review for Possible Upgrade
A-4, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A2 (sf)
Placed Under Review for Possible Upgrade
A-5, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A2 (sf)
Placed Under Review for Possible Upgrade
Issuer: Oakwood Mortgage Investors, Inc. Series, 1998-A
A-4, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A3 (sf)
Placed Under Review for Possible Upgrade
A-5, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A3 (sf)
Placed Under Review for Possible Upgrade
ML-FC COMMERCIAL: Fitch Downgrades Rating on 11 Note Classes
------------------------------------------------------------
Fitch Ratings downgrades 11 classes of ML-CFC Commercial Mortgage
Trust, series 2006-1.
The downgrades reflect an increase in Fitch modeled losses
attributed to updated values on specially serviced loans. Fitch
modeled losses of 8.2% of the current pool balance.
As of the November 2011 distribution date, the pool's aggregate
principal balance (including rakes) has decreased 21.2% to $1.69
billion from $2.14 billion at issuance. Fitch has designated 32
loans (21.7%) as Fitch Loans of Concern, including 17 (13.1%)
specially serviced loans.
Fitch expects classes H through Q may be fully depleted from
losses associated with the specially serviced assets and class G
to be significantly impacted. As of November 2011, cumulative
interest shortfalls in the amount of $6.3 million are affecting
classes H through Q.
The largest contributor to modeled losses is a loan (1.2% of the
pool) secured by a 196,000 square foot (sf) shadow anchored
regional mall in Brunswick, GA. The loan was transferred to the
special servicer in March 2010 due to imminent default. The loan
was scheduled to mature in December 2010. None of the four
anchors, Sears, JC Penney, Belk and an Embassy Suites Hotel, are
part of the collateral. The fifth property anchor, a former Steve
and Barry's, remains dark. A receiver is marketing the property
for sale. The most recent occupancy reported by the special
servicer is 51% as of June 1, 2011. Fitch expects losses upon
liquidation of the asset based on a recent property valuation.
The second largest contributor to modeled losses a loan(1.6%)
secured by a 162,041 sf retail center in Scottsdale, AZ.
Occupancy dropped to 48% in third quarter 2010 primarily due to
the largest tenant, American's Home & Garden Expo Center (26.6% of
the property), vacating prior to the April 30, 2012 scheduled
lease expiration. Loan transferred to the special servicer in
April 2011 due to monetary default. A review of Oct. 31, 2011
rent roll shows that occupancy has increased to 74.4%, primarily
due to a new tenant who has signed a lease for 58% of the vacated
space until Sept. 30, 2016 and another tenant who has signed a
short term lease that ended on Nov. 21, 2011. The special
servicer has called $5.6 million letter of credit to pay down the
loan to its current balance of $27.8 million. A receiver has been
appointed to manage the property and a foreclosure sale is
expected to take place in early January.
The third largest contributor to modeled losses a loan (1.8%)
secured by seven building office/industrial park located in Largo,
Maryland totaling 536,197 sf. The loan transferred to the Special
Servicer in May 2009 due to monetary default. In December 2010,
one building was sold and the net proceeds of $5.3 million were
applied to paydown the loan. A court appointed receiver is
currently managing the property and is expected to eventually sell
the collateral once occupancy has been stabilized. The most
recent servicer reported occupancy is 50% as of Aug. 1, 2011.
Fitch downgrades and assigns recovery estimates (RE) to these
classes:
-- $50.9 million class B to 'BB' from 'BBB-'; Outlook Stable;
-- $21.4 million class C to 'B' from 'BB'; Outlook Stable;
-- $29.5 million class D to 'CCC/RE 100%' from 'B-';
-- $24.1 million class F to 'CC/RE 20% from 'CCC/RE 100%';
-- $16.1 million class G to 'C/RE 0%' from 'CCC/RE 25%';
-- $26.8 million class H to 'C/RE 0%' from 'CC/RE 0%';
-- $5.4 million class J to'C/RE 0%' from 'CC/RE 0%';
-- $5.4 million class K to 'C/RE 0%' from 'CC/RE 0%';
-- $8 million class L to 'C/RE 0%' from 'CC/RE 0%';
-- $2.7 million class M to 'C/RE 0%' from 'CC/RE 0%';
-- $8 million class N to 'C/RE 0%' from 'CC/RE 0%';
-- $5.4 million class P to 'C/RE 0%' from 'CC/RE 0%'.
Fitch also affirms these classes and revises LS ratings:
-- $16.1 million class A-2 at 'AAA'; Outlook Stable;
-- $66.2 million class A-3 at 'AAA'; Outlook Stable;
-- $105.2 million class A-3FL at 'AAA'; Outlook Stable;
-- $75 million class A-3B at 'AAA'; Outlook Stable;
-- $107 million class A-SB at 'AAA'; Outlook Stable;
-- $489.5 million class A-4 at 'AAA'; Outlook Stable;
-- $211.6 million class A-1A at 'AAA'; Outlook Stable;
-- $214.2 million class A-M at 'AAA'; Outlook Stable;
-- $82.1 million class A-J at 'A'; Outlook Stable;
-- $100 million class AN-FL at 'A'; Outlook Stable;
-- $16.1 million class E at 'CCC/RE 100%'.
Class A-1 has paid in full. Fitch does not rate the $2.6 million
class Q. Fitch has withdrawn the ratings on the Interest-only
class X.
MLMT 2005-LC1: Moody's Lowers Rating of Class E Notes to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of ten classes and
downgraded ten classes of Merrill Lynch Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2005-LC1:
Cl. A-2, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3FL, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4FC, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. AM, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. AJ, Affirmed at Aa2 (sf); previously on May 5, 2010 Downgraded
to Aa2 (sf)
Cl. B, Downgraded to A3 (sf); previously on May 5, 2010 Downgraded
to A1 (sf)
Cl. C, Downgraded to Baa1 (sf); previously on May 5, 2010
Downgraded to A2 (sf)
Cl. D, Downgraded to Baa3 (sf); previously on May 5, 2010
Downgraded to Baa1 (sf)
Cl. E, Downgraded to Ba1 (sf); previously on May 5, 2010
Downgraded to Baa2 (sf)
Cl. F, Downgraded to B1 (sf); previously on May 5, 2010 Downgraded
to Ba1 (sf)
Cl. G, Downgraded to B3 (sf); previously on May 5, 2010 Downgraded
to Ba3 (sf)
Cl. H, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to Caa1 (sf)
Cl. J, Downgraded to Caa3 (sf); previously on May 5, 2010
Downgraded to Caa2 (sf)
Cl. K, Downgraded to Ca (sf); previously on May 5, 2010 Downgraded
to Caa3 (sf)
Cl. L, Downgraded to C (sf); previously on May 5, 2010 Downgraded
to Ca (sf)
Cl. X, Affirmed at Aaa (sf); previously on Jan 12, 2006 Assigned
Aaa (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining
within acceptable ranges. Based on Moody's current base expected
loss, the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings. The downgrades were
due to realized and anticipated losses from specially serviced
and troubled loans. The pool has experienced an additional
$18.9 million in losses since last review.
Moody's rating action reflects a cumulative base expected loss of
5.1% of the current balance. At Moody's last full review, Moody's
cumulative base expected loss was 4.6%. Moody's stressed scenario
loss is 15.9% of the current balance. Depending on the timing of
loan payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected
range will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline
and job creation rebounds. The hotel and multifamily sectors
are in recovery and improvements in the office sector continue,
with fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector
has been mixed with on-going rent deflation and leasing
challenges. Across all property sectors, the availability of
debt capital continues to improve with monetary policy expected
to remain supportive and interest rate hikes postponed. Moody's
central global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
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 Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on Merrill Lynch Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2005-LC1 Class X 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 change on
Moody's rating.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 34 compared to 37 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated April 23, 2011.
DEAL PERFORMANCE
As of the December 12, 2011 distribution date, the
transaction's aggregate certificate balance has decreased by
14% to $1.33 billion from $1.55 billion at securitization. The
Certificates are collateralized by 128 mortgage loans ranging in
size from less than 1% to 9% of the pool, with the top ten loans
representing 41% of the pool. The pool includes one loan with an
investment grade credit estimate, representing 9% of the pool.
There are currently four loans, representing 2% of the pool that
have defeased and are collateralized by U.S. Government
securities.
Thirty-four loans, representing 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Ten loans have been liquidated from the pool since
securitization, resulting in an aggregate realized loss of
approximately $26.0 million (59% loss severity overall). Eight
loans, representing 8% of the pool, are currently in special
servicing. The largest specially serviced loan is the Four
Forest/Lakeside Loan ($55.5 million -- 4.8% of the pool). The
loan is secured by two office properties located in Dallas,
Texas. The loan's maturity date was extended from November 2010
to December 6th, 2011 through a forbearance agreement, but the
loan has since matured. The special servicer is now moving
forward with foreclosure.
The remaining seven specially serviced loans are secured by a mix
of property types. The master servicer has recognized an aggregate
$11.4 million appraisal reduction for four of the specially
serviced loans. Moody's has estimated an aggregate $33.4 million
loss (32% expected loss on average) for seven of the specially
serviced loans.
Moody's has assumed a high default probability for three poorly
performing loans representing 1.4% of the pool and has estimated a
$2.7 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2010 financial for 96% of the
pool. Excluding specially serviced and troubled loans, Moody's
weighted average LTV for the conduit component is 101%, the same
as at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 10.9% to the most recently available
net operating income (NOI). Moody's value reflects a weighted
average capitalization rate of 9.1%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs for the conduit component are 1.31X and 1.03X,
respectively, compared to 1.31X and 1.02X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The loan with an investment grade credit estimate is the Glendale
Galleria Loan ($113.1 million -- 8.5% of the pool). The loan is
secured by the borrower's interest in a 1.3 million square foot
(SF) enclosed regional shopping mall located in Glendale,
California. More specifically, the collateral includes 661,000 SF
of retail, office and storage space. The loan represents a 45%
pari-passu interest in a $255 million amortizing loan. There is
also an $82.2 million B Note and $27.8 million of mezzanine debt
held outside the trust. As of December 2010, the property was 98%
leased with in-line mall tenant occupancy of 96%, similar to last
review. Performance has remained stable. The loan sponsors include
GGP and NYSTRES. Moody's current credit estimate and stressed DSCR
of the pooled note are Baa2 and 1.20X, respectively, compared to
Baa2 and 1.26X at last review.
The top three conduit loans represent 16% of the pool. The largest
conduit loan is the Colonial Mall Bel Air Loan ($117.3 million --
8.8% of the pool), which is secured by the borrower's interest in
a 1.3 million SF regional mall located in Mobile, Alabama. The
mall is anchored by Sears, Dillard's, JC Penny, Belk and Target.
The property has maintained a high and stable occupancy as the
entire mall is 96% leased, which is essentially the same as at
last review. Moody's current LTV and stressed DSCR are 103% and
0.95X, respectively, the same as at last review.
The second largest conduit loan is the CNL-Cirrus MOB Portfolio
Loan ($56.8 million -- 4.3% of the pool), which is secured by
seven medical office buildings and one surgical center. Six of the
properties are located in Dallas, Texas and two are located in
Oklahoma City, Oklahoma. The portfolio totals 338,000 SF and was
75% leased as of December 2010, essentially the same as at last
review. The loan benefits from amortization, which began in
November 2010. Moody's LTV and stressed DSCR are 116% and 0.93X,
respectively, compared to 119% and 0.90X at last review.
The third largest conduit loan is the Colonial Mall Greenville
Loan ($42.8 million -- 3.2% of the pool), which is secured by the
borrower's interest in a 450,000 SF Class B regional mall located
in Greenville, North Carolina. As of December 2011, the total mall
occupancy was 81% compared to 83% at last review. The mall is
anchored by Belk, Belk Ladies and JC Penny. Moody's LTV and
stressed DSCR are 141% and 0.71X, respectively, compared to 138%
and 0.73X at last review.
MLMT 2005-MKB2: Moody's Reviews 'Ba3' Rating of Cl. F Notes
-----------------------------------------------------------
Moody's Investors Service Places on Review Eight CMBS classes of
Merrill Lynch Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2005-MKB2:
Cl. AJ, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Mar 9, 2011 Confirmed at Aaa (sf)
Cl. B, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 17, 2010 Downgraded to Aa3 (sf)
Cl. C, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 17, 2010 Downgraded to A1 (sf)
Cl. D, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 17, 2010 Downgraded to Baa1 (sf)
Cl. E, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 17, 2010 Downgraded to Baa2 (sf)
Cl. F, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 9, 2011 Downgraded to Ba3 (sf)
Cl. G, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 9, 2011 Downgraded to B3 (sf)
Cl. H, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 9, 2011 Downgraded to Caa3 (sf)
RATINGS RATIONALE
The classes AJ through H have been placed on review for possible
downgrade due to higher expected losses from troubled loans and
loans in special servicing.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 9, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
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 MLMT 2005-MKB2 Class XP and Class XC 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 change on
Moody's rating.
DEAL PERFORMANCE
As of the December 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 27% to $830 million
from $1.137 billion at securitization. The certificates are
collateralized by 70 mortgage loans ranging in size from .1% to
over 7% of the pool, with the top ten loans representing
approximately 52% of the pool. There are no credit estimates in
this transaction. Five loans, representing 20% of the pool, are
defeased and are secured by U.S. Government securities.
Thirteen loans, representing 9% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Three loans have been liquidated from the pool, resulting in a
realized loss of $11.2 million (57% loss severity). Currently nine
loans, representing 22% of the pool, are in special-servicing,
including Simon's DeSoto Square Mall in Bradenton, FL, which
carries an outstanding loan balance of approximately $62 million,
or 7.6% of the pool balance.
Moody's review will focus on potential losses from specially-
serviced and troubled loans, as well as the performance of the
overall pool.
MORGAN STANLEY: Fitch Downgrades Rating on Eight Note Classes
-------------------------------------------------------------
Fitch Ratings downgrades eight classes of Morgan Stanley Capital I
(MSCI) Trust, series 2007-IQ16, commercial mortgage pass-through
certificates.
The downgrades are due to additional certainty of expected losses
on the loans in special servicing. The Fitch modeled losses of
9.1% (9.6% cumulative transaction losses which includes losses
realized to date) is an increase from 8.2% as of the last review
due to an increase in expected losses of loans in special
servicing.
Fitch expects classes K thru S to be fully depleted by losses on
specially serviced loans and class J to be significantly impacted.
As of November 2011, there are cumulative interest shortfalls in
the amount of $4.6 million currently affecting classes K through
S.
As of the November 2011 distribution date, the pool's aggregate
principal balance has been paid down by 3.0% to $2.5 billion from
$2.6 billion at issuance. There are no defeased loans within the
pool.
Fitch has identified 53 loans (18.4%) as Fitch Loans of Concern,
which includes 21 specially serviced loans (12.4%).
The specially serviced loans consist of four loans (2.2%) as real
estate owned (REO), nine loans (5.0%) in foreclosure, six loans
(1.1%) that are 30 to 90 days delinquent and two loans (4.1%) that
are current.
At Fitch's last review there were 22 loans (11.4%) in special
servicing consisting of one loan (0.2%) that was REO, nine loans
(2.7%) in foreclosure, 10 loans (5.1%) that were 30 to 90 days
delinquent and two loans (3.4%) that were current.
The largest contributor to losses is the Marriott Columbia loan
(1.6%) which is secured by a 300-key, full-service hotel located
in downtown Columbia, South Carolina. The loan transferred to
special servicing in May 2010 when the borrower was unable to
continue covering operating shortfalls. As of October 2011, the
reported trailing 12-month (TTM) revenue per available room
(RevPAR) was reported to be $68 which is in-line with year-end
2010 RevPAR of $67. The special servicer is proceeding with
foreclosure.
The second largest contributor to losses is the Crowne-Plaza
Addison asset (1.5%) which is a 429-key full-service hotel in
Addison, Texas. The loan was foreclosed upon in March 2011 and
the property is REO. In October 2010 a fire in the hotel resulted
in 120 rooms being removed from service. Since that time
renovations have been completed and all rooms are on-line as of
March 2011. As of October 2011, the reported TTM RevPAR was $44,
which is a slight decline from 46% at year-end 2010. The property
has been listed for sale.
The third largest contributor to losses is the Hilton Daytona
Beach loan (3.8%) which is secured by a 744-key, full-service
hotel located in Daytona Beach, Florida. The loan transferred to
special servicing in October 2011 due to imminent default. The
borrower and special servicer are in discussion on a strategy for
resolution.
Fitch downgrades, assigns Recovery Estimates and revises Outlooks
to these classes as indicated:
-- $19.5 million class B to 'BBsf' from 'BBBsf'; Outlook to
Negative from Stable;
-- $26 million class C to 'BBsf' from 'BBB-sf'; Outlook to
Negative from Stable
-- $16.2 million class D to 'Bsf' from 'BBsf'; Outlook to
Negative from Stable
-- $38.9 million class E to 'CCCsf, RE 100%' from 'Bsf';
-- $13 million class F to 'CCCsf, RE 100%' from 'B-sf'';
-- $26 million class H to 'CCsf, RE 20%' from 'CCCsf, RE 100%';
-- $26 million class J to 'Csf, RE 0%' from 'CCCsf, RE 100%';
-- $32.4 million class K to 'Csf, RE 0%' from 'CCsf, RE 60%'.
Additionally, Fitch affirms and revises Rating Outlooks and
Recovery Estimates to these classes as indicated:
-- $8.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $300.4 million class A-1A at 'AAAsf'; Outlook Stable;
-- $91.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $83 million class A-3 at 'AAAsf'; Outlook Stable;
-- $1.3 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $194.7 million class A-M at 'AAAsf'; Outlook Stable;
-- $20 million class A-MFL at 'AAAsf'; Outlook Stable;
-- $44.9 million class A-MA at 'AAAsf'; Outlook Stable;
-- $131 million class A-J at 'BBBsf'; Outlook to Negative from
Stable;
-- $30 million class A-JFL at 'BBBsf'; Outlook to Negative from
Stable;
-- $34 million class A-JA at 'BBBsf'; Outlook to Negative from
Stable;
-- $35.7 million class G at 'CCCsf, RE 100%';
-- $9.7 million class L at 'Csf, RE 0%';
-- $9.7 million class M at 'Csf, RE 0%';
-- $9.7 million class N at 'Csf, RE 0%'.
Fitch does not rate classes O through S. Fitch withdraws the
ratings of the interest-only classes X-1 and X-2.
MORGAN STANLEY: Fitch Downgrades Seven Certificate Classes
----------------------------------------------------------
Fitch Ratings has downgraded seven classes and affirmed the super
senior classes of Morgan Stanley Capital I Trust, series 2007-IQ15
(MSCI 2007-IQ15) commercial mortgage pass-through certificates.
The downgrades reflect an increase in Fitch expected losses across
the pool, largely attributed to increased losses on special
serviced assets. Fitch modeled losses of 13.5% for the remaining
pool; expected losses of the original pool are at 14.4%, including
losses already incurred to date. Fitch has designated 39 loans
(26.8%) as Fitch Loans of Concern, which includes 10 specially
serviced loans (8.4%). Fitch expects classes G through P may be
fully depleted from losses associated with the specially serviced
assets.
As of the November 2011 distribution date, the pool's aggregate
principal balance has been paid down by approximately 6.1% to
$1.93 billion from $2.05 billion at issuance. No loans are
currently defeased. Interest shortfalls are affecting classes F
through P.
The largest contributor to modeled losses (2.3% of pool balance)
is a real estate owned (REO) 210,000 sf retail property located
in San Diego, CA. The loan transferred to special servicing in
February 2010 for imminent default due to increasing vacancy.
The property became REO in May 2011, and the special servicer is
marketing the property for sale. A recent appraisal indicates a
value significantly below the loan amount.
The next largest contributor to modeled losses (13% of pool
balance) is secured by a 790,000 sf office property located in
Stamford, CT. While property performance has remained consistent
since issuance, the loan remains significantly overleveraged.
The third largest contributor to modeled losses (1.9% of pool
balance) is a real estate owned (REO) 290,000 sf anchored retail
property located in Albany, OR. The loan transferred to special
servicing in October 2009 for imminent default after the second
largest tenant vacated the property as part of a Chapter 11
filing. The property became REO in September 2011. The special
servicer is working to lease up the vacant anchor space before
listing the property for sale.
Fitch downgrades these classes, and assigns Outlooks and Recovery
Estimates as indicated:
-- $205.4 million class A-M to 'Asf' from 'AAAsf'; Outlook
Stable;
-- $177.1 million class A-J to 'CCCsf'; RE100% from 'Bsf';
-- $33.4 million class B to 'CCCsf'; RE100% from 'B-sf';
-- $15.4 million class C to 'CCCsf'; RE100% from 'B-sf';
-- $28.2 million class D to 'CCsf'; RE50% from 'CCCsf';
-- $15.4 million class E to 'CCsf'; RE0% from 'CCCsf;
-- $30.8 million class F to 'Csf'; RE0% from 'CCsf'.
Fitch also affirms and revised Recovery Estimates to these classes
as indicated:
-- $16.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $227.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $72.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $796.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $232.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $23.1 million class G at 'Csf'; RE0%;
-- $25.5 million class H at 'Csf'; RE0%;
-- $10.3 million class J at 'Csf'; RE0%;
-- $5.1 million class K at 'Csf'; RE0%;
-- $7.7 million class L at 'Csf'; RE0%.
MORGAN STANLEY: Fitch Lowers Rating on Eight Note Classes to 'Dsf'
------------------------------------------------------------------
Fitch Ratings has placed five classes of Morgan Stanley Capital I
Trust 2007-TOP25 on Rating Watch Negative and downgraded 10
classes.
Classes A-M through D have been placed on Rating Watch Negative
based on an increase in Fitch expected losses for the five
remaining specially serviced loans as well as higher than expected
losses for the recently disposed Village Square real estate owned
(REO) asset (4% of the pool).
The downgrade of classes F through O is the result of principal
losses incurred following the liquidation of the above referenced
asset. The classes had prior ratings of 'CCC' or lower,
indicating that Fitch expected a high likelihood of losses to the
bonds.
Fitch expects to resolve the Rating Watch status within the next
several months following a complete review of the transaction
including updated performance data for performing loans. Fitch
expects class A-M could be downgraded several categories given
limited subordination of the remaining classes to offset losses.
Fitch downgrades these classes:
-- $11.7 million class E to 'Csf/RE/0%' from 'CCCsf/RE100%';
-- $13.1 million class F to 'Dsf/RE0%' from 'CCCsf/RE100%';
-- $0 million class G to 'Dsf/RE0%' from 'CCsf/RE60%';
-- $0 million class H to 'Dsf/RE0%' from 'Csf/RE0%';
-- $0 million class J 'Dsf/RE0%' from 'Csf/RE0%';
-- $0 million class K 'Dsf/RE0%' from 'Csf/RE0%';
-- $0 million class L 'Dsf/RE0%' from 'Csf/RE0%';
-- $0 million class M to'Dsf/RE0%' from 'Csf/RE0%';
-- $0 million class N 'Dsf/RE0%' from 'Csf/RE0%';
-- $3.9 million class O 'Dsf/RE0%' from Csf/RE0%'.
Fitch places these classes on Rating Watch:
-- $155.5 million class A-M 'AAAsf'; Rating Watch Negative;
-- $110.8 million class A-J 'BBBsf-';Rating Watch Negative;
-- $27.2 million class B 'BBsf'; Rating Watch Negative;
-- $11.7 million class C 'Bsf'; Rating Watch Negative;
-- $25.3 million class D 'B-sf'; Rating Watch Negative.
MORGAN STANLEY: S&P Withdraws 'CCC-' Class A Note Rating
--------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on the
class A notes issued by Morgan Stanley ACES SPC's series 2006-36,
a synthetic corporate investment-grade collateralized debt
obligation (CDO) transactions.
The rating withdrawal follows the cancellation of the notes.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Withdrawn
Morgan Stanley ACES SPC
Series 2006-36
Rating
Class To From
A NR CCC-(sf)
NR -- Not rated.
MSC 2006-SRR2: S&P Lowers Ratings on 2 Classes of Notes to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class K and L notes from SPGS SPC, acting for the account of MSC
2006-SRR2 Segregated Portfolio to 'D (sf)' from 'CC (sf)'.
The downgrade follows a number of write-downs in the underlying
reference portfolio, causing the class K notes to incur partial
principal losses and the class L notes to incur complete principal
losses.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
SPGS SPC, acting for the account of MSC 2006-SRR2 Segregated
Portfolio
Rating
Class To From
K D(sf) CC(sf)
L D(sf) CC(sf)
N-STAR REAL: S&P Lowers Class D Note Rating From 'CCC+' to 'CC'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class C-1, C-2A, C-2B, and D notes from N-Star Real Estate CDO II
Ltd., a U.S. collateralized debt obligation (CDO) transaction of
commercial mortgage backed securities (CMBS), managed by NS
Advisors LLC. "Concurrently, we affirmed our ratings on the class
A-1, A-2A, A-2B, B-1, and B-2 notes. At the same time, we removed
all of the ratings from CreditWatch, where we placed them with
negative implications on Oct. 6, 2011," S&P said.
"The downgrades mainly reflect deterioration in the performance of
the transaction's underlying asset portfolio since May 31, 2011,
when we last downgraded the class D notes. As of the November 2011
trustee report, the transaction had $35.51 million in defaulted
assets. This was up from $21.28 million noted in the April 2011
trustee report, which we referenced for our May 2011 rating
action," S&P said.
The transaction has also experienced a decrease in the
overcollateralization (O/C) available to support the rated notes
lower down the capital structure. The trustee reported the O/C
ratios in the Nov. 21, 2011, monthly report:
The class A O/C ratio was 164.11%, compared with a reported
ratio of 158.22% in April 2011;
The class B O/C ratio was 137.13%, compared with a reported
ratio of 143.60% in April 2011;
The class C O/C ratio was 100.01%, compared with a reported
ratio of 110.13% in April 2011; and
The class D O/C ratio was 91.58%, compared with a reported
ratio of 102.24% in April 2011.
"We affirmed our ratings on the class A-1, A-2A, A-2B, B-1, and B-
2 notes to reflect the availability of credit support at the
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
N-Star Real Estate CDO II Ltd.
Rating
Class To From
A-1 AAA (sf) AAA (sf)/Watch Neg
A-2A AAA (sf) AAA (sf)/Watch Neg
A-2B AAA (sf) AAA (sf)/Watch Neg
B-1 AA+ (sf) AA+ (sf)/Watch Neg
B-2 AA (sf) AA (sf)/Watch Neg
C-1 BB+ (sf) A (sf)/Watch Neg
C-2A CCC- (sf) BBB- (sf)/Watch Neg
C-2B CCC- (sf) BBB- (sf)/Watch Neg
D CC (sf) CCC+ (sf)/Watch Neg
Transaction Information
Issuer: N-Star Real Estate CDO II Ltd.
Coissuer: N-Star Real Estate CDO II Corp.
Collateral manager: NS Advisors LLC
Underwriter: Citigroup Inc.
Trustee: Bank of America N.A.
Transaction type: Cash flow CDO
N-STAR REL: Moody's Affirms Rating of Cl. C Notes at 'Ba3'
----------------------------------------------------------
Moody's has affirmed the ratings of all classes of Notes issued
by N-Star REL CDO IV due to key transaction parameters performing
within levels commensurate with the existing ratings levels. While
the transaction is highly sensitive to recovery rates, the current
distribution of credits and higher weighted average recovery rate
(WARR) provides a mitigant. The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation transactions.
Cl. A, Affirmed at A1 (sf); previously on Dec 15, 2010 Downgraded
to A1 (sf)
Cl. B, Affirmed at Baa3 (sf); previously on Dec 15, 2010
Downgraded to Baa3 (sf)
Cl. C, Affirmed at Ba3 (sf); previously on Dec 15, 2010 Downgraded
to Ba3 (sf)
Cl. D, Affirmed at B3 (sf); previously on Dec 15, 2010 Downgraded
to B3 (sf)
Cl. E, Affirmed at Caa2 (sf); previously on Dec 15, 2010
Downgraded to Caa2 (sf)
Cl. F, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. G, Affirmed at Caa3 (sf); previously on Apr 7, 2009 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
N-Star REL CDO IV, Ltd.. is a static cash CRE CDO transaction
(the reinvestment period ended on July 27, 2010 ) backed by a
portfolio of whole loans and A-Notes (51.8% of the pool balance),
mezzanine loans (21.3%), B-Notes (12.4%), CRE CDOs (7.3%),
commercial mortgage-backed securities (5.4%) and real estate
investment trust (REIT) debt (1.7%). As of the November 28, 2011
Trustee report, the aggregate Note balance of the transaction,
including preferred shares, $371.0 million from $400 million at
issuance, with the paydown directed to the Class A Notes, as a
result of regular amortization of the underlying collateral.
There are seven assets with a par balance of $40.9 million
(9.7% of the current pool balance) that are considered Impaired
Interests as of the November 28, 2011 Trustee report. Five of
these assets (65.6% of the defaulted balance) are CMBS, one asset
is former mezzanine loan that is now real estate owned (17.6%),
and one asset is a B-Note (16.7%). Impaired Interests that are
not CMBS are defined as assets which are in payment default or
foreclosure has occured. While there have been limited realized
losses to date, Moody's does expect significant losses to occur
once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), WARR, and
Moody's asset correlation (MAC). These parameters are typically
modeled as actual parameters for static deals and as covenants for
managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 7,737 compared to 7,034 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aa3
(0.7% compared to 0.9% at last review), A1-A3 (3.6% compared to
3.6% at last review), Baa1-Baa3 (0.6% compared to 0.6% at last
review), Ba1-Ba3 (4.0% compared to 1.8% at last review), B1-B3
(0.3% compared to 7.5% at last review), and Caa1-C (90.8% compared
to 85.6% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.9 years compared
to 2.1 at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
30.8% compared to 29.0% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100% compared to 100% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down
from 31% to 21% or up to 41% would result in average rating
movement on the rated tranches of 0 to 8 notches downward and
0 to 9 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected
range will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
N-STAR REL: Moody's Lowers Rating of Cl. A-2 Notes to 'Ba2'
-----------------------------------------------------------
Moody's has affirmed eight and downgraded four classes of Notes
issued by N-Star REL CDO VI. The downgrades are due to a lower
weighted average recovery rate (WARR) due to changes in the
collateral pool composition and the sensitivity of the transaction
to recovery rates. The affirmations are due to key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO) transactions.
Cl. A-1, Affirmed at A1 (sf); previously on Dec 15, 2010
Downgraded to A1 (sf)
Cl. A-R, Affirmed at A1 (sf); previously on Dec 15, 2010
Downgraded to A1 (sf)
Cl. A-2, Downgraded to Ba2 (sf); previously on Dec 15, 2010
Downgraded to Baa3 (sf)
Cl. B, Downgraded to B1 (sf); previously on Dec 15, 2010
Downgraded to Ba2 (sf)
Cl. C, Downgraded to B2 (sf); previously on Dec 15, 2010
Downgraded to B1 (sf)
Cl. D, Downgraded to Caa1 (sf); previously on Dec 15, 2010
Downgraded to B3 (sf)
Cl. E, Affirmed at Caa1 (sf); previously on Dec 15, 2010
Downgraded to Caa1 (sf)
Cl. F, Affirmed at Caa2 (sf); previously on Dec 15, 2010
Downgraded to Caa2 (sf)
Cl. G, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. K, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
RATINGS RATIONALE
N-Star REL CDO VI. is a static cash CRE CDO transaction (the
reinvestment period ended on June 16, 2011) backed by a portfolio
of whole loans and A-Notes (41.4% of the pool balance), mezzanine
loans (24.7%), B-Notes (12.2%), CRE CDOs (20.3%) and commercial
mortgage-backed securities (1.4%). As of the November 28, 2011
Trustee report, the aggregate Note balance of the transaction,
including preferred shares, $449.4 million from $450 million at
issuance, with the paydown directed to the Class A Notes, as a
result of amortization of the underlying collateral.
There are four assets with a par balance of $33.8 million (6.7% of
the current pool balance) that are considered Impaired Interests
as of the November 28, 2011 Trustee report. Two of these assets
(81.7% of the defaulted balance) are CRE CDOs and two assets are
former mezzanine loans that are now real estate owned (18.3%).
Impaired Interests that are not CMBS are defined as assets which
are in payment default or foreclosure has occured. While there
have been limited realized losses to date, Moody's does expect
significant losses to occur once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 7,243 compared to 7,559 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aa3
(1.0% compared to 1.3% at last review), A1-A3 (6.0% compared to
3.0% at last review), Ba1-Ba3 (0.0% compared to 2.6% at last
review), B1-B3 (12.3% compared to 0.0% at last review), and Caa1-C
(80.7% compared to 91.7% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 4.0 years compared
to 5.0 at last review. The lower WAL reflects the now static
nature of the collateral pool, adjusted to reflect possible loan
extensions.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
28.2% compared to 30.2% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100% compared to 0% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
28% to 18% or up to 38% would result in average rating movement on
the rated tranches of 0 to 4 notches downward and 0 to 6 notches
upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
NAVIGATOR CDO: Moody's Raises Rating of Class D Notes to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Navigator CDO 2003, Ltd.:
US$17,000,000 Class C-1 Floating Rate Subordinate Notes Due 2015
(current outstanding balance of $16,965,263), Upgraded to Aaa
(sf); previously on July 6, 2011 Upgraded to Aa1 (sf);
US$8,000,000 Class C-2 Fixed Rate Subordinate Notes Due 2015
(current outstanding balance of $7,983,653), Upgraded to Aaa (sf);
previously on July 6, 2011 Upgraded to Aa1 (sf);
US$15,000,000 Class D Floating Rate Junior Subordinate Notes Due
2015, Upgraded to Ba1 (sf); previously on July 6, 2011 Upgraded to
Ba2 (sf);
US$4,000,000 Class Q-3 Notes Due 2015 (current outstanding balance
of $1,058,050), Upgraded to Aa3 (sf); previously on July 6, 2011
Upgraded to A1 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of amortization of the Class A notes and an
increase in the transaction's overcollateralization ratios since
the rating action in August 2011. Moody's notes that the Class A
Notes have been paid down by approximately 94% or $47 million
since the rating action in July 2011. Based on the latest trustee
report dated December 3, 2011, the Class A, Class B, Class C, and
Class D overcollateralization ratios are reported at 2994.5%,
279.0%, 149.2%, and 116.6%, respectively, versus June 2011 levels
of 259.4%, 170.3%, 128.1%, and 111.5%, respectively.
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 $79 million,
defaulted par of $2.6 million, a weighted average default
probability of 13.7% (implying a WARF of 2902), a weighted
average recovery rate upon default of 49.5%, and a diversity
score of 27. 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.
Navigator CDO 2003, Ltd., issued in December 2003, is a
collateralized loan obligation backed primarily by a portfolio
of senior secured loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004.
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. 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.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2322)
Class A: 0
Class B: 0
Class C: 0
Class D: +2
Moody's Adjusted WARF + 20% (3482)
Class A: 0
Class B: 0
Class C: -1
Class D: -1
Sources of additional performance uncertainties are:
1. Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2. Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the 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.
NEWCASTLE CDO: Moody's Raises Rating of Cl.II-FL Notes to 'Ba3'
---------------------------------------------------------------
Moody's has upgraded the ratings of three and affirmed the ratings
of five classes of Notes issued by Newcastle CDO IV, Ltd., due
to improvement in the underlying collateral as evidenced by the
Moody's weighted average rating factor (WARF), and improvement in
the par value ratios. The affirmations are due to key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO and Re-Remic) transactions.
Cl. I-MM Floating Rate Notes, Upgraded to A2 (sf); previously on
Feb 24, 2010 Downgraded to Baa1 (sf)
Cl.II-FL Deferrable Floating Rate Notes, Upgraded to Ba3 (sf);
previously on Jan 28, 2011 Downgraded to B2 (sf)
Cl.II-FX Deferrable Fixed Rate Notes, Upgraded to Ba3 (sf);
previously on Jan 28, 2011 Downgraded to B2 (sf)
Cl.III-FL Deferrable Floating Rate Notes, Affirmed at Caa2 (sf);
previously on Jan 28, 2011 Downgraded to Caa2 (sf)
Cl.III-FX Deferrable Fixed Rate Notes, Affirmed at Caa2 (sf);
previously on Jan 28, 2011 Downgraded to Caa2 (sf)
Cl.IV-FL Deferrable Floating Rate Notes, Affirmed at Ca (sf);
previously on Jan 28, 2011 Downgraded to Ca (sf)
Cl.IV-FX Deferrable Fixed Rate Notes, Affirmed at Ca (sf);
previously on Jan 28, 2011 Downgraded to Ca (sf)
Cl.V Deferrable Fixed Rate Notes, Affirmed at C (sf); previously
on Jan 28, 2011 Downgraded to C (sf)
RATINGS RATIONALE
Newcastle CDO IV, Ltd. is a currently static (the reinvestment
period ended in March 2009) cash CRE CDO transaction backed
by a portfolio of commercial mortgage backed securities (CMBS)
(45.3% of the pool balance), real estate investment trust
(REIT) debt (20.2%), rake bonds (19.8%), asset backed securities
primarily in the form of residential mortgage backed securities
(9.4%), b-notes (4.5%) and real estate bank loans (0.8%). As of
the September 26, 2011 Note Valuation report, the aggregate Note
balance of the transaction, including preferred shares, has
decreased to $241.6 million from $450.0 million at issuance, with
the paydown directed to the Class I Notes, as a result of regular
amortization of the underlying collateral and failure of the par
value tests. Additionally, there have been partial cancellations
to Class III-FX and Class IV-FL.
There are two assets with a par balance of $3.6 million (1.7% of
the current pool balance) that are considered Defaulted Securities
as of the November 30, 2011 Trustee report. While there have been
realized losses on the underlying collateral to date, Moody's does
expect significant losses to occur on the Defaulted Securities
once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 1,394 compared to 2,009 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aa3
(2.3% compared to 3.6% at last review), A1-A3 (0.2% compared to
6.4% at last review), Baa1-Baa3 (45.9% compared to 35.8% at last
review), Ba1-Ba3 (30.6% compared to 27.3% at last review), B1-B3
(16.2% compared to 9.4% at last review), and Caa1-C (4.8% compared
to 17.6% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.2 years, the same
as that at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
20.0% compared to 23.0% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 20.7% compared to 10.6% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
20.0% to 30.0% or up to 10.0% would result in average modeled
rating movement on the rated tranches of 0 to 2 notches downward
and 0 to 1 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected
range will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline
and job creation rebounds. The hotel and multifamily sectors
are in recovery and improvements in the office sector continue,
with fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
NICHOLAS-APPLEGATE: Moody's Raises Rating of Class B Notes to 'B1'
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of this note
issued by Nicholas-Applegate CBO II Ltd:
US$32,400,000 Class B Floating Rate Notes Due April 26, 2013
(current outstanding balance of $13,068,763), Upgraded to B1 (sf);
previously on May 8, 2009 Downgraded to Ca (sf).
RATINGS RATIONALE
According to Moody's, the rating action taken on the notes is
primarily a result of the amortization of the Class B Notes and an
increase in the transaction's overcollateralization ratios since
the rating action in May 2009. Moody's notes that the Class B
Notes are no longer deferring interest and that all previously
deferred interest has been paid in full. Since the rating action
in May 2009, the Class B Notes have been paid down by
approximately 60.6% or $20.1 million. Based on the latest trustee
report dated November 2011, the Class B overcollateralization
ratio is reported at 120.6%, versus May 2011 level of 108.7%. Due
to the failure in Class C overcollateralization test, excess
interest has been diverted to de-lever the Class B Notes.
The rating action also reflects 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.
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
$12,477,500, defaulted par of $8,740,000, a weighted average
default probability of 2.83% (implying a WARF of 2226), a
weighted average recovery rate upon default of 25%, and a
diversity score of 3. 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 CBO 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.
Nicholas-Applegate CBO II Ltd, issued in April 2001, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. This publication incorporates rating criteria that
apply to both collateralized loan obligations and collateralized
bond oblgations.
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. In addition, due to the low
diversity of the collateral pool, CDOROM 2.8 was used to simulate
a default distribution that was then applied as an input in the
cash flow model.
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) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors, especially when they experience jump to default. Due to
the deal's low diversity score and lack of granularity, Moody's
supplemented its typical Binomial Expansion Technique analysis
with a simulated default distribution using Moody's CDOROM(TM)
software and individual scenario analysis.
3) The deal has a pay-fixed receive-floating interest rate swap
that is currently out of the money. If fixed rate assets prepay or
default, there would be a more substantial mismatch between the
swap notional and the amount of fixed assets. In such cases,
payments to hedge counterparties may consume a large portion or
all of the interest proceeds, leaving the transaction, even with
respect to the senior notes, with poor interest coverage. Payment
timing mismatches between assets and liabilities may cause
additional concerns. If the deal does not receive sufficient
projected principal proceeds on the payment date to supplement the
interest proceeds shortfall, a heightened risk of interest payment
default could occur. Similarly, if principal proceeds are used to
pay interest, there may ultimately be a risk of payment default on
the principal of the notes.
NYLIM FLATIRON: Moody's Raises Cl. D Notes Rating to Baa3 From Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by NYLIM Flatiron CLO 2005-1, Ltd.:
US$26,000,000 Class C Deferrable Floating Rate Notes, Due 2017,
Upgraded to Aa1 (sf); previously on August 3, 2011 Upgraded to Aa2
(sf);
US$28,000,000 Class D Deferrable Floating Rate Notes, Due 2017,
Upgraded to Baa3 (sf); previously on August 3, 2011 Upgraded to
Ba1 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging and an increase in the
transaction's overcollateralization ratios. Moody's notes that the
Class A Notes have paid down approximately 34% or $56 million
since the rating action in August 2011. As a result of the
deleveraging, the overcollateralization ratios have increased
since the last rating action. Based on the latest trustee report
dated November 30, 2011, the Class A/B, Class C, and Class D
overcollateralization ratios are reported at 159.77%, 131%, and
109.72%, respectively, versus June 2011 levels of 140.61%,
122.35%, and 107.33%, respectively.
Notwithstanding the deleveraging of the transaction, Moody's notes
that the credit quality of the underlying portfolio has
deteriorated since the rating action in August 2011. In
particular, the weighted average rating factor is currently 2568
compared to 2364 in June 2011.
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 $191 million, no
defaulted par, a weighted average default probability of 16.3%
(implying a WARF of 2678), a weighted average recovery rate upon
default of 49%, and a diversity score of 43. 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.
NYLIM Flatiron CLO 2005-1, Ltd., issued in August 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
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.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF - 20% (2142)
Class A: 0
Class B: 0
Class C: +1
Class D: +2
Moody's Adjusted WARF + 20% (3214)
Class A: 0
Class B: 0
Class C: -2
Class D: -1
Sources of additional performance uncertainties are:
Deleveraging: The main source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds will
continue and at what pace. Deleveraging may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
PRESBYTERIAN VILLAGES: Fitch Holds Rating on $30 Mil. Bonds at BB+
------------------------------------------------------------------
In the course of routine surveillance, Fitch Ratings has affirmed
the 'BB+' rating on the following bonds:
-- $30.68 million Michigan State Hospital Finance Authority
revenue and refunding bonds series 2005 (Presbyterian
Villages of Michigan Obligated Group).
The Rating Outlook is Stable.
The 'BB+' rating affirmation and Stable Outlook reflect PVM's
stable financial profile at the current rating level characterized
by adequate liquidity, consistent debt service coverage, tight
expense control, and improving occupancy.
At Sept. 30, 2011, PVM's level of unrestricted cash and
investments was $10.4 million, which equates to 110.7 days cash on
hand (DCOH), a cushion ratio of 4.5x and cash to debt of 33.13%,
all slightly better year over year. While light, liquidity has
been consistent and is adequate for the rating level. All of PVM's
bonds are fixed rate which adds further stability to its
liquidity.
PVM management expects to end the year with maximum annual debt
service coverage of 1.4x, which is what PVM budgeted. Coverage
was 1.31x as of YTD Sept. 30, 2011, an improvement over 1.1x for
the same period last year.
PVM uses investment income and philanthropy to offset operating
losses and these were stressed in 2009, but recovered somewhat in
2010, with a total of $2.4 million in investment income and
philanthropy. Nine month interim figures for 2011 show investment
income and philanthropy keeping pace with 2010 figures, which will
help bottom line results in 2011. But PVM's need to offset
operating losses remains a credit concern. Through Sept. 30,
2011, PVM's operating loss was $1.7 million, down slightly from
the $1.9 million at Sept. 30, 2010.
PVM is in the middle of a state-wide fundraising campaign which
has increased donations (system-wide the campaign has netted a
strong $6 million in unrestricted, temporarily restricted, and
permanently restricted donations as of Sept. 30, 2011).
The reduction in PVM's operating loss through Sept. 30, 2011 is a
result of PVM's continued focus on cost control and its improved
occupancy. PVM has implemented a number of initiatives to help
increase occupancy. The Village of Westland campus has been a
particular challenge, and PVM initiated a program on that campus
to provide additional services in independent living units for a
fee, which has helped occupancy. Overall in the nine month
interim period IL occupancy improved considerably to 87.3% from
79.3% for the same period in 2010. PVM management reports IL
occupancy continuing to trend in a positive direction through
early December.
Headquartered in Southfield, MI, the PVM Obligated Group consists
of PVM Corporate, a foundation, and three rental continuing care
retirement communities located in Redford, Westland and
Chesterfield Township, MI. PVM OG had approximately $34.1 million
in operating revenue in 2010. Currently, the Obligated Group's
three campuses total 326 independent rental apartments (of which
313 are operational), 236 assisted living units (of which 234 are
operational), and 178 skilled nursing beds. In addition, PVM owns
or manages approximately 1,250 independent living and 28 assisted
living units through non-obligated entities.
PVM has covenanted to provide annual audited financial statements
and quarterly unaudited financials to the to the Municipal
Securities Rulemaking Board's EMMA system. Fitch notes that PVM's
disclosure practices have been excellent.
PRO RATA FUNDING: S&P Withdraws 'CCC-' Rating on Class D Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
class A-1, A-2, B, C, and D notes from Pro Rata Funding Ltd., a
U.S. hybrid collateralized loan obligation (CLO) transaction
managed by Crescent Capital Group L.P.
The withdrawals follow the optional redemption of the rated notes
on the Nov. 25, 2011, payment date.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Withdrawn
Pro Rata Funding Ltd.
Rating
To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR BB+ (sf)
C NR CCC+ (sf)
D NR CCC- (sf)
PSSA FLOATING: Moody's Reviews B3 Rating of Series 1998-1 Notes
---------------------------------------------------------------
Moody's Investors Service has placed on review for downgraded
these following certificates issued by PSSA Floating Rate Pass-
Through Trust, Series 1998-1:
US$90,200,000 Floating Rate Pass-Through Certificates Series 1998-
1, B3 Placed Under Review for Possible Downgrade; Previously on
March 24, 2009 Downgraded to B3
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
legal structure of the transaction, on the rating of J.P. Morgan
Chase & Co. and MBIA-insured Senior Term Notes, Series A-1-A,
issued by Basketball Properties, Ltd. The rating action is a
result of the change of MBIA's B3 Insurance Financial Strength
rating which was placed under review for downgraded on
December 19, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
RAIT CRE: Moody's Lowers Rating of Cl. B Notes to 'B1'
------------------------------------------------------
Moody's has downgraded ten and affirmed one class of Notes issued
by RAIT CRE CDO I, Ltd. due to deterioration in the underlying
collateral as evidenced by the Moody's weighted average rating
factor (WARF) and the sensitivity of the transaction to recovery
rates. The affirmation is due to key transaction parameters
performing within levels commensurate with the existing rating
level. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO CLO) transactions.
Cl. A-1A, Downgraded to Aa2 (sf); previously on Dec 9, 2010
Confirmed at Aaa (sf)
Cl. A-1B, Downgraded to Aa2 (sf); previously on Dec 9, 2010
Confirmed at Aaa (sf)
Cl. A-2, Downgraded to Baa3 (sf); previously on Dec 9, 2010
Downgraded to A1 (sf)
Cl. B, Downgraded to B1 (sf); previously on Dec 9, 2010 Downgraded
to Baa3 (sf)
Cl. C, Downgraded to Caa1 (sf); previously on Dec 9, 2010
Downgraded to B1 (sf)
Cl. D, Downgraded to Caa2 (sf); previously on Dec 9, 2010
Downgraded to B2 (sf)
Cl. E, Downgraded to Caa3 (sf); previously on Dec 9, 2010
Downgraded to B3 (sf)
Cl. F, Downgraded to Caa3 (sf); previously on Dec 9, 2010
Downgraded to Caa1 (sf)
Cl. G, Downgraded to Caa3 (sf); previously on Dec 9, 2010
Downgraded to Caa1 (sf)
Cl. H, Downgraded to Caa3 (sf); previously on Dec 9, 2010
Downgraded to Caa2 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on Dec 9, 2010 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
RAIT CRE CDO I, Ltd., is a static cash CRE CDO transaction
backed by a portfolio of whole loans (69.3% of the deal balance),
mezzanine loans (20.2%), preferred equity (8.4%) and B-Notes
(2.1%). As of the November 21, 2011 Trustee report, the aggregate
Note balance of the transaction, including preferred shares,
decreased to $985.5 billion from $1.018 billion at issuance. The
decrease was solely due to the partial cancellations of Classes D,
F, G, and H Notes. During the current review, holding all key
parameters static, the junior note cancellations results in
slightly higher expected losses on the senior Notes, while
resulting in slightly lower expected losses on mezzanine and
junior Notes. However, this does not cause, in and of itself, a
downgrade or upgrade of any outstanding classes of Notes.
As of the November 21, 2011 payment date, the trust held a lien on
twenty properties (40.1% of the collateral balance) owned by
affiliates of the collateral manager. In many cases, the original
whole loan was assumed by the new borrower and modified without
any material reduction in the total loan exposure. While most
loans were modified to lower debt service payments, some
additionally created a mezzanine loan or preferred equity interest
carved out of the first lien and the debt service on the total
debt exposure was reduced. The Trust then repurchased the new
loan(s) for the same par amount as the original loan. While
generally loan modifications can provide relief to distressed
properties, Moody's views these loan modifications via "exchange
offers" as credit negative to the Trust for three primary reasons;
(i) the creation of a mezzanine or preferred equity lien on the
sponsor is weaker than having a first lien on the property;
(ii) cash flows that could be utilized for amortization via par
value test failures or by increasing the interest coverage tests
are diverted away from the Trust; and (iii) a potential conflict
of interest may also limit future recoveries in the event of an
asset default due to both the borrower and the Trust being
controlled by the same parent entity.
There are nine assets with a par balance of $29.7 million (3.2% of
the current pool balance) that are considered Defaulted Securities
as of the November 21, 2011 Trustee report. Eight of these assets
(83.2% of the defaulted balance) are mezzanine loans and one asset
is a subordinate loan (16.8%). Defaulted Securities that are not
CMBS are defined as assets which are 60 or more days delinquent in
their debt service payment. While there have been limited realized
losses to date, Moody's does expect significant losses to occur
once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), weighted average recovery rate (WARR), and
Moody's asset correlation (MAC). These parameters are typically
modeled as actual parameters for static deals and as covenants for
managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 7,125 compared to 5,881 at last review. The
distribution of current ratings and credit estimates is: Baa1-Baa3
(0.2% compared to 0.2% at last review), Ba1-Ba3 (0.1% compared to
0.2% at last review), B1-B3 (2.5% compared to 21.7% at last
review), and Caa1-C (93.9% compared to 78.1% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 7.0 years compared
to 7.0 at last review. The modeled WAL includes long-pay
assumptions due to potential collateral extensions.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
39.6% compared to 38.0% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 99.9% compared to 20.8% at last review.
The increased MAC is due to a small number of assets concentrated
within higher risk collateral.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
40% to 30% or up to 50% would result in average rating movement on
the rated tranches of 1 to 5 notches downward and 0 to 9 notches
upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected
range will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline
and job creation rebounds. The hotel and multifamily sectors are
in recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector
has been mixed with on-going rent deflation and leasing
challenges. Across all property sectors, the availability of
debt capital continues to improve with monetary policy expected
to remain supportive and interest rate hikes postponed. Moody's
central global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
RAIT PREFERRED: Moody's Affirms Rating of Cl. B Notes at 'B2'
-------------------------------------------------------------
Moody's has affirmed five and downgraded six classes of of RAIT
Preferred Funding II. Ltd. due to deterioration in the underlying
collateral as evidenced by the Moody's weighted average rating
factor (WARF) and the sensitivity of the transaction to recovery
rates. The affirmations are due to key transaction parameters
performing within levels commensurate with the existing ratings
levels. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO) transactions.
Cl. A-1R, Affirmed at Aaa (sf); previously on Dec 9, 2010
Confirmed at Aaa (sf)
Cl. A-1T, Affirmed at Aaa (sf); previously on Dec 9, 2010
Confirmed at Aaa (sf)
Cl. A-2, Downgraded to Baa3 (sf); previously on Dec 9, 2010
Downgraded to A2 (sf)
Cl. B, Downgraded to B2 (sf); previously on Dec 9, 2010 Downgraded
to Ba1 (sf)
Cl. C, Downgraded to Caa1 (sf); previously on Dec 9, 2010
Downgraded to B2 (sf)
Cl. D, Downgraded to Caa2 (sf); previously on Dec 9, 2010
Downgraded to Caa1 (sf)
Cl. E, Downgraded to Caa2 (sf); previously on Dec 9, 2010
Downgraded to Caa1 (sf)
Cl. F, Downgraded to Caa3 (sf); previously on Dec 9, 2010
Downgraded to Caa2 (sf)
Cl. G, Affirmed at Caa3 (sf); previously on Dec 9, 2010 Downgraded
to Caa3 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on Dec 9, 2010 Downgraded
to Caa3 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on Dec 9, 2010 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
RAIT Preferred Funing II. Ltd. is a revolving cash CRE CDO
transaction backed by a portfolio of A-Notes and whole loans
(87.8% of the pool balance, excluding cash), B-Notes (6.7%), and
mezzanine loans and preferred equity positions (5.5%). As of the
November 21, 2011 Trustee report, the aggregate Note balance of
the transaction, including preferred shares, was $828 million
from $833 million at issuance. The decrease was solely due to
the partial cancellations of Classes D, E, F, and G Notes. The
revolving period ends in June 2012 at which point paydowns are
directed to the Notes in senior sequential order.
As of the November 21, 2011 payment date, the trust held a lien
on twenty-five properties (48.6% of the collateral balance)
owned by affiliates of the collateral manager. In many cases, the
original whole loan was assumed by the new borrower and modified
without any material reduction in the total loan exposure. While
most loans were modified to lower debt service payments, some
additionally created a mezzanine loan or preferred equity interest
carved out of the first lien and the debt service on the total
debt exposure was reduced. The Trust then repurchased the new
loan(s) for the same par amount as the original loan. While
generally loan modifications can provide relief to distressed
properties, Moody's views these loan modifications via "exchange
offers" as credit negative to the Trust for three primary reasons;
(i) the creation of a mezzanine or preferred equity lien on the
sponsor is weaker than having a first lien on the property; (ii)
cash flows that could be utilized for amortization via par value
test failures or by increasing the interest coverage tests are
diverted away from the Trust; and (iii) a potential conflict of
interest may also limit future recoveries in the event of an asset
default due to both the borrower and the Trust being controlled by
the same parent entity.
There is one asset with a par balance of $4.2 million (0.6% of the
current pool balance) that is considered a Defaulted Securities as
of the November 21, 2011 Trustee report. This asset is a whole
loans. Defaulted Securities are defined as assets which are 60 or
more days delinquent in their debt service payment. While there
have been no realized losses to date, Moody's does expect
significant losses to occur once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of X compared to 5,441 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aa3
(0.0% compared to 0.1% at last review), A1-A3 (0.4% compared to
0.0% at last review),Baa1-Baa3 (0.0% compared to 0.7% at last
review), Ba1-Ba3 (2.4% compared to 2.0% at last review), B1-B3
(7.0% compared to 25.5% at last review), and Caa1-C (90.2%
compared to 71.7% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 5.5 years compared
to 5.5 at last review. The modeled WAL includes the remaining
revolving period.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
52% compared to 52% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 99.99% compared to 17.0% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
52% to 42% or up to 6% would result in average rating movement on
the rated tranches of 0 to 6 notches downward and 0 to 10 notches
upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline
and job creation rebounds. The hotel and multifamily sectors
are in recovery and improvements in the office sector continue,
with fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector
has been mixed with on-going rent deflation and leasing
challenges. Across all property sectors, the availability of
debt capital continues to improve with monetary policy expected
to remain supportive and interest rate hikes postponed. Moody's
central global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
RESOURCE REAL: Moody's Affirms Rating of Cl. C Notes at 'Ba2'
-------------------------------------------------------------
Moody's has affirmed the ratings of fourteen classes of Notes
issued by Resource Real Estate Funding CDO 2007-1, Ltd., due to
key transaction parameters performing within levels commensurate
with the existing ratings levels. The transaction has a greater
concentration in investment grade CMBS which tended to increase
recovery rates. However, the transaction's sensitivity to recovery
rates is muting this effect. The rating action is the result
of Moody's on-going surveillance of commercial real estate
collateralized debt obligation and collateralized loan obligation
(CRE CDO CLO) transactions.
Cl. A-1, Affirmed at Aaa (sf); previously on Apr 20, 2009
Confirmed at Aaa (sf)
Cl. A-1R, Affirmed at Aaa (sf); previously on Apr 20, 2009
Confirmed at Aaa (sf)
Cl. A-2, Affirmed at Aa3 (sf); previously on Dec 15, 2010
Downgraded to Aa3 (sf)
Cl. B, Affirmed at Baa3 (sf); previously on Dec 15, 2010
Downgraded to Baa3 (sf)
Cl. C, Affirmed at Ba2 (sf); previously on Dec 15, 2010 Downgraded
to Ba2 (sf)
Cl. D, Affirmed at B2 (sf); previously on Dec 15, 2010 Downgraded
to B2 (sf)
Cl. E, Affirmed at Caa1 (sf); previously on Dec 15, 2010
Downgraded to Caa1 (sf)
Cl. F, Affirmed at Caa1 (sf); previously on Dec 15, 2010
Downgraded to Caa1 (sf)
Cl. G, Affirmed at Caa2 (sf); previously on Dec 15, 2010
Downgraded to Caa2 (sf)
Cl. H, Affirmed at Caa2 (sf); previously on Dec 15, 2010
Downgraded to Caa2 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. K, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. L, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. M, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
RATINGS RATIONALE
Resource Real Estate CDO 2007-1, Ltd., is a revolving CRE CDO
transaction (the reinvestment period ends in June, 2012) backed by
a portfolio A-Notes and whole loans (68.5% of the pool balance),
commercial mortgage backed securities (CMBS) (21.5%), mezzanine
debt (9.0%), and B-Note debt (0.9%). As of the November 18, 2011
Trustee report, the aggregate Note balance of the transaction is
$469.1 million compared to $500.0 at last review. The decrease
in the aggregate Note balance is due to note cancellation of the
Classes B, F, G, and H. During the current review, holding all
key parameters static, the junior note cancellations results in
slightly higher expected losses and longer weighted average lives
on the senior Notes, while having the opposite effect on mezzanine
and junior Notes. However, this does not cause, in and of itself,
a downgrade or upgrade of any outstanding classes of Notes. There
are no losses to the transaction and the transaction is passing
all of its par value and interest coverage ratio tests.
There are four assets with a par balance of $15.9 (3.8% of the
pool balance) that are classified as an Impaired Securities
compared to three assets with a par balance of $12.0 million
(2.6%) at last review. Moody's expects moderate to high losses
from the Impaired Securities to occur once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated credit estimates for the non-Moody's rated
collateral. The bottom-dollar WARF is a measure of the default
probability within a collateral pool. Moody's modeled a bottom-
dollar WARF of 6,955 compared to 6,891 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aaa3
(0.0% compared to 2.2% at last review), A1-A3 (5.8% compared to
3.3% at last review), Baa1-Baa3 (12.8% compared to 8.0% at last
review), Ba1-Ba3 (1.8% compared to 2.6% at last review), B1-B3
(3.8% compared to 7.7% at last review), and Caa1-C (75.9% compared
to 76.3% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.5 years compared
to 5.5 at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
41.4% compared to 36.7% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 99.9% the same as at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
41.4% to 31.4% or up to 51.4% would result in average rating
movement on the rated tranch of 0 to 6 notches downward and 0 to
10 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected
range will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline
and job creation rebounds. The hotel and multifamily sectors
are in recovery and improvements in the office sector continue,
with fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector
has been mixed with on-going rent deflation and leasing
challenges. Across all property sectors, the availability of
debt capital continues to improve with monetary policy expected
to remain supportive and interest rate hikes postponed. Moody's
central global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
RESOURCE REAL: Moody's Raises Rating of Cl. C Notes to 'Ba3'
------------------------------------------------------------
Moody's has upgraded the ratings of four classes and affirmed the
ratings of four classes of Notes issued by Resource Real Estate
Funding CDO 2006-1, Ltd. due to an improvement in the weighted
average rating factor (WARF) and increase in the weighted average
recovery rate (WARR). The lower expected loss is primarily
resulting from the increase in whole loans and reduction in
mezzanine loans due to reinvestment. Additionally, there has been
amortization of the Class A-1 Notes. The affirmations are due to
key transaction parameters performing within levels commensurate
with the existing ratings levels. The rating action is the result
of Moody's on-going surveillance of commercial real estate
collateralized debt obligation and collateralized loan obligation
(CRE CDO CLO) transactions.
Cl. A-1, Upgraded to Aaa (sf); previously on Dec 15, 2010
Downgraded to Aa1 (sf)
Cl. C, Upgraded to Ba3 (sf); previously on Dec 15, 2010 Downgraded
to B3 (sf)
Cl. D, Upgraded to B1 (sf); previously on Dec 15, 2010 Downgraded
to Caa1 (sf)
Cl. E, Upgraded to B3 (sf); previously on Dec 15, 2010 Downgraded
to Caa2 (sf)
Cl. F, Affirmed at Caa2 (sf); previously on Dec 15, 2010
Downgraded to Caa2 (sf)
Cl. G, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. K, Affirmed at Caa3 (sf); previously on Apr 20, 2009
Downgraded to Caa3 (sf)
RATINGS RATIONALE
Resource Real Estate Funding CDO 2006-1, Ltd. is a static CRE CDO
transaction (the reinvestment period ended in September, 2011)
backed by a portfolio A-Notes and whole loans (68.2% of the pool
balance), mezzanine debt (16.2%), CRE CDOs (5.4%), B-Note debt
(5.2%) and commercial mortgage backed securities (CMBS) (5.1%). As
of the November 18, 2011 Trustee report, the aggregate Note
balance of the transaction is $299.6 million compared to $345.0 at
last review. The decrease in the balance is due to note
cancellation of the Classes B, C, D, E, and F and paydowns of the
Class A-1 Notes. During the current review, holding all key
parameters static, the junior note cancellations results in
slightly higher expected losses and longer weighted average lives
on the senior Notes, while having the opposite effect on mezzanine
and junior Notes. However, this does not cause, in and of itself,
a downgrade or upgrade of any outstanding classes of Notes. There
are no losses to the transaction and the transaction is passing
all of its par value and interest coverage ratio tests.
There is one asset with a par balance of $5.0 (1.6% of the pool
balance) that is classified as an Impaired Security compared to
two assets with a par balance of $15.5 million (5.7%) at last
review. Moody's expects moderate losses from the Impaired Security
to occur once it is realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), WARR, and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated credit estimates for the non-Moody's rated
collateral. The bottom-dollar WARF is a measure of the default
probability within a collateral pool. Moody's modeled a bottom-
dollar WARF of 6,057 compared to 7,034 at last review. The
distribution of current ratings and credit estimates is: Baa1-Baa3
(2.2% compared to 7.1% at last review), Ba1-Ba3 (3.3% compared to
1.5% at last review), B1-B3 (14.9% compared to 0.0% at last
review), and Caa1-C (79.6% compared to 85.3% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.4 years compared
to 4.8 at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
38.6% compared to 24.4% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 99.9% the same as at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
38.6% to 28.6% or up to 48.6% would result in average rating
movement on the rated tranch of 0 to 6 notches downward and 0 to 9
notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
the commercial real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
SCSC 2004-CCF1: Moody's Affirms Rating of Cl. F Notes at 'Ba1'
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 14 classes of
Schooner Trust, Commercial Mortgage Pass-Through Certificates,
Series 2004-CCF1:
Cl. A-1, Affirmed at Aaa (sf); previously on Jan 23, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on Jan 23, 2004
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Apr 18, 2007 Upgraded
to Aaa (sf)
Cl. C, Affirmed at Aa1 (sf); previously on Feb 24, 2011 Upgraded
to Aa1 (sf)
Cl. D-1, Affirmed at A3 (sf); previously on Feb 24, 2011 Upgraded
to A3 (sf)
Cl. D-2, Affirmed at A3 (sf); previously on Feb 24, 2011 Upgraded
to A3 (sf)
Cl. E, Affirmed at Baa2 (sf); previously on Feb 24, 2011 Upgraded
to Baa2 (sf)
Cl. F, Affirmed at Ba1 (sf); previously on Jan 23, 2004 Definitive
Rating Assigned Ba1 (sf)
Cl. G, Affirmed at Ba2 (sf); previously on Jan 23, 2004 Definitive
Rating Assigned Ba2 (sf)
Cl. H, Affirmed at Ba3 (sf); previously on Jan 23, 2004 Definitive
Rating Assigned Ba3 (sf)
Cl. J, Affirmed at B2 (sf); previously on Jan 23, 2004 Definitive
Rating Assigned B2 (sf)
Cl. K, Affirmed at B3 (sf); previously on Jan 23, 2004 Definitive
Rating Assigned B3 (sf)
Cl. IO-1, Affirmed at Aaa (sf); previously on Jan 23, 2004
Definitive Rating Assigned Aaa (sf)
Cl. IO-2, Affirmed at Aaa (sf); previously on Jan 23, 2004
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
2.9% of the current balance. At last review, Moody's cumulative
base expected loss was 1.9%. Moody's stressed scenario loss is
6.6% of the current balance. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the current sluggish
macroeconomic environment and performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. The
availability of debt capital continues to improve with terms
returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating Canadian CMBS" published in
May 2000.
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 SCSC 2004-CCF1 IO1 and IO2 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 change on Moody's
rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 22 the same as Moody's prior full review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review.
DEAL PERFORMANCE
As of the December 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $295 million
from $474 million at securitization. The Certificates are
collateralized by 54 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten non-defeased or specially
serviced loans representing 41% of the pool. Six loans,
representing 4% of the pool, have defeased and are collateralized
with Canadian Government securities.
Ten loans, representing 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Currently one loan, the Chateau Dollard Loan ($8.8 million -- 3.0%
of the pool) is currently in special servicing. This loan is
secured by a 122-unit assisted living facility located in Dollard-
des-Ormeaux, QC. The loan transferred to special servicing in
August 2010 due to payment default, real estate tax default,
utility rent seizure, and pledge of shares in the borrowing entity
to another lender. Moody's has estimated a loss of $2.0 million
(23% loss given default) for this loan.
Moody's has assumed a high default probability for two poorly
performing loans representing 2% of the pool and has estimated an
aggregate $1.2 million loss (20% expected loss based on a 40%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 87%
of the pool. Excluding specially serviced, troubled, and defeased
loans Moody's weighted average LTV is 64% compared to 65% at last
review. Moody's net cash flow reflects a weighted average haircut
of 12% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.9%.
Excluding specially serviced, troubled, and defeased loans Moody's
actual and stressed DSCRs are 1.63X and 1.80X, respectively,
compared to 1.64X and 1.77X at last review. Moody's actual DSCR is
based on Moody's net cash flow (NCF) and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The top three performing conduit loans represent 26% of the pool
balance. The largest loan is the Merivale/Gateway Mall Portfolio
Loan ($31.8 million -- 10.8% of the pool), which is secured by a
225,000 square foot (SF) enclosed mall located in Ottawa and a
327,000 SF enclosed mall located in Prince Albert. The loan is
amortizing on a 300-month schedule maturing in April 2013.
Property performance has remained stable since the last review.
Moody's LTV and stressed DSCR are 69% and 1.49X, respectively,
compared to 67% and 1.54X at last full review.
The second largest loan is the Fortis Portfolio Loan
($23.9 million -- 8.1% of the pool), which is secured by four full
service Holiday Inn hotels located in multiple cities in southern
Ontario. The loan is amortizing on a 300-month schedule maturing
in November 2013. The loan has paid down 20% since securitization.
The Holiday Inn - Cambridge is on the watchlist due to decrease
in occupancy from 64% (YE '08) to 43% (YE '10). This was due
to renovations taking place at the property but occupancy has
rebounded to 61% as of 9/30/11. Performance for the remaining
three properties has improved since the last review. Moody's LTV
and stressed DSCR are 56% and 2.15X, respectively, compared to 61%
and 1.99X at last full review.
The third largest loan is the Cherry Lane Shopping Centre Loan
($22.1 million -- 7.5% of the pool), which is secured by a 236,000
SF anchored retail center located in Penticton, BC. The loan is
amortizing on a 300-month schedule maturing in August 2013. The
loan has paid down 18% since securitization. Property performance
has improved steadily over the prior two reviews. Moody's LTV and
stressed DSCR are 54% and 2.02X, respectively, compared to 59% and
1.84X at last review.
SILVER CREEK: Moody's Raises Rating of Class B-1 Notes to 'Ba1'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Silver Creek Funding Ltd.:
US$25,000,000 Class B-1 Floating Rate Deferrable Senior
Subordinate Notes Due 2016, Upgraded to Ba1 (sf); previously on
June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade;
US$22,000,000 Class B-2 Fixed Rate Deferrable Senior Subordinate
Notes Due 2016, Upgraded to Ba1 (sf); previously on June 22, 2011
Ba2 (sf) Placed Under Review for Possible Upgrade;
US$9,000,000 Class C Floating Rate Deferrable Subordinate Notes
Due 2016, Upgraded to B1 (sf); previously on June 22, 2011 B3 (sf)
Placed Under Review for Possible Upgrade.
In addition, Moody's confirmed the ratings of these notes:
US$28,000,000 Class A-1 Floating Rate Senior Notes Due 2016
(current outstanding balance of $14,133,005), Confirmed at Aa3
(sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review for
Possible Upgrade;
US$11,000,000 Class A-2 Fixed Rate Senior Notes Due 2016 (current
outstanding balance of $5,552,252), Confirmed Aa3 (sf); previously
on June 22, 2011 Aa3 (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.
The actions also reflect consideration of delevering of the
senior notes since the rating action in June 2009. Moody's notes
that the Class A Notes have been paid down by approximately 41% or
$14 million since the rating action in June 2009. As a result of
the delevering, the overcollateralization ratios have increased.
Based on the latest trustee report dated November 30, 2011, the
Class A, Class B and Class C overcollateralization ratios are
reported at 447.5%, 132.1% and 116.4%, respectively, versus May
2009 levels of 256.6%, 110.7% and 99.8%, respectively.
The rating actions also reflect corrections to the modeling of
assumptions as to the treatment of long-dated assets, amortization
of reinvested assets, and tracking of the GIC account that were
used in Moody's previous analyses of the transaction. Due to
errors in the modeling of these assumptions, the ratings assigned
in the previous rating actions may have been higher than
warranted. These errors have been corrected, and the rating
actions reflect the appropriate assumptions.
Furthermore, the rating actions taken on the Class A-1 Notes and
Class A-2 Notes also reflect the additional risk posed to the
noteholders due to the insurance financial strength rating of
General Electric Capital Corporation, which acts as Guarantor
under the Investment Agreement in the transaction. In its
analysis, Moody's added the Aa2 default risk associated with
General Electric Capital Corporation to the expected loss of
each class of rated notes, resulting in an Aa3 rating for Class
A-1 Notes and Class A-2 Notes in expected loss terms. The impact
on the Class A-1 Notes and Class A-2 Notes was more pronounced due
to their higher rating relative to the ratings of other classes of
rated notes.
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 reference pool to have a
swap notional of $254 million, defaulted par of $1 million, a
weighted average default probability of 13.77% (implying a WARF of
2740), a weighted average recovery rate upon default of 49.74%,
and a diversity score of 36. The default and recovery properties
of the reference 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
reference pool. The average recovery rate to be realized on future
defaults is based primarily on the seniority of the assets in the
reference pool. In each case, historical and market performance
trends and collateral manager latitude for trading the collateral
are also factors.
Silver Creek Funding Ltd. issued in January 2004, is a synthetic
collateralized loan obligation referencing primarily by a
portfolio of senior secured loans.
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. 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) Amortization of the reference pool: The main source of
uncertainty in this transaction is the pace of amortization of the
reference pool from scheduled and unscheduled payments. Delevering
of the notes may accelerate due to high prepayment levels in the
loan market and/or collateral sales by the manager, which may have
significant impact on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the 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.
SIX CENT: S&P Raises Rating on Class E Notes From 'B+' to 'BB'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the
class A-1, A-2b, B, C, D, and E notes from Cent CDO 14 Ltd.,
a U.S. collateralized loan obligation (CLO) managed by Columbia
Management Investment Advisers LLC. "At the same time, we affirmed
our 'AA+' rating on the class A-2a notes," S&P said.
"The upgrades mainly reflect an improvement in the performance of
the transaction's underlying asset portfolio since we lowered our
ratings on all of the notes in November 2009, following the
application of our September 2009 collateralized debt obligation
(CDO) criteria," S&P said.
"As of the November 2011 trustee report, the transaction
had $3.4 million of defaulted assets. This was down from the
$29.2 million of defaulted assets noted in the October 2009
trustee report, which we used for our November 2009 rating
actions. Additionally, the trustee reported $24.8 million in
assets from obligors rated in the 'CCC' category in November
2011, compared with $51.9 million in October 2009," S&P said.
The upgrades also reflect an improvement in the
overcollateralization (O/C) available to support the notes since
the in November 2009 rating actions. The trustee reported these
O/C ratios in the November 2011 monthly report:
The class A/B O/C ratio was 120.3%, compared with a reported
ratio of 117.7% in October 2009;
The class C O/C ratio was 113.4%, compared with a reported
ratio of 111.1% in October 2009;
The class D O/C ratio was 108.7%, compared with a reported
ratio of 106.4% in October 2009; and
The class E O/C ratio was 105.8%, compared with a reported
ratio of 103.6% in October 2009.
The affirmation of the rating on the class A-2a notes reflects the
availability of credit support at the current rating level.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Cent CDO 14 Ltd.
Rating
Class To From
A-1 AA+ (sf) AA- (sf)
A-2b AA+ (sf) AA- (sf)
B A+ (sf) A (sf)
C BBB+ (sf) BBB (sf)
D BBB- (sf) BB+ (sf)
E BB (sf) B+ (sf)
Rating Affirmed
Cent CDO 14 Ltd.
Class Rating
A-2a AA+ (sf)
Transaction Information
Issuer: Cent CDO 14 Ltd.
Coissuer: Cent CDO 14 Corp.
Underwriter: Morgan Stanley
Collateral manager: Columbia Management
Investment Advisers LLC
Trustee: Deutsche Bank Trust Co. Americas
Transaction type: Cash flow CDO
SKYTOP CLO: Moody's Confirms Rating of Class C Notes at 'Caa1'
--------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of these notes
issued by Skytop CLO Ltd.:
US$18,000,000 Class A-1 Floating Rate Senior Notes Due 2018
(current outstanding balance of $4,255,865), Confirmed at Aa3
(sf); previously on June 22, 2011 Aa3 (sf) Place Under Review for
Possible Upgrade;
US$23,000,000 Class A-2 Floating Rate Senior Notes Due 2018,
Confirmed at A1 (sf); previously on June 22, 2011 A1 (sf) Place
Under Review for Possible Upgrade;
US$15,000,000 Class B Fixed Rate Deferrable Senior Subordinate
Notes due 2018, Confirmed at Ba2 (sf); previously on June 22, 2011
Ba2 (sf) Place Under Review for Possible Upgrade;
US$18,000,000 Class C Floating Rate Deferrable Senior Subordinate
Notes due 2018, Confirmed at Caa1 (sf); previously on June 22,
2011 Caa1 (sf) Place Under Review for Possible Upgrade;
US$2,600,000 Class Q-1 Securities due 2018 (current rated balance
of $277,342), Confirmed at Ca (sf); previously on June 22, 2011 Ca
(sf) Place Under Review for Possible Upgrade.
Moody's also confirmed the rating on the credit default swap
transaction associated with Skytop CLO Ltd. The swap reflects the
senior most portion of the Retained Calculation Amount, as defined
in the original Reference Portfolio Swap of Skytop CLO Ltd.:
US$288,000,000 Outstanding Amount Referenced in that certain
Portfolio Swap Transaction with Citigroup Financial Products Inc.
dated as of June 30, 2009 (Skytop CLO Ltd., Swap ID# CC5S00299)
Confirmed at A2 (sf); previously on June 22, 2011 A2 (sf) Place
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the confirmation of these ratings reflects
its assumption of the high likelihood of imminent redemption of
the rated notes on December 28, 2011. The holders of at least 66-
2/3% in aggregate principal amount of the Income Notes have
directed the redemption of the aggregate principal amount of all
outstanding notes. Notice of Optional Redemption was announced by
the issuer on December 12, 2011. However, in the unlikely event
that the optional redemption does not occur as announced, or the
notes are not redeemed in full on or about December 28, 2011,
Moody's will reconsider its ratings accordingly.
Moody's placed the ratings of the notes under review for upgrade
on June 22, 2011 as a result of 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.
Notwithstanding the announced redemption of the notes, a number of
corrections were made to the modeling of assumptions as to the
treatment of long-dated assets, amortization of the reinvested
assets, and tracking of the GIC account that were used in Moody's
previous analyses of the transaction. Due to errors in the
modeling of these assumptions, the ratings assigned in the
previous rating action may have been higher than warranted. These
errors have been corrected.
The actions also considered delevering of the Class A-1 Notes and
an increase in the transaction's overcollateralization ratios.
Moody's notes that the Class A-1 Notes have been paid down by 60%
or $6.4 million since the last rating action in January 2010 due
to the diversion of excess interest to delever the Class A-1 Notes
in the event of a Class C overcollateralization test failure. As a
result of the delevering, the overcollateralization ratios have
increased since the last rating action.
Furthermore, the rating actions also reflect the additional risk
posed to the noteholders due to the insurance financial strength
rating of Financial Security Assurance Inc., which acts as
Guarantor under the Investment Agreement in the transaction. In
its analysis, Moody's added the Aa3 default risk associated with
Financial Security Assurance Inc. to the expected loss of each
class of rated notes.
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 reference pool to have a swap notional
balance of $373 million, an eligible investments balance of
$67 million, defaulted par balance of $8.5 million, a weighted
average default probability of 16.3% (implying a WARF of 2887),
a weighted average recovery rate upon default of 47.6%, and a
diversity score of 39. The default and recovery properties of the
reference 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 reference pool. The
average recovery rate to be realized on future defaults is based
primarily on the seniority of the assets in the reference pool. In
each case, historical and market performance trends and collateral
manager latitude for trading the collateral are also factors.
Skytop CLO Ltd., issued in November of 2004, is a synthetic
collateralized loan obligation referencing a portfolio of
primarily senior secured loans.
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. 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) Optional redemption of the rated notes: There is a high
likelihood that optional redemption of the rated notes will take
place on December 28, 2011. The completion of the optional
redemption is subject to the satisfaction of conditions to the
optional redemption set forth in the Indenture.
2) Amortization of the reference pool: There is uncertainty with
respect to the pace of amortization of the reference pool from
scheduled and unscheduled payments after the end of the portfolio
modification period. Delevering of the notes may accelerate due to
high prepayment levels in the loan market and/or collateral sales
by the manager, which may have significant impact on the notes'
ratings.
3) 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.
SORIN REAL: Moody's Affirms Rating of Cl. A-2 Notes at 'Caa1'
-------------------------------------------------------------
Moody's has affirmed the ratings of all classes of Notes issued by
Sorin Real Estate CDO IV Ltd. due to key transaction parameters
performing within levels commensurate with the existing ratings
levels. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation and collateralized loan obligation (CRE CDO CLO)
transactions.
Cl. A-1, Affirmed at Baa2 (sf); previously on Dec 15, 2010
Downgraded to Baa2 (sf)
Cl. A-2, Affirmed at Caa1 (sf); previously on Dec 15, 2010
Downgraded to Caa1 (sf)
Cl. A-3, Affirmed at Caa2 (sf); previously on Dec 15, 2010
Downgraded to Caa2 (sf)
Cl. B, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. C, Affirmed at Ca (sf); previously on Dec 15, 2010 Downgraded
to Ca (sf)
Cl. D, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. E, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. F, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
Sorin Real Estate CDO IV Ltd. is a static (the Reinvestment
Period ended in October 2011) cash CRE CDO. As of the October
2011 Trustee report, the transaction is backed by a portfolio
of whole loans (20.9% of the pool balance), B-Notes (23.1%),
mezzanine loans (9.9%), commercial mortgage backed securities
(CMBS) (37.9%), CRE CDO debt (1.3%), and Rake bond (6.9%). The
aggregate Note balance of the transaction, including Income
Notes, has decreased to $337.5 million from $400 million at
issuance, with paydown directed to Class A1 Notes, as a result
of the combination of amortization of assets, resolutions and
sales of Defaulted Securities, and failing certain principal
coverage tests. Currently, the transaction is under-collateralized
by $26.7 million (6.7% of original aggregate Note balance) mainly
due to realized losses.
There are nine assets with a par balance of $77.8 million
(25.0% of the current pool balance) that are considered
Defaulted Securities as of the October 2011 Trustee report,
compared to thirteen assets (29.0% of the pool balance) at
last review. Moody's is expecting moderate to high losses to occur
once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated credit estimates for the non-Moody's rated
collateral. The bottom-dollar WARF is a measure of the default
probability within a collateral pool. Moody's modeled a bottom-
dollar WARF of 4,489 compared to 5,149 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aa3
(16.3% compared to 14.1% at last review), A1-A3 (0.0% compared to
3.2% at last review), Baa1-Baa3 (13.2% compared to 15.9% at last
review), Ba1-Ba3 (3.4% compared to 0.0% at last review), B1-B3
(9.8% compared to 10.2% at last review), and Caa1-C (57.3%
compared to 56.6% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.2 years compared
to 4.0 at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
24.5% compared to 30.0% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 16.3% compared to 9.0% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may
have rating implications on certain classes of rated notes.
However, in many instances, a change in key parameter assumptions
in certain stress scenarios may be offset by a change in one or
more of the other key parameters. Rated notes are particularly
sensitive to changes in recovery rate assumptions. Holding all
other key parameters static, changing the recovery rate assumption
down from 24.5% to 14.5% or up to 34.5% would result in average
rating movement on the rated tranches of 0 to 2 notches downward
and 0 to 2 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given
range may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated when the related
securities ratings were issued. Even so, a deviation from the
expected range will not necessarily result in a rating action nor
does performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. The availability of debt capital continues to improve
with terms returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
STONE TOWER: S&P Gives 'CCC+' Rating on Class D Notes
-----------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-2a, A-2b, A-3, B, C, and D notes from Stone Tower CLO
VI Ltd., a U.S. collateralized loan obligation (CLO) transaction
managed by Stone Tower Debt Advisors LLC.
"The affirmations reflect the availability of credit support at
the current rating levels. As of the November 2011 trustee report,
the transaction had $1.6 million of defaulted assets. This was
down from the $13.2 million defaulted assets noted in the October
2009 trustee report, which we referenced for our October 2009
rating actions when we lowered the ratings on the notes
following the application of our September 2009 criteria for
rating corporate collateralized debt obligations (CDOs; see
'Update To Global Methodologies And Assumptions For Corporate Cash
Flow And Synthetic CDOs,' published Sept. 17, 2009)," S&P said.
As of the Nov. 7, 2011 trustee report, each of the transaction's
O/C ratios had improved since October 2009:
The class A O/C ratio is 119.7% versus 118.1%;
The class B O/C ratio is 113.1% versus 111.6%;
The class C O/C ratio is 108.4% versus 107.0%; and
The class D O/C ratio is 104.8% versus 103.4%.
The transaction still is in its reinvestment period and all of the
rated classes have their original principal balances outstanding.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Affirmed
Stone Tower CLO VI Ltd.
Class Rating
A-1 AA+ (sf)
A-2a AA+ (sf)
A-2b AA+ (sf)
A-3 A+ (sf)
B BBB+ (sf)
C BB+ (sf)
D CCC+ (sf)
STRUCTURED INVESTMENTS: S&P Withdraws 'D' Rating on Notes
---------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on two
classes of notes from two U.S. collateralized debt obligation
(CDO) transactions.
"We withdrew our rating on the notes issued from AMP A CLO 2007-2
following a notice received indicating that the transaction had
terminated," S&P said.
"We withdrew our rating on the SIC III Series 2007-2 Laguna Seca
Notes Due 2047 issued by Structured Investments Corp. III
following the withdrawal of our ratings on the dependent
underlying securities, the class C and class D notes
from Laguna Seca Funding I Ltd.," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Withdrawn
UBS AG
$25 mil AMP A CLO 2007-2 notes
Rating
Class To From
Nts NR B+ (sf)/Watch Pos
Structured Investments Corp. III
$8.1 mil USD 8,100,000 SIC III Series 2007-2 Laguna Seca Notes due
2047
Rating
Class To From
2007-2 NR D (sf)
NR -- Not rated.
TARGETED RETURN: Moody's Raises Rating on Series HY-2006-1 to 'B1'
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of these
certificates issued by Targeted Return Index Securities Trust,
Series HY-2006-1:
$748,470,000 Targeted Return Index Securities Trust, Series HY-
2006-1 Certificates (current balance: $2,379,000), Upgraded to B1;
previously on June 23, 2009 Downgraded to B2;
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
average credit quality of the Underlying Securities as well as the
legal structure of the transaction. The rating action is a result
of the current composition of the underlying securities. Due to
redemptions within the pool, there are currently three securities
remaining in underlying pool with the lowest rating at a B1.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
TERRA CDO: Moody's Raises Rating of Class A1 Notes to 'Caa3'
------------------------------------------------------------
Moody's Investors Service announced this rating action on Terra
CDO SPC Ltd. Series 2007-7, a collateralized debt obligation
transaction.
The CSO, issued in 2007, references a portfolio of high yield
corporate names.
US$5,750,000 Class A1 Fixed Rate Notes due September 2012 Notes,
Upgraded to Caa3 (sf); previously on Feb 25, 2009 Downgraded to Ca
(sf)
RATING RATIONALE
Moody's rating action is the result of the short maturity of the
transaction and the high subordination remaining. The notes are
due to redeem in September 2012. Currently, the rated tranche has
10.3% of remaining subordination. Since inception, the portfolio
has experienced fourteen credit events. There have been 3
additional credit events since the last rating action in February
2009. The transaction is exposed to Clear Channel Communications,
Inc., K. Hovnanian Enterprises, Inc., and Residential Capital, LLC
modeled at Ca, although neither entity has experienced a credit
event.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:
* Market Implied Ratings ("MIRs") are modeled in place of the
corporate fundamental ratings to derive the default probability of
the reference entities in the portfolio. The gap between an MIR
and a Moody's corporate fundamental rating is an indicator of the
extent of the divergence in credit view between Moody's and the
market. The result of this run is one notch worse to the one
modeled under the base case.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
The principal methodology used in this rating was "Moody's
Approach to Rating Corporate Collateralized Synthetic Obligations"
published in September 2009.
Moody's analysis for this transaction is based on CDOROM v2.8.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.
Moody's analysis of CSOs is subject to uncertainties, the
primary sources of which include complexity, governance
and leverage. Although the CDOROM model captures many of
the dynamics of the Corporate CSO structure, it remains a
simplification of the complex reality. Of greatest concern
are (a) variations over time in default rates for instruments
with a given rating, (b) variations in recovery rates for
instruments with particular seniority/security characteristics
and (c) uncertainty about the default and recovery correlations
characteristics of the reference pool. Similarly on the
legal/structural side, the legal analysis although typically
based in part on opinions (and sometimes interpretations) of
legal experts at the time of issuance, is still subject to
potential changes in law, case law and the interpretations
of courts and (in some cases) regulatory authorities. The
performance of this CSO is also dependent on on-going decisions
made by one or several parties, including the Manager and the
Trustee. Although the impact of these decisions is mitigated by
structural constraints, anticipating the quality of these
decisions necessarily introduces some level of uncertainty in
Moody's assumptions. Given the tranched nature of CSO liabilities,
rating transitions in the reference pool may have leveraged rating
implications for the ratings of the CSO liabilities, thus leading
to a high degree of volatility. All else being equal, the
volatility is likely to be higher for more junior or thinner
liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.
TIAA STRUCTURED: Moody's Lowers Rating of Class A-1 Notes to Caa2
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one class
of Notes issued by TIAA Structured Finance CDO II, Limited. The
class of notes affected by today's rating action is:
US$225,000,000 Class A-1 Floating Rate Term Notes, Due 2038
(current balance of $20,626,242), Downgraded to Caa2 (sf);
previously on June 9, 2010 Downgraded to B2 (sf)
RATINGS RATIONALE
According to Moody's, the rating downgrade today is the result of
deterioration in the credit quality of the underlying portfolio.
Such credit deterioration is observed through numerous factors,
including an increase in the dollar amount of defaulted securities
and an increase in the Moody's WARF. Since the last rating action
in June 2010, defaulted securities, as reported by the trustee,
have increased from $21.3 million in June 2010 to $30.3 million in
November 2011. Additionally, the Trustee reported a WARF of 2167
in November 2011 compared to a WARF of 778 in June 2010.
TIAA Structured Finance CDO II, Limited is a collateralized debt
obligation issuance backed primarily by a portfolio of Residential
Mortgage-Backed Securities (RMBS). RMBS comprise approximately
50.35% of the underlying portfolio of which the majority is from
2002-2004 vintages.
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 rating action today factors in a number of sensitivity
analyses and stress scenarios. 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 Caa Assets notched up by 2 rating notches:
Class A-1: +1
Moody's Caa Assets notched down by 2 rating notches:
Class A-1: 0
TRAPEZA CDO: Moody's Raises Rating of Class B Notes to 'B2'
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these three
notes issued by Trapeza CDO III, Ltd.
US$108,500,000 Class A-1A First Priority Senior Secured Floating
Rate Notes, (current balance of $44,631,208.32) Upgraded to A1
(sf); previously on July 13, 2010 Downgraded to Baa2 (sf);
US$71,500,000 Class A-1B First Priority Senior Secured Fixed Rate
Notes, Upgraded to Baa3 (sf); previously on July 13, 2010
Downgraded to B1 (sf);
US$25,000,000 Class B Second Priority Senior Secured Floating Rate
Notes, Upgraded to B2 (sf); previously on July 13, 2010 Downgraded
to Caa1 (sf).
RATINGS RATIONALE
According to Moody's, the rating upgrade actions taken are
primarily the result of the improvement in the credit quality of
the underlying portfolio and overcollateralization (OC)
improvement for the Class A and B notes. The improvement in credit
quality of the portfolio is indicated by a weighted average rating
factor (WARF) decrease to 934, from 1941, as of the last rating
action date. OC improvement is due to excess interest used to pay
down the senior notes and the prepayment of three assets
comprising $22.5 million redeemed at par.
Trapeza CDO III, Ltd, issued on June 25, 2003, is a collateralized
debt obligation backed by a portfolio of bank trust preferred
securities (the 'TruPS CDO'). On July 13, 2010, the last rating
action date, Moody's downgraded five classes of notes as a result
of the deterioration in the credit quality of the transaction's
underlying portfolio.
In Moody's opinion, the banking sector outlook continues to remain
negative although there have been some recent signs of
stabilization. The pace of bank failures in 2011 has declined
compared to 2009 and 2010, and some of the previously deferring
banks have resumed interest payment on their trust preferred
securities.
The portfolio of this CDO is mainly composed of trust preferred
securities issued by small to medium sized U.S. community banks
that are generally not publicly rated by Moody's. To evaluate
their credit quality, Moody's uses RiskCalc model, an econometric
model developed by Moody's KMV, to derive credit scores for these
non-publicly rated bank trust preferred securities. Moody's
evaluation of the credit risk for a majority of bank obligors in
the pool relies on FDIC financial data received as of Q2-2011.
Moody's also evaluates the sensitivity of the rated transactions
to the volatility of the credit estimates, as described in Moody's
Rating Implementation Guidance "Updated Approach to the Usage of
Credit Estimates in Rated Transactions," October 2009.
Moody's performed a number of sensitivity analyses of the results
to some of the key factors driving the ratings. The sensitivity of
the model results to changes in the WARF (representing a slight
improvement and a slight deterioration in the credit quality of
the collateral pool) was examined. If WARF is increased by 466
points from the base case of 934, the model results in an expected
loss that is one notch worse than the result of the base case for
the Class A-1A Notes. Similarly, if the WARF is decreased by 234
points, expected losses are one notch better than the base case
results.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. Moody's considers as well the structural
protections in the transaction, the risk of triggering an Event of
Default, the recent deal performance in the current market
conditions, the legal environment, and specific documentation
features. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs" published in May 2011.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. The
transaction's portfolio was modeled, according to Moody's rating
approach, using CDOROM v.2.8 to develop the default distribution
from which the Moody's Asset Correlation parameter was obtained.
This parameter was then used as an input in a cash flow model
using CDOEdge. CDOROM v.2.8 is available on moodys.com under
Products and Solutions -- Analytical models, upon return of a
signed free license agreement.
UBSC 2011-C1: Moody's Gives 'Ba2' Rating to Cl. F Notes
-------------------------------------------------------
Moody's Investors Service has assigned ratings to thirteen classes
of CMBS securities, issued by UBS-Citigroup Commercial Mortgage
Trust Commercial Mortgage Pass-Through Certificates 2011-C1.
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-AB, Definitive Rating Assigned Aaa (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, 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)
RATINGS RATIONALE
The Certificates are collateralized by 32 fixed rate loans secured
by 38 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 1.34X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.07X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 98.2% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio, (inclusive of subordinated debt) of 101.0% 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 18.3. 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
19.0. 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 2.2, 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 U.S. CMBS Conduit Transactions" published in
September 2000.
On November 22, 2011, Moody's 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 ratings on
UBSC 2011-C1 Classes X-A and X-B 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 v2.60
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 22%, the model-indicated rating for the currently
rated junior Aaa class would be Aa1, Aa2, A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
UNITED AIR LINES: Moody's Affirms Rating of Series 2007-1B at Ba2
-----------------------------------------------------------------
Moody's Investors Service affirmed its ratings on the Series 2007-
1A and 2007-1B Enhanced Equipment Trust Certificates ("EETC") of
United Air Lines, Inc. upon the replacement of the Liquidity
Provider for these financings. Morgan Stanley Bank, N.A. has
replaced Morgan Stanley Senior Funding, Inc. as the provider of
the separate liquidity facilities that support each of these EETC
tranches. Morgan Stanley guaranteed the obligations of Morgan
Stanley Senior Funding, Inc. as the Liquidity Provider. Moody's
short-term rating of Morgan Stanley Bank, N.A. is P-1, which meets
the Threshold Rating Requirement of the transactions' terms. The
outlook on Morgan Stanley Bank, N.A. is negative.
These EETC Tranche ratings have been affirmed and remain in force:
United Air Lines, Inc.
-- Series 2007-1A, at Baa2
-- Series 2007-1B, at Ba2
RATINGS RATIONALE
The principal methodology used in rating UAL was the Global
Passenger Airlines Industry Methodology published in March 2009
and the Enhanced Equipment Trust And Equipment Trust Certificates
Methodology published in December 2010. Other methodologies used
include Loss Given Default for Speculative-Grade Non-Financial
Companies in the U.S., Canada and EMEA published in June 2009.
United Continental Holdings, Inc. (NYSE: UAL) is the holding
company for both United Airlines and Continental Airlines.
Together with United Express, Continental Express and Continental
Connection, these airlines operate an average of 5,717 flights a
day to 376 airports on six continents from their hubs in Chicago,
Cleveland, Denver, Guam, Houston, Los Angeles, New York/Newark
Liberty, San Francisco, Tokyo and Washington, D.C.
VIRGIN ISLANDS: Fitch Puts Rating on $17 Million Bonds at 'BB'
--------------------------------------------------------------
Fitch Ratings assigns Virgin Islands Water and Power Authority's
(WAPA or the authority) $17 million electric system revenue
refunding bonds series 2012A a rating of 'BB' and the $41 million
electric system subordinated revenue bonds series 2012B and 2012C
a rating of 'BB-.'
In addition, Fitch downgrades and maintains the Rating Watch
Negative on the WAPA outstanding debt:
-- $156.05 million senior lien bonds to 'BB' from 'BBB';
-- $57.50 million subordinate lien bonds to 'BB-' from 'BBB-'.
The Rating Watch Negative reflects uncertainly regarding WAPA's
ability to extend a line of credit with Banco Popular that
expired Dec. 31, 2011 and the status of discussions with HOVENSA
regarding payments for future oil supplies. Also, the successful
refinancing of existing short-term debt with the new series 2012B
and 2012C bonds is important. The resolution of these issues
would likely result in the removal of the Rating Watch Negative
and assignment of a more appropriate Rating Outlook.
The bonds are expected to price in January, with proceeds of the
2012A bonds being used to refund all of the outstanding series
1998 bonds and the series 2012B and 2012C bonds being used to
refinance existing working capital lines of credit and a portion
of a term loan used to finance the purchase of fuel.
Senior bonds are secured by net electric revenues and certain
other available funds; while the subordinated bonds are secured by
net electric revenues on a subordinate lien basis. Lines of
credit and term loans are junior to the payment of all obligations
under the senior and subordinated resolutions. Debt service
reserve funds are available for both series of bonds. The senior
and subordinated bonds are not subject to cross-default
provisions.
Heightened Number of Risk Factors: WAPA's financial metrics have
deteriorated considerably in recent periods to subpar levels for
the current rating category, reflecting escalating fuel costs,
increasing accounts receivables, growing amounts due from the
Water System and an increased reliance on short-term debt. The
ability of WAPA to meet its financial obligations and stabilize
its fiscal position is uncertain.
Heavy Exposure to Oil: WAPA's power plants are exclusively oil-
fired, limiting the system's operating and financial flexibility.
High oil prices continue to adversely affect WAPA. Other fuel and
transmission options are under consideration, but they will take
time to develop.
Increased Short-Term Borrowings: To meet working capital needs
and to pay for fuel, the utility has significantly expanded its
use of short-term bank lines of credit ($39 million available,
with $23 million currently outstanding); in addition to borrowing
around $35 million under a $40 million term facility, to purchase
fuel oil. A portion of the short-term borrowings came due
Dec. 31, 2011 and the remainder is due during 2013. WAPA's
ability to either extend these loans or refinance them with bonds,
which is currently the plan, is important to the stability of the
credit.
Virgin Island Government Under Stress: The VI Government,
together with its departments, is WAPA's largest electric
customer accounting for about 14% of total electric revenues.
The Government remains delinquent in its payments to the
authority. As of Oct. 31, 2011, approximately 64% of the electric
system's accounts receivable from the Government were more than 60
days in arrears. Fitch rates the VI Government's outstanding
general obligations bonds 'BB+' with a Stable Outlook.
Subject to Rate Regulation: The VI Public Service Commission (PSC)
establishes and sets rates for WAPA, which limits the authority's
financial flexibility. The current rating reflects the PSC's
historical support for WAPA's goal of maintaining solid debt
service coverage (DSC), but also recognizes the further limits
imposed by current electric rates, which approximate 45 cents/kWh.
WAPA expects to petition the PSC in the spring of 2012 for a rate
increase sufficient to maintain coverage at targeted levels.
Liquidity Position: WAPA's ability to arrange and maintain access
to sufficient liquidity and achieve greater financial stability
will be critical factors in any decision to consider any rating
action, upward or downward.
WAPA is the primary provider of electric and water service to the
U.S. Virgin Islands (St. Thomas, St. Croix, St. John and Water
Island). The electric system generates, transmits and sells
electric power and energy, serving residential, commercial and
large power customers, including the VI Government, as well as
public street lighting and private outdoor lighting customers. The
Electric System serves more than 54,000 customers. The utility
owns and operates two principal generating facilities, one of
which is located on St. Thomas and the other on St. Croix. In
addition, it has a smaller generating facility on St. John. These
facilities consist of steam, diesel and gas turbine generators,
with an installed capacity of 307.7 megawatts (Mw). Oil is the
dominant fuel. WAPA continues to explore various options to
reduce its oil dependency.
WAPA also owns and operates a water utility system. WAPA maintains
separate financial statements for the two systems and the debt of
each system is separately secured. The two systems, however,
share common administrative and operating personnel and a portion
of each system's operating expenses is paid initially by the
Electric System, which bills the Water System for its share of
such expenses. The Electric System and Water System also share
dual-purpose plants for the production of electricity and water.
To provide additional financial security for the Water System
revenue bonds, series 1998, the authority granted to the Trustee
for the benefit of the holders of the Water System bonds, a
subordinate lien and security interest in the Electric System
General Fund. As of Oct. 31, 2011, $19,335,000 of the Water
System bonds were outstanding. To date, no transfers have been
made from the Electric System General Fund to pay debt service on
the Water System bonds.
To help with cash management, however, WAPA has entered into
short-term, temporary interfund transfers between the Electric
System and the Water System. Such transfers have become more
frequent over the past several years and repayment by the Water
System has been significantly delayed. As of Oct. 31, 2011,
receivables due to Electric System from the Water System totaled
$16,857,838. This compares with $877,000 in 2006. The authority
expects to repay the remaining amount through an anticipated
emergency base rate increase case to be filed in February 2012.
The authority is updating its five-year capital improvement plan
for the Water System and may issue additional Water System bonds
to finance certain capital projects. Under the Line of Credit,
$5,000,000 is allocable to the Water System. The authority has
drawn $2,500,000 on the Line of Credit.
WAPA's overall financial position has declined in recent years,
reflecting much higher fuel costs, a weakened economy, poor
results of the Water system and a sharp increase in receivables
due WAPA from the VI Government. Debt service coverage, pursuant
to WAPA calculations, seems satisfactory at around 1.90 times (x)
on senior bonds, 1.58x on senior and subordinated bonds and 1.0x
on all debt for fiscal year 2010. However, this does not
accurately provide a full representation of the sharp rise in
short-term debt obligations, higher receivables, increased
deferrals and money owed the Electric System by the Water system.
This deteriorating situation will necessitate timely rate relief
by the PSC, the need to rollover short-term debt obligations and
managing exposure to volatile fuel oil prices.
While WAPA's business model offers some elements of
predictability, there remains a high degree of overall
uncertainty. WAPA's success in extending credit lines and term
loans, refinancing short-term debt, maintaining workable fuel
agreements and improving accounts receivable collections are
central to the overall success of the utility.
WACHOVIA BANK 2007-C31: S&P Cuts 3 Cert. Classes Ratings to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust 2007-C31, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
"Concurrently, we affirmed our 'AAA (sf)' ratings on four 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 also reflect
credit support erosion that we anticipate will occur upon the
eventual resolution of 17 ($515.9 million, 9.3%) of the 19
assets ($1.20 billion, 21.9%) that are currently with the
special servicer, as well as our concerns about two loans
that we determined to be credit-impaired ($41.0 million, 0.8%).
We also considered the monthly interest shortfalls that are
affecting the trust. We lowered our ratings on the class G, H,
and J certificates to 'D (sf)' because we believe the accumulated
interest shortfalls will remain outstanding for the foreseeable
future," S&P said.
"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 IO 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 1.12x and a loan-to-value (LTV) ratio of 152.1%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 0.60x and an LTV ratio of
218.7%. The implied defaults and loss severity under the 'AAA'
scenario were 98.9% and 53.1%, respectively. The DSC and LTV
calculations exclude 17 ($515.9 million, 9.3%) of the 19 assets
($1.20 billion, 21.9%) that are currently with the special
servicer, as well as two loans that we determined to be credit-
impaired ($41.0 million, 0.8%). We separately estimated losses for
these assets and included them in our 'AAA' scenario implied
default and loss severity figures," S&P said.
"As of the Nov. 18, 2011 trustee remittance report, the trust had
experienced monthly interest shortfalls totaling $1,657,323. The
current interest shortfalls primarily reflect ASER amounts of
$361,923, interest rate reductions due to loan modifications of
$936,596, and special servicing and workout fees of $341,606. The
interest shortfalls affected all classes subordinate to and
including class G. The class G, H, and J certificates have
experienced accumulated interest shortfalls for two, two, and
three consecutive months, respectively, and we expect these
interest shortfalls to continue for the foreseeable future.
Consequently, we lowered our ratings on the class G, H, and J
certificates to 'D (sf)'," S&P said.
Credit Considerations
As of the Nov. 18, 2011, trustee remittance report, 19 assets
($1.20 billion, 21.9%) in the pool were with the special servicer,
LNR Partners Inc. (LNR). The special servicer for the Beacon D.C.
& Seattle Pool loan is C-III Asset Management LLC (C-III). The
special servicer for the Peter Cooper Village and Stuyvesant Town
loan is CWCapital Asset Management (CWCAM). The reported payment
status of the specially serviced assets as of the most recent
trustee remittance report is: five are real estate owned (REO,
$75.9 million, 1.4%), five are in foreclosure ($311.4 million,
5.7%), six are 90-plus-days delinquent ($449.9 million, 8.2%), two
are matured balloon loans ($68.0 million, 1.2%), and two are
current ($298.5 million, 5.4%). Appraisal reduction amounts (ARAs)
totaling $121.7 million are in effect for 15 of the 20 specially
serviced assets. Details of the three largest specially serviced
assets, all of which are top 10 loans, are:
"The 666 Fifth Avenue loan, with a trust balance of $395.0 million
(7.2%), and a whole-loan balance of $1.2 billion is the second-
largest loan in the pool and the largest specially serviced asset.
The total exposure is $405.1 million. The loan is secured by a 39-
story, 1.5 million-sq.-ft., class A office building in Midtown
Manhattan on Fifth Avenue between West 52nd and West 53rd street.
The 10-year whole loan is interest only and is due to mature on
Feb. 5, 2017. The loan was transferred to the special servicer on
March 3, 2010, because the borrower requested a restructuring of
the loan due to declining financial performance of the asset. The
special servicer has notified us that it is currently discussing a
loan modification with the borrower. The most recent reported DSC
and occupancy were 0.49x and 78.0%, respectively, as of Dec. 31,
2010. As of the Nov. 18, 2011, remittance report, the loan was
reported as being 90-plus-days delinquent," S&P said.
The Beacon D.C. & Seattle Pool loan is the third-largest loan in
the pool and the second-largest asset with the special servicer
with a trust balance and total exposure of $292.8 million (5.3%).
The whole balance is $1.9 billion. The loan is currently secured
by the fee interests in 13 office properties totaling 6.2 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, 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 0.91x for year-end
2010 and combined occupancy was 83.3%, according to the June 30,
2011, rent rolls.
"The Peter Cooper Village & Stuyvesant Town loan is the fifth-
largest loan in the pool and the third-largest asset with the
special servicer with a trust balance of $247.7 million (4.5%)
and total exposure of $271.4 million. The whole-loan balance is
$3.0 billion. The loan is secured by a 56-building, 100 address
apartment complex consisting of 11,229 market-rent and rent-
stabilized units in New York, N.Y. The loan was transferred to
the special servicer CWCAM on Nov. 6, 2009, for imminent monetary
default. The loan was reported as being in foreclosure as of the
Nov. 18, 2011 remittance report. There is a $48.0 million ARA
in effect against the asset. CWCAM has notified us that the
Sept. 11, 2011 appraised value of $6.0 billion reported in the
Nov. 18, 2011 remittance report is incorrect and should be
$3.0 billion. This information will be corrected by CWCAM for
their December 2011 reporting. The most recent reported DSC was
0.62x as of Dec. 31, 2010. We expect a moderate loss upon the
eventual resolution of this asset," S&P said.
"The 16 remaining assets with the special servicer have individual
balances that represent less than 1.5% of the total pooled trust
balance. ARAs totaling $73.7 million are in effect against 14 of
these assets. We estimated losses for all 16 remaining assets,
arriving at a weighted-average loss severity of 34.6%," S&P said.
"In addition to the specially serviced assets, we determined two
other loans to be credit-impaired. The 200 Montague Street loan
($21.0 million, 0.4%) is secured by a 45,335-sq.-ft. office
building constructed in 1960 and renovated in 2006 in Brooklyn,
N.Y. The loan is on the master servicer's watchlist because of a
low reported DSC, which was 0.71x as of June 2011. Occupancy was
43.7% as of the same period. The loan was reported as being late,
but less than 30 days, according to the Nov. 18, 2011, remittance
report. Given the low reported DSC and occupancy, we view this
loan to be at an increased risk of default and loss," S&P said.
"The 200 South Tryon loan ($20.0 million, 0.4%) is secured by a
210,426-sq.-ft. office building constructed in 1962 and renovated
in 2001 in Charlotte, N.C. The loan is on the master servicer's
watchlist due to tenant lease roll over. Physical occupancy
declined to 46.0% as of June 30, 2011, from 85.0% at year-end
2010. Reported DSC declined to 1.27x from 1.64x for the same
period. The building's largest tenant, Wells Fargo, with 36% of
net rentable area, vacated its space upon their lease expiration
in May 2011. Given the low occupancy, we view this loan to be at
an increased risk of default and loss," S&P said.
Three loans totaling $164.5 million (2.8%) that were previously
with the special servicer have been returned to the master
servicer. According to the transaction documents, the special
servicer is entitled to a workout fee equal to 1.0% of all future
principal and interest payments on the corrected loans, provided
that they continue to perform and remain with the master servicer.
Transaction Summary
As of the Nov. 18, 2011 remittance report, the collateral pool
had an aggregate trust balance of $5.49 billion, down from
$5.85 billion at issuance. The pool comprises 172 loans and five
REO assets, down from 189 loans at issuance. The master servicer,
Wells Fargo Bank N.A., provided financial information for 82.8% of
the loans in the pool, the majority of which reflected full-year
2010 data.
"We calculated a weighted average DSC of 1.17x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV were 1.12x and 152.1%. Our adjusted figures exclude 17
($515.9 million, 9.3%) of the 19 assets ($1.20 billion, 21.9%)
that are currently with the special servicer, as well as two
loans that we determined to be credit-impaired ($41.0 million,
0.8%). We separately estimated losses for these assets and
included them in our 'AAA' scenario implied default and loss
severity figures. To date, the transaction has experienced
$57.0 million in principal losses from 11 assets. Forty-nine
loans ($2.06 billion, 37.6%) in the pool are on the master
servicers' combined watchlist, including four of the top 10
loans. Forty-one loans ($1.94 billion, 35.4%) have a reported
DSC of less than 1.10x, 26 of which ($1.06 billion, 19.4%)
have a reported DSC of less than 1.00x," S&P said.
Summary of Top 10 Loans
"The top 10 loans have an aggregate outstanding pooled balance
of $2.47 billion (45.0%). Using servicer-reported numbers, we
calculated a weighted average DSC of 1.05x for the eight top loans
that had reporting information available. The first of the two
nonreporting top 10 loan is the Peter Cooper Village & Stuyvesant
Town Pool loan, which is the fifth-largest loan in the pool and
the third-largest asset with the special servicer. The second of
the nonreporting top 10 loans is the Hyatt Regency Grand Cypress
loan, which is the sixth-largest loan in the pool. The loan has
not reported financial data for the past two years based on the
operating statement analysis report (OSAR) provided by the master
servicer. Three of the top 10 loans ($935.5 million, 17.1%) are
with the special servicer and four other loans ($968.5 million,
17.7%) are on the master servicer's watchlist. Our adjusted DSC
and LTV for the top 10 loans are 0.95x and 176.2%. Our adjusted
figures exclude one of the specially serviced top 10 loans.
Details of the top 10 loans on the master servicers' combined
watchlist are set forth," S&P said.
The Five Times Square loan is the largest loan in the pool and the
largest loan on the watchlist. The loan has a trust balance of
$536.0 million (9.8%). The loan is secured by a 1.1 million-sq.-
ft. office building in New York, N.Y. The loan appears on the
watchlist because of low reported DSC, which was 1.02x as of
Dec. 31, 2010. The loan payment status was reported as current as
of the Nov. 18, 2011, trustee remittance report.
The Boston Marriott Long Wharf loan ($176.0 million, 3.2%) is the
seventh-largest loan in the pool and the second-largest loan on
the master servicer's watchlist. The loan is secured by a 402-room
full-service hotel in Boston, Mass. The property was built in 1982
and renovated in 2007. The loan payment status was reported as
current as of the Nov. 18, 2011, trustee remittance report. The
loan appears on the watchlist because of low reported DSC, which
was 1.08x as of Sep. 30, 2011.
The East Gate Portfolio loan ($130.0 million, 2.4%) is the eighth-
largest loan in the pool and the third-largest loan on the
watchlist. The loan exposure reflects five cross-collateralized
and cross-defaulted loans secured by five retail properties
consisting of 513,759 sq. ft. in Mount Laurel and Moorestown, N.J.
The loan exposure is on the master servicers' combined watchlist
because of low reported DSC and other default risk. The loan
payment status was reported as current as of the Nov. 18, 2011,
trustee remittance report. Per the watchlist notes, for the six
months ended June 30, 2011, the reported DSC was 1.07x and
reported occupancy as of Sept. 30, 2011 was 94.8%.
The Ashford Hospitality Pool 2 loan is the 10th-largest loan in
the pool and the fourth-largest loan on the watchlist. The loan
has a trust balance of $126.5 million (2.3%). The loan is secured
by three limited-service hotels and four extended-stay hotels in
California, Pennsylvania, Virginia, Arizona, and Texas. The loan
appears on the watchlist because of low reported DSC, which was
1.14x as of the trailing-12-months ended June 30, 2011. The loan
payment status was reported as current as of the Nov. 18, 2011,
trustee remittance report.
Standard & Poor's stressed the pool collateral according to its
criteria. The resultant credit enhancement levels are consistent
with S&P's lowered and affirmed ratings.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C31
Rating
Class To From Credit enhancement (%)
A-4 BBB- (sf) BBB+ (sf 30.91
A-5 BBB- (sf) BBB+ (sf) 30.91
A-5FL BBB- (sf) BBB+ (sf) 30.91
A-1A BBB- (sf) BBB+ (sf) 30.91
A-M BB- (sf) BB+ (sf 20.26
A-J B (sf) B+ (sf) 11.87
B B (sf) B+ (sf) 11.21
C B- (sf) B+ (sf) 9.88
D B- (sf) B (sf) 8.55
E CCC+ (sf) B (sf 8.01
F CCC- (sf) B (sf) 7.08
G D (sf) CCC- (sf) 6.02
H D (sf) CCC- (sf) 4.55
J D (sf) CCC- (sf) 3.62
Ratings Affirmed
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C31
Class Rating Credit enhancement (%)
A-2 AAA (sf) 30.91
A-3 AAA (sf) 30.91
A-PB AAA (sf) 30.91
IO AAA (sf) N/A
N/A -- Not applicable.
WESTCHESTER CLO: S&P Raises Rating on Class C Notes From 'CCC+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1-A, A-1-B, B, and C notes from Westchester CLO Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Highland Capital Management L.P. "At the same time, we affirmed
our ratings on the class D and E notes. In addition, we raised our
rating on the class A2 notes from Blue Wing Asset Vehicle, Series
2009-1, a retrancheing of the class A-1-A notes from Westchester
CLO Ltd., and we affirmed our rating on the class A1 notes from
the same transaction," S&P said.
"The upgrades on Westchester CLO Ltd. reflect a paydown to the
class A-1-A notes and improved performance we have observed in the
underlying asset portfolio since we last downgraded the classes on
May 7, 2010, following the application of our September 2009
corporate collateralized debt obligation (CDO) criteria. As of the
Oct. 20, 2011, trustee report, the transaction's asset portfolio
had $90.67 million in defaulted obligations and approximately
$93.06 million in assets from obligors rated in the 'CCC' range.
This was down from $169.47 million in defaulted obligations and up
from approximately $88.04 million in assets from obligors rated in
the 'CCC' range noted in the March 31, 2010, trustee report, which
we used for our May 2010 rating actions. Over that same time
period, the class A-1-A note balance decreased by $53.91 million
due to paydowns, leaving the balance for the A-1-A notes at
approximately 85.44% of its original balance," S&P said.
"We also observed an increase in the overcollateralization (O/C)
available to support the rated notes," S&P said. The trustee
reported the O/C ratios in the Oct. 20, 2011, monthly report:
The class A/B O/C ratio was 114.47%, compared with a reported
ratio of 106.74% in March 2010;
The class C O/C ratio was 106.51%, compared with a reported
ratio of 99.76% in March 2010;
The class D O/C ratio was 101.74%, compared with a reported
ratio of 95.55% in March 2010; and
The class E O/C ratio was 97.22%, compared with a reported
ratio of 91.53% in March 2010.
The upgrade of the class A2 notes from Blue Wing Asset Vehicle
Series 2009-1 reflects the raising of the rating on the class A-1-
A notes on Westchester CLO Ltd.
"We affirmed our ratings on the class D and E notes from
Westchester CLO Ltd. and the class A1 notes from Blue Wing Asset
Vehicle Series 2009-1 to reflect our belief that the credit
support available is commensurate with the current ratings," S&P
said.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Westchester CLO Ltd.
Rating
Class To From
A-1-A AAA (sf) AA+ (sf)
A-1-B AA (sf) A+ (sf)
B A+ (sf) BBB (sf)
C BBB- (sf) CCC+ (sf)
Blue Wing Asset Vehicle Series 2009-1
Class To From
A2 AAA (sf) AA+ (sf)
Ratings Affirmed
Westchester CLO Ltd.
Class Rating
D CCC- (sf)
E CCC- (sf)
Blue Wing Asset Vehicle Series 2009-1
Class Rating
A1 AAA (sf)
ZAIS INVESTMENT: Moody's Confirms Ba1 Rating of Type V Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five classes
of notes and three composite obligations issued by ZAIS Investment
Grade Limited VI. The classes of notes affected by the rating
actions are:
US$54,750,000 Class A-2a Senior Secured Floating Rate Notes,
Upgraded to Aaa (sf); previously on August 1, 2011 Upgraded to Aa3
(sf) and Remained On Review for Possible Upgrade
US$8,250,000 Class A-2b Senior Secured Fixed Rate Notes, Upgraded
to Aaa (sf); previously on August 1, 2011 Upgraded to Aa3 (sf) and
Remained On Review for Possible Upgrade
US$21,000,000 Class A-3 Senior Secured Floating Rate Notes,
Upgraded to Aa2 (sf); previously on August 1, 2011 Upgraded to
Baa1 (sf) and Remained On Review for Possible Upgrade
US$6,400,000 Class B-1 Senior Secured Floating Rate Notes,
Upgraded to Baa1 (sf); previously on August 1, 2011 Upgraded to
Ba2 (sf) and Remained On Review for Possible Upgrade
US$36,600,000 Class B-2 Senior Secured Fixed Rate Notes, Upgraded
to Baa1 (sf); previously on August 1, 2011 Upgraded to Ba2 (sf)
and Remained On Review for Possible Upgrade
US$1,250,000 Type II Composite Obligations (current rated balance:
$636,964), Upgraded to Aaa (sf); previously on August 1, 2011
Upgraded to Aa1 (sf) and Remained On Review for Possible Upgrade
US$10,500,000 Type IV Composite Obligations (current rated
balance: $7,383,459), Upgraded to A3 (sf); previously on August 1,
2011 Upgraded to Ba1 (sf) and Remained On Review for Possible
Upgrade
US$8,600,000 Type VI Composite Obligations (current rated balance:
$5,802,855), Upgraded to Baa1 (sf); previously on August 1, 2011
Upgraded to Ba1 (sf) and Remained On Review for Possible Upgrade
Moody's also confirmed the rating of one composite obligation:
US$15,000,000 Type V Composite Obligations (rated balance:
$6,721,192), Confirmed at Ba1 (sf); previously on August 1, 2011
Upgraded to Ba1 (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 of the credit quality of the
portfolio and the deleveraging of the Class A-1 Notes.
As of the latest trustee report dated November 16, 2011, the Class
A and Class B overcollateralization ratios are reported at 167.89%
and 132.65%, respectively, versus June 2011 levels of 136.57% and
111.97%. Also based on this November report the WARF reported is
936 versus June 2011 reported WARF of 2136. Since the last review
the Class A-1 Notes have amortized by $33.8mm. The Class B notes
have a deferred interest balance which is causing the B IC test to
fail its trigger. Therefore interest proceeds are being used to
pay down the principal balance of the Class A-1 notes. However,
the B notes are currently receiving their due interest payments.
The rating actions on the notes also reflect CLO tranche upgrades
that have taken place within the last six months. Since Moody's
June 22 announcement that nearly all CLO tranches currently rated
Aa1 and below were placed on review for possible upgrade, 72% of
the performing collateral has been upgraded, 43% of which took
place following the previous rating action on the Notes in August.
ZAIS Investment Grade Limited VI 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.
Other Factors used in this rating action are described in "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009.
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
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 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 1 rating notches:
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: +1
Class B-1: +1
Class B-2: +1
Type II: 0
Type IV: +1
Type V: +3
Type VI: +2
Moody's Performing Assets notched down by 1 rating notches:
Class A-1: 0
Class A-2a:-1
Class A-2b: -1
Class A-3: -1
Class B-1: -4
Class B-2: -3
Type II: 0
Type IV: -3
Type V: -2
Type VI: -2
* Fitch Sees Little Risk on CMBS From Closures of Sears & Kmart
---------------------------------------------------------------
Fitch sees little risk of a negative impact on CMBS from the
closure of 100 to 120 Sears and Kmart stores across the U.S. Sears
Holdings Corp., the nation's fourth-largest retailer, said the
closures are due to a lower demand for electronics and apparel and
a sales decrease in its layaway program. Sears announced the
closures Tuesday but did not say which of the properties in its
portfolio would be sold or subleased.
We identified 255 Fitch-rated loans with a Sears of Kmart
entity listed as a tenant. The total value of these loans is
$7.74 billion. Of those loans, 27 are single-tenant facilities
secured by a Sears or Kmart. Those loans total $156.8 million.
The majority of these single asset loans are in transactions
issued between 2005 and 2008 and are well diversified. The
portfolio concentrations of these loans range from less than
one percent to 9.11%.
The highest single tenant concentration is secured by a stand-
alone Kmart property located in the Kahului section of Maui,
HI. The property secures a $5.26 million loan in the Mortgage
Capital Funding, Inc. 1998-MC2 transaction. We believe that this
transaction has sufficient credit support in the class rated 'B+'
to absorb a total loss of the loan without impacting investment-
grade ratings.
Fitch will continue to monitor the developments concerning Sears
Holdings.
* S&P Affirms Ratings on 211 US CMBS Classes From 19 Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 211
classes of commercial mortgage pass-through certificates from 19
U.S. single-borrower and large loan commercial mortgage-backed
securities (CMBS) transactions.
The complete ratings list is available for free at:
http://bankrupt.com/misc/S&P_Dec15_CMBSRatings.pdf
"Our rating affirmations primarily reflect the credit stability of
the affected securities and the low likelihood that they will
experience large adverse changes in credit quality. Our analysis
considered the individual deal structures as well as the liquidity
available to each transaction," S&P said.
"Based primarily on the information reported in the November and
December 2011 trustee remittance reports for the affected
transactions, the affirmations also reflect our expectation that
any credit support erosion upon the eventual resolution of
specially serviced assets (26 assets, $3.0 billion) across the
19 deals will not materially affect the ratings. We also
considered that monthly interest shortfalls totaling $1,048
affected five of the rated securities from two deals and
accumulated interest shortfalls of $1,058 affected eight rated
securities from three deals. As none of the monthly or accumulated
interest shortfalls was greater than $300, all of the interest
shortfalls were considered immaterial to our ratings. To date,
eight of the affected transactions have experienced $53.0 million
in total realized losses. The principal losses affected two of the
rated securities totaled $31,372 and each was considered
immaterial to our ratings," S&P said.
"Accordingly, we believe the credit quality of the pool of assets
collateralizing the affected transactions is performing as
expected based on the observed factors we determined are relevant,
and the credit enhancement levels are consistent with our affirmed
ratings," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
* S&P Lowers Ratings on 5 Tranches From US CDOs to 'D'
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on one
tranche from one corporate-backed synthetic collateralized debt
obligation (CDO) transaction, and four tranches from two
synthetic CDO transactions backed by commercial mortgage-backed
securities (CMBS) to 'D (sf)'.
"We lowered our ratings to 'D (sf)' on tranches that either
experienced principal losses or that we expect not to receive
their full principal back at maturity," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
Aphex Capital NSCR 2007-5 Ltd.
Rating
Class To From
A-2 D (sf) CCC- (sf)
B D (sf) CCC- (sf)
C D (sf) CCC- (sf)
Aphex Capital NSCR 2007-7SR Ltd.
Rating
Class To From
J D (sf) CC (sf)
Heartland Funding PLC
Series 2007-2
Rating
Class To From
Notes D (sf) CC (sf)
* S&P Lowers Ratings on 22 Classes from 15 1999-2007 RMBS Deals
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 22
classes from 15 U.S. residential mortgage-backed securities
(RMBS) transactions issued from 1999 through 2007 and removed
one of the ratings from CreditWatch with negative implications.
"Concurrently, we affirmed our ratings on 312 classes from 13 of
these transactions and from 128 additional transactions, and
removed 28 of them from CreditWatch negative. In addition, we
upgraded one class from one transaction. We also withdrew our
ratings on one class from one transaction due to payment in full.
The transactions in this review are backed by second-lien high
combined-loan-to-value (HCLTV), closed-end second-lien (CES),
home improvement, or home-equity line of credit (HELOC) mortgage
loans," S&P said.
"The downgrades reflect our belief that projected credit
enhancement for the affected classes will be insufficient to cover
the projected losses at the previous rating levels, while the
affirmations reflect our belief that projected credit enhancement
available for the affected classes will be sufficient to cover our
projected losses at the current rating levels. Some classes may
also have the benefit of bond insurance, in which case the long-
term rating reflects the higher of the rating of the bond insurer
and the underlying credit rating without the benefit of bond
insurance. The upgrade reflects our assessment that the projected
credit enhancement for the affected class will be more than
sufficient to cover projected losses at the revised rating level;
however, we are limiting the extent of the upgrade to reflect
our view of ongoing market risk," S&P said.
"The downgrades of classes A, M-1, and M-2 certificates from
United National Home Loan Owner Trust 1999-1 to 'D (sf)' follow a
settlement agreement in Bryant v. Rosslare Funding, et. al.
approved by the Greene County Arkansas Court on Dec. 17, 2010, in
which distributions otherwise due to the certificate and residual
holders will instead be used to fund the settlement obligation
until such obligation is paid in full. Because the
certificateholders are not receiving timely interest as a result
of this settlement, we downgraded these classes to 'D (sf)' in
accordance with our interest shortfall criteria," S&P said.
"The upgrade of class II-A-1a from Terwin Mortgage Trust 2006-1 to
'B (sf)' from 'CCC (sf)' reflects our assessment that the
projected credit enhancement for the affected class will be more
than sufficient to cover projected losses at the revised rating
level; however, we are limiting the extent of the upgrade to
reflect our view of ongoing market risk," S&P said.
"We reviewed the transactions issued before 2004 in accordance
with our 'Methodology and Assumptions For U.S. RMBS Issued
Before 2005' criteria, published March 12, 2009, and 'Rating
Assumptions For U.S. Second-Lien HCLTV, Home Improvement, And
Home Improvement/Title One RMBS Transactions' criteria, published
April 2, 2009. As such, we subjected delinquent loans to a 100%
default likelihood over a period of six months distributed evenly.
We also applied a loss severity (loss given default) of 100%,
which we applied to all transactions backed predominantly by
second liens," S&P said.
"Due to the extended seasoning and longevity of transactions
outstanding that closed in 2004, we also applied the above-
mentioned 'Methodology and Assumptions For U.S. RMBS Issued
Before 2005' criteria when reviewing transactions issued in 2004
in lieu of the criteria described in 'How Standard & Poor's Is
Revising Its Loss Curves For U.S. Closed-End Second-Lien RMBS,'
published Dec. 20, 2007, 'Loss Curve Applied to U.S. HELOC RMBS
Issued in 2004-2007,' published May 22, 2008, and the U.S. second-
lien HCLTV criteria referenced in 'Rating Assumptions For U.S.
Second-Lien HCLTV, Home Improvement, And Home Improvement/Title
One RMBS Transactions.' Due to the length of the loss curve we
normally apply to 2004-vintage transactions, in conjunction with
transaction seasoning, we determined that the application of
the pre-2004 criteria was more appropriate for our review of the
transactions that closed in 2004," S&P said.
"For the remaining transactions within this review issued
between 2005 and 2007, we used the greater of the loss
provided in 'Assumptions: Revised Lifetime Loss Projections
For U.S. Closed-End Second-Lien And HELOC RMBS Transactions
Issued In 2005, 2006, And 2007,' published Dec. 21, 2009,
the loss derived based on the criteria applied for 2004 and
prior vintages, and the loss projected using the second-lien
loss curve described in 'Rating Assumptions For U.S. Second-
Lien HCLTV, and Home Improvement RMBS Transactions,' published
April 2, 2009, 'Loss Curve Applied to U.S. HELOC RMBS Issued
in 2004-2007,' published May 22, 2008, and 'How Standard &
Poor's Is Revising Its Loss Curves For U.S. Closed-End Second-
Lien RMBS,' published Dec. 20, 2007. We also used the second-
lien loss curve for the timing of losses for mortgage pools that
were seasoned less than 76 months, regardless of the methodology
applied to project the dollar loss. Since the curve only extends
over 82 months, we applied losses for a minimum of six months,
distributed evenly, for mortgage pools that were seasoned more
than 76 months," S&P said.
"Extended loan seasoning and updated performance data was a
driving factor in the application of different methodologies for
certain transactions. As such, on Dec. 27, 2011, we published
'Advance Notice Of Proposed Criteria Change: Surveillance
Methodology And Assumptions For U.S. RMBS Transactions Backed
By Second-Lien Mortgage Loans,' in which we provided notice
that we expect to update our methodology and assumptions to
consider the extended seasoning of these transactions compared
with our existing methodology. As a result, the application of
the forthcoming criteria update could result in additional
ratings changes for RMBS backed by second-lien loans," S&P
said.
"We evaluated all transactions with our 'middle' interest rate
vectors. For HELOC transactions, however, we also used our 'low'
interest rate vectors. In general, the bonds in these transactions
receive interest indexed to one-month LIBOR, while the underlying
loans pay interest indexed to the prime rate. The difference
between the two indices can result in excess interest, which can
contribute to a considerable portion of the credit support for
these transactions. Therefore, we use the 'low' interest rate
vectors to stress the amount of excess interest produced, as these
vectors have the lowest overall differential between LIBOR and the
prime rate," S&P said.
"In order for a class to maintain a rating higher than 'B', we
assessed whether the class could withstand losses exceeding the
remaining base-case loss assumptions at a percentage specific to
each rating category, up to 150% of remaining losses for an 'AAA'
rating. For example, in general, we would assess whether one class
could withstand approximately 110% of our remaining base-case loss
assumption to maintain a 'BB' rating, while we would assess
whether a different class could withstand approximately 120% of
our remaining base-case loss assumption 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
assumption under our analysis," S&P said.
Subordination, overcollateralization (prior to its depletion),
excess spread, and bond insurance, when applicable, provide credit
support for the affected transactions.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL1
Series 2006-SL1
Rating
Class CUSIP To From
A 004421VE0 CCC (sf) B (sf)
GMACM Home Equity Loan Trust 2005-HE2
Series 2005-HE2
Rating
Class CUSIP To From
A-4 36185MAD4 CC (sf) BBB- (sf)
A-5 36185MAE2 CC (sf) BBB- (sf)
A-6 36185MAF9 CC (sf) BBB- (sf)
Greenpoint Mortgage Funding Trust 2005-HE4
Series 2005-HE4
Rating
Class CUSIP To From
IA-1 39538WDC9 AAA (sf) AAA (sf)/Watch Neg
IIA-1a 39538WDD7 AAA (sf) AAA (sf)/Watch Neg
IIIA-4c 39538WDG0 AAA (sf) AAA (sf)/Watch Neg
M1 39538WDH8 AA (sf) AA (sf)/Watch Neg
Home Equity Mortgage Trust 2004-2
Series 2004-2
Rating
Class CUSIP To From
B-1 22541SET1 BBB+ (sf) BBB+ (sf)/Watch Neg
Home Equity Mortgage Trust 2004-4
Series 2004-4
Rating
Class CUSIP To From
M-3 22541SYL6 AA- (sf) AA- (sf)/Watch Neg
M-4 22541SYM4 A+ (sf) A+ (sf)/Watch Neg
M-5 22541SYN2 A (sf) A (sf)/Watch Neg
Home Equity Mortgage Trust 2004-5
Series 2004-5
Rating
Class CUSIP To From
M-2 22541SK23 B- (sf) A (sf)
Home Equity Mortgage Trust 2004-6
Series 2004-6
Rating
Class CUSIP To From
M-2 22541S3C0 A+ (sf) A+ (sf)/Watch Neg
Home Equity Mortgage Trust 2005-5
Series 2005-5
Rating
Class CUSIP To From
A-1F1 225470QW6 NR AAA (sf)
Home Equity Mortgage Trust 2005HF-1
Series 2005-HF1
Rating
Class CUSIP To From
A-1 2254W0LE3 AAA (sf) AAA (sf)/Watch Neg
A-2B 2254W0MB8 AAA (sf) AAA (sf)/Watch Neg
A-3B 2254W0MC6 AAA (sf) AAA (sf)/Watch Neg
M-1 2254W0LH6 AA+ (sf) AA+ (sf)/Watch Neg
Home Loan Trust 2003-HI4
Series 2003-HI4
Rating
Class CUSIP To From
B B+ (sf) BB (sf)
Home Loan Trust 2005-HI3
Series 2005-HI3
Rating
Class CUSIP To From
M-9 76110VSP4 CC (sf) BBB- (sf)
Home Loan Trust 2006-HI1
Series 2006-HI1
Rating
Class CUSIP To From
A-3 76110VTV0 AAA (sf) AAA (sf)/Watch Neg
A-4 76110VTW8 AAA (sf) AAA (sf)/Watch Neg
M-1 76110VTX6 AA+ (sf) AA+ (sf)/Watch Neg
M-2 76110VTY4 AA (sf) AA (sf)/Watch Neg
M-3 76110VTZ1 AA- (sf) AA- (sf)/Watch Neg
M-4 76110VUA4 A+ (sf) A+ (sf)/Watch Neg
M-5 76110VUB2 A (sf) A (sf)/Watch Neg
M-6 76110VUC0 A- (sf) A- (sf)/Watch Neg
M-7 76110VUD8 BB+ (sf) BBB+ (sf)/Watch Neg
HomeBanc Mortgage Trust 2007-1
Series 2007-1
Rating
Class CUSIP To From
II-M-1 43741BAP4 BB- (sf) AA (sf)
II-M-2 43741BAQ2 CC (sf) BB (sf)
Irwin Whole Loan Home Equity Trust 2005-C
Series 2005-C
Rating
Class CUSIP To From
2M-4 464187DS9 BBB- (sf) BBB- (sf)/Watch Neg
2B-1 464187DT7 BB+ (sf) BB+ (sf)/Watch Neg
Merrill Lynch Mortgage Investors Trust, Series 2005-SL3
Series 2005-SL3
Rating
Class CUSIP To From
M-1 59020UK46 CC (sf) BBB+ (sf)
Nomura Asset Acceptance Corporation Alternative Loan Trust, Series
2005-S1
Series 2005-S1
Rating
Class CUSIP To From
M-2 65535VJU3 BB+ (sf) BBB- (sf)
Nomura Asset Acceptance Corporation, Alternative Loan Trust,
Series 2005-S4
Series 2005-S4
Rating
Class CUSIP To From
A-2 65535VQP6 CCC (sf) BBB (sf)
A-3 65535VQQ4 CCC (sf) BBB (sf)
SACO I Trust 2005-10
Series 2005-10
Rating
Class CUSIP To From
II-A-1 785778NE7 B- (sf) BBB (sf)
II-A-3 785778NG2 B- (sf) BBB (sf)
Structured Asset Securities Corp.
Series 2004-S4
Rating
Class CUSIP To From
M6 86359BM65 B- (sf) BBB (sf)
Structured Asset Securities Corporation 2005-S1
Series 2005-S1
Rating
Class CUSIP To From
M3 86359B4E8 AA- (sf) AA- (sf)/Watch Neg
Structured Asset Securities Corporation Mortgage Loan Trust 2006-
S2
Series 2006-S2
Rating
Class CUSIP To From
A2 86359FAB8 CCC (sf) BBB- (sf)
Terwin Mortgage Trust 2004-16SL
Series 2004-16SL
Rating
Class CUSIP To From
B-1 881561KZ6 BBB (sf) BBB (sf)/Watch Neg
Terwin Mortgage Trust 2004-18SL
Series 2004-18SL
Rating
Class CUSIP To From
2-B-1 881561NG5 BBB (sf) BBB (sf)/Watch Neg
Terwin Mortgage Trust 2004-2SL
Series 2004-2SL
Rating
Class CUSIP To From
B-2 881561DW1 BB (sf) BB+ (sf)
Terwin Mortgage Trust 2005-9HGS
Series 2005-9HGS
Rating
Class CUSIP To From
A-1 881561WQ3 AAA (sf) AAA (sf)/Watch Neg
M-1 881561WS9 AA (sf) AA (sf)/Watch Neg
Terwin Mortgage Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
II-A-1a 881561H80 B (sf) CCC (sf)
United National Home Loan Owner Trust 1999-1
Series 1999-1
Rating
Class CUSIP To From
A 91103PAA7 D (sf) AAA (sf)
M-1 91103PAB5 D (sf) AAA (sf)
M-2 91103PAC3 D (sf) AA- (sf)
Ratings Affirmed
American Home Mortgage Investment Trust 2004-4
Series 2004-4
Class CUSIP Rating
VII-A 02660TCU5 BBB+ (sf)
American Home Mortgage Investment Trust 2005-2
Series 2005-2
Class CUSIP Rating
VI-A 02660TEV1 CC (sf)
Bear Stearns Home Loan Owner Trust 2001-A
Series 2001-A
Class CUSIP Rating
M-2 07384NAH3 BBB (sf)
Bond Securitization Trust 2003-1
Series 2003-1
Class CUSIP Rating
B-2 09788RAF6 BBB- (sf)
Conseco Finance Home Improvement Loan Trust 2000-E
Series 2000-E
Class CUSIP Rating
M-1 20846QEF1 AA (sf)
M-2 20846QEG9 A (sf)
B-1 20846QEH7 BBB (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2001-S6
Class CUSIP Rating
II-P 22540AH35 AAA (sf)
B-1 22540AH68 AAA (sf)
XB-1 22540AH76 AAA (sf)
CWABS Master Trust
Series 2002-F
Class CUSIP Rating
Notes 126671SX5 BBB (sf)
CWABS Master Trust
Series 2002-G
Class CUSIP Rating
Notes 126671TH9 BBB- (sf)
CWABS Master Trust
Series 2002-H
Class CUSIP Rating
Notes 126671TX4 BBB- (sf)
CWABS Master Trust
Series 2003-A
Class CUSIP Rating
Notes 126671XC5 BBB- (sf)
CWABS Master Trust
Series 2003-B
Class CUSIP Rating
Notes 1266719F0 BBB- (sf)
CWABS Master Trust
Series 2003-C
Class CUSIP Rating
Notes 126671YH3 BBB- (sf)
CWABS Master Trust
Series 2003-D
Class CUSIP Rating
Notes 126671ZJ8 BBB (sf)
CWABS, Inc.
Series 2002-S1
Class CUSIP Rating
A-4 126671PU4 AAA (sf)
A-5 126671PV2 AAA (sf)
A-IO 126671PW0 AAA (sf)
M-1 126671PP5 CC (sf)
CWABS, Inc.
Series 2002-S2
Class CUSIP Rating
A-5 126671QN9 AAA (sf)
A-IO 126671QP4 AAA (sf)
M-1 126671QQ2 CC (sf)
CWABS, Inc.
Series 2002-SC1
Class CUSIP Rating
M-2 126671SE7 B (sf)
CWABS, Inc.
Series 2002-S3
Class CUSIP Rating
A-5 126671RV0 AAA (sf)
A-IO 126671RW8 AAA (sf)
M-1 126671RX6 CC (sf)
CWABS, Inc.
Series 2003-S1
Class CUSIP Rating
A-5 126671ZP4 AAA (sf)
A-IO 126671ZQ2 AAA (sf)
M-1 126671ZS8 AA (sf)
M-2 126671ZT6 CC (sf)
CWABS, Inc.
Series 2003-S2
Class CUSIP Rating
A-4 126671P34 AAA (sf)
A-5 126671P42 AAA (sf)
M-1 126671P67 AA (sf)
M-2 126671P75 A (sf)
B-1 126671P83 BBB (sf)
CWABS, Inc.
Series 2003-SC1
Class CUSIP Rating
M-1 126671U79 AA+ (sf)
M-2 126671U87 A+ (sf)
M-3 126671U95 A (sf)
M-4 126671V29 A- (sf)
M-5 126671V37 BBB (sf)
B 126671V45 B (sf)
CWABS, Inc.
Series 2004-S1
Class CUSIP Rating
A-3 126673TD4 AAA (sf)
A-IO 126673TE2 AAA (sf)
M-1 126673TF9 BBB- (sf)
M-2 126673TG7 CC (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2005-M
Series 2005-M
Class CUSIP Rating
A-1 126685BT2 B (sf)
A-4 126685BW5 B (sf)
DLJ ABS Trust Series 2000-6
Series 2000-6
Class CUSIP Rating
M-2 23324VAC6 AA (sf)
B-1 23324VAD4 BBB- (sf)
FFMLT 2007-FFB-SS
Series 2007-FFB-SS
Class CUSIP Rating
A 30248EAA6 B (sf)
FFMLT Trust 2005-FFA
Series 2005-FFA
Class CUSIP Rating
M-2 362341HE2 A+ (sf)
M-3 362341HF9 A (sf)
Fifth Third Home Equity Loan Trust 2003-1
Series 2003-1
Class CUSIP Rating
Notes 31678UAA7 BBB (sf)
First Franklin Mortgage Loan Trust 2002-FFA
Series 2002-FFA
Class CUSIP Rating
M-1 32027NBA8 BB (sf)
M-2 32027NBB6 B- (sf)
First Franklin Mortgage Loan Trust 2003-FFA
Series 2003-FFA
Class CUSIP Rating
I-B-1 22541ND48 AAA (sf)
I-B-2 22541NF46 AAA (sf)
I-B-3 22541ND55 B- (sf)
II-M-2 22541NE62 AAA (sf)
First Franklin Mortgage Loan Trust 2004-FFA
Series 2004-FFA
Class CUSIP Rating
M3-A 32027NFU0 A (sf)
M3-F 32027NFV8 A (sf)
First Franklin Mortgage Loan Trust 2004-FFC
Series 2004-FFC
Class CUSIP Rating
B-1 32027NPX3 A (sf)
B-2 32027NPY1 BBB (sf)
B-3 32027NQA2 BBB- (sf)
First-Citizens HELOC Trust 2005-1
Series 2005-1
Class CUSIP Rating
A 31959AAA1 A (sf)
GMACM Home Equity Loan Trust 2002-HE4
Series 2002-HE4
Class CUSIP Rating
A-2 361856CF2 BBB- (sf)
GMACM Home Equity Loan Trust 2003-HE2
Series 2003-HE2
Class CUSIP Rating
A-4 361856CP0 BBB- (sf)
A-5 361856CQ8 BBB- (sf)
GMACM Home Equity Loan Trust 2004-HE2
Series 2004-HE2
Class CUSIP Rating
A-4 361856DB0 AAA (sf)
M-1 361856DD6 AA (sf)
M-2 361856DE4 BB+ (sf)
GMACM Home Equity Loan Trust 2004-HE4
Series 2004-HE4
Class CUSIP Rating
A-3 361856DP9 B (sf)
A-2 VPRN 361856DR5 B (sf)
GMACM Home Equity Loan Trust 2006-HE4
Series 2006-HE4
Class CUSIP Rating
A-1 38012UAA7 B (sf)
A-2 38012UAB5 B (sf)
A-3 38012UAC3 B (sf)
GMACM Home Equity Loan Trust 2006-HE5
Series 2006-HE5
Class CUSIP Rating
I-A-1 38012EAA3 BB (sf)
II-A-2 38012EAC9 BB (sf)
GMACM Home Equity Loan Trust 2007-HE3
Series 2007-HE3
Class CUSIP Rating
I-A-1 36186MAA9 B- (sf)
I-A-2 36186MAB7 CCC (sf)
II-A-1 36186MAC5 B (sf)
II-A-2 36186MAD3 CCC (sf)
GMACM Home Equity Notes 2004 Variable Funding Trust
Series 2004 notes
Class CUSIP Rating
VFN 36186FAA4 BBB+ (sf)
GMACM Home Loan Trust 2001-HLTV1
Series 2001-HLTV1
Class CUSIP Rating
A-I-7 36185HCY7 AA+ (sf)
GMACM Home Loan Trust 2001-HLTV2
Series 2001-HLTV2
Class CUSIP Rating
A-I 36185HDG5 A- (sf)
A-II 36185HDH3 A- (sf)
GMACM Home Loan Trust 2002-HLTV1
Series 2002-HLTV1
Class CUSIP Rating
A-I 36185HDQ3 A- (sf)
GMACM Home Loan Trust 2004-HLTV1
Series 2004-HLTV1
Class CUSIP Rating
A-4 36185HDV2 BBB (sf)
GMACM Home Loan Trust 2006-HLTV1
Series 2006-HLTV1
Class CUSIP Rating
A-3 36185HEH2 BBB- (sf)
A-4 36185HEJ8 BBB- (sf)
A-5 36185HEK5 BBB- (sf)
Greenpoint Mortgage Funding Trust 2006-HE1
Series 2006-HE1
Class CUSIP Rating
Ac 39539BAB9 CC (sf)
HLTV Mortgage Loan Trust 2004-1
Series 2004-1
Class CUSIP Rating
A 404227AA8 BBB (sf)
Home Equity Loan Trust 2001-HS3
Series 2001-HS3
Class CUSIP Rating
A-II 76110VHB7 A (sf)
M-I-2 76110VGZ5 CC (sf)
Home Equity Loan Trust 2003-HS1
Series 2003-HS1
Class CUSIP Rating
A-I-5 76110VLW6 BBB+ (sf)
A-I-6 76110VLX4 BBB+ (sf)
A-II 76110VLZ9 BBB+ (sf)
VFN BBB+ (sf)
Home Equity Loan Trust 2003-HS2
Series 2003-HS2
Class CUSIP Rating
A-I-4 76110VMS4 AAA (sf)
M-I-1 76110VMU9 AA (sf)
M-I-2 76110VMV7 A+ (sf)
A-II-A 76110VMX3 BBB+ (sf)
A-II-B 76110VMY1 BBB+ (sf)
VFN BBB+ (sf)
Home Equity Loan Trust 2006-HSA5
Series 2006-HSA5
Class CUSIP Rating
A 437099AA2 B (sf)
Home Equity Loan Trust 2007-HSA1
Series 2007-HSA1
Class CUSIP Rating
A 43710MAA0 B (sf)
Variable F 43710M9A2 B (sf)
Home Equity Mortgage Trust 2003-6
Series 2003-6
Class CUSIP Rating
M-2 22541QG97 A (sf)
B-1 22541QH21 BBB (sf)
B-2 22541QH39 BBB (sf)
Home Equity Mortgage Trust 2004-2
Series 2004-2
Class CUSIP Rating
M-2 22541SES3 A (sf)
Home Equity Mortgage Trust 2004-3
Series 2004-3
Class CUSIP Rating
M-3 22541SLU0 A+ (sf)
M-4 22541SLV8 A (sf)
M-5 22541SLW6 A- (sf)
Home Equity Mortgage Trust 2004-5
Series 2004-5
Class CUSIP Rating
M-1 22541SJ90 AA+ (sf)
Home Equity Mortgage Trust 2005-1
Series 2005-1
Class CUSIP Rating
M-5 225458CW6 A (sf)
M-6 225458CX4 A- (sf)
Home Equity Mortgage Trust 2005-4
Series 2005-4
Class CUSIP Rating
A-4 2254584W5 AAA (sf)
M-1 2254584D7 AA+ (sf)
Home Equity Mortgage Trust 2005-5
Series 2005-5
Class CUSIP Rating
A-1A 225470QV8 AAA (sf)
A-1F2 225470RR6 AAA (sf)
A-2A 225470QX4 CCC (sf)
A-2F 225470QY2 CCC (sf)
Home Loan Trust 1999-HI1
Series 1999-HI1
Class CUSIP Rating
A-6 76110VBX5 A (sf)
Home Loan Trust 1999-HI4
Series 1999-HI4
Class CUSIP Rating
A-7 76110VCR7 A (sf)
Home Loan Trust 1999-HI6
Series 1999-HI6
Class CUSIP Rating
A-I-7 76110VCZ9 A (sf)
A-I-8 76110VDA3 A (sf)
Home Loan Trust 1999-HI8
Series 1999-HI8
Class CUSIP Rating
A-I-7 76110VDL9 A (sf)
A-I-8 76110VDM7 A (sf)
Home Loan Trust 2000-HI1
Series 2000-HI1
Class CUSIP Rating
A-I-7 76110VDW5 A- (sf)
Home Loan Trust 2000-HI2
Series 2000-HI2
Class CUSIP Rating
A-I-5 76110VEC8 A- (sf)
Home Loan Trust 2000-HI3
Series 2000-HI3
Class CUSIP Rating
A-I-7 76110VEL8 A (sf)
Home Loan Trust 2000-HI4
Series 2000-HI4
Class CUSIP Rating
A-I-7 76110VEU8 A (sf)
Home Loan Trust 2000-HI5
Series 2000-HI5
Class CUSIP Rating
A-I-7 76110VFD5 A (sf)
Home Loan Trust 2000-HL1
Series 2000-HL1
Class CUSIP Rating
A-I-2 437184AU8 A (sf)
Home Loan Trust 2001-HI1
Series 2001-HI1
Class CUSIP Rating
A 76110VFF0 BBB+ (sf)
Home Loan Trust 2001-HI2
Series 2001-HI2
Class CUSIP Rating
A-I-7 76110VFY9 A- (sf)
Home Loan Trust 2001-HI3
Series 2001-HI3
Class CUSIP Rating
A-I-7 76110VGP7 A (sf)
Home Loan Trust 2002-HI4
Series 2002-HI4
Class CUSIP Rating
A-6 76110VLA4 AAA (sf)
M-1 76110VLB2 AA (sf)
M-2 76110VLC0 A (sf)
M-3 76110VLD8 BBB (sf)
Home Loan Trust 2002-HI5
Series 2002-HI5
Class CUSIP Rating
A-7 76110VLM8 AAA (sf)
M-1 76110VLN6 AA (sf)
M-2 76110VLP1 A (sf)
M-3 76110VLQ9 BBB (sf)
B 76110VLR7 B- (sf)
Home Loan Trust 2003-HI1
Series 2003-HI1
Class CUSIP Rating
A-7 76110VMG0 AAA (sf)
M-1 76110VMH8 AA (sf)
M-2 76110VMJ4 A (sf)
M-3 76110VMK1 BBB (sf)
B 76110VML9 CC (sf)
Home Loan Trust 2003-HI2
Series 2003-HI2
Class CUSIP Rating
A-6 76110VNE4 AAA (sf)
M-1 76110VNG9 AA (sf)
M-2 76110VNH7 A (sf)
M-3 76110VNJ3 BBB (sf)
B 76110VNK0 CC (sf)
Home Loan Trust 2003-HI4
Series 2003-HI4
Class CUSIP Rating
A-I-5 76110VPD4 AAA (sf)
A-II 76110VPF9 AAA (sf)
M-1 76110VPG7 AA (sf)
M-2 76110VPH5 A (sf)
M-3 76110VPJ1 BBB (sf)
Home Loan Trust 2004-HI1
Series 2004-HI1
Class CUSIP Rating
A-5 76110VPR3 AAA (sf)
M-1 76110VPS1 AA (sf)
M-2 76110VPT9 A (sf)
M-3 76110VPU6 BBB+ (sf)
M-4 76110VPV4 BBB (sf)
M-5 76110VPW2 BBB- (sf)
B 345454AB8 CC (sf)
Home Loan Trust 2004-HI2
Series 2004-HI2
Class CUSIP Rating
A-5 76110VQS0 BBB- (sf)
Home Loan Trust 2004-HI3
Series 2004-HI3
Class CUSIP Rating
A-5 76110VQX9 BBB (sf)
Home Loan Trust 2005-HI1
Series 2005-HI1
Class CUSIP Rating
A-5 76110VRD2 B (sf)
Home Loan Trust 2005-HI3
Series 2005-HI3
Class CUSIP Rating
A-5 76110VSE9 AAA (sf)
M-1 76110VSF6 AA+ (sf)
M-2 76110VSG4 AA (sf)
M-3 76110VSH2 AA- (sf)
M-4 76110VSJ8 A+ (sf)
M-5 76110VSK5 A (sf)
M-6 76110VSL3 A- (sf)
M-7 76110VSM1 BBB+ (sf)
M-8 76110VSN9 BBB (sf)
HomeBanc Mortgage Trust 2007-1
Series 2007-1
Class CUSIP Rating
II-A 43741BAN9 AAA (sf)
Irwin Home Equity Loan Trust 2002-1
Series 2002-1
Class CUSIP Rating
I A-1 464126BR1 BBB (sf)
II M-1 464126BU4 AA+ (sf)
II M-2 464126BV2 A (sf)
II B-1 464126BW0 BBB (sf)
Irwin Home Equity Loan Trust 2003-1
Series 2003-1
Class CUSIP Rating
M-2 464126CD1 A (sf)
B-1 464126CE9 BBB (sf)
B-2 464126CF6 BBB- (sf)
Irwin Home Equity Loan Trust 2006-1
Series 2006-1
Class CUSIP Rating
IA-1 464126CW9 BBB+ (sf)
IIA-2 464126CY5 A- (sf)
IIA-3 464126CZ2 A- (sf)
IIA-4 464126DA6 A- (sf)
Irwin Whole Loan Home Equity Trust 2003-A
Series 2003-A
Class CUSIP Rating
M-1 464187AM5 AA+ (sf)
M-2 464187AN3 A (sf)
B 464187AP8 BBB (sf)
Irwin Whole Loan Home Equity Trust 2003-B
Series 2003-B
Class CUSIP Rating
IA 464187AR4 AA (sf)
M 464187AV5 A (sf)
B 464187AW3 BBB (sf)
Irwin Whole Loan Home Equity Trust 2003-C
Series 2003-C
Class CUSIP Rating
M-1 464187BA0 AA (sf)
M-2 464187BB8 A (sf)
B-1 464187BC6 BBB (sf)
B-2 464187BD4 BBB- (sf)
Irwin Whole Loan Home Equity Trust 2003-D
Series 2003-D
Class CUSIP Rating
M-1 464187BL6 AA (sf)
M-2 464187BM4 A (sf)
B-1 464187BN2 BBB (sf)
B-2 464187BP7 BBB- (sf)
Irwin Whole Loan Home Equity Trust 2004-A
Series 2004-A
Class CUSIP Rating
M-1 464187BV4 AA (sf)
M-2 464187BW2 A (sf)
B-1 464187BX0 BBB (sf)
B-2 464187BY8 BBB- (sf)
Irwin Whole Loan Home Equity Trust 2005-B
Series 2005-B
Class CUSIP Rating
1M-1 464187CR2 AA (sf)
1M-2 464187CS0 A (sf)
1M-3 464187CT8 BBB (sf)
1M-4 464187CU5 BBB- (sf)
1B-1 464187DB6 BB+ (sf)
1B-2 464187DC4 BB (sf)
2M-1 464187CV3 AA (sf)
2M-2 464187CW1 A (sf)
2M-3 464187CX9 BBB+ (sf)
2M-4 464187CY7 BBB (sf)
2B-1 464187CZ4 BBB- (sf)
Irwin Whole Loan Home Equity Trust 2005-C
Series 2005-C
Class CUSIP Rating
1M-1 464187DK6 AA (sf)
1M-2 464187DL4 A (sf)
1M-3 464187DM2 BBB (sf)
1M-4 464187DN0 BBB- (sf)
1B-1 464187DZ3 BB+ (sf)
1B-2 464187EA7 BB+ (sf)
2M-1 464187DP5 AA (sf)
2M-2 464187DQ3 A (sf)
2M-3 464187DR1 BBB (sf)
Merrill Lynch Mortgage Investors Trust
Series 2006-SL1
Class CUSIP Rating
A 59020U2N4 AAA (sf)
Merrill Lynch Mortgage Investors Trust, Series 2004-SL2
Series 2004-SL2
Class CUSIP Rating
B-2 59020UKJ3 BBB (sf)
Merrill Lynch Mortgage Investors Trust, Series 2005-NCA
Series 2005-NCA
Class CUSIP Rating
M-2 59020UZU2 A (sf)
Morgan Stanley Mortgage Loan Trust 2005-8SL
Series 2005-8SL
Class CUSIP Rating
A-1 61748HQG9 BBB (sf)
A-2b 61748HQJ3 BBB (sf)
Nomura Asset Acceptance Corporation Alternative Loan Trust Series
2005-S2
Series 2005-S2
Class CUSIP Rating
M-1 65535VLU0 BB (sf)
Nomura Asset Acceptance Corporation, Alternative Loan Trust,
Series 2005-S3
Series 2005-S3
Class CUSIP Rating
A-2 65535VNR5 BBB (sf)
A-3 65535VPQ5 BBB (sf)
RFMSII Series 2001-HS2 Trust
Series 2001-HS2
Class CUSIP Rating
A-5 76110VGF9 A (sf)
RFMSII Series 2002-HS1 Trust
Series 2002-HS1
Class CUSIP Rating
M-1 76110VJA7 AAA (sf)
RFMSII Series 2002-HS2 Trust
Series 2002-HS2
Class CUSIP Rating
M-1 76110VKG2 AA+ (sf)
SACO I Trust 2004-2
Series 2004-2
Class CUSIP Rating
B-1 785778CZ2 BBB (sf)
SACO I Trust 2005-5
Series 2005-5
Class CUSIP Rating
I-A 785778FY2 AAA (sf)
SACO I Trust 2005-8
Series 2005-8
Class CUSIP Rating
A-1 785778LA7 AA (sf)
A-3 785778LC3 AA (sf)
SACO I Trust 2005-9
Series 2005-9
Class CUSIP Rating
A-1 785778MK4 A (sf)
A-3 785778MM0 A (sf)
SACO I Trust 2006-12
Series 2006-12
Class CUSIP Rating
II-A 78577NAG3 CC (sf)
SACO I Trust 2006-5
Series 2006-5
Class CUSIP Rating
II-A-2 785811AC4 B (sf)
SACO I Trust, 2005-7
Series 2005-7
Class CUSIP Rating
A 785778KL4 AA (sf)
SACO I Trust, 2005-WM3
Series 2005-WM3
Class CUSIP Rating
A-1 785778LS8 B (sf)
A-3 785778LU3 B (sf)
Sequoia HELOC Trust 2004-1
Series 2004-1
Class CUSIP Rating
Notes 817419AA2 BBB (sf)
Structured Asset Securities Corp.
Series 2003-S2
Class CUSIP Rating
M1-A 86359BBL4 AA (sf)
M1-F 86359BBM2 AA (sf)
M2-A 86359BBN0 BB+ (sf)
M2-F 86359BBP5 BB+ (sf)
Structured Asset Securities Corp.
Series 2004-S2
Class CUSIP Rating
M4 86359BSV4 A- (sf)
M5 86359BSW2 BBB+ (sf)
M6 86359BSX0 B- (sf)
Structured Asset Securities Corp.
Series 2004-S4
Class CUSIP Rating
M4 86359BM40 A- (sf)
M5 86359BM57 BBB+ (sf)
Structured Asset Securities Corporation Mortgage Loan Trust 2005-
S5
Series 2005-S5
Class CUSIP Rating
M1 86359DPP6 AA+ (sf)
Terwin Mortgage Trust 2003-3SL
Series 2003-3SL
Class CUSIP Rating
B-1 881561BC7 A+ (sf)
Terwin Mortgage Trust 2003-7SL
Series 2003-7SL
Class CUSIP Rating
B-2 881561CU6 BBB- (sf)
Terwin Mortgage Trust 2004-18SL
Series 2004-18SL
Class CUSIP Rating
1-B-2 881561MX9 BBB (sf)
1-B-3 881561MY7 BBB- (sf)
Terwin Mortgage Trust 2004-6SL
Series 2004-6SL
Class CUSIP Rating
B-1 881561HE7 BBB (sf)
B-2 881561HF4 BBB- (sf)
Terwin Mortgage Trust 2004-8HES
Series 2004-8HES
Class CUSIP Rating
B-2 881561GH1 BB+ (sf)
Terwin Mortgage Trust 2005-1SL
Series 2005-1SL
Class CUSIP Rating
M-1 881561QJ6 AA (sf)
M-2 881561QK3 A (sf)
Terwin Mortgage Trust 2005-5SL
Series 2005-5SL
Class CUSIP Rating
M-2 881561RQ9 A (sf)
M-3 881561RR7 A- (sf)
Terwin Mortgage Trust 2006-1
Series 2006-1
Class CUSIP Rating
II-A-1b 881561H98 CC (sf)
Terwin Mortgage Trust 2006-HF-1
Series 2006-HF-1
Class CUSIP Rating
A-1b 881561R55 AA (sf)
Terwin Mortgage Trust Series TMTS 2004-22SL
Series 2004-22SL
Class CUSIP Rating
B-1 881561MN1 BBB (sf)
B-2 881561MP6 BB (sf)
Terwin Mortgage Trust, Series TMTS 2003-5SL
Series 2003-5SL
Class CUSIP Rating
B-1 881561BM5 BBB (sf)
B-2 881561BP8 BBB- (sf)
* S&P Lowers Ratings on 53 Classes of Repackaged Securities
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 53
classes of repackaged securities affected by its downgrades of
various banks and certain subsidiaries.
"The ratings on the repackaged securities are dependent on our
ratings on either the underlying securities or the derivative
guarantors," S&P said.
"The rating actions follow our Nov. 29, 2011 downgrades of various
banks and certain subsidiaries. We may take subsequent rating
actions on these securities due to changes in the ratings we have
assigned to the underlying securities or derivative guarantors,"
S&P said.
The complete ratings list is available for free at:
http://bankrupt.com/misc/S&P_RepackagedSecurities1216.pdf
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
* S&P Lowers Ratings on 227 Classes from 44 US RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 227
classes from 44 U.S. residential mortgage-backed securities (RMBS)
transactions issued from 2002 through 2008 and removed 90 of them
from CreditWatch with negative implications. "Additionally, we
affirmed our ratings on 59 classes from 27 of the transactions
with lowered ratings and one additional transaction and removed
21 of them from CreditWatch negative. We also withdrew our ratings
on 31 classes from 22 transactions based on our interest-only (IO)
criteria, 23 of which were on CreditWatch negative prior to the
rating withdrawal," S&P said.
"We placed a number of these classes on CreditWatch negative
following the lowering of the long-term credit rating on the U.S.
to 'AA+'," S&P said.
"The downgrades reflect our belief that projected credit
enhancement for the affected classes will be insufficient to cover
the projected losses at the previous rating levels," S&P said.
"The affirmations reflect our belief that projected credit
enhancement available for the affected classes will be 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," S&P said.
"Reperforming loan transactions include loans that were either
delinquent or had delinquent payment histories at the time of
securitization. The 45 transactions in this review are primarily
collateralized by Federal Housing Administration (FHA) insured
residential mortgage loans or U.S. Department of Veterans Affairs
(VA) guaranteed residential mortgage loans," S&P said.
"Previously, we projected defaults using observed monthly losses
to account for loans that may be contractually delinquent but
still generating cash flow. However, as these transactions age,
reperforming loans that are still classified as delinquent may
exhibit a lower likelihood of eventually achieving a current
payment status. Therefore, we adjusted our assumptions to utilize
each transaction's cumulative losses to date, pool factor, and
assumed losses from the delinquency pipeline to project defaults
going forward. We applied roll-rates on the delinquency pipeline
by assuming 25% of 30 day delinquencies default, 50% of 60-day
delinquencies default, and 100% of 90plus-day delinquent,
foreclosures, and REOs default," S&P said.
"Any applicable government insurance or guarantee by the FHA or
the VA will generally cover the majority of losses incurred on a
liquidated loan within these transactions. Historically we've
applied a 5% loss severity on projected defaults to derive losses.
Over the past year we've observed a general increase in loss
severities experienced by these transactions. Based on our
observations, we have applied a higher loss severity of 13% on
projected defaults to derive losses for the transactions in this
review," S&P said.
"In order to maintain a 'B (sf)' 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 (sf)', 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 (sf)' 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 (sf)'
rating, while we would assess whether a different class could
withstand approximately 120% of our remaining base-case loss
assumptions to maintain a 'BBB (sf)' rating," S&P said.
"Some of the impacted ratings rely on U.S. government affiliated
entities Fannie Mae and Freddie Mac, rated 'AA+', which provide
guarantees to the related securities. If the underlying credit
quality of these securities without the benefit of the guaranty
was not commensurate with a 'AAA (sf)', rating, we downgraded them
to 'AA+ (sf)'," S&P said.
"Classes rated 'AAA (sf)' that were able to withstand our 'AAA'
stresses of approximately 150% of our remaining base-case loss
assumptions using a 13% loss severity were evaluated further using
a higher loss severity, in accordance with our primary mortgage
insurance criteria. According to the criteria, the amount of
credit given in a 'AAA' stress scenario to primary mortgage
insurance provided by an insurer rated 'AA+', in this case FHA or
VA, is 85%," S&P said.
"The loss severity assumption for these transactions in the
absence of insurance and guarantees, based on loan characteristics
and payment history, is similar to that of subprime loans, which
we assume to be 70%. In order to apply our primary mortgage
insurance criteria for these transactions, we assume 85% of the
loans have a 13% loss severity, while 15% of the loans will
have a 70% loss severity. The average loss severity is calculated
to be 21.55%, and this severity is used solely to determine if a
'AAA (sf)' rated class can maintain its rating in a 'AAA' stress
scenario. If a 'AAA (sf)' rated class has sufficient projected
credit enhancement to cover projected losses in a 'AAA' scenario
using a 21.55% loss severity, we affirmed the ratings at 'AAA'. If
a 'AAA (sf)' rated class has sufficient projected credit
enhancement to cover projected losses in a 'AAA' scenario with a
13% loss severity, but insufficient projected credit enhancement
to cover projected losses in a 'AAA' scenario using a 21.55% loss
severity, we downgraded the classes to 'AA+ (sf)'," S&P said.
"The tables provide additional structure-level information
regarding delinquencies and cumulative losses for the transactions
we reviewed for this release," S&P said. The tables include data
through the November 2011 remittance period:
Losses and Delinquencies
CWMBS Reperforming Loan REMIC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-R2 402 22.72 0.97 49.95 28.52
2005-R2 688 30.48 0.99 50.78 30.14
Fannie Mae REMIC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2002-W1 93 10.20 0.02 45.34 20.30
2002-W1 563 10.76 0.05 53.76 29.22
2002-W6 102 13.30 0.01 45.54 20.75
2003-W1 1,507 14.30 0.01 50.05 24.43
2003-W10 138 14.88 0.02 43.11 22.52
2003-W10 685 16.72 0.01 58.70 35.66
2003-W10 559 16.86 0.04 55.80 34.45
2003-W4 66 10.30 0.00 55.41 34.96
2003-W4 1,032 15.78 0.01 57.99 35.05
2004-W14 288 32.99 0.02 43.80 20.21
2004-W3 945 26.60 0.01 12.30 10.30
Financial Asset Securities Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-RP1 406 26.40 0.99 25.73 18.12
2004-RP1 93 21.79 0.30 23.97 11.57
Freddie Mac Structured Pass-Through Certificates
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
T-057 684 20.12 0.86 49.37 23.85
GSMPS Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-2 708 19.43 0.84 49.37 23.85
2004-3 818 24.44 0.57 44.18 21.10
2004-4 882 28.65 0.79 30.05 18.95
2005-RP1 873 33.56 0.61 47.98 24.28
2005-RP2 825 34.54 0.76 31.56 18.79
2005-RP3 744 39.66 0.84 24.53 11.43
2006-RP1 535 47.00 0.43 34.39 22.74
2006-RP2 336 53.40 1.05 49.95 25.48
MASTR Reperforming Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 403 40.66 0.68 51.82 28.59
2006-1 271 45.58 0.70 47.45 23.98
2006-2 178 55.10 1.00 52.09 30.03
NAAC Reperforming Loan REMIC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-R3 314 31.50 0.61 27.74 17.61
NAAC Reperforming Loan REMIC Trust Certificates
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-R1 398 23.03 0.88 55.54 29.98
2004-R2 208 23.29 1.07 30.93 16.54
RBSGC Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-RP1 248 33.68 0.88 30.39 18.52
2005-RP1 26 25.57 0.41 22.16 14.61
Reperforming Loan REMIC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-T-058 637 19.85 0.85 53.94 30.55
2005-R1 590 29.78 1.06 55.84 34.40
2005-R3 475 29.06 1.10 35.59 26.23
T-048 1,345 13.37 0.70 50.29 25.86
T-048 102 15.67 0.18 46.87 19.74
T-051 456 13.43 0.52 52.96 31.27
T-054 1,258 15.40 0.82 48.42 24.52
Reperforming Loan REMIC Trust Certificates
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-R4 555 19.33 0.94 56.97 34.06
Structured Asset Secs Corp. Mtg Ln Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-RF3 185 57.90 1.25 57.91 34.60
2006-RF3 87 44.77 1.61 14.84 11.62
Structured Asset Securities Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-RF1 191 33.84 0.74 50.52 26.61
2005-RF2 172 32.45 0.48 56.15 30.38
2005-RF3 265 36.49 0.89 47.43 23.19
2005-RF4 210 39.89 0.99 50.89 30.50
2005-RF5 180 38.32 0.83 48.00 25.25
2005-RF6 103 39.75 1.11 49.68 29.31
2005-RF7 52 46.44 0.77 53.59 30.66
2006-RF1 74 39.90 0.70 37.05 22.48
Structured Asset Securities Corporation Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-RF2 158 53.35 0.90 55.47 32.22
2006-RF4 214 59.55 1.15 56.23 33.34
2007-RF1 235 60.72 0.93 55.57 33.42
2007-RF2 81 61.29 1.53 49.90 28.98
2008-RF1 107 70.27 2.26 49.84 27.27
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 the
reviewed transactions as of the November 2011 distribution period.
Average Average Average Average
pool factor cum. losses total del. severe del.
Vintage (%) (%) (%) (%)
2002 12.80 0.46 50.90 26.79
2003 16.82 0.42 52.67 28.72
2004 26.45 0.59 32.33 18.85
2005 34.50 0.84 42.29 24.00
2006 51.02 0.86 46.30 26.91
2007 60.87 1.09 54.11 32.28
2008 70.27 2.26 49.85 27.27
Subordination, overcollateralization (prior to its depletion),
excess spread, and bond insurance, when applicable, provide credit
support for the affected transactions.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
CWMBS Reperforming Loan REMIC Trust 2004-R2
Series 2004-R2
Rating
Class CUSIP To From
1A-F1 12669UCB4 CCC (sf) A (sf)
1A-F2 12669UCC2 CCC (sf) A (sf)
1A-S 12669UCD0 NR A (sf)
M 12669UCE8 CC (sf) CCC (sf)
CWMBS Reperforming Loan REMIC Trust 2005-R2
Series 2005-R2
Rating
Class CUSIP To From
1A-F1 12669GN64 A+ (sf) AAA (sf)/Watch Neg
1A-F2 12669GS51 CC (sf) BBB- (sf)
1A-S 12669GN72 NR AAA (sf)/Watch Neg
2A-1 12669GN98 CC (sf) BBB (sf)
2A-2 12669GP21 CC (sf) BBB (sf)
2A-3 12669GP39 CC (sf) BBB (sf)
2A-4 12669GP47 CC (sf) BBB (sf)
2A-IO 12669GN80 NR BBB (sf)
M 12669GP54 CC (sf) CCC (sf)
B-1 12669GP62 CC (sf) CCC (sf)
Fannie Mae REMIC Trust 2002-W1
Series 2002-W1
Rating
Class CUSIP To From
1A-4 31392CMJ0 AA+ (sf) AAA (sf)/Watch Neg
1A-IO 31392CMK7 AA+ (sf) AAA (sf)/Watch Neg
2A 31392CMS0 AA+ (sf) AAA (sf)/Watch Neg
2A-IO 31392CMU5 AA+ (sf) AAA (sf)/Watch Neg
3A 31392CMV3 AAA (sf) AAA (sf)/Watch Neg
M 31392CML5 B (sf) AA (sf)/Watch Neg
B-1 31392CMM3 CCC (sf) A (sf)/Watch Neg
B-2 31392CMN1 CC (sf) BBB (sf)/Watch Neg
3B-3 31392CMZ4 CCC (sf) BB (sf)
3B-4 31392CNA8 CC (sf) B (sf)
Fannie Mae REMIC Trust 2002-W6
Series 2002-W6
Rating
Class CUSIP To From
3M 31392DG71 B- (sf) AA (sf)
3B-1 31392DG89 CCC (sf) A (sf)
3B-2 31392DG97 CC (sf) BBB (sf)
3B-3 31392DH21 CC (sf) BB (sf)
3B-4 31392DH39 CC (sf) B (sf)
Fannie Mae REMIC Trust 2003-W1
Series 2003-W1
Rating
Class CUSIP To From
M 31392GWD3 CCC (sf) AA (sf)
B-1 31392GWE1 CCC (sf) BBB- (sf)
B-2 31392GWF8 CC (sf) CCC (sf)
Fannie Mae REMIC Trust 2003-W10
Series 2003-W10
Rating
Class CUSIP To From
3M 31393DUX7 CC (sf) BB+ (sf)
2B-1 31393DUJ8 BBB (sf) A (sf)
3B-1 31393DUY5 CC (sf) CCC (sf)
2B-2 31393DUK5 B (sf) BBB (sf)
2B-3 31393DUL3 CCC (sf) BB (sf)
2B-4 31393DUM1 CC (sf) B (sf)
Fannie Mae REMIC Trust 2003-W4
Series 2003-W4
Rating
Class CUSIP To From
IM 31393AQ59 B (sf) AA (sf)
IIM 31393AR41 BB (sf) AA (sf)
IB-1 31393AQ67 CCC (sf) A (sf)
IIB-1 31393AR58 CCC (sf) A (sf)
IB-2 31393AQ75 CC (sf) CCC (sf)
IIB-2 31393AR66 CC (sf) BBB (sf)
IIB-3 31393AR74 CC (sf) BB (sf)
Fannie Mae REMIC Trust 2004-W14
Series 2004-W14
Rating
Class CUSIP To From
M 31394BT95 CCC (sf) AA (sf)
B-1 31394BU28 CC (sf) B (sf)
Fannie Mae REMIC Trust 2004-W3
Series 2004-W3
Rating
Class CUSIP To From
A-5 31393XVG9 AAA (sf) AAA (sf)/Watch Neg
A-6 31393XVH7 AAA (sf) AAA (sf)/Watch Neg
A-7 31393XVJ3 AAA (sf) AAA (sf)/Watch Neg
A-8 31393XVK0 AAA (sf) AAA (sf)/Watch Neg
A-11 31393XWR4 AAA (sf) AAA (sf)/Watch Neg
A-16 31393XVN4 AAA (sf) AAA (sf)/Watch Neg
A-20 31393XWW3 AAA (sf) AAA (sf)/Watch Neg
A-30 31393XWB9 AAA (sf) AAA (sf)/Watch Neg
A-36 31393XWY9 AAA (sf) AAA (sf)/Watch Neg
A-37 31393XWZ6 AAA (sf) AAA (sf)/Watch Neg
A-38 31393XXA0 AAA (sf) AAA (sf)/Watch Neg
A-39 31393XXB8 AAA (sf) AAA (sf)/Watch Neg
IO-1 31393XWH6 AAA (sf) AAA (sf)/Watch Neg
IO-2 31393XE37 AAA (sf) AAA (sf)/Watch Neg
IO-3 31393XE45 AAA (sf) AAA (sf)/Watch Neg
PO 31393XWJ2 AAA (sf) AAA (sf)/Watch Neg
2A-IO 31393XWK9 AAA (sf) AAA (sf)/Watch Neg
3A-1 31393XWL7 AAA (sf) AAA (sf)/Watch Neg
M 31393U7L1 AA (sf) AA (sf)/Watch Neg
B-1 31393XWM5 A (sf) A (sf)/Watch Neg
B-2 31393XD79 CC (sf) BBB (sf)/Watch Neg
Financial Asset Securities Corp.
Series 2004-RP1
Rating
Class CUSIP To From
I-F 92922FYJ1 AA+ (sf) AAA (sf)/Watch Neg
I-HJ 92922FYK8 AA+ (sf) AAA (sf)/Watch Neg
I-S 92922FYL6 AA+ (sf) AAA (sf)/Watch Neg
II-A 92922FZD3 AA+ (sf) AAA (sf)/Watch Neg
I-B-1 92922FYN2 B+ (sf) AA (sf)/Watch Neg
II-B-1 92922FYV4 A+ (sf) AA (sf)/Watch Neg
I-B-2 92922FYP7 CCC (sf) A (sf)/Watch Neg
II-B-2 92922FYW2 B+ (sf) A (sf)
I-B-3 92922FYQ5 CC (sf) CCC (sf)
II-B-4 92922FYY8 CC (sf) CCC (sf)
GSMPS Mortgage Loan Trust 2004-4
Series 2004-4
Rating
Class CUSIP To From
1AF 36242DJQ7 AA+ (sf) AAA (sf)/Watch Neg
1AS 36242DJR5 AA+ (sf) AAA (sf)/Watch Neg
1A2 36242DJS3 AA+ (sf) AAA (sf)/Watch Neg
1A3 36242DJT1 AA+ (sf) AAA (sf)/Watch Neg
1A4 36242DJU8 AA+ (sf) AAA (sf)/Watch Neg
AX 36242DJV6 AA+ (sf) AAA (sf)/Watch Neg
2A1 36242DJW4 AA+ (sf) AAA (sf)/Watch Neg
GSMPS Mortgage Loan Trust 2005-RP1
Series 2005-RP1
Rating
Class CUSIP To From
1AF 36242DXG3 B- (sf) AAA (sf)/Watch Neg
1AS 36242DXH1 NR AAA (sf)/Watch Neg
1A2 36242DXJ7 B- (sf) AAA (sf)/Watch Neg
1A3 36242DXK4 B- (sf) AAA (sf)/Watch Neg
1A4 36242DXL2 B- (sf) AAA (sf)/Watch Neg
AX 36242DXM0 NR AAA (sf)/Watch Neg
2A1 36242DXN8 B- (sf) AAA (sf)/Watch Neg
B1 36242DXP3 CC (sf) BBB- (sf)
B2 36242DXQ1 CC (sf) B- (sf)
GSMPS Mortgage Loan Trust 2005-RP2
Series 2005-RP2
Rating
Class CUSIP To From
1AF 36242DT52 BB+ (sf) AAA (sf)/Watch Neg
1AS 36242DT60 NR AAA (sf)/Watch Neg
1A2 36242DT78 BB+ (sf) AAA (sf)/Watch Neg
1A3 36242DT86 BBB (sf) AAA (sf)/Watch Neg
1A4 36242DT94 BB+ (sf) AAA (sf)/Watch Neg
AX 36242DU27 NR AAA (sf)/Watch Neg
2A1 36242DU35 BBB- (sf) AAA (sf)/Watch Neg
B1 36242DU43 CCC (sf) AA- (sf)/Watch Neg
B2 36242DU50 CC (sf) B- (sf)/Watch Neg
B3 36242DU68 CC (sf) CCC (sf)
GSMPS Mortgage Loan Trust 2005-RP3
Series 2005-RP3
Rating
Class CUSIP To From
1AF 362341LL1 B- (sf) AAA (sf)/Watch Neg
1AS 362341LM9 NR AAA (sf)/Watch Neg
1A2 362341LN7 BB- (sf) AAA (sf)/Watch Neg
1A3 362341LP2 B (sf) AAA (sf)/Watch Neg
1A4 362341LQ0 B (sf) AAA (sf)/Watch Neg
AX 362341LR8 NR AAA (sf)/Watch Neg
2A1 362341LS6 BB- (sf) AAA (sf)/Watch Neg
B1 362341LT4 CCC (sf) AA (sf)/Watch Neg
B2 362341LU1 CC (sf) A (sf)
B3 362341LV9 CC (sf) CCC (sf)
B4 362341LW7 CC (sf) CCC (sf)
GSMPS Mortgage Loan Trust 2006-RP1
Series 2006-RP1
Rating
Class CUSIP To From
1AF 3623413C1 CCC (sf) BB+ (sf)
1AF2 3623413V9 CCC (sf) BB+ (sf)
1A2 3623413E7 CCC (sf) BBB- (sf)
1A3 3623413F4 CCC (sf) BB+ (sf)
1A4 3623413G2 CCC (sf) BB+ (sf)
2A1 3623413J6 CCC (sf) BBB- (sf)
B1 3623413K3 CC (sf) CCC (sf)
B2 3623413L1 CC (sf) CCC (sf)
GSMPS Mortgage Loan Trust 2006-RP2
Series 2006-RP2
Rating
Class CUSIP To From
1AF1 36298XAA0 CC (sf) CCC (sf)
1AF2 36298XAB8 CC (sf) CCC (sf)
2A1 36298XAE2 CC (sf) B- (sf)
B1 36298XAF9 CC (sf) CCC (sf)
B2 36298XAG7 CC (sf) CCC (sf)
MASTR Reperforming Loan Trust 2005-2
Series 2005-2
Rating
Class CUSIP To From
1A1F 57643QAE5 CCC (sf) BBB- (sf)
1A1S 57643QAF2 NR BBB- (sf)
1A2 57643QAG0 CCC (sf) BBB- (sf)
1A3 57643QAH8 CCC (sf) BB- (sf)
1A4 57643QAJ4 CCC (sf) BB- (sf)
AX 57643QAK1 NR BBB- (sf)
2A1 57643QAL9 CCC (sf) BBB- (sf)
B1 57643QAP0 CC (sf) CCC (sf)
B2 57643QAQ8 CC (sf) CCC (sf)
MASTR Reperforming Loan Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
1A1F 57643QBL8 CCC (sf) AAA (sf)/Watch Neg
1A1S 57643QBQ7 NR AAA (sf)/Watch Neg
1A2 57643QBM6 CCC (sf) AAA (sf)/Watch Neg
1A3 57643QBN4 CCC (sf) AAA (sf)/Watch Neg
1A4 57643QBP9 CCC (sf) AAA (sf)/Watch Neg
AX 57643QBR5 NR AAA (sf)/Watch Neg
2A1 57643QBS3 CCC (sf) AAA (sf)/Watch Neg
B1 57643QBV6 CC (sf) BBB (sf)
B2 57643QBW4 CC (sf) CCC (sf)
B3 57643QBX2 CC (sf) CCC (sf)
MASTR Reperforming Loan Trust 2006-2
Series 2006-2
Rating
Class CUSIP To From
1A1 57645LAA2 CC (sf) CCC (sf)
2A1 57645LAB0 CC (sf) CCC (sf)
NAAC Reperforming Loan REMIC Trust 2004-R3
Series 2004-R3
Rating
Class CUSIP To From
A1 62951MAY6 CCC (sf) AAA (sf)/Watch Neg
AF 62951MAZ3 CCC (sf) AAA (sf)/Watch Neg
AS 62951MBA7 NR AAA (sf)/Watch Neg
PT 62951MBB5 CCC (sf) AAA (sf)/Watch Neg
M 62951MBC3 CCC (sf) AA (sf)/Watch Neg
B-1 62951MBD1 CC (sf) A (sf)
B-2 62951MBE9 CC (sf) BB (sf)/Watch Neg
NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R2
Series 2004-R2
Rating
Class CUSIP To From
A1 62951MAM2 CCC (sf) AAA (sf)/Watch Neg
A2 62951MAN0 CCC (sf) AAA (sf)/Watch Neg
A3 62951MAT7 CCC (sf) AAA (sf)/Watch Neg
PT 62951MAP5 A+ (sf) AAA (sf)/Watch Neg
M 62951MAQ3 CCC (sf) AA (sf)/Watch Neg
B-1 62951MAR1 CC (sf) BB+ (sf)
NAAC Reperforming Loan REMIC Trust Certificates, Series 2004-R1
Series 2004-R1
Rating
Class CUSIP To From
A1 62951MAA8 B- (sf) AAA (sf)/Watch Neg
A2 62951MAB6 B- (sf) AAA (sf)/Watch Neg
PT 62951MAD2 CCC (sf) AAA (sf)/Watch Neg
M 62951MAC4 CCC (sf) AA (sf)/Watch Neg
B-1 62951MAF7 CC (sf) CCC (sf)
RBSGC Mortgage Loan Trust
Series 2005-RP1
Rating
Class CUSIP To From
I-F 74927UAA6 BBB- (sf) AAA (sf)/Watch Neg
I-SF 74927UAB4 NR AAA (sf)/Watch Neg
I-SB 74927UAC2 NR AA (sf)/Watch Neg
II-A 74927UAK4 AA+ (sf) AAA (sf)/Watch Neg
I-B-1 74927UAD0 B- (sf) AA (sf)/Watch Neg
II-B-1 74927UAL2 A+ (sf) AA (sf)/Watch Neg
I-B-2 74927UAE8 CC (sf) BBB- (sf)
II-B-2 74927UAM0 B- (sf) A (sf)/Watch Neg
II-B-3 74927UAN8 CCC (sf) BBB (sf)
II-B-4 74927UAP3 CC (sf) CCC (sf)
Reperforming Loan REMIC Trust 2002-2
Series T-048
Rating
Class CUSIP To From
1M 12669UAH3 CC (sf) BBB (sf)
2M 12669UAP5 B (sf) AA (sf)
2B-1 12669UAQ3 CCC (sf) A (sf)
2B-2 12669UAR1 CC (sf) BBB (sf)
2B-3 12669UAS9 CC (sf) CCC (sf)
Reperforming Loan REMIC Trust 2002-R3
Series T-051
Rating
Class CUSIP To From
M 12669UAZ3 CCC (sf) AA (sf)
B-1 12669UBA7 CCC (sf) A (sf)
B-2 12669UBB5 CC (sf) CCC (sf)
Reperforming Loan REMIC Trust 2003-R1
Series T-054
Rating
Class CUSIP To From
1M 12669UBF6 CCC (sf) AA (sf)/Watch Neg
1B1 12669UBG4 CC (sf) A (sf)/Watch Neg
IIM 12669UBJ8 CCC (sf) AA (sf)
IIB1 12669UBK5 CCC (sf) A (sf)
IIB2 12669UBL3 CCC (sf) BBB (sf)
IIB3 12669UBQ2 CCC (sf) BB (sf)
IIB4 12669UBR0 CCC (sf) B (sf)
Reperforming Loan REMIC Trust 2003-R3
Series 2003-T-058
Rating
Class CUSIP To From
M 12669E2Q8 CC (sf) AA (sf)/Watch Neg
B1 12669E2R6 CC (sf) BB (sf)
Reperforming Loan REMIC Trust 2005-R3
Series 2005-R3
Rating
Class CUSIP To From
A-F 126694JG4 CCC (sf) AAA (sf)/Watch Neg
A-S 126694JH2 NR AAA (sf)/Watch Neg
M 126694JJ8 CC (sf) AA (sf)/Watch Neg
B-1 126694JK5 CC (sf) BB (sf)
B-2 126694JL3 CC (sf) CCC (sf)
Reperforming Loan REMIC Trust Certificates Series 2003-R4
Series 2003-R4
Rating
Class CUSIP To From
1A-PO 12669FFQ1 B- (sf) AAA (sf)/Watch Neg
1A-IO 12669FFR9 NR AAA (sf)/Watch Neg
2A-IO 12669FJB0 NR AAA (sf)/Watch Neg
1A-4 12669FFP3 B- (sf) AAA (sf)/Watch Neg
2A 12669FFS7 B- (sf) AAA (sf)/Watch Neg
M 12669FFT5 CC (sf) BBB+ (sf)
B-1 12669FFU2 CC (sf) CCC (sf)
Reperforming Loan REMIC Trust Series 2005-R1
Series 2005-R1
Rating
Class CUSIP To From
1A-F1 12669GWN7 CC (sf) AA+ (sf)/Watch Neg
1A-F2 12669GXD8 CC (sf) AA+ (sf)/Watch Neg
1A-S 12669GWP2 NR AA+ (sf)/Watch Neg
2A-1 12669GXE6 CC (sf) AA+ (sf)/Watch Neg
2A-2 12669GXF3 CC (sf) AA+ (sf)/Watch Neg
2A-PO 12669GXG1 CC (sf) AA+ (sf)/Watch Neg
2A-IO 12669GXH9 NR AA+ (sf)/Watch Neg
Structured Asset Securities Corp.
Series 2005-RF1
Rating
Class CUSIP To From
A 86359DBW6 CC (sf) AA (sf)/Watch Neg
AIO 86359DBX4 NR AA (sf)/Watch Neg
B1 86359DBY2 CC (sf) CCC (sf)
Structured Asset Securities Corp.
Series 2005-RF2
Rating
Class CUSIP To From
A 86359DEX1 CCC (sf) AAA (sf)/Watch Neg
AIO 86359DEY9 NR AAA (sf)/Watch Neg
B1 86359DEZ6 CC (sf) B+ (sf)
B2 86359DFA0 CC (sf) CCC (sf)
Structured Asset Securities Corp.
Series 2005-RF3
Rating
Class CUSIP To From
1-A 86359DMC8 CC (sf) AA+ (sf)/Watch Neg
1-AIO 86359DMD6 NR AA+ (sf)/Watch Neg
2-A 86359DME4 CC (sf) AA+ (sf)/Watch Neg
B1 86359DMF1 CC (sf) B (sf)
B2 86359DMG9 CC (sf) CCC (sf)
Structured Asset Securities Corp.
Series 2005-RF4
Rating
Class CUSIP To From
A 86359DQB6 CC (sf) A- (sf)
B1 86359DQD2 CC (sf) CCC (sf)
B2 86359DQE0 CC (sf) CCC (sf)
Structured Asset Securities Corp.
Series 2005-RF5
Rating
Class CUSIP To From
1-A 86359DRS8 CCC (sf) AAA (sf)/Watch Neg
1-AIO 86359DRT6 NR AAA (sf)/Watch Neg
2-A 86359DRU3 CCC (sf) AAA (sf)/Watch Neg
B1 86359DRV1 CC (sf) B (sf)
B2 86359DRW9 CC (sf) CCC (sf)
Structured Asset Securities Corp.
Series 2005-RF6
Rating
Class CUSIP To From
A 86359DWH6 CC (sf) BBB+ (sf)
AIO 86359DWJ2 NR BBB+ (sf)
B1 86359DWK9 CC (sf) CCC (sf)
Structured Asset Securities Corp.
Series 2005-RF7
Rating
Class CUSIP To From
A 86359DWT0 CC (sf) AA- (sf)
AIO 86359DWU7 NR AA- (sf)
B1 86359DWV5 CC (sf) CCC (sf)
B2 86359DWW3 CC (sf) CCC (sf)
Structured Asset Securities Corp.
Series 2006-RF1
Rating
Class CUSIP To From
1-A 86359DXP7 CCC (sf) AAA (sf)/Watch Neg
1-AIO 86359DXQ5 NR AAA (sf)/Watch Neg
2-A 86359DXR3 CCC (sf) AAA (sf)/Watch Neg
B1 86359DXS1 CCC (sf) BB+ (sf)/Watch Neg
B2 86359DXT9 CC (sf) CCC (sf)
B3 86359DXU6 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust,
Series 2006-RF2
Series 2006-RF2
Rating
Class CUSIP To From
A 86361AAA7 CC (sf) A (sf)
B1 86361AAC3 CC (sf) B (sf)
B2 86361AAD1 CC (sf) CCC (sf)
B3 86361AAE9 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust,
Series 2006-RF3
Series 2006-RF3
Rating
Class CUSIP To From
1-A1 863592AA9 CC (sf) CCC (sf)
1-A2 863592AB7 CC (sf) CCC (sf)
1-A3 863592AC5 CC (sf) CCC (sf)
1-A4 863592AD3 CC (sf) CCC (sf)
1-AP 863592AE1 CC (sf) CCC (sf)
2-A 863592AG6 CC (sf) CCC (sf)
B1-1 863592AH4 CC (sf) CCC (sf)
3-A1 863592AP6 CC (sf) B (sf)
3-A2 863592AQ4 CC (sf) B (sf)
3-AP 863592AR2 CC (sf) B (sf)
4-A 863592AT8 CC (sf) B (sf)
B1-II 863592AU5 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust,
Series 2006-RF4
Series 2006-RF4
Rating
Class CUSIP To From
1-A1 863911AA1 CC (sf) CCC (sf)
2-A2 863911AD5 CC (sf) CCC (sf)
2-AP 863911AE3 CC (sf) CCC (sf)
2-AX 863911AF0 NR CCC (sf)
3-A1 863911AG8 CC (sf) CCC (sf)
B1 863911AH6 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust,
Series 2007-RF1
Series 2007-RF1
Rating
Class CUSIP To From
1-A 86362CAA2 CC (sf) BB (sf)
2-A 86362CAC8 CC (sf) BB (sf)
B1 86362CAD6 CC (sf) CCC (sf)
B2 86362CAE4 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust,
Series 2007-RF2
Series 2007-RF2
Rating
Class CUSIP To From
1A1 86365CAA9 CC (sf) CCC (sf)
1A2 86365CAB7 NR CCC (sf)
1A3 86365CAC5 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust,
Series 2008-RF1
Series 2008-RF1
Rating
Class CUSIP To From
AF 86362DAA0 CC (sf) AAA (sf)/Watch Neg
AI 86362DAB8 NR AAA (sf)/Watch Neg
AO 86362DAC6 CC (sf) AAA (sf)/Watch Neg
A 86362DAK8 CC (sf) AAA (sf)/Watch Neg
Ratings Affirmed
CWMBS Reperforming Loan REMIC Trust 2004-R2
Series 2004-R2
Class CUSIP Rating
B-1 12669UCF5 CC (sf)
Fannie Mae REMIC Trust 2002-W1
Series 2002-W1
Class CUSIP Rating
3M 31392CMW1 AA (sf)
3B-1 31392CMX9 A (sf)
3B-2 31392CMY7 BBB (sf)
B-3 31392CMP6 CC (sf)
Fannie Mae REMIC Trust 2003-W1
Series 2003-W1
Class CUSIP Rating
B-3 31392GWG6 CC (sf)
Fannie Mae REMIC Trust 2003-W10
Series 2003-W10
Class CUSIP Rating
2M 31393DUH2 AA (sf)
Fannie Mae REMIC Trust 2003-W4
Series 2003-W4
Class CUSIP Rating
IB-3 31393AQ83 CC (sf)
IIB-4 31393AR82 CC (sf)
Fannie Mae REMIC Trust 2004-W14
Series 2004-W14
Class CUSIP Rating
B-2 31394BU36 CC (sf)
B-3 31394BU44 CC (sf)
Financial Asset Securities Corp.
Series 2004-RP1
Class CUSIP Rating
II-B-3 92922FYX0 CCC (sf)
II-B-5 92922FYZ5 CC (sf)
GSMPS Mortgage Loan Trust 2003-2
Series 2003-2
Class CUSIP Rating
B1 36290PAK3 CCC (sf)
GSMPS Mortgage Loan Trust 2005-RP1
Series 2005-RP1
Class CUSIP Rating
B3 36242DXR9 CC (sf)
B4 36242DXS7 CC (sf)
GSMPS Mortgage Loan Trust 2006-RP1
Series 2006-RP1
Class CUSIP Rating
B3 3623413M9 CC (sf)
GSMPS Mortgage Loan Trust 2006-RP2
Series 2006-RP2
Class CUSIP Rating
B3 36298XAH5 CC (sf)
MASTR Reperforming Loan Trust 2005-2
Series 2005-2
Class CUSIP Rating
B3 57643QAR6 CC (sf)
MASTR Reperforming Loan Trust 2006-2
Series 2006-2
Class CUSIP Rating
B1 57645LAE4 CC (sf)
B2 57645LAF1 CC (sf)
NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R2
Series 2004-R2
Class CUSIP Rating
B-2 62951MAS9 CC (sf)
RBSGC Mortgage Loan Trust
Series 2005-RP1
Class CUSIP Rating
II-B-5 74927UAQ1 CC (sf)
Reperforming Loan REMIC Trust 2002-2
Series T-048
Class CUSIP Rating
1-B-1 12669UAJ9 CC (sf)
2B-4 12669UAT7 CC (sf)
Reperforming Loan REMIC Trust 2003-R1
Series T-054
Class CUSIP Rating
1B2 12669UBH2 CC (sf)
Reperforming Loan REMIC Trust 2003-R3
Series 2003-T-058
Class CUSIP Rating
B2 12669E2S4 CC (sf)
Structured Asset Securities Corp.
Series 2005-RF1
Class CUSIP Rating
B2 86359DBZ9 CC (sf)
Structured Asset Securities Corp.
Series 2005-RF3
Class CUSIP Rating
B3 86359DMH7 CC (sf)
Structured Asset Securities Corp.
Series 2005-RF4
Class CUSIP Rating
B3 86359DQF7 CC (sf)
Structured Asset Securities Corp.
Series 2005-RF5
Class CUSIP Rating
B3 86359DRX7 CC (sf)
B4 86359DRY5 CC (sf)
Structured Asset Securities Corp.
Series 2005-RF6
Class CUSIP Rating
B2 86359DWL7 CC (sf)
B3 86359DWM5 CC (sf)
Structured Asset Securities Corp.
Series 2005-RF7
Class CUSIP Rating
B3 86359DWX1 CC (sf)
Structured Asset Securities Corp.
Series 2006-RF1
Class CUSIP Rating
B4 86359DXV4 CC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust,
Series 2006-RF4
Series 2006-RF4
Class CUSIP Rating
2-A1 863911AC7 CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust,
Series 2007-RF1
Series 2007-RF1
Class CUSIP Rating
B3 86362CAF1 CC (sf)
* S&P Lowers Ratings on 253 Classes from US RMBS Transactions
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 253
classes from 88 U.S. residential mortgage-backed securities (RMBS)
transactions and removed 16 of them from CreditWatch with negative
implications. "Concurrently, we raised our ratings on 55 classes
from 27 of the transactions in this review and removed one of them
from CreditWatch negative. In addition, we affirmed our ratings on
722 classes from 103 of the transactions reviewed and removed two
of them from CreditWatch negative. We also withdrew our ratings on
four classes from three transactions based on our interest-only
(IO) criteria," S&P said.
The complete rating list is available for free at:
http://bankrupt.com/misc/S&P_USRMBS_122011.pdf
The 121 RMBS transactions in this review are backed by
Alternative-A (Alt-A) and prime jumbo mortgage loan collateral.
The Banc of America Funding 2007-4 Trust transaction is a prime
jumbo transaction consisting of seasoned loans. Each transaction
included in this review was issued between 2002 and 2008.
"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 previous rating stresses.
The affirmations reflect our belief that projected credit
enhancement available for these classes is sufficient to
cover projected losses associated with these rating levels," S&P
said.
"Among other factors, the upgrades reflect our view of a decrease
in delinquencies within the structures associated with these
classes. This has reduced the remaining projected losses for these
structures, allowing these classes to withstand more stressful
scenarios. The upgrades to 'B- (sf)', 'B (sf)', or 'BB (sf)' from
'CCC (sf)' or 'CC (sf)' reflect our opinion that these classes are
no longer projected to default based on the credit enhancement
available to cover the projected losses. In addition, each upgrade
reflects our assessment that the projected credit enhancement for
each affected class will be sufficient to cover projected losses
at the revised rating levels; however, we are limiting the extent
of the upgrades to reflect our view of the ongoing market risk,"
S&P said.
"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. For Alt-A transactions,
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. For prime jumbo
transactions and seasoned transactions, we assessed whether a
class could withstand 127% of our remaining base-case loss
assumption in order to maintain a 'BB' rating, while we assessed
whether a different class could withstand 154% of our remaining
base-case loss assumptions to maintain a 'BBB' rating. Each class
that has an affirmed 'AAA' rating can withstand approximately 235%
of our remaining base-case loss assumptions. Classes rated 'CCC
(sf)' and 'CC (sf)' reflect our assessment that the credit
enhancement for these classes will remain insufficient to cover
projected losses," S&P said.
For additional structure-level information regarding delinquencies
and cumulative losses for these transactions through the November
2011 remittance period:
Losses and Delinquencies*
Adjustable Rate Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 417 10.21 5.63 33.82 28.02
2005-1 565 22.62 2.83 17.79 12.25
2005-6A 271 15.09 4.80 40.62 38.70
2005-6A 194 8.63 2.93 28.12 24.85
2006-3 1,144 35.04 19.14 51.33 49.47
2006-3 321 35.93 6.10 24.82 22.84
Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-51 1,826 37.08 9.58 57.99 52.35
2005-61 281 30.09 11.08 68.06 66.98
2005-61 489 19.01 6.44 61.64 60.04
Banc of America Funding Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 200 29.21 0.66 6.41 5.44
2005-5 480 38.89 0.76 8.44 6.67
2006-2 108 47.49 2.17 10.54 6.20
2006-2 708 43.26 2.18 12.15 8.85
2007-3 599 53.63 17.60 45.75 38.02
2007-3 101 24.65 0.16 1.10 1.10
2007-3 191 38.92 0.12 6.27 4.47
2008-1 276 62.91 8.77 28.71 22.54
Banc Of America Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 326 36.31 0.19 6.98 5.18
2007-4 444 41.85 1.27 20.95 18.50
2008-A 856 46.09 3.54 29.95 26.87
BCAP LLC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2008-IND1 371 53.77 17.21 36.37 30.53
2008-IND2 332 53.89 9.26 26.43 17.51
Bear Stearns ALT-A Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 813 18.09 4.27 33.19 30.82
2005-3 1,233 25.98 4.38 19.24 16.52
2006-8 215 38.71 2.42 14.29 13.42
2006-8 657 30.23 25.74 55.93 52.83
2006-8 509 40.97 17.16 50.69 45.14
Charlie Mac Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-1 164 26.82 0.00 0.00 0.00
Chevy Chase Funding LLC
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-4 473 26.39 5.65 36.68 29.37
2005-B 366 11.92 2.87 18.01 12.47
2005-C 489 20.09 4.86 23.32 16.60
Chevy Chase Funding LLC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 1,006 25.80 8.49 25.70 16.35
CHL Mortgage Pass Through Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-7 821 15.61 2.85 48.86 44.45
2005-7 472 7.48 1.32 12.54 10.95
2008-1 162 44.49 1.24 19.62 16.97
CHL Mortgage Pass-Through Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2002-31 500 5.28 0.00 6.94 2.58
2005-14 208 49.15 1.65 17.52 14.05
2007-17 879 51.15 2.89 22.13 17.32
Citicorp Mortgage Securities Inc.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-8 480 35.37 0.72 7.06 4.29
Citicorp Mortgage Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-4 449 28.69 0.80 9.17 6.21
2006-6 363 33.03 0.96 7.48 3.45
Citigroup Mortgage Loan Trust Inc.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 88 0.00 0.00 0.00 0.00
2005-1 89 15.02 0.06 3.27 3.27
2005-1 172 20.29 4.07 24.00 13.98
2005-3 95 0.00 0.00 0.00 0.00
2005-3 92 18.50 0.92 24.18 15.60
2005-3 827 37.59 2.94 16.22 12.50
CSFB Mortgage-Backed Pass-Through Certificates Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-5 224 42.27 1.35 9.99 8.58
2005-5 485 33.12 0.37 11.24 9.73
CWABS Asset Backed Certificates Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-IM1 897 18.69 7.86 47.76 44.58
Deutsche Alt-A Securities
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR2 661 33.98 6.29 20.02 17.59
Deutsche Alt-A Securities Inc Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR1 427 19.06 6.12 24.58 22.86
Deutsche Alt-A Securities Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-2 1,424 55.55 23.86 32.54 28.65
Deutsche Alt-B Secs Mtg Ln Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-AB4 1,119 40.29 19.00 34.99 30.75
DSLA Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR2 1,100 20.05 6.97 29.17 21.03
2005-AR4 975 24.59 9.45 29.61 23.69
2005-AR5 766 19.90 12.96 25.26 19.01
2005-AR6 941 20.12 14.78 28.87 21.19
Greenpoint Mortgage Funding Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-HY1 480 30.05 7.47 29.16 26.20
GreenPoint MTA Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR2 813 17.12 8.11 51.72 43.71
2005-AR3 1,000 19.57 9.81 46.72 38.53
GSAA Home Equity Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-4 595 20.98 4.46 27.44 25.95
2005-MTR1 437 32.39 9.11 29.56 25.19
2007-7 486 45.25 14.25 35.53 31.55
GSR Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 686 24.10 0.82 12.80 10.49
2005-1F 692 30.40 0.59 11.52 9.45
2006-8F 622 37.17 2.06 23.49 18.39
HarborView Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-6 247 8.95 2.43 24.51 16.12
Impac CMB Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-6 2,200 10.57 1.31 13.21 10.77
2005-1 1,250 16.05 4.22 14.13 9.59
2005-5 1,647 19.26 6.25 15.18 12.45
IndyMac INDX Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR10 1,003 20.37 6.52 32.13 23.51
JPMorgan Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-A2 281 31.78 7.11 32.01 29.03
2005-A2 311 43.04 5.48 28.90 23.91
JPMorgan Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-A3 1,050 31.06 0.77 9.94 7.38
2005-A3 409 25.29 0.00 4.90 4.02
2005-A3 437 37.40 2.88 20.16 14.90
Lehman Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 258 55.44 5.38 16.35 12.12
2005-2 382 53.76 3.66 18.73 14.47
2005-2 306 50.14 4.20 17.35 11.76
2005-2 250 46.85 5.04 17.41 12.23
2008-2 345 49.44 3.94 16.08 12.16
2008-6 147 53.31 4.28 22.71 17.63
Lehman Mtg Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-6 395 52.06 10.95 35.45 25.01
2006-6 302 32.50 1.63 18.93 14.39
Lehman XS Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-15 867 31.26 19.04 37.51 33.92
MASTR Adjustable Rate Mortgages Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 1,378 23.24 3.33 20.37 17.00
MASTR Asset Securitization Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-4 219 18.94 0.12 7.35 3.33
2005-2 339 41.66 0.64 9.47 6.03
Merrill Lynch Mortgage Investors Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-A6 963 30.95 7.74 30.56 24.54
2005-B 500 10.72 0.24 5.69 2.37
2006-AF2 370 36.52 17.46 34.71 31.58
2006-AF2 305 37.80 2.41 21.90 16.71
2007-3 294 28.83 0.30 4.76 4.76
MLCC 2005-A 550 10.01 0.15 7.00 3.81
Merrill Lynch Mortgage Investors Trust MLMI
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-A10 786 27.48 1.82 12.74 10.27
Merrill Lynch Mtg Investors Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-3 538 30.49 0.83 10.92 8.42
Morgan Stanley Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-1 283 13.86 0.05 4.82 0.84
2005-2AR 639 25.33 2.64 21.29 14.98
National City Mortgage Capital Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2008-1 262 33.67 0.80 7.77 4.31
2008-1 129 36.07 1.63 19.70 17.87
Nomura Asset Acceptance Corporation Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR1 373 14.18 5.11 34.72 32.53
2005-AR2 504 15.65 6.40 40.31 36.27
2005-AR5 545 19.49 12.47 35.65 31.46
Opteum Mortgage Acceptance Corporation
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 803 14.83 4.75 19.37 16.54
2005-5 986 36.87 12.09 18.25 14.44
PHH Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2008-CIM1 277 44.36 0.48 7.10 6.65
2008-CIM1 343 44.40 0.52 4.58 3.38
Prime Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-3 125 41.86 0.49 18.33 16.63
2007-3 175 61.40 5.19 33.70 26.26
RAAC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-SP3 302 31.92 17.32 25.40 21.29
RALI Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-QA5 242 5.78 3.22 14.21 5.28
RFMSI Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-SA1 295 20.62 1.44 6.25 5.19
2007-S9 172 44.58 5.18 17.24 11.83
Sequoia Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 416 15.60 0.50 7.92 6.07
2005-2 344 12.93 0.34 7.36 4.60
2005-3 365 16.30 0.52 9.08 5.39
2005-4 174 30.91 0.27 4.66 3.36
2005-4 155 23.66 0.00 14.31 13.30
2007-2 650 59.77 0.11 6.52 3.41
2007-2 408 51.33 5.77 22.38 17.24
2007-3 306 58.22 6.93 18.07 13.91
2007-3 441 54.73 0.68 6.26 3.51
Structured Adjustable Rate Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005 19XS 609 18.97 5.97 50.28 45.95
2005 19XS 1,146 23.36 6.78 51.33 48.13
2005-10 989 7.75 6.45 26.90 22.87
2005-12 717 33.02 4.81 20.68 16.54
2005-5 501 6.37 1.31 15.45 15.46
2006-6 534 41.04 6.75 18.47 14.79
2006-6 119 38.90 12.88 43.60 35.71
Structured Asset Mortgage Investments II Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR5 959 26.36 0.51 6.85 5.08
2006-AR1 1,413 35.08 12.33 59.14 52.51
Structured Asset Securities Corporation Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-3 297 45.20 2.23 15.87 11.44
Thornburg Mortgage Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-2 1,313 37.92 2.23 11.95 8.75
2007-4 1,442 43.95 2.76 14.02 10.88
2008-1 992 49.93 3.76 18.39 16.41
WaMu Mortgage Pass-Through Ceritifcates Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-AR3 1,020 32.99 6.33 42.56 34.82
WaMu Mortgage Pass-Through Certificates Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR8 3,030 20.78 1.87 35.91 29.13
2005-AR9 1,505 17.91 1.99 21.76 17.57
Washington Mutual MSC Mortgage Pass-Through Certificates Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-RA1 118 21.89 0.71 23.31 14.58
2005-RA1 180 7.64 0.08 9.90 4.56
Wells Fargo Mortgage Backed Securities
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR3 1,459 24.57 0.42 5.30 4.21
Wells Fargo Mortgage Backed Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 451 18.92 0.00 1.61 1.17
2005-13 394 22.07 0.08 1.40 1.26
2006-9 1,294 36.42 2.26 11.90 9.05
2006-AR19 801 40.18 2.59 12.02 8.86
2007-15 1,350 44.83 2.70 10.92 8.90
*Cumulative losses represent the percentage of the original pool
balance, and total and severe delinquencies represent the
percentage of the current pool balance.
The information shows average pool factor, cumulative loss, and
total and severe delinquency information by vintage for Alt-A
collateral as of the November 2011 distribution period.
2005 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
29.85 6.35 30.51 25.61
2006 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
40.50 14.52 40.23 34.73
2007 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
53.30 15.07 40.06 34.29
2008 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
49.78 8.09 25.55 19.77
The information shows average pool factor, cumulative loss, and
total and severe delinquency information by vintage for prime
jumbo collateral as of the November 2011 distribution period.
2005 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
36.13 1.95 13.79 10.84
2006 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
40.92 3.54 18.55 14.92
2007 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
48.23 3.70 19.41 15.71
2008 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
43.38 2.23 16.41 13.92
Subordination, overcollateralization (prior to its depletion), and
excess spread, when applicable, provide credit support for the
affected transactions.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at
http://standardandpoorsdisclosure-17g7.com
* S&P Lowers Ratings on 388 Classes from 2000-2007 Transactions
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 388
classes from 172 U.S. residential mortgage-backed securities
(RMBS) transactions issued from 2000 through 2007 and removed
21 of them from CreditWatch with negative implications.
"Concurrently, we raised our ratings on 82 classes from 53
of the reviewed transactions. Additionally, we affirmed our
ratings on 1,006 classes from 217 of these transactions and
removed 35 of them from CreditWatch negative. We also withdrew
our rating on one class from one of the reviewed transactions
based on our assessment that it is a prepayment penalty class
that is no longer entitled to additional distributions," S&P
said.
The complete rating list is available for free at:
http://bankrupt.com/misc/S&P_RMBS_RA_122211.pdf
"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 said.
"Among other factors, the upgrades reflect our view of decreased
delinquencies within the structures associated with the affected
classes. 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 said.
"The affirmations reflect our belief that 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 withdrawal reflects our view that the affected class
is a prepayment penalty class which has a $0 notional balance and
is no longer scheduled to receive any cash flow," S&P said.
"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
we reviewed for this release. The tables include data through the
November 2011 remittance period:
Losses and Delinquencies*
Aames Mortgage Investment Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-4 1,198 16.21 13.98 39.37 31.23
ABFC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-HE2 1,228 11.13 13.95 42.65 37.13
2005-WMC1 1,007 11.62 15.20 30.36 23.90
Accredited Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-1 760 49.09 16.00 30.26 23.29
ACE Securities Corp. Home Equity Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AG1 693 16.28 19.43 51.16 45.46
2005-HE5 1,437 13.92 14.19 45.29 38.31
2005-HE6 1,554 18.38 18.39 40.43 30.25
2005-HE7 1,798 16.76 21.42 49.25 43.11
2005-RM1 627 6.22 6.72 37.73 33.07
2006-ASAP1 493 19.12 18.79 39.64 33.18
2006-HE1 2,536 19.12 22.88 52.02 45.14
2006-HE3 1,121 25.79 26.83 36.52 25.79
2006-NC1 1,324 22.80 18.70 39.47 33.73
2006-NC3 1,501 47.17 21.40 66.20 61.50
Adjustable Rate Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-5 353 6.90 4.12 24.43 23.52
2004-5 657 24.27 2.69 15.46 13.53
Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2002-33 700 5.76 0.38 11.99 8.49
2003-J12 203 4.42 0.09 23.71 19.72
2004-14T2 400 27.38 0.52 28.03 24.22
2004-1T1 253 16.03 1.10 22.34 17.31
2004-33 598 20.29 2.94 36.33 29.50
2004-33 235 9.47 3.03 36.48 32.23
2004-35T2 267 27.38 1.61 38.73 30.78
2004-J11 197 31.32 0.65 16.48 10.45
Argent Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-W3 1,482 22.53 28.07 44.33 37.41
Asset Backed Securities Corporation Home Equity Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-HE1 1,140 9.10 5.71 34.40 22.33
2005-HE2 717 9.45 5.88 36.45 24.43
Banc of America Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-7 93 30.96 0.54 9.58 7.04
2004-7 321 33.72 0.76 10.98 7.44
BASIC Asset Backed Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 215 22.59 20.64 33.64 23.34
BayView Financial Asset Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-A 317 9.30 3.64 22.69 17.42
BayView Financial Securities Company LLC
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-A 450 18.50 3.52 20.80 14.82
2004-C 425 18.90 3.36 19.63 12.81
2004-D 553 20.42 4.40 15.20 9.33
Bear Stearns ALT-A Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-12 371 19.66 2.86 29.48 28.97
2004-12 1,114 21.79 2.89 20.53 17.68
2004-5 832 18.52 1.24 24.63 16.83
2004-8 812 14.39 1.84 22.11 18.44
Bear Stearns Asset Backed Securities I Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005 HE6 473 13.59 9.84 52.90 42.58
Bear Stearns Asset Backed Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-AC1 245 14.20 1.48 12.88 9.57
2005-2 350 17.20 10.27 44.67 36.15
2005-3 321 22.44 10.48 48.46 41.00
2005-SD1 114 20.69 3.62 33.71 32.48
2005-SD1 228 27.11 2.45 22.49 19.09
2005-SD2 196 35.83 5.27 16.54 11.82
2005-SD2 187 22.06 4.77 30.06 24.52
2006-1 239 28.64 15.21 56.31 49.01
2006-SD1 358 42.09 7.51 25.96 21.69
2006-SD2 326 42.81 7.75 27.97 22.90
2006-SD3 194 45.16 10.30 22.53 19.10
2006-SD3 164 37.08 11.25 28.49 23.90
2007-1 159 37.93 24.37 55.93 46.86
2007-2 295 50.02 23.35 60.84 54.07
Bear Stearns Structured Products Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-EMX1 190 58.31 18.52 46.61 39.94
BNC Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-1 977 50.72 22.36 47.51 39.79
2007-2 1,116 55.49 21.61 47.47 39.94
2007-3 777 57.52 20.24 47.71 41.33
2007-4 516 68.47 12.76 43.49 36.85
BNC Mtg Ln Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 861 32.01 26.53 45.11 39.32
2006-2 801 32.52 27.58 45.05 38.54
Bravo Mortgage Asset Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 1,059 23.53 22.51 37.79 26.34
C-BASS ABS
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
1998-1 61 0.00 1.17 0.00 0.00
1998-1 50 5.80 0.61 31.01 15.06
1998-1 26 0.00 5.54 0.00 0.00
C-BASS Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-RP1 127 12.42 7.98 55.17 41.38
2006-7 907 36.58 25.56 50.52 43.10
Centex Home Equity Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-D 1,000 23.67 8.83 27.73 16.56
Citigroup Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-HE1 693 19.10 17.07 45.06 36.24
2006-WFHE2 973 32.52 16.07 37.79 31.29
2006-WFHE3 1,628 33.25 17.03 37.63 29.77
2006-WFHE4 859 34.74 16.33 36.86 30.76
2007-AHL1 821 41.78 24.76 46.07 39.12
2007-WFHE1 448 37.27 18.39 40.54 35.40
Citigroup Mortgage Loan Trust Inc.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-RP1 240 26.49 8.30 43.26 34.54
2005-HE4 937 21.94 14.66 33.32 24.45
2007-SHL1 576 48.11 27.19 46.33 37.79
Countrywide Home Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-SD3 213 8.27 4.33 30.89 24.65
Credit Suisse First Boston Mortgage Securities Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2001-26 552 1.28 0.52 11.10 10.65
2001-26 477 0.00 0.06 0.00 0.00
2001-26 179 0.00 3.17 0.00 0.00
2003-AR24 186 2.59 0.65 22.93 15.29
2003-AR24 765 8.82 0.14 11.41 10.17
CSFB Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2002-NP14 121 1.82 0.28 42.29 36.01
2003-CF14 143 11.06 11.25 56.29 28.28
CWABS Asset Backed Certificates Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-8 678 20.57 11.46 53.12 44.48
2006-10 430 39.30 17.56 64.02 58.39
2006-10 170 59.56 7.29 51.47 45.28
CWABS Asset-Backed Notes Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-SD3 206 22.30 8.06 54.53 46.08
2006-SD3 204 36.47 20.16 71.79 66.89
2007-SEA2 79 60.13 19.04 78.08 72.16
2007-SEA2 119 59.77 20.42 66.51 63.01
CWABS Asset-Bckd Certs Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-15 1,000 63.61 7.92 45.07 39.50
Deutsche Mortgage Securities Inc Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-5 486 26.69 1.94 16.53 12.77
EMC Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2001-A 175 9.83 13.31 63.30 40.25
2004-C 100 27.47 9.05 72.20 60.48
FBR Securitization Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-3 970 17.34 16.90 54.34 47.69
First Franklin Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-FF5 771 12.50 9.10 25.61 22.39
2006-FF11 1,873 32.92 22.86 45.01 38.33
First NLC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 739 15.37 11.79 32.55 25.11
2005-3 401 17.83 15.75 51.96 45.06
Fremont Home Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-2 983 24.32 22.06 56.00 47.47
GSAA Home Equity Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-2 1,019 16.28 24.32 44.77 39.79
GSAMP Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-HE4 1,465 18.30 12.98 46.05 37.36
2005-HE6 774 20.87 18.48 36.15 25.08
2006-HE6 644 34.87 25.30 52.07 43.83
2006-SD2 306 27.93 26.97 37.24 25.71
2006-SEA1 156 34.28 12.26 28.12 18.94
2007-NC1 1,832 38.99 31.42 51.61 43.62
GSRPM Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-1 257 11.09 5.19 22.75 14.89
Home Equity Asset Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-4 1,150 12.40 10.08 31.17 25.43
2006-4 1,600 23.81 19.13 43.74 37.17
Home Equity Mortgage Loan Asset-Backed Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-C 700 24.36 13.99 40.59 31.10
2005-D 900 24.38 18.06 42.11 34.45
HSI Asset Securitization Corporation Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-NC1 632 14.43 11.89 45.43 39.12
2007-HE1 1,041 52.23 19.57 58.58 52.32
IXIS Real Estate Capital Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-HE1 708 6.04 5.65 50.73 44.66
2005-HE2 864 9.00 8.00 56.39 53.11
2005-HE3 768 10.55 13.07 53.17 49.56
2005-HE4 848 14.26 18.71 51.11 47.90
JPMorgan Mortgage Acquisition Corp
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-FRE2 958 22.81 19.41 53.11 45.48
JPMorgan Mortgage Acquisition Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-FLD1 1,064 13.51 11.07 43.02 33.87
2005-WMC1 1,448 15.32 15.17 47.79 39.48
2006-FRE1 1,012 24.61 18.33 55.91 49.80
2006-HE1 619 19.60 24.10 45.50 36.68
2006-WMC1 1,177 23.79 23.57 50.42 42.99
JPMorgan Mortgage Acquisition Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-ACC1 718 30.60 18.66 50.40 44.06
2006-CW2 879 33.99 16.41 60.99 55.20
2006-CW2 175 55.40 11.48 48.12 41.12
2006-HE2 536 34.21 22.41 47.75 40.18
2006-NC2 948 32.68 20.95 47.06 41.00
2007-CH3 1,180 53.73 15.35 46.26 39.30
2007-CH4 1,119 55.76 15.09 45.65 38.30
JPMorgan Mortgage Aquisiton Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-CH5 1,225 55.92 16.21 47.78 39.70
Long Beach Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-WL1 185 10.64 13.48 37.33 35.53
2005-WL1 2,784 11.63 12.72 52.67 45.07
MASTR Asset Backed Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-AM1 424 30.31 18.73 37.31 29.90
2006-AM2 477 29.23 22.14 57.05 49.92
2006-HE2 590 23.62 28.32 48.75 42.58
2007-HE2 446 57.04 17.06 34.10 26.98
MASTR Asset Bckd Secs Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-AM3 375 32.86 20.15 31.99 24.77
MASTR Specialized Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-01 124 20.67 5.92 27.93 19.97
Meritage Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 670 5.16 9.82 38.67 31.44
2005-3 570 17.14 22.97 35.36 26.36
Merrill Lynch First Franklin Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-4 1,600 49.41 22.79 56.32 49.80
2007-5 795 56.33 18.49 55.51 49.52
2007-H1 893 46.69 25.99 57.55 51.92
Merrill Lynch Mortgage Investors Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-FM1 902 17.17 8.49 53.70 50.35
2005-HE2 720 17.47 12.41 53.82 48.28
2005-HE3 864 14.63 14.24 65.38 59.96
2006-SD1 166 31.44 27.72 58.32 51.97
2006-WMC1 1,266 22.98 21.88 58.51 55.54
Merrill Lynch Mtg Investors Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-MLN1 820 39.49 25.47 61.49 56.56
MESA Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2001-5 162 8.67 16.75 34.33 15.86
Morgan Stanley ABS Capital I Inc. Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-HE7 1,364 21.76 16.61 45.69 38.16
2006-NC3 1,404 24.42 21.92 30.34 23.39
2006-WMC1 1,143 20.49 21.95 47.04 41.29
2007-HE3 923 42.62 28.45 37.69 33.17
2007-HE7 1,561 51.96 27.49 44.79 39.37
Morgan Stanley ABS Captial I Inc. Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-NC3 1,304 46.58 28.51 40.22 34.55
Morgan Stanley Capital I Inc. Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-HE1 1,214 23.11 20.51 47.80 40.90
2006-NC2 1,420 22.70 20.91 40.61 33.87
Morgan Stanley Home Equity Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-1 688 43.48 26.97 51.87 47.55
Morgan Stanley IXIS Real Estate Capital Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-2 1,386 33.17 33.09 39.62 35.34
Morgan Stanley Structured Trust I
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-1 735 48.27 32.77 33.35 27.85
New Century Home Equity Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-D 1,450 28.10 17.20 46.73 39.52
Nomura Home Equity Loan
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-HE1 980 17.17 19.24 39.59 31.30
NovaStar Mortgage Funding Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 2,100 9.91 5.75 36.51 31.32
2005-2 1,800 13.65 6.36 38.55 33.07
2005-3 2,500 17.86 9.15 40.17 35.23
2005-4 1,600 19.16 12.02 45.27 40.08
2006-2 1,021 28.80 17.54 51.47 46.21
2006-3 1,100 31.34 19.49 50.71 44.30
2007-1 1,889 43.01 26.19 49.64 43.70
Park Place Securities
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-WCH1 1,900 14.24 9.55 37.77 29.96
People's Choice Home Loan Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-4 1,136 15.60 21.37 50.65 42.78
PFCA Home Equity Investment Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2002-IFC1 350 5.84 0.79 17.80 16.84
2003-IFC2 419 8.08 0.70 9.02 6.41
Popular ABS Mortgage Pass-Through Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-6 596 31.69 15.06 43.86 37.14
2005-D 299 27.62 11.31 41.19 32.43
RAAC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-RP1 346 17.88 10.01 36.72 28.89
2007-RP4 262 48.69 32.46 48.08 38.62
2007-SP2 299 46.03 23.18 34.72 30.11
RAMP Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2004-KR1 1,000 4.53 7.45 34.93 23.94
2004-KR1 1,000 4.18 4.82 31.96 22.06
2004-KR2 625 4.99 5.85 31.20 21.85
2004-KR2 625 6.22 8.59 37.21 27.38
2005-RS6 1,200 16.57 11.20 26.20 20.91
2005-RS8 665 24.56 14.19 26.70 22.28
2006-EFC2 400 37.19 22.15 35.35 28.08
RASC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AHL1 477 15.92 16.20 46.04 38.58
2005-AHL2 447 20.74 17.01 32.58 28.17
2005-AHL3 500 21.48 18.58 42.81 36.27
2005-EMX3 700 17.22 13.64 44.03 38.80
2005-EMX4 515 20.08 16.98 48.66 43.07
2005-KS7 400 17.63 12.34 32.46 24.61
2005-KS8 1,200 18.76 13.28 33.59 25.44
2006-EMX1 440 22.05 19.55 50.88 43.70
2006-EMX2 570 22.35 23.21 53.42 46.74
2007-KS2 1,000 41.73 30.08 35.72 28.78
2007-KS3 1,335 45.36 27.85 36.30 27.87
Renaissance Home Equity Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 750 28.79 5.57 27.32 19.35
Residential Asset Securitization Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2002-L 183 2.64 0.07 13.09 11.71
2002-L 217 2.81 0.02 24.50 8.50
RFSC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-RP1 176 9.01 14.31 38.10 27.78
2003-RP2 206 12.88 7.26 20.92 17.04
2004-RP1 199 13.10 9.99 29.57 22.53
SACO I Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-VA1 17 55.72 1.33 13.56 9.96
Saxon Asset Sec Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-3 1,100 36.43 24.36 35.05 31.10
Saxon Asset Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 980 13.63 6.23 30.82 25.68
2005-3 900 20.01 10.09 27.17 23.97
2006-1 500 27.61 12.87 32.03 27.97
2007-1 622 45.83 23.39 31.90 28.11
2007-2 871 49.53 25.10 27.69 24.26
Securitized Asset Backed Receivables LLC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-FR2 1,087 9.28 8.19 53.22 47.16
2005-FR3 564 10.29 7.81 67.38 64.39
2005-FR4 1,098 12.95 10.57 63.25 58.37
2005-HE1 1,244 11.90 20.74 50.40 46.67
2006-CB1 809 18.95 21.07 44.10 36.76
2006-FR3 988 20.54 28.50 40.43 33.00
2006-NC2 614 25.90 22.59 44.74 37.87
2006-WM1 722 16.91 23.50 49.19 41.82
Securitized Asset Backed Recievables LLC Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-FR1 873 6.88 5.07 46.85 39.44
Soundview Home Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 771 23.13 20.99 49.62 40.46
2006-2 810 25.56 17.58 44.10 37.09
2006-EQ1 1,772 33.61 21.64 34.16 28.07
2006-WF2 1,264 33.23 18.96 38.38 31.71
Specialty Underwriting and Residential Finance Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-BC4 1,240 21.00 15.63 55.03 49.88
Statewide Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 51 33.60 6.85 23.11 12.14
Structured Asset Investment Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-10 1,661 20.78 15.70 46.33 37.61
2005-8 2,241 15.73 14.50 45.11 38.55
2005-9 2,395 18.44 14.21 46.57 39.75
2006-4 2,446 26.67 23.62 48.79 42.01
Structured Asset Securities Corp.
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2003-BC1 223 10.25 15.00 35.10 20.61
Structured Asset Securities Corporation Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2002-NP1 196 1.09 3.14 64.46 64.46
2004-NP1 165 11.08 1.87 62.32 37.52
2005-GEL3 231 14.80 9.62 25.79 19.34
2005-NC2 968 14.65 5.27 41.12 32.13
2006-AM1 722 27.91 21.96 51.05 44.52
2006-BC2 1,178 33.24 25.66 46.48 41.51
2007-BC1 1,211 48.99 21.08 44.34 36.99
2007-BC4 1,307 65.00 19.09 48.44 40.62
2007-OSI 846 46.34 31.84 40.22 32.25
Structured Asset Securities Corporation Mortgage Loan Trust-
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-NC1 1,230 27.95 22.58 41.90 34.23
Structured Asset Securities Corporation Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR1 1,050 21.94 12.38 42.95 36.79
Terwin Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2HE 325 7.25 5.24 19.54 9.39
2005-4HE 300 9.19 6.35 31.39 26.88
2005-6HE 350 10.78 7.19 23.84 18.84
2005-8HE 660 13.73 8.23 28.40 19.87
2006-3 285 24.87 21.88 45.53 37.58
2006-3 200 22.58 19.48 28.65 24.04
2006-5 151 33.32 17.68 23.58 17.38
2006-5 350 26.41 20.05 40.92 30.27
Washington Mutual Asset-Backed Certificates Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-HE1 389 24.13 22.18 46.50 39.44
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 for pre-2005 and 2005-
2007 vintage for Alt-A, subprime, prime jumbo, and "scratch and
dent" collateral as of the November 2011 distribution period.
Alt-A
Pre-2005 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
14.78 1.13 17.28 8.81
2005-2007 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
40.87 11.19 35.08 20.30
Subprime
Pre-2005 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
7.25 4.10 29.53 16.45
2005-2007 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
31.74 18.16 44.29 34.96
Prime jumbo
Pre-2005 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
13.76 0.30 9.76 5.10
2005-2007 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
41.03 2.96 16.63 9.43
Scratch and Dent
Pre-2005 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
12.50 5.32 32.99 14.02
2005-2007 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
34.11 12.62 39.41 26.85
Subordination, overcollateralization (prior to its depletion), and
excess spread, when applicable, provide credit support for the
affected transactions.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
* S&P Raises Ratings on 11 Tranches From Corp.-Backed CDO Deals
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 11
tranches from 10 corporate-backed synthetic CDO transactions
and removed them from CreditWatch with positive implications.
"In addition, we affirmed our ratings on one tranche from one
corporate-backed synthetic CDO transaction and one tranche from
one synthetic CDO transaction backed by structured finance assets.
We also lowered two ratings from one corporate-backed synthetic
CDO transaction and removed one of them from CreditWatch with
negative implications. We lowered one rating from one synthetic
CDO transaction backed by commercial mortgage-backed securities
(CMBS)," S&P said.
"The upgrades are from synthetic CDOs that experienced a
combination of upward rating migration in their underlying
reference portfolios, seasoning of the underlying reference
names and an increase in the synthetic rated overcollateralization
(SROC) ratios above 100% at higher rating levels as of the
December review and at our projection of the SROC ratios in 90
days assuming no credit migration. The downgrades were from
synthetic CDOs that had experienced negative rating migration in
their underlying reference portfolios or had reductions to the
credit enhancement available to them. The affirmations reflect our
opinion of the availability of sufficient credit support at the
current rating levels," 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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Claris Ltd.
114/2007
Rating
Class To From
Tranche CCC+ (sf) B- (sf)
Credit and Repackaged Securities Limited
2006-4
Rating
Class To From
Notes BB- (sf) B+ (sf)/Watch Pos
Credit Default Swap
REF: NGNGX
Rating
Class To From
Tranche BB-srb (sf) BB-srb (sf)
Credit Default Swap - ZZRSS
971739CF
Rating
Class To From
ZZRSS AAAsrp (sf) AA+srp (sf)/Watch Pos
Momentum CDO (Europe) Ltd.
2005-9
Rating
Class To From
Notes BB- (sf) B+ (sf)/Watch Pos
Morgan Stanley ACES SPC
2007-8
Rating
Class To From
Senior BB (sf)/Watch Neg BB+ (sf)/Watch Neg
A2 CCC+ (sf) B- (sf)/Watch Neg
Morgan Stanley ACES SPC
2007-28
Rating
Class To From
A A+ (sf) BBB (sf)/Watch Pos
Mt. Kailash, Ltd.
Rating
Class To From
Cr Link Ln BB+ (sf) BB (sf)/Watch Pos
Portfollio Credit Rating of Unfunded Credit Default Swap involving
Morgan
Stanley Capital Services
Inc., and Portfolio CDS Trust 61
Rating
Class To From
Un Cr Defa BB+ (sf) BB+ (sf)
Rutland Rated Investments
DRYDEN06-2
Rating
Class To From
A1A-$LS BBB (sf) BB+ (sf)/Watch Pos
A1-$LS BBB- (sf) BB+ (sf)/Watch Pos
Rutland Rated Investments
DRYDEN06-3
Rating
Class To From
A6-$LS B- (sf) CCC- (sf)/Watch Pos
STARTS (Cayman) Ltd.
2006-2
Rating
Class To From
A1-D1 B (sf) B- (sf)/Watch Pos
STARTS (Ireland) PLC
2006-20
Rating
Class To From
A1-E1 B (sf) B- (sf)/Watch Pos
Strata 2007-1, Limited
Rating
Class To From
Notes B- (sf) CCC- (sf)/Watch Pos
*********
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 2012. 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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not guaranteed.
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*** End of Transmission ***