/raid1/www/Hosts/bankrupt/TCR_Public/120415.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, April 15, 2012, Vol. 16, No. 104
Headlines
7 WTC DEPOSITOR: Moody's Assigns Ba1 Rating to Cl. B Certificates
7 WTC DEPOSITOR: Fitch Rates Class B Certificates 'BB+sf'
ACAS CRE 2007-1: S&P Lowers Ratings on 9 Classes to 'D'
ALPINE SECURITIZATION: DBRS Rates $67MM Securities Tranche B(sf)
AMERICREDIT AUTOMOBILE: Moody's Rates Class E Notes '(P)Ba2'
AMERICREDIT AUTOMOBILE: Fitch to Rate $27.4MM Class E Notes 'Bsf'
ARTESIA MORTGAGE: Fitch Affirms 'BB+sf' Rating on $1.1MM G Certs
ASHFORD CDO I: S&P Ups Class B-1L Note Rating to 'CCC'; Off Watch
ASSET SECURITIZATION: Fitch Affirms 'Dsf/RE50%' on $27.9MM Notes
AVIATION CAPITAL II: S&P Lowers Rating on Class B-1 to 'BB'
BABSON 2012-I: S&P Rates $12MM Class D Deferrable Notes 'BB'
BAKER STREET II: Fitch Raises Rating on $11.4MM Notes to 'Bsf'
BANC OF AMERICA 2002-PB2: Moody's Cuts Rating on K Certs. to 'C'
BEAR STEARNS: Moody's Cuts Ratings on 9 Securities Classes to 'C'
BEAR STEARNS 2006-BBA7: S&P Raises J Certificates Rating to 'BB-'
BLACKROCK FUND: S&P Lifts S&P/CitiGroup 1-3 Yr Bond Rating to 'BB'
BRANDYWINE REALTY: Fitch Rates Series E Preferred Shares at 'BB-'
CAREY 2002-1: Moody's Affirms Caa2 Rating on Cl. IO Certificates
CASTLE HOLDINGS 1: Moody's Assigns 'B2' Ratings to US$405MM Notes
CASTLE HOLDINGS 2: Moody's Rates $45-Mil. Class A-1 Notes 'B2'
CBA COMMERCIAL 2004-1: S&P Lowers Class M-2 Cert. Rating to 'B+'
CD COMMERCIAL: Fitch Cuts Ratings on 4 Note Classes to 'Csf'
CENTERLINE 2007-1: S&P Lowers Rating on Class D Notes to 'D'
CENTERLINE 2007-SRR5: S&P Withdraws 'D' Ratings on 14 Classes
CHASE COMMERCIAL 2000-1: S&P Withdraws 'CCC-' Rating on G Certs.
CHASE FUNDING: Moody's Lowers Ratings on 5 Note Tranches to 'C'
CHASE MORTGAGE: Moody's Cuts Rating on Cl. B-2 Tranche to 'Ca'
CITICORP MORTGAGE: Moody's Lifts Cl. B-2 Tranche Rating to 'Caa1'
CITIFINANCIAL: Moody's Lowers Ratings on 4 Note Classes to 'C'
COMMERCIAL MORTGAGE 1999-C1: Moody's Cuts Rating on H Certs. to C
CREDIT SUISSE: Moody's Cuts Ratings on 12 Note Tranches to 'C'
CREDIT SUISSE: Moody's Cuts Ratings on 3 Note Tranches to 'C'
CREDIT SUISSE 1997-C1: Moody's Lifts Rating on I Certs. to 'Caa1'
CREDIT SUISSE 2001-CK6: S&P Cuts Ratings on 2 Cert. Classes to 'D'
CREDIT SUISSE 2002-CP3: Moody's Keeps C Ratings on 2 Cert Classes
CREDIT SUISSE 2003-C3: Moody's Keeps C Ratings on 5 Sec. Classes
CREDIT SUISSE 2007-TFL1: Moody's Cuts Ratings on 2 Classes to 'C'
CREDIT SUISSE 2008-C1: Fitch Cuts Ratings on 7 Certificate Classes
DELTA/RENAISSANCE: Moody's Cuts Ratings on 17 Note Tranches to C
DILLON READ 2006-1: S&P Cuts Ratings on 2 Classes of Notes to 'D'
EATON VANCE IX: Moody's Lifts Rating on Class D Notes to 'Ba1'
FIRST FRANKLIN: Moody's Cuts Ratings on 2 Securities Classes to C
FIRST UNION: Moody's Affirms 'Caa3' Rating on Cl. G Certificates
FORD AUTO: S&P Ups Series 2010-R1 Class D Note Rating From 'BB+'
FOUR CORNERS 2005-I: Moody's Raises Rating on Cl. D Notes to Ba1
GE COMMERCIAL 2004-C2: Moody's Keeps 'C' Rating on O Certificates
GE COMMERCIAL 2005-C1: Fitch Cuts Rating on $25.1MM Notes to CCsf
GE COMMERCIAL 2005-C1: S&P Lowers Rating on Class G Cert. to 'D'
GIA INVESTMENT: Moody's Raises Rating on US$14MM B Notes to 'Ba3'
GOLDMAN SACHS: Moody's Cuts Ratings on 27 Note Tranches to 'C'
GREENWICH CAPITAL: Fitch Affirms 'CCsf' Rating on $6.5MM O Notes
GREENWICH CAPITAL: Moody's Cuts Ratings on 2 Cert. Classes to 'C'
GS MORTGAGE: Moody's Lowers Rating on Class A-2 Certs. to 'Ca'
INGRESS I: Fitch Cuts Ratings on $28MM C Notes to 'Dsf'
JER CRE 2006-2: Moody's Lowers Rating on Class B-FL Notes to 'C'
JPMORGAN 2000-C9: Fitch Keeps 'BB+' Rating on $20.4MM H Certs
JPMORGAN 2004-CIBC9: S&P Affirms 'CCC-' Cl. F Certificates Rating
JPMORGAN 2008-C2: Moody's Reviews 'B1' Rating on A-M Securities
JPMORGAN 2012-C6: Fitch Expects to Assign 'Bsf' to $18MM H Certs
LASALLE 2005-MF1: Moody's Keeps C Ratings on 2 Securities Classes
LASALLE 2006-MF2: Moody's Keeps C Ratings on 2 Securities Classes
LB-UBS COMMERCIAL: Fitch Cuts Ratings on 5 Certificate Classes
LB-UBS COMMERCIAL: Moody's Cuts Rating on Cl. G Cert. to 'Caa2'
LNR CDO 2002-1: Moody's Cuts Ratings on 3 Note Classes to 'Ca'
MERRILL LYNCH: Moody's Cuts Ratings on 3 Securities Classes to C
MORGAN STANLEY: Moody's Lowers Ratings on 32 Note Tranches to 'C'
MORGAN STANLEY 2002-IQ3: Moody's Lowers Rating on H Certs. to 'C'
MORGAN STANLEY 2005-HQ6: DBRS Confirms D Rating on 2 Note Classes
MORGAN STANLEY 2005-HQ7: Moody's Keeps 'C' Ratings on 4 Certs.
MORGAN STANLEY 2005-IQ10: Moody's Lowers Ratings on 3 Certs. to C
MORGAN STANLEY 2005-TOP17: S&P Lowers Ratings on 13 Classes to 'D'
PARK PLACE: Moody's Downgrades Ratings on Four Tranches to 'C'
PORTER SQUARE: Moody's Raises Rating on US$24MM B Notes to 'B3'
PREFERRED TERM: Moody's Lowers Rating on $201.4-Mil. Notes to 'C'
PRUDENTIAL COMMERCIAL: Fitch Cuts Rating on 3 Note Classes to Csf
R.E. REPACK: Moody's Affirms Rating on Class A Certs. at 'Ba1'
RESI FINANCE: Moody's Lowers Ratings on 2 Note Tranches to 'C'
RESIDENTIAL ASSET: Moody's Cuts Ratings on 10 Note Classes to 'C'
SALOMON BROTHERS: Moody's Affirms 'C' Ratings on 2 Cert. Classes
SALOMON BROTHERS: Moody's Cuts Rating on Cl. G-8 Certs. to 'B1'
SCHOONER TRUST: DBRS Confirms 'B(low)(sf)' Rating on Cl. K Notes
SPECIALTY UNDERWRITING: Moody's Cuts Ratings on 4 Securities to C
TAXABLE WORLD: Moody's Affirms 'Ba1' Rating on Revenue Bonds
THORNBURG MORTGAGE: Moody's Cuts Rating on Cl. B2 Tranche to 'Ca'
VERTICAL CRE 2006-1: S&P Lowers Ratings on 6 Note Classes to 'D'
WACHOVIA BANK 2005-C17: Moody's Keeps C Ratings on 4 Certificates
WACHOVIA BANK 2004-C11: Moody's Keeps C Ratings on 3 Cert Classes
WASHINGTON MUTUAL: Moody's Cuts Ratings on Two Tranches to 'C'
WAYFARER 2006-2: Moody's Raises Rating on Class B Notes to 'Caa3'
WELLS FARGO: Moody's Lowers Ratings on 4 Note Tranches to 'C'
WELLS FARGO 2012-C6: Fitch Rates $13.8MM Certificates 'Bsf'
WFRBS COMMERCIAL: Moody's Assign B2 Rating to Cl. F Certificates
ZAIS INVESTMENT V: S&P Lowers Ratings on 2 Note Classes to 'CCC-'
* S&P Takes Various Rating Actions on 9 KeyCorp Loan Transactions
* S&P Lowers Ratings on 6 Certificate Classes to 'D'
*********
7 WTC DEPOSITOR: Moody's Assigns Ba1 Rating to Cl. B Certificates
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
Liberty Revenue Refunding Bonds issued by New York Liberty
Development Corporation and two classes of CMBS securities, issued
by 7 WTC Depositor, LLC Trust 2012-WTC.
Cl. 1 (Liberty Revenue Refunding Bonds), Definitive Rating
Assigned Aaa (sf)
Cl. 2 (Liberty Revenue Refunding Bonds), Definitive Rating
Assigned A2 (sf)
Cl. 3 (Liberty Revenue Refunding Bonds), Definitive Rating
Assigned Baa2 (sf)
Cl. A (CMBS), Definitive Rating Assigned Baa3 (sf)
Cl. B (CMBS), Definitive Rating Assigned Ba1 (sf)
Ratings Rationale
The debt is structured as two loans totaling approximately $575.3
million secured by a leasehold mortgage on the Property. The
senior debt is comprised of $450.3 million of tax-exempt Liberty
Bonds (the "Liberty Loan"). The subordinate debt is comprised of
$125 million of taxable CMBS debt (the "CMBS Loan", and together
with the Liberty Loan, the "Loans"). The borrower underlying the
mortgage is a special-purpose entity (SPE), 7 World Trade Center
II, LLC. The Liberty Bonds referenced above are collateralized by
the Liberty Loan only and the CMBS securities referenced above are
collateralized by the CMBS Loan only.
The Loans are secured by the Leasehold Interest in floors 10-52,
along with the building lobby and loading dock (collectively, the
"Property"), of 7 World Trade Center. The Property is indirectly
wholly owned by special purpose entities in turn owned by
Silverstein Properties. 7 World Trade Center is a 52-story
1,728,846 SF Class A office tower located in downtown Manhattan.
The building was constructed in 2006, and was the first LEED gold
certified office building in NYC under the new Environmental
Standards Act. The building is located at 250 Greenwich Street,
directly north of the World Trade Center site. The Property is
subject to a ground lease with the Port Authority of New York and
New Jersey (the "Port Authority"). The ground lease expires in
2026 and has three 20-year renewal options remaining. As of
December, 2011, the Property is 95.2% leased to 28 tenants.
Additionally, the Property sits atop a Con Edison substation that
provides power to downtown Manhattan. The substation is subject to
a separate ground lease with the Port Authority, and Con Edison
and the Sponsor entered into a reciprocal easement agreement to
address common elements.
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 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 LTV Ratio of 66.7% on the Liberty Loan and 85.2% on the
combined Liberty and CMBS Loans is high compared to other fixed-
rate loans that have previously been assigned underlying ratings
of Baa2 and Ba1, respectively. Unlike traditional CMBS loans,
which are exposed to refinance risk, the loans contributed to the
trust are fully amortizing. Based on Moody's assessment of in-
place cash flow, Moody's Actual DSCR is 2.12X (year 1) and Moody's
Stressed DSCR is 1.08X.
Note that despite the tax-exempt nature of the Liberty Bond
financing, Moody's analyzed the entire transaction using its CMBS
Large Loan / Single Borrower methodology since the securities are
backed by commercial real estate. Such methodology is applied
based on a transaction structure that is typically seen in CMBS
large loan financings. Tax-exempt bond investors should be aware
that there are significant differences between the methodology
employed and the methodologies that may be used when rating
transactions backed by tax-exempt securities. Unlike most Moody's
ratings for tax-exempt bonds, Moody's methodology for CMBS Large
Loan / Single Borrower transactions addresses timely payment of
interest and ultimate repayment of principal on the bonds not
later than a Rated Final Date (March 2051 for the Liberty Bonds).
Scheduled dates for payments on the Liberty Bonds are subject to
adjustment in connection with corresponding adjustments by the
Servicer of amounts due on the underlying Liberty Bond Loan.
Liberty Revenue Refunding Bond investors should review Moody's
Presale entitled "Liberty Revenue Refunding Bonds, Series 2012 (7
World Trade Center Project)" dated March 13, 2012 for more
information.
The principal methodology used in these ratings was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.2. 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%, 15%, or 24%, the model-indicated rating for the currently
rated Aaa classes would be Aa1, Aa3, or A3, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
7 WTC DEPOSITOR: Fitch Rates Class B Certificates 'BB+sf'
---------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to New York Liberty Development Corporation Liberty
Revenue Refunding Bonds, Series 2012 (7 World Trade Center
Project) and 7 WTC Depositor, LLC Trust 2012-WTC Commercial
Mortgage Pass-Through Certificates, Series 2012-7WTC:
-- $18,475,000 class 1 maturing on Sept. 15, 2028 'AAAsf',
Outlook Stable;
-- $19,410,000 class 1 maturing on Sept. 15, 2029 'AAAsf',
Outlook Stable;
-- $20,390,000 class 1 maturing on Sept. 15, 2030 'AAAsf',
Outlook Stable;
-- $21,425,000 class 1 maturing on Sept. 15, 2031 'AAAsf',
Outlook Stable;
-- $22,510,000 class 1 maturing on Sept. 15, 2032 'AAAsf',
Outlook Stable;
-- $73,670,000 class 1 maturing on Sept. 15, 2035 'AAAsf',
Outlook Stable;
-- $137,220,000 class 1 maturing on Sept. 15, 2040 'AAAsf'
Outlook Stable;
-- $108,000,000 class 2 'Asf'; Outlook Stable;
-- $29,190,000 class 3 'BBBsf'; Outlook Stable;
-- $114,485,000 class A* 'BBB-sf'; Outlook Stable;
-- $10,515,000 class B* 'BB+sf'; Outlook Stable.
* Privately placed pursuant to Rule 144A.
ACAS CRE 2007-1: S&P Lowers Ratings on 9 Classes to 'D'
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
from 'CC (sf)' on nine classes from ACAS CRE CDO 2007-1 Ltd. (ACAS
2007-1), a commercial real estate collateralized debt obligation
(CRE CDO) transaction.
"The downgrades reflect our analysis of the transaction following
the termination of the interest rate swap contract for the
transaction, resulting in a payment to the hedge counterparty. We
expect that the interest payments on these classes will be
deferred for an extended period of time due to the termination
payment. In addition, we expect the deferrable classes are
unlikely to be repaid in full," S&P said.
"Based on correspondences with the trustee, Wells Fargo Bank N.A.,
it is our understanding that following a payment default, the
hedge counterparty terminated the interest rate swap contract for
the transaction. The termination of the hedge triggered a
termination payment to the counterparty in the amount of $68.4
million, which has since been paid down to $56.0 million. The
transaction's documents and payment waterfall indicate that the
termination payments to the hedge counterparty are made before any
interest or principal proceeds are made available to the
deferrable classes," S&P said.
"According to the Feb. 16, 2012, note valuation report, remaining
outstanding interest shortfalls to the transaction totaled $74.8
million, which affected all classes. We expect that the
termination payment may not be paid in full for several years
resulting in continuing interest shortfalls to the underlying
classes, and we determined that the deferrable classes lowered to
'D (sf)' are unlikely to be repaid in full," S&P said.
"According to the most recent monthly trustee report dated March
30, 2012, ACAS 2007-1 was collateralized by 101 classes of
commercial mortgage-backed securities (CMBS, $838.3 million, 100%)
from 19 distinct transactions issued from 2005 through 2007," S&P
said.
"Standard & Poor's analyzed ACAS 2007-1 according to our current
criteria. The analysis is consistent with the lowered 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
ACAS CRE CDO 2007-1 Ltd.
Rating
Class To From
E-FL D (sf) CC (sf)
E-FX D (sf) CC (sf)
F-FL D (sf) CC (sf)
F-FX D (sf) CC (sf)
G-FL D (sf) CC (sf)
G-FX D (sf) CC (sf)
H D (sf) CC (sf)
J D (sf) CC (sf)
K D (sf) CC (sf)
ALPINE SECURITIZATION: DBRS Rates $67MM Securities Tranche B(sf)
----------------------------------------------------------------
DBRS, Inc. has confirmed the rating of R-1 (high) (sf) for the
Commercial Paper ("CP") issued by Alpine Securitization Corp., an
asset-backed commercial paper ("ABCP") vehicle administered by
Credit Suisse, New York branch. In addition, DBRS has confirmed
the ratings and revised the tranche sizes of the aggregate
liquidity facilities ("the Liquidity") provided to Alpine by
Credit Suisse.
The $10,618,891,760 aggregate liquidity facilities are tranched as
follows:
* $10,377,981,562 rated AAA (sf)
* $51,809,600 rated AA (sf)
* $40,289,485 rated A (sf)
* $46,339,517 rated BBB (sf)
* $21,705,211 rated BB (sf)
* $67,989,150 rated B (sf)
* $12,777,235 unrated (sf)
The ratings are based on October 31, 2011 data.
The CP rating reflects the AAA credit quality of Alpine's asset
portfolio. The updated credit quality aspect of the CP rating is
based on both the portfolio of assets and the available program-
wide credit enhancement ("PWCE"). The rationale for the CP rating
is based on the updated AAA credit quality assessment, as well as
DBRS's prior and ongoing review of legal, operational and
liquidity risks associated with Alpine's overall risk profile.
The ratings assigned to the Liquidity reflect the credit quality
of Alpine's asset portfolio based on an analysis that assesses
each transaction to a term standard. The tranching of the
Liquidity reflects the credit risk of the portfolio at each rating
level. The tranche sizes are expected to vary each month based on
changes in portfolio composition.
For Alpine, both the CP and the Liquidity ratings use DBRS's
simulation methodology, which was developed to analyze diverse
ABCP conduit portfolios. This analysis uses the DBRS Diversity
Model, with adjustments to reflect the unique structure of an ABCP
conduit and its underlying assets. DBRS determines attachment
points for risk based on an analysis of the portfolio and models
the portfolio based on key inputs such as asset ratings, asset
tenors and recovery rates. The attachment points determine the
portion of the exposure rated AAA, AA, A through B as well as
unrated.
DBRS models the portfolio on an ongoing basis to reflect changes
in Alpine's portfolio composition and credit quality. The rating
results are updated and posted on the DBRS website.
The principal methodology is the Asset-Backed Commercial Paper
Criteria Report: U.S. & European ABCP Conduits, which can be found
on our website under Methodologies.
This credit rating has been issued outside the European Union (EU)
and may be used for regulatory purposes by financial institutions
in the EU.
AMERICREDIT AUTOMOBILE: Moody's Rates Class E Notes '(P)Ba2'
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by AmeriCredit Automobile Receivables Trust
2012-2 (AMCAR 2012-2). This is the second public subprime
transaction of the year for AmeriCredit Financial Services, Inc.
(AmeriCredit).
The complete rating actions are as follows:
Issuer: AmeriCredit Automobile Receivables Trust 2012-2
Cl. A-1, Assigned (P)P-1 (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa1 (sf)
Cl. C, Assigned (P)Aa3 (sf)
Cl. D, Assigned (P)Baa1 (sf)
Cl. E, Assigned (P)Ba2 (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, and the experience and expertise of
AmeriCredit as servicer.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. Auto Loan-Backed Securities," published in
May 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
Moody's median cumulative net loss expectation for the AMCAR 2012-
2 pool is 11.0% and total credit enhancement required to achieve
Aaa rating (i.e. Aaa proxy) is 39.5%. The loss expectation was
based on an analysis of AmeriCredit's 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 Low/Medium
versus a Medium for the sector. This is driven by the Low/Medium
assessment for Governance due to the presence of a highly rated
backup servicer, Wells Fargo (Aa3 negative outlook/P-1), in
addition to the size and strength of AmeriCredit's servicing
platform.
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%, 25% or 35.0%,
the initial model output for the Class A notes might change from
Aaa to Aa1, Aa2, and A3, respectively; Class B notes might change
from Aa1 to A3, Baa3, and below B3, respectively; Class C notes
might change from Aa3 to Ba2, B3, and below B3, respectively;
Class D notes might change from Baa1 to below B3 in all three
scenarios; and Class E notes might change from Ba2 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.
Additional research including a pre-sale report for this
transaction is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for
Structured Finance Securities" and "V Scores and Parameter
Sensitivities in the U.S. Vehicle ABS Sector" are also available
on moodys.com.
AMERICREDIT AUTOMOBILE: Fitch to Rate $27.4MM Class E Notes 'Bsf'
-----------------------------------------------------------------
Fitch Ratings expects to rate AmeriCredit Automobile Receivables
Trust, series 2012-2.
Fitch's stress and rating sensitivity analysis are discussed in
the presale report titled 'AmeriCredit Automobile Receivables
Trust 2012-2', dated April 9, 2012, which is available on Fitch's
web site.
Fitch expects to assign the following ratings:
-- $241,400,000 class A-1 notes 'F1+sf';
-- $372,400,000 class A-2 notes 'AAAsf'; Outlook Stable;
-- $165,820,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $84,620,000 class B notes 'AAsf'; Outlook Stable;
-- $105,040,000 class C notes 'Asf'; Outlook Stable;
-- $103,290,000 class D notes 'BBBsf'; Outlook Stable;
-- $27,430,000 class E notes 'BBsf'; Outlook Stable.
Weaker Credit Quality: The credit quality of the 2012-2 pool is
slightly weaker than the prior three transactions. The weighted
average (WA) Fair Isaac Corp. (FICO) score is 570, and WA internal
credit tier rating is 238. Used cars total 57.9%, and the WA
loan-to-value (LTV) ratio is 110%, consistent with recent pools.
Consistent Credit Enhancement Structure: The cash flow
distribution is a sequential-pay structure, consistent with prior
transactions. Initial hard credit enhancement (CE) is unchanged
from the previous seven transactions. The reserve totals 2.00%
(nondeclining), and initial overcollateralization (OC) is 5.75%
(both of the initial pool balance), growing to a target of 14.75%
(of the current pool balance).
Stronger Portfolio/Securitization Performance: Losses on GM
Financial's portfolio and 2009-2011 AMCAR securitizations have
declined to some of the lowest levels ever seen, supported by the
economic recovery and strong used vehicle values supporting higher
recovery rates.
Stable Corporate Health: Fitch rates GM and GM Financial 'BB' with
a Positive Rating Outlook. GM Financial has recorded positive
corporate financial results since 2010, while the overall health
of GM also improved during that period.
Consistent Origination/Underwriting/Servicing: AFSI demonstrates
adequate abilities as originator, underwriter, and servicer,
evidenced by historical portfolio delinquency and loss experience
and securitization performance. Fitch deems AFSI capable to
adequately service 2012-2.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of GM Financial would not impair
the timeliness of payments on the securities.
ARTESIA MORTGAGE: Fitch Affirms 'BB+sf' Rating on $1.1MM G Certs
----------------------------------------------------------------
Fitch Ratings affirms Artesia Mortgage CMBS, Inc.'s commercial
mortgage pass-through certificates, series 1998-C1. A
The rating affirmation and Stable Rating Outlook are due to the
pool's stable performance following Fitch's prospective review of
potential stresses to the transaction.
As of the March 2012 distribution date, the transaction's
aggregate principal balance has decreased 96%, to $5.9 million
from $187 million at issuance. The pool has become more
concentrated with only 15 small balance loans remaining with an
average loan size of $308,195. Approximately 55% of the loans
mature in 2013 and 24% mature in 2018.
There are currently no delinquent or specially serviced loans in
the transaction. Five loans (15.8%) are considered Fitch Loans of
Concern due to declines in DSCR and occupancy as a result of
tenants vacating, including one of the top five loans (9.4%) in
the transaction.
The largest Loan of Concern (9.4%) is secured by an office
building located in Tukwila, WA. The property has suffered from
low occupancy since 2007 when several tenants vacated at lease
expiration and others downsized existing space. Per the master
servicer, the borrower continues to actively market the vacant
space; however there are no offers to date. The most recent
reported occupancy of 79% is as of September 2011.
The second largest Loan of Concern (2.1%) is secured by an
industrial warehouse property located in Sunnyvale, CA. Property
occupancy declined to 50% in 2009 when the largest tenant vacated
at lease expiration. The vacant space was leased in November 2010
and the property is currently 100% occupied. The year-end (YE)
2011 DSCR has improved to 0.99 times (x) from 0.21x YE 2010.
Fitch stressed the cash flow of the remaining loans by applying a
minimum of 10% haircut to the most recent fiscal year-end net
operating income and applying a cap rate between 8.1% and 11%,
depending on property type and location to determine value.
Similar to Fitch's criteria for analyzing U.S. CMBS transactions,
each loan also underwent a refinance test by applying an 8%
interest rate and 30-year amortization schedule based on the
stressed cash flow. Loans that could refinance to a debt service
coverage ratio of 1.25x or higher were considered to payoff at
maturity. Under this scenario, one loan (9.4% of the pool)
incurred a loss when compared to Fitch's stressed value.
Fitch affirms the following class:
-- $1.1 million Class G at 'BB+sf'; Outlook Stable.
Fitch does not rate the $4.8 million Class NR. Classes A-1, A-2,
B, C, D, E, and F are paid in full.
The rating of the interest-only class X was previously withdrawn.
(For additional information on the withdrawal of the rating on the
interest-only class, see 'Fitch Revises Practice for Rating IO &
Pre-Payment Related Structured Finance Securities', June 23,
2010).
ASHFORD CDO I: S&P Ups Class B-1L Note Rating to 'CCC'; Off Watch
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1LB, A-2L, A-3L, and B-1L notes from Ashford CDO I Ltd., a cash
flow collateralized debt obligation (CDO) transaction backed by
tranches from other CDOs, primarily collateralized loan
obligations (CLOs). "At the same time, we affirmed the rating on
the class A-1LA note and removed our ratings on all the notes in
this review from CreditWatch negative," S&P said.
"We placed our ratings on the notes on CreditWatch with negative
implications on March 19, 2012, after we updated our criteria for
CDOs backed by structured finance assets," S&P said.
"The transaction is in its amortization phase and the class A-1LA
note continues to get paid down due to failure of the coverage
ratios. Its current balance is $89.62 million (73.70% of its
original balance), down from $114.35 million (94.04% of original
balance) in May 2010 when we last downgraded the notes," S&P said.
"In addition, the amount of defaulted assets has declined during
this period. As per the March 2012 trustee report, the trustee
carries $8.96 million par in defaulted assets, down from $41.27
million par in March 2010," S&P said.
"To calculate overcollateralization (O/C) ratios, the trustee
haircuts the numerator if the amount of assets in the lower rating
categories exceeds the thresholds set in the transaction
documents. The trustee's haircut in March 2012 was $31.3 million
(around 14.34% of the numerator), down from $42.36 million (around
20.28% of the numerator) in March 2010," S&P said.
"As a result, the class A O/C ratio increased to 117.53% in March
2012 from 98.37% in March 2010 (when this ratio was failing;
minimum trigger 108.00%). The class B O/C ratio also improved to
91.81% in March 2012 from 72.49% in March 2010. Class A is
currently passing its O/C test, while class B mminimum trigger
102.65%) continues to fail," S&P said.
"We raised our ratings on the class A-1LB, A-2L, A-3L, and B-1L
notes due to the increased credit support. The affirmed rating on
the class A-1LA note reflects our opinion that the credit support
available at the current rating level is sufficient. We removed
our ratings on all the notes in this review from CreditWatch
negative," 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 ACTIONS
Ashford CDO I Ltd.
Rating
Class To From
A-1LA BBB+ (sf) BBB+ (sf)/Watch Neg
A-1LB BBB+ (sf) BB+ (sf)/Watch Neg
A-2L BB- (sf) B+ (sf)/Watch Neg
A-3L B- (sf) CCC+ (sf)/Watch Neg
B-1L CCC (sf) CCC- (sf)/Watch Neg
TRANSACTION INFORMATION
Issuer: Ashford CDO I Ltd.
Coissuer: Ashford CDO I Corp.
Collateral manager: Babson Capital Management LLC
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CDO of CDOs
ASSET SECURITIZATION: Fitch Affirms 'Dsf/RE50%' on $27.9MM Notes
----------------------------------------------------------------
Fitch Ratings has affirmed the following classes of Asset
Securitization Corp.'s commercial mortgage pass-through
certificates, series 1995-MD IV:
-- $16.9 million class B-1 at 'A+sf'; Outlook Evolving;
-- Notional class A-CS2 at 'A+sf'; Outlook Evolving;
-- $27.9 million class B-2 at 'Dsf/RE50%';
-- $769 class B-2H at 'Dsf/RE50%'.
Classes A-1, A-1P, A-2, A-3, A-4, A-5 and notional A-CS1 have paid
in full. Class A-CS3 was previously withdrawn.
The affirmation on class B-1, Evolving Outlook is due to increased
credit enhancement combined with continued principal write-downs
on classes B-2 and B-2H relative to the previous review. The
Evolving Outlook assignment reflects uncertainty regarding the
amount and timing of pending litigation costs associated with the
transaction. Class A-CS2 is an interest-only class based on the
balance of class B-1.
One loan remains in the pool: Columbia Sussex, which has been
fully defeased and has an anticipated repayment date in 2015. As
of the March 2012 remittance date, the transaction's outstanding
principal balance has been reduced by 95.4% to $44.8 million, from
$967.2 million at issuance.
Fitch maintains the Evolving Outlook on class B-1 because of
potential future losses due to litigation costs which may occur
before the class is paid in full. Class B-1 is currently receiving
principal payments from the scheduled amortization of the Columbia
Sussex loan, but could be affected by litigation costs in the
future. If litigation costs interrupt the payment of principal,
Fitch expects to downgrade the bond to 'D'. If the litigation is
resolved without affecting class B-1, Fitch expects to upgrade the
bond.
Certain interest-only bondholders filed suit against the former
special servicer, Criimi Mae, based on the special servicer's
handling of the respective resolutions of the Hardage Hotel
Portfolio and Motels of America loans, both of which were resolved
in 2003. The Court granted the Defendant's Motion for Summary
Judgment dismissing the complaint on Feb. 8, 2011; subsequently
the Plaintiffs filed an appeal on March 9, 2011. There has been no
update on the appeal since Fitch's last review.
The pending appeal and resulting legal fees could cause principal
losses to class B-1 before it pays off if the fees exceed the
balance of class B-2 and B-2H. Because classes B-1, B-2 and B-2H
are principal-only classes, legal fees or adverse judgments would
cause realized losses to B-2 first, followed by B-1. Fitch will
monitor the status of the appeal and any associated fees.
AVIATION CAPITAL II: S&P Lowers Rating on Class B-1 to 'BB'
-----------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on three
classes from Aviation Capital Group Trust II (ACG II), an aircraft
asset-backed securities (ABS) transaction collateralized primarily
by the lease revenues and sale proceeds from a portfolio of
commercial aircraft. The outlook is stable.
"Due to an error, we used incorrect model inputs in our November
2011 analysis of this transaction. Based on our recent analysis
using the updated model inputs, we lowered our ratings on three
classes. The lowered ratings also reflect the overall effect of
changes that have occurred within the transaction since our last
review, including the aircraft portfolios' updated appraisal
value, updated leases with new lessees and different lease rates
and terms, and paydowns the notes have received since our 2011
analyses," 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,"
S&P said.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS CORRECTED BY LOWERING
Aviation Capital Group Trust II
Class Rating
To From
G-1 BBB- (sf)/Stable A (sf)/Stable
G-2 BBB- (sf)/Stable A (sf)/Stable
B-1 BB (sf)/Stable BBB (sf)/Stable
BABSON 2012-I: S&P Rates $12MM Class D Deferrable Notes 'BB'
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Babson
CLO Ltd. 2012-I/Babson CLO 2012-I LLC's $321.7 million floating-
rate notes.
The transaction is a cash flow collateralized loan obligation
securitization of 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.
* 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%-12.59%," 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 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 ASSIGNED
Babson CLO Ltd. 2012-I/Babson CLO 2012-I LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 233.50
A-2 AA (sf) 27.20
B (deferrable) A (sf) 31.00
C (deferrable) BBB (sf) 18.00
D (deferrable) BB (sf) 12.00
Subordinated notes NR 39.08
NR - Not rated.
BAKER STREET II: Fitch Raises Rating on $11.4MM Notes to 'Bsf'
--------------------------------------------------------------
Fitch Ratings has upgraded six classes of notes issued by Baker
Street II Ltd./Corp. as follows:
-- $263,802,662 class A-1 notes to 'AAAsf' from 'AAsf'; Outlook
Stable;
-- $29,311,407 class A-2 notes to 'AAAsf' from 'AAsf; Outlook
Stable;
-- $20,100,000 class B notes to 'AAsf' from 'Asf'; Outlook
Stable;
-- $21,000,000 class C notes to 'BBBsf' from 'BBsf'; Outlook
Stable;
-- $15,900,000 class D notes to 'BBsf' from 'Bsf'; Outlook
Stable;
-- $11,402,275 class E notes to 'Bsf' from 'CCCsf'; assign
Outlook Stable.
The upgrades are based on the improved credit enhancement
available to the rated notes, the stable performance of the
portfolio, and the proximity to the end of the reinvestment
period. Fitch maintains and or assigns a Stable Outlook to the
notes reflecting its expectation of stable rating performance over
the next one to two years.
Since Fitch's last review, the credit quality of the portfolio has
been maintained at 'B+/B' and exposure to assets considered 'CCC'
or below by Fitch is 9.1%, down from 11.3%. One new asset has
defaulted, marginally increasing defaults to 3.1% from 3.0%. Baker
Street II is still in its reinvestment period through October
2012, and the portfolio continues to be actively traded. As of
the March 2012 trustee report, all overcollateralization (OC) and
interest coverage IC) tests and portfolio concentration
limitations are within the permissible limits. In 2009, the class
A and E notes were partially redeemed due to the failure of the
class D and E OC tests. The failure of the class E OC test during
the reinvestment period diverts interest proceeds to amortize the
class E principal initially, including capitalized interest, prior
to paying principal distributions to the class A-D notes
sequentially. Additionally, Baker Street II has a class E
reinvestment test which diverts 60% of excess interest that would
be paid to the equity, to instead purchase additional collateral
for the portfolio.
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'. The cash flow model was customized to reflect the
transaction's structural features. Fitch's portfolio and cash
flow analysis indicate that the credit quality for all classes of
the notes has improved.
Baker Street II is a revolving cash flow transaction
collateralized by a portfolio of primarily leveraged loans that
closed on Sept. 15, 2006 and is managed by Seix Investment
Advisors LLC (Seix). Baker Street II's portfolio is currently
comprised of 97.2% senior secured obligations and 2.8% second lien
loans and unsecured obligations. Approximately 10.8% of the
portfolio consists of covenant lite loans. If a covenant lite
loan issuer defaults, there is a potential that reduced recovery
proceeds could materialize. To account for this risk, Fitch
applied a 10% recovery rate haircut to the covenant lite loans
that do not carry a Fitch explicit Recovery Rating. The stated
maturity of the transaction is Oct. 15, 2019.
BANC OF AMERICA 2002-PB2: Moody's Cuts Rating on K Certs. to 'C'
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of eight classes,
confirmed three classes, and affirmed two classes of Banc of
America Commercial Mortgage Pass-Through Certificates, Series
2002-PB2 as follows:
Cl. A-4, Confirmed at Aaa (sf); previously on Dec 13, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. B, Confirmed at Aaa (sf); previously on Dec 13, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. C, Confirmed at Aa1 (sf); previously on Dec 13, 2011 Aa1 (sf)
Placed Under Review for Possible Downgrade
Cl. D, Downgraded to Baa1 (sf); previously on Dec 13, 2011 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. E, Downgraded to Ba1 (sf); previously on Dec 13, 2011 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. F, Downgraded to B1 (sf); previously on Dec 13, 2011 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. G, Downgraded to B3 (sf); previously on Dec 13, 2011 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. H, Downgraded to Caa3 (sf); previously on Oct 13, 2010
Downgraded to Caa1 (sf)
Cl. J, Downgraded to Ca (sf); previously on Oct 13, 2010
Downgraded to Caa2 (sf)
Cl. K, Downgraded to C (sf); previously on Oct 13, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded
to C (sf)
Cl. XC, Downgraded to Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf) and Remained On Review for Possible
Downgrade
Ratings Rationale
On December 13, 2011, Moody's placed the ratings of eight classes
on review for possible downgrade due to an expected increase in
interest shortfalls. This action concludes the review.
The downgrades of Classes D through K are due to higher expected
losses due to interest shortfalls. The IO class is downgraged due
to the downgrade of several of its referenced classes.
Bank of America, N.A, the deal's Master Servicer, previously
informed Moody's that it deemed any outstanding advances made with
respect to six specially serviced loans to be non-recoverable. The
deal's interest shortfalls increased significantly because the
Master Servicer is no longer making advances on those six
specially serviced loans. The deal's cumulative interest
shortfalls increased from $1.8 million as of November 2011 to $4.8
million as of March 2012. In February 2012 interest shortfalls
spiked up to class D. Shortfalls affecting Class D were repaid in
March and the most senior class with outstanding interest
shortfalls is Class E.
The confirmations and affirmations are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed 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 does not anticipate that
confirmed classes will be impacted by interest shortfalls in the
foreseeable future.
Moody's rating action reflects a cumulative base expected loss of
39.3% of the current pooled balance compared to 13.0% at last
review. On a percentage basis, the current cumulative based
expected loss increased significantly due to the deal paying down
65% since last review. On a dollar basis, however, the cumulative
base expected loss only increased slightly to $92 million from $89
million at last review. Moody's base expected loss plus realized
losses is 10.6% of the original pooled balance compared to 10.1%
at last review. Moody's provides a current list of base expected
losses for conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 7 compared to 23 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated June 2, 2011.
DEAL PERFORMANCE
As of the March 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 79% to $235 million
from $1.1 billion at securitization. The Certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 30% of the pool, with the top ten loans representing 96% of
the pool. One loan, representing 5% of the pool, has been defeased
and is collateralized with U.S. Government Securities. The pool
does not contain any loans with a credit estimate and no loans are
on the servicer's watch list.
Eighteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $27 million (27% average loss
severity). Ten loans, representing 85% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Regency Square Loan ($71 million --30.4% of the pool), which is
secured by a 465,000 square foot (SF) retail property located in
Richmond, Virginia. The property was considered the dominant mall
at securitization, but newer competing retail properties have
since entered the subject's trade area. The former sponsor,
Taubman Properties, turned the property over via a deed-in-lieu of
foreclosure in December 2011 after unsuccessfully jointly
marketing the property for sale with the servicer. The servicer
has recognized a $44 million appraisal reduction for this REO
asset, while Moody's estimates a $47 million loss, which is 66% of
the current loan balance.
The remaining specially serviced loans are secured by a mix of
office, industrial and multifamily properties. The servicer has
recognized a $60 million aggregate appraisal reduction for six of
the ten specially serviced loans. Moody's has estimated a $92
million loss (46% expected loss based on an 100% probability of
default) for all of the specially serviced loans. Moody's has not
identified any troubled loans for this deal other than the loans
already in special servicing.
The conduit component includes three loans representing 10% of the
current outstanding pool balance. Moody's was provided with full
year 2010 and full or partial year 2011 operating results for 100%
of the conduit loans. The conduit portion of the pool excludes
specially serviced and defeased loans. Moody's weighted average
conduit LTV is 71% compared to 79% at Moody's 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 8.9%.
Moody's actual and stressed conduit DSCRs are 1.28X and 1.39X,
respectively, compared to 1.24X and 1.28X 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
stressed DSCR is greater than Moody's actual DSCR for this deal
because the actual debt constant is greater than Moody's stressed
9.25% rate.
Based on the most recent remittance statement, Classes E through Q
have experienced cumulative interest shortfalls totaling $4.8
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),
extraordinary trust expenses, loan modifications that include
either an interest rate reduction or a non-accruing note
component, and non-recoverability determinations by the servicer
that involve either a clawback of previously made advances or a
decision to stop making future advances.
All three conduit loans are performing and Moody's expects each
conduit loan to pay off in full at or ahead of its scheduled
maturity.
BEAR STEARNS: Moody's Cuts Ratings on 9 Securities Classes to 'C'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 21
tranches, upgraded the ratings of 5 tranches, and confirmed the
ratings of 4 tranches from 13 RMBS transactions backed by Subprime
loans issued by Bear Stearns.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012. The methodology used in rating
Interest-Only Securities is "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published in February 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies, Moody's considered the volatility of the
projected losses and timeline of the expected defaults. For bonds
backed by small pools, Moody's also considered the current
pipeline composition as well as any specific loss allocation rules
that could preserve or deplete the overcollateralization available
for the senior bonds at different pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-FR1
Cl. M-2, Confirmed at A2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE11
Cl. M-1, Upgraded to Aa2 (sf); previously on Mar 11, 2011
Downgraded to A1 (sf)
Cl. M-2, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on Mar 11, 2011
Downgraded to Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE5
Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012
Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 11, 2011
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE7
Cl. M-1, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 11, 2011
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE9
Cl. M-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 11, 2011
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2002-2
Cl. A-1, Downgraded to Baa2 (sf); previously on Mar 11, 2011
Downgraded to Aa3 (sf)
Cl. A-2, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C (sf); previously on Mar 11, 2011
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2003-3
Cl. A-2, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B1 (sf); previously on Mar 11, 2011
Downgraded to Ba1 (sf)
Cl. B, Downgraded to C (sf); previously on Mar 11, 2011
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2003-HE1
Cl. M-1, Upgraded to Aa3 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2004-HE1
Cl. M-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously on Mar 11, 2011
Downgraded to Caa1 (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 11, 2011
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2004-HE2
Cl. M-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2004-HE3
Cl. M-2, Confirmed at B1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on Mar 11, 2011
Downgraded to Ca (sf)
Cl. M-6, Downgraded to C (sf); previously on Mar 11, 2011
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities, Inc., Series 2000-2
Cl. M-2, Upgraded to Aa3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. B, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Securities I Trust 2004-FR2
Cl. M-1, Upgraded to Aa2 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281392
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
BEAR STEARNS 2006-BBA7: S&P Raises J Certificates Rating to 'BB-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from Bear
Stearns Commercial Mortgage Securities Inc.'s series 2006-BBA7, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
"The upgrades follow our analysis of the transaction, which
included our revaluation of the four hotel properties securing the
remaining floating-rate mortgage loan indexed to one-month LIBOR
that serves as the sole collateral for the trust. The upgrades
also considered the deleveraging of the trust balance and overall
improved property performance. Our adjusted valuation on the hotel
portfolio, using a weighted average capitalization rate of 11.61%,
yielded an in-trust stressed loan-to-value ratio of 92.0%," S&P
said.
"We based our analysis, in part, on a review of the borrower's
operating statements for the year ended Dec. 31, 2011, the year-
ended Dec. 31, 2010, the borrower's 2012 budgets, and December
2011 Smith Travel Research (STR) reports. The reported year-end
2011 combined occupancy and average daily rate for the lodging
portfolio were 78.2% and $92.71, yielding a revenue per available
room (RevPAR) of $72.50. This was up 9.5% from year-end 2010 and
14.8% from year-end 2009. The borrower's budgets indicate an
overall projected 7.1% increase in RevPAR for 2012 over 2011. The
master servicer, Bank of America N.A. (BofA), reported a combined
debt service coverage of 2.93x for year-end 2011. The one-month
LIBOR rate was 0.248% (according to the March 15, 2012, trustee
remittance report)," S&P said.
"As of the March 15, 2012, trustee remittance report, the trust
has one floating-rate loan remaining, the Citigroup Property
Investors Hilton Portfolio loan, which has a trust and whole-loan
balance of $31.0 million. In addition, the equity interests in the
borrower of the whole loan secure mezzanine debt totaling $27.7
million. The mortgage loan is currently secured by two full-
service, one limited-service, and one extended stay hotel
properties totaling 760 rooms in Orlando, Fla., Atlanta, Ga.,
Brisbane, Calif., and Englewood, Colo. Three of the collateral
properties operate under the Hilton Garden Inn flag and one
operates under the Homewood Suites flag. The loan documents
contain property release provisions, provided certain conditions
are met, which include a payment of a release price that is 115%
of the applicable released amount for the mortgaged property," S&P
said.
"The mortgage loan was transferred to the special servicer on July
24, 2009, due to imminent default. The loan was subsequently
modified and returned to the master servicer on March 16, 2011.
The modification terms included, but are not limited to, extending
the loan's maturity to Dec. 31, 2011, with options to extend to
Dec. 31, 2012, Dec. 31, 2013, and March 12, 2014, deferring debt
service payments on the mezzanine debt, and the borrower paying
the special servicing and workout fees on the loan. According to
BofA, the 184-room hotel property in Hoffman Estate, Ill., was
released following the loan modification," 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
Bear Stearns Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2006-BBA7
Rating
Class To From
H A+ (sf) CCC+ (sf)
J BB- (sf) CCC- (sf)
BLACKROCK FUND: S&P Lifts S&P/CitiGroup 1-3 Yr Bond Rating to 'BB'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its fund credit quality
ratings on five BlackRock Fund Advisors (BFA) funds and raised its
fund volatility rating on one of the funds.
"We raised the credit quality ratings on the iShares Global
Inflation-Linked Bond Fund, the iShares International Inflation-
Linked Bond Fund, the iShares S&P/Citigroup 1-3 Year International
Treasury Bond Fund, and the iShares S&P/Citigroup International
Treasury Bond Fund because the funds eliminated their exposure to
Greek bonds. This exposure had negatively affected the funds'
overall credit quality, and the elimination of this exposure has
strengthened the funds' credit profiles. The Hellenic Republic was
similarly removed as an eligible investment for the funds'
underlying indices," S&P said.
"We raised the credit quality and volatility ratings on the
iShares(R) 2012 S&P AMT-Free Municipal Series because of the
fund's increased aggregate exposures to higher-rated issues with
shorter maturities. The fund seeks investment results that
correspond generally to the price and yield performance, before
fees and expenses, of the S&P AMT-Free Municipal Series 2012
Index. The underlying index measures the performance of
investment-grade U.S. municipal bonds maturing in 2012. All bonds
in the fund will mature by August 2012, and, as a result, the
duration of the fund and the volatility of the returns have
decreased," S&P said.
"Each of the iShares funds listed above uses a passive management
strategy designed to track the total return performance of the
underlying indices. The funds are among the more than 215
investment portfolios of the iShares Trust. The Trust was
organized as a Delaware statutory trust on Dec. 16, 1999, and is
authorized to have multiple series or portfolios. The Trust is an
open-end management investment company registered under the
Investment Company Act of 1940 as amended. The offering of the
Trust's shares is registered under the Securities Act of 1933 as
amended. The shares of the Trust are listed and traded at market
prices on national securities exchanges," S&P said.
"BlackRock Fund Advisors (BFA), the funds' investment adviser, is
a subsidiary of BlackRock Inc. As of Dec. 31, 2011, BlackRock Inc.
and its affiliates provided investment advisory services for
estimated assets of $3.513 trillion. State Street Bank & Trust Co.
is the administrator, custodian, and transfer agent for the funds.
BlackRock Investments LLC, a subsidiary of BlackRock Inc., is the
funds' distributor," S&P said.
"Our fund credit quality ratings, identified by the 'f' subscript,
reflect the level of protection a fund provides against losses
from credit defaults. The credit quality ratings scale ranges from
'AAAf' (extremely strong protection against losses from credit
defaults) to 'CCCf' (extremely vulnerable to losses from credit
defaults). The ratings from 'AAf' to 'CCCf' may be modified by the
addition of a plus (+) or minus (-) sign to show relative standing
within the major rating categories," S&P said.
"Our fund volatility ratings, identified by the 'S' scale, are
based on our current opinion of a fixed-income fund's sensitivity
to changing market conditions, relative to a portfolio made up of
government securities and denominated in the base currency of the
fund. The volatility ratings are based on a scale from 'S1'
(lowest sensitivity) to 'S6' (highest sensitivity). Volatility
ratings evaluate sensitivity to factors such as interest rate
movements, credit risk, and liquidity," S&P said.
RATINGS LIST
Upgraded
To From
iShares Global Inflation-Linked Bond Fund
Credit Quality And Volatility Ratings Af/S4 BBBf/S4
iShares International Inflation-Linked Bond Fund
Credit Quality And Volatility Ratings A-f/S4 BBf/S4
iShares S&P/Citigroup 1-3 Year International Treasury Bond Fund
Credit Quality And Volatility Ratings A-f/S4 BBf/S4
iShares S&P/Citigroup International Treasury Bond Fund
Credit Quality And Volatility Ratings A-f/S4 BBf/S4
iShares(R) 2012 S&P AMT-Free Municipal Series
Credit Quality And Volatility Ratings AAAf/S1+ A+f/S1
BRANDYWINE REALTY: Fitch Rates Series E Preferred Shares at 'BB-'
-----------------------------------------------------------------
Fitch Ratings assigns a credit rating of 'BB-' to the 6.90% series
E cumulative redeemable preferred shares issued by Brandywine
Realty Trust (NYSE: BDN) for gross proceeds of $100 million. The
offering is expected to close on April 11, 2012.
Brandywine Realty Trust intends to use the net proceeds from this
offering to fund its previously announced redemption of all
2,000,000 shares of its outstanding 7.50% series C cumulative
redeemable preferred shares for total consideration of
approximately $50 million and for other general corporate
purposes, which may include acquisitions, real estate development
activities and repurchases or redemption of debt or other
outstanding preferred shares.
Fitch currently rates Brandywine Realty Trust and its subsidiary,
Brandywine Operating Partnership, L.P. (collectively, Brandywine
or the company) as follows:
Brandywine Realty Trust
-- Issuer Default Rating (IDR) at 'BB+';
-- Preferred stock at 'BB-'.
Brandywine Operating Partnership, L.P.
-- IDR at 'BB+';
-- Unsecured revolving credit facility at 'BB+';
-- Senior unsecured notes at 'BB+.'
The Rating Outlook is Stable.
Brandywine's 'BB+' IDR reflects the company's credit strengths,
including its manageable debt maturity and lease expiration
schedules, granular tenant base, and access to the capital
markets. Offsetting these strengths are operating fundamentals in
Brandywine's markets, which remain weak and will likely be soft in
the near to medium term. However, the company's leverage and
coverage metrics are expected to remain appropriate for the rating
over the next 12-24 months. The Stable Rating Outlook considers
these expected soft property-level fundamentals, offset by
Brandywine's solid liquidity and unencumbered asset coverage of
unsecured debt.
The economic recovery remains fragile, with the high unemployment
rate continuing to adversely impact business prospects of many of
Brandywine's current or potential tenants. Brandywine's portfolio
is focused primarily in the Mid-Atlantic region, with the top five
submarkets represented by Philadelphia central business district
(CBD, 23.1% of NOI for the 12-months ended Dec. 31, 2011), Dulles
Toll Road Corridor (15.1%), Radnor, PA (10.2%), King of
Prussia/Berwyn/N202 Corridor (7.6%), and Southwest Austin (5.3%).
The company's geographic focus, with exposure to some weaker
submarkets with low barriers to entry, has provided limited growth
in recent quarters and relatively weak tenant demand has resulted
in declining occupancy. As a result of lower occupancies and
driven by weak tenant demand, Brandywine has reported negative
same-store cash NOI declines of 5.2% , 3.7% and 2.7% in 2011, 2010
and 2009, respectively.
Since 2006, Brandywine has underperformed a selected group of
office REIT peers by approximately 250 basis points (bps) in both
same-property NOI growth and occupancy. Brandywine has also
underperformed its markets on a NOI and occupancy basis, as
followed by Property & Portfolio Research (PPR), each by almost
100 bps since 2006.
Occupancy and rent level deterioration since early 2008 have
negatively affected fixed charge coverage levels. Fitch defines
fixed charge coverage as recurring operating EBITDA less recurring
capital expenditures less straight line rent adjustments, divided
by total interest incurred and preferred dividends.
Fixed-charge coverage levels began to weaken in recent quarters,
falling to 1.5 times (x) for the 12 months ended Dec. 31, 2011
from 1.7x in 2010. While recurring operating EBITDA improved in
2011, recurring capital expenditures increased significantly to
$95 million in 2011 from $50.5 million the year prior. Fitch
projects the company's fixed charge coverage ratio to rise above
1.5x during 2012 as recurring operating EBITDA improves and
capital expenditures moderate.
The company benefits from a diverse tenant base, with the top 10
tenants representing 23.9% of total base rent at Dec. 31, 2011 and
no tenant except for the U.S. Government Services Administration
(GSA) comprises more than 3% of total base rent. In addition, the
company has a fairly even distribution of lease expirations and an
average of 10% of annual base rent expires in each of the next 10
years.
With the delivery of the Post Office Square development to
the IRS in August 2010, Brandywine's largest submarket became
the Philadelphia CBD and the largest tenant became the U.S.
Government. Fitch views the company's presence in the
Philadelphia region as a credit positive, as Brandywine is a
well established operator in this market.
Leverage (net debt to recurring operating EBITDA) was 7.5x as of
Dec. 31, 2011, compared with 7.6x and 7.3x as of Dec. 31, 2010 and
2009, respectively. Leverage remains appropriate for the 'BB+'
rating and is expected to remain so during the forecast period.
Fitch expects that improvements in EBITDA should cause leverage to
fall back into the low to mid-7x range in 2012 and 2013, absent
delevering common equity raises. This range is appropriate for
the 'BB+' rating. In addition, the company has a well laddered
debt maturity schedule with no major unsecured debt maturities
until 2014.
The Stable Outlook reflects Fitch's view that Brandywine maintains
capital markets access, adequate liquidity and adequate coverage
of unsecured debt by unencumbered assets. The company issued
senior unsecured bonds in March 2011 and successfully refinanced
its unsecured line of credit in February 2012.
In addition, the company's liquidity coverage ratio is adequate,
with a projected liquidity coverage ratio of 1.1x for Jan. 1, 2012
through Dec. 31, 2013. Fitch calculates liquidity coverage as
sources of liquidity (unrestricted cash, availability from the
company's unsecured revolving credit facility, retained cash flows
from operating activities less dividends and distributions paid
for 2011, multiplied by two for a run rate from Jan. 1, 2012-Dec.
31, 2013) divided by uses of liquidity (pro rata debt maturities
and projected recurring capital expenditures).
Finally, the company has improved its contingent liquidity.
Unencumbered assets (calculated as estimated unencumbered NOI
divided by a stressed capitalization rate of 9%) covered unsecured
debt by 1.5x as of Dec. 31, 2011, which is adequate for a 'BB+'
rating. The covenants in the company's credit agreements do not
limit financial flexibility.
The two-notch differential between Brandywine's IDR and preferred
stock rating is consistent with Fitch's criteria for corporate
entities with an IDR of 'BB+'. Based on Fitch research titled
'Treatment and Notching of Hybrids in Nonfinancial Corporate and
REIT Credit Analysis', available on Fitch's web site at
'www.fitchratings.com', these preferred securities are deeply
subordinated and have loss absorption elements that would likely
result in poor recoveries in the event of a corporate default.
Fitch does not anticipate positive rating momentum over the near-
to medium-term. However, the following factors may have a positive
impact on Brandywine's ratings and/or Outlook:
-- Positive operating trends.
-- Continued demonstration of access to multiple sources of
capital.
-- Net debt to recurring operating EBITDA declining below 6.5x
(for the 12 months ended Dec. 31, 2011, leverage was 7.5x).
-- Maintaining fixed-charge coverage above 2.0x (for the 12
months ended Dec. 31, 2011, coverage was 1.5x).
The following factors may result in negative momentum on
Brandywine's ratings and/or Rating Outlook:
-- Maintaining fixed-charge coverage below 1.5x.
-- A sustained decline in unencumbered asset coverage below 1.5x
(with asset value defined as annualized unencumbered property
net operating income divided by a 9% capitalization rate).
-- Leverage increasing above 8.0x
CAREY 2002-1: Moody's Affirms Caa2 Rating on Cl. IO Certificates
----------------------------------------------------------------
Moody's Investors Service affirmed the rating of one class of
Carey Commercial Mortgage Trust Commercial Pass-Through
Certificates, Series 2002-1 as follows:
Cl. IO, Affirmed at Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Ratings Rationale
The affirmation is based on the quality of the collateral, the
structural and legal integrity of the transaction, along with key
parameters, including Moody's loan to value (LTV) ratio and
Moody's stressed debt service coverage ratio (DSCR) remaining
within acceptable ranges.
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000, and "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors.
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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and
Remittance Statements. On a periodic basis, Moody's also performs
a full transaction review that involves a rating committee and a
press release. Moody's prior full transaction review is summarized
in a press release dated June 27, 2011.
DEAL PERFORMANCE
As of the March 20, 2012 Distribution Date, the transaction's
certificate balance has decreased by 87% to $22.5 million from
$172.3 million at securitization due to scheduled amortization and
the payoff of 27 loans and the liquidation of one loan originally
in the pool. Currently the mortgage pool consists of six loans
including one loan (26% of the trust balance) that has been
defeased. The five non-defeased loans are secured by one
industrial property (36%), two office properties (24%), one movie
theater property (22%) and one retail property (19%). All of the
real estate collateral is 100% leased by single tenants.
As of the March 20, 2012 Distribution Date, all loans are paid
current and no loans are in special servicing. To date, total loss
to the trust equals $759,619 affecting Class E.
Moody's was provided with full year 2011 operating statements and
rent rolls dated December 31, 2011 for each of the five properties
that serve as collateral for the loans. Moody's weighted average
loan to value (LTV) ratio is 81%, compared to 79% at last review.
Moody's stressed DSCR is 1.64X, compared to 1.63X at last review.
CASTLE HOLDINGS 1: Moody's Assigns 'B2' Ratings to US$405MM Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to
notes issued by Castle Holdings Trust 1:
Up to US$355,000,000 Class A-1 Notes (Trust 1), Assigned B2; and
Up to US$50,000,000 Class A-2 Notes (Trust 1), Assigned B2.
Ratings Rationale
Moody's ratings of the Notes address the ultimate cash receipt of
all required interest and principal payments, as provided by the
Notes' governing documents, and is based on the expected loss
posed to the holders of the Notes relative to the promise of
receiving such payments.
The Trust is a common law trust arrangement created under the laws
of the State of New York. With respect to each Class of Notes
issued by the Trust, advances made by Noteholders will be used to
finance certain senior secured loan obligations issued by Texas
Competitive Electric Holdings Company LLC (the "Underlying Loan
Obligations"). The Trust is permitted to accept such advances,
representing principal on the Notes, up to its respective maximum
principal amount such that the total amount held of the Underlying
Loan Obligations will not exceed the outstanding principal amounts
of each class of Notes. The Notes are expected to be issued with
an outstanding principal amount of zero at closing.
The Trust will engage with AP VII AEH Management, LLC as portfolio
manager (the "Portfolio Manager"). The Portfolio Manager, which
has been newly created, is affiliated with Apollo Global
Management, LLC. The Portfolio Manager's primary responsibility is
to supervise and direct the exercise of the Trust's voting rights
in the Underlying Loan Obligations. In the event of a default of
the Underlying Loan Obligations, recoveries will depend, in part,
on actions taken by the Portfolio Manager.
Moody's ratings are primarily based upon, and will change with,
the debt ratings of the Underlying Loan Obligations. The Trust is
obligated to make interest and principal payments on the Notes
with all payments received from the Underlying Loan Obligations.
Moody's also considered legal and structural aspects of the
transaction in arriving at its rating.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Other Factors used in this rating are described in "Moody's
Revised Update on Rating Debt Obligations with Variable Promises"
published in July 2010.
CASTLE HOLDINGS 2: Moody's Rates $45-Mil. Class A-1 Notes 'B2'
--------------------------------------------------------------
Moody's Investors Service has assigned the following rating to
notes issued by Castle Holdings Trust 2:
Up to US$45,000,000 Class A-1 Notes (Trust 2), Assigned B2.
Ratings Rationale
Moody's rating of the Notes addresses the ultimate cash receipt of
all required interest and principal payments, as provided by the
Notes' governing documents, and is based on the expected loss
posed to the holders of the Notes relative to the promise of
receiving such payments.
The Trust is a common law trust arrangement created under the laws
of the State of New York. Notes issued by the Trust will be used
to finance a senior secured loan obligation issued by Texas
Competitive Electric Holdings Company LLC (the "Underlying Loan
Obligation"). The Trust is permitted to accept advances from the
Noteholders, representing principal on the Notes, up to its
respective maximum principal amount such that the total amount
held of the Underlying Loan Obligation will not exceed the
outstanding principal amount of the Notes. The Notes are expected
to be issued with an outstanding principal amount of zero at
closing.
The Trust will engage with ANRP AEH Management, LLC as portfolio
manager (the "Portfolio Manager"). The Portfolio Manager, which
has been newly created, is affiliated with Apollo Global
Management, LLC. The Portfolio Manager's primary responsibility is
to supervise and direct the exercise of the Trust's voting rights
in the Underlying Loan Obligation. In the event of a default of
the Underlying Loan Obligation, recoveries will depend, in part,
on actions taken by the Portfolio Manager.
Moody's rating is primarily based upon, and will change with, the
debt rating of the Underlying Loan Obligation. The Trust is
obligated to make interest and principal payments on the Notes
with all payments received from the Underlying Loan Obligation.
Moody's also considered legal and structural aspects of the
transaction in arriving at its rating.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Other Factors used in this rating are described in "Moody's
Revised Update on Rating Debt Obligations with Variable Promises"
published in July 2010.
CBA COMMERCIAL 2004-1: S&P Lowers Class M-2 Cert. Rating to 'B+'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'B+ (sf)'
from 'BB+ (sf)' on class M-2 from CBA Commercial Assets LLC's
series 2004-1, 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.
"The downgrade reflects our analysis of the transaction, losses we
anticipate occurring upon the eventual resolution of 10 ($2.9
million; 8.6%) of the transaction's 14 ($4.1 million; 11.9%)
specially serviced loans, and our analysis of the credit
characteristics of the remaining pool collateral under various
stress scenarios," S&P said.
"The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. We affirmed our 'AAA (sf)' rating on the
class IO interest-only (IO) certificates based on our current
criteria," S&P said.
"As of the March 26, 2012, trustee remittance report, 15 ($4.3
million; 12.7%) loans were reported as being with the special
servicer, Midland Loan Services (Midland). Our discussions with
Midland indicated that one ($283,834; 0.8%) of these loans was not
specially serviced. Appraisal reduction amounts (ARAs) totaling
$1.6 million were in effect against 10 ($2.9 million; 8.6%) of the
14 ($4.1 million; 11.9%) specially serviced loans. The reported
payment status of the specially serviced loans: 10 ($2.8 million;
8.2%) are in foreclosure; two ($699,143; 2.1%) are 90-plus-days
delinquent; one ($330,721; 1.0%) is 60 days delinquent; and one
($221,402; 0.6%) is in its grace period. We estimated losses for
10 ($2.9 million, 8.6%) of the 14 specially serviced loans,
arriving at a weighted-average loss severity of 57.2%. The loss
estimates considered recent appraisal and broker opinions of
value, as well as expenses and fees required to complete the
workout process. Our discussions with Midland indicated that the
remaining four ($1.1 million, 3.3%) specially serviced loans would
likely be returned to the master servicer, also Midland," S&P
said.
"Our analysis of the credit characteristics of the remaining pool
collateral considered the performance of the collateral to date.
Excluding the specially serviced loans, 16 loans ($5.7 million,
16.7%) reported debt service coverage (DSC) below 1.1x. We also
considered the impact that current economic stress and liquidity
conditions may have on future performance," S&P said.
"The collateral pool consisted of 103 loans with an aggregate
trust balance of $34.1 million, all of which is fully amortizing,
compared with 265 loans totaling $102.0 million at issuance. To
date, the trust has experienced losses totaling $6.9 million on 33
assets," S&P said.
"Standard & Poor's stressed the pool collateral as part of our
analysis. The resultant credit enhancement levels are consistent
with the 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
RATING LOWERED
CBA Commercial Assets LLC
Commercial mortgage pass-through certificates series 2004-1
Rating
Class To From Credit enhancement (%)
M-2 B+ (sf) BB+ (sf) 14.68
RATINGS AFFIRMED
CBA Commercial Assets LLC
Commercial mortgage pass-through certificates series 2004-1
Class Rating Credit enhancement (%)
A-1 AAA (sf) 33.73
A-2 AAA (sf) 33.73
A-3 AAA (sf) 33.73
M-1 A (sf) 25.15
M-3 CCC- (sf) 3.84
IO AAA (sf) N/A
N/A-Not applicable.
CD COMMERCIAL: Fitch Cuts Ratings on 4 Note Classes to 'Csf'
------------------------------------------------------------
Fitch Ratings has downgraded five classes of CD Commercial
Mortgage Trust, Series 2007-CD4 due to further deterioration of
performance, most of which involves increased losses on the
specially serviced loans.
The downgrades reflect an increase in Fitch expected losses across
the pool. Fitch modeled losses of 16.1% of the remaining pool;
expected losses of the original pool are at 15.9%, including
losses already incurred to date.
As of the March 2012 distribution date, the pool's aggregate
principal balance has been paid down by approximately 11.6% to
$5.88 billion from $6.64 billion at issuance. Interest shortfalls
are affecting classes C thru S. Following the March distribution
the Ala Moana Center loan ($347.6 million) was paid in full. The
paydown will be reflected in the next servicer remittance report.
Fitch has designated 85 loans (27.3%) as Fitch Loans of Concern,
which includes forty-nine specially serviced loans (21.6%).
The largest contributors to modeled losses are three of the top 15
loans in the transaction which are currently specially serviced,
Citadel and Northwest Arkansas Mall Portfolio (4.5%), Riverton
Apartments (3.9%) and the Loews Lake Las Vegas (2.0%) of the
transaction.
The two assets in the Citadel and North Arkansas Mall Portfolio
(4.5%) are now Real Estate Owned (REO). The two regional malls
totaling 1.04 million square feet (sf) are located in Colorado
Springs, CO and Fayetteville, AR. The anchors at the Citadel Mall,
all of which own their own space, are JCPenney and Dillard's. As
of February 2012, in-line occupancy was 84% and total mall
occupancy was 94%.
The anchors at the Northwest Arkansas Mall are Dillard's (not part
of the collateral), JCPenney and Sears. As of February 2012, in-
line occupancy was 88% and total mall occupancy was 96%.
The loan transferred to the special servicer in October 2009 due
to imminent default as a result of property operating shortfalls.
The special servicer acquired title to the properties in September
2011. All capital improvement projects have been completed at the
properties. There have been several lease renewals which have been
completed and some are in the process of negotiation.
Riverton Apartments (3.9%) is a class B, rent-stabilized
multifamily housing project, consisting of 1,228 units, located in
Harlem, NY. The loan transferred to special servicing in August
2008 due to imminent default as a result of the borrower's
inability to deregulate rent-stabilized units and increase rents
to market levels.
Foreclosure occurred in March 2010 and the asset is REO. Prior to
the foreclosure, all available funds from the letter of credit and
the reserve accounts were applied to outstanding advances. Per the
special servicer, the lease up of all vacant units continues and
the property has reached a stabilized occupancy of 97%.
The Loews Lake Las Vegas (2%) is secured by a 493 room full-
service hotel located in Lake Las Vegas, NV, 13 miles east of the
Las Vegas strip. The property is an attractive resort with usual
amenities, but does not have a casino. The loan was transferred to
special servicing in March 2009 due to imminent default.
Per the special servicer, a license agreement to be branded a
Westin hotel was executed and the hotel conversion has recently
been completed. The property is now open and operating as a Westin
hotel. The most recent servicer reported occupancy, average daily
rate (ADR), and revenue per available room (RevPAR) as of December
2011 is 34.3%, $138, and $47; respectively.
Fitch downgrades, removes classes A-MFX, A-MFL, A-J, B, and C from
Rating Watch Negative, assigns Recovery Estimates (RE) and
Outlooks to the following classes as indicated:
-- $595 million class A-MFX to 'Asf' from 'AAAsf'; Outlook
Stable;
-- $65 million class A-MFL to 'Asf' from 'AAA'; Outlook Stable;
-- $585.7 million class A-J to 'CCsf' from 'Bsf'; RE 60%;
-- $41.2 million class B to 'Csf' from 'B-'; RE 0%;
-- $90.7 million class C to 'Csf' from 'B-'; RE 0%;
-- $57.7 million class D to 'Csf' from 'CCCsf'; RE 0%;
-- $41.2 million class E to 'Csf' from 'CC'; RE 0%.
Fitch also affirms the following classes as indicated:
-- $629 million class A-2B at 'AAAsf'; Outlook Stable;
-- $464.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $162 million class A-SB at 'AAAsf'; Outlook Stable;
-- $1.7 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $595 million class A-1A at 'AAAsf'; Outlook Stable;
-- $40.5 million class WFC-X at 'BBB+sf'; Outlook Stable;
-- $7.7 million class WFC-1 at 'BBB+sf'; Outlook Stable;
-- $8.7 million class WFC-2 at 'BBBsf'; Outlook Stable;
-- $24.1 million class WFC-3 at 'BBB-sf'; Outlook Stable;
-- $49.5 million class F at 'Csf'; RE 0%;
-- $66 million class G at 'Csf'; RE 0%;
-- $74.2 million class H at 'Csf'; RE 0%;
-- $66 million class J at 'Csf'; RE 0%;
-- $74.2 million class K at 'Csf'; RE 0%;
-- $24.7 million class L at 'Csf'; RE 0%;
-- $16.5 million class M at 'Csf'; RE 0%;
-- $16.5 million class N at 'Csf';RE 0%.
Classes A-1 and A-2A have paid in full. Fitch does not rate
classes O, P, Q, and S.
Classes WFC-1, WFC-2, and WFC-3 and the interest only WFC-X are
backed by the B-note of One World Financial Center. The classes
are affirmed due to the stable performance.
Fitch had previously withdrawn the ratings on the interest-only
classes XP, XC, and XW. (For additional information on the
withdrawal of the rating on Class X, see 'Fitch Revises Practice
for Rating IO & Pre-Payment Related Structured Finance
Securities', dated June 23, 2010).
CENTERLINE 2007-1: S&P Lowers Rating on Class D Notes to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D (sf)'
from 'CC (sf)' on class D from Centerline 2007-1 Resecuritization
Trust, a U.S. commercial real estate collateralized debt
obligation (CRE CDO) transaction. "At the same time, we affirmed
our 'CC (sf)' ratings on classes B and C from the same
transaction," S&P said.
"The downgrade reflects principal losses of $2.9 million sustained
by class D that have reduced the principal balance of class D to
$37.7 million from $40.6 million at issuance," S&P said.
"We affirmed our 'CC (sf)' ratings on classes B and C to reflect
our continued expectation that the interest payments on these
classes will be deferred for an extended period of time due to a
termination payment owed to the hedge counterparty," S&P said.
"The principal losses are due to principal losses on the
underlying commercial mortgage-backed securities (CMBS)
collateral, per the March 21, 2012, the trustee report, as well as
the application of principal proceeds to the hedge counterparty,"
S&P said.
"According to the March 20, 2012, remittance report, Centerline
2007-1 was collateralized by 64 CMBS and three resecuritized real
estate mortgage investment conduit (re-REMIC) certificates ($430.8
million, 100%) from 14 distinct transactions issued between 2000
and 2007," 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 LOWERED
Centerline 2007-1 Resecuritization Trust
Rating
Class To From
D D (sf) CC (sf)
RATINGS AFFIRMED
Centerline 2007-1 Resecuritization Trust
Class Rating
B CC (sf)
C CC (sf)
CENTERLINE 2007-SRR5: S&P Withdraws 'D' Ratings on 14 Classes
-------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 14
classes from Centerline 2007-SRR5 Ltd., a commercial real estate
collateralized debt obligation (CRE CDO) transaction.
The withdrawals of the ratings reflect the reduction of the
principal balances to zero as a result of collateral liquidation.
The transaction had previously experienced an event of default
(EOD) and, subsequently, the controlling class had voted to
accelerate the maturity of the notes and liquidate the collateral.
"According to the March 16, 2012, trustee notice, the super senior
counterparty, as the controlling class, has directed the trustee
to accelerate the notes and liquidate the collateral. On March 20,
2012, the trustee provided notice that the proceeds from the
liquidation, together with any other funds available for payment,
will be insufficient to pay the super senior counterparty in full.
In addition, there will be no available proceeds to make any
payments on any class of notes," S&P said.
Prior to the liquidation, the collateral for Centerline 2007-SRR5
consists of credit default swaps (CDS) referencing 36 CMBS classes
($667.6 million, 100%) from 36 distinct transactions issued
between 2005 and 2007.
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
Centerline 2007-SRR5 Ltd.
Rating
Class To From
A1 NR D (sf)
A2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
F NR D (sf)
G NR D (sf)
H NR D (sf)
J NR D (sf)
K NR D (sf)
L NR D (sf)
M NR D (sf)
N NR D (sf)
NR-Not rated.
CHASE COMMERCIAL 2000-1: S&P Withdraws 'CCC-' Rating on G Certs.
----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 54
classes from 33 commercial mortgage-backed securities (CMBS)
transactions and one commercial real estate-collateralized debt
obligation (CRE-CDO) transaction.
"We withdrew our ratings on 43 principal and interest paying
classes from 28 CMBS and one CRE CDO transactions following the
repayment in full of each class' principal balance, as noted in
each transaction's respective March 2012 trustee remittance
report. We withdrew our ratings on five interest-only (IO) classes
from five CMBS transactions following the reduction of the
classes' notional balances, as noted in each transaction's trustee
remittance report," S&P said.
"In addition, we withdrew our ratings on six IO classes from five
CMBS transactions following the repayment of all principal and
interest paying classes rated 'AA- (sf)' or higher, according to
our criteria for rating IO securities," 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 FOLLOWING REPAYMENT OF PRINCIPAL BALANCE
OR REDUCTION OF NOTIONAL BALANCE
Asset Securitization Corp.
Commercial mortgage pass-through certificates series 1997-D4
Rating
Class To From
B-1 NR A+ (sf)
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-5
Rating
Class To From
A-3 NR AAA (sf)
Bank of America N.A.-First Union National Bank Commercial Mortgage
Trust
Commercial mortgage pass-through certificates series 2001-3
Rating
Class To From
F NR AA+ (sf)
Bear Stearns Commercial Mortgage Securities Trust 2003-TOP10
Commercial mortgage pass-through certificates
Rating
Class To From
A-1 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR3
Commercial mortgage pass-through certificates
Rating
Class To From
X-2 NR AAA (sf)
Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2000-1
Rating
Class To From
G NR CCC- (sf)
Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2000-3
Rating
Class To From
G NR BB+ (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-CF2
Rating
Class To From
C NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CKS4
Rating
Class To From
APM NR AA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-C4
Rating
Class To From
A-3 NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2007-TFL1
Rating
Class To From
A-1 NR AA (sf)
First Union National Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2001-C4
Rating
Class To From
K NR BB+ (sf)
First Union-Lehman Brothers Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 1997-C1
Rating
Class To From
G NR BBB (sf)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2002-C2
Rating
Class To From
A-3 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-C1
Rating
Class To From
D NR AA+ (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-CIBC11
Rating
Class To From
X-2 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP1
Rating
Class To From
X-2 NR AAA (sf)
LB-UBS Commercial Mortgage Trust 2001-C7
Commercial mortgage pass-through certificates
Rating
Class To From
J NR BBB (sf)
LB-UBS Commercial Mortgage Trust 2002-C1
Commercial mortgage pass-through certificates
Rating
Class To From
F NR AA+ (sf)
G NR AA- (sf)
H NR A (sf)
LB-UBS Commercial Mortgage Trust 2003-C7
Commercial mortgage pass-through certificates
Rating
Class To From
A-2 NR AAA (sf)
LB-UBS Commercial Mortgage Trust 2006-C3
Commercial mortgage pass-through certificates
Rating
Class To From
NBT-1 NR BBB (sf)
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1999-CAM1
Rating
Class To From
G NR AA+ (sf)
Morgan Stanley Capital I Trust 2004-HQ3
Commercial mortgage pass-through certificates
Rating
Class To From
X-2 NR AAA (sf)
Morgan Stanley Capital I Trust 2005-IQ10
Commercial mortgage pass-through certificates
Rating
Class To From
A-2 NR AAA (sf)
A-3-1 NR AAA (sf)
A-3-1FL NR A (sf)
Morgan Stanley Capital I Trust 2007-IQ13
Commercial mortgage pass-through certificates
Rating
Class To From
A-1 NR AAA (sf)
Morgan Stanley Capital I Trust 2007-IQ16
Commercial mortgage pass-through certificates
Rating
Class To From
A-1 NR AAA (sf)
Morgan Stanley Dean Witter Capital I Trust 2001-TOP5
Commercial mortgage pass-through certificates
Rating
Class To From
G NR BBB- (sf)
Morgan Stanley Dean Witter Capital I Trust 2002-HQ
Commercial mortgage pass-through certificates
Rating
Class To From
A-3 NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR AA+ (sf)
E NR AA (sf)
F NR AA- (sf)
G NR A (sf)
H NR BBB (sf)
Morgan Stanley Re-REMIC Trust 2009-IO
Commercial real estate-collateralized debt obligations
Rating
Class To From
A1-A NR AAA (sf)
Prudential Securities Secured Financing Corp.
Commercial mortgage pass-through certificates series 1998-C1
Rating
Class To From
F NR AA (sf)
Prudential Securities Secured Financing Corp.
Commercial mortgage pass-through certificates series KEY 2000-C1
Rating
Class To From
H NR BB (sf)
J NR B+ (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2002-C1
Rating
Class To From
A-4 NR AAA (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C17
Rating
Class To From
X-P NR AAA (sf)
Woodfield Mall Trust
Commercial mortgage pass-through certificates series 2002-WM
Rating
Class To From
B-1 NR AAA (sf)
B-2 NR AA (sf)
B-3 NR AA- (sf)
RATINGS WITHDRAWN DUE TO REPAYMENT OF ALL PRINCIPAL AND INTEREST
PAYING
CLASSES RATED 'AA- (sf)' OR HIGHER
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2007-TFL1
Rating
Class To From
A-X-1 NR AA (sf)
A-X-2 NR AA (sf)
LB-UBS Commercial Mortgage Trust 2002-C1
Commercial mortgage pass-through certificates
Rating
Class To From
X-CL NR AAA (sf)
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1999-CAM1
Rating
Class To From
X NR AAA (sf)
Morgan Stanley Dean Witter Capital I Trust 2002-HQ
Commercial mortgage pass-through certificates
Rating
Class To From
X-1 NR AAA (sf)
Prudential Securities Secured Financing Corp.
Commercial mortgage pass-through certificates series 1998-C1
Rating
Class To From
A-EC NR AAA (sf)
CHASE FUNDING: Moody's Lowers Ratings on 5 Note Tranches to 'C'
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 17
tranches and confirmed the ratings of eight tranches from five
RMBS transactions, backed by Subprime loans, issued by Chase
Funding trusts.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
When assigning the final ratings to senior bonds, in addition to
the methodologies, Moody's considered the volatility of the
projected losses and timeline of the expected defaults.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Chase Funding Loan Acquisition Trust 2003-C1
Cl. IA-4, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. IA-5, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. IM-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Issuer: Chase Funding Loan Acquisition Trust 2004-AQ1
Cl. M-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Chase Funding Trust, Series 2003-2
Ser. 2003-2 Cl. IA-5, Downgraded to Baa3 (sf); previously on Jan
31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Ser. 2003-2 Cl. IA-6, Confirmed at A2 (sf); previously on Jan 31,
2012 A2 (sf) Placed Under Review for Possible Downgrade
Ser. 2003-2 Cl. IIA-2, Downgraded to Aa2 (sf); previously on Jan
31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade
Ser. 2003-2 Cl. IM-1, Downgraded to Caa3 (sf); previously on Jan
31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Ser. 2003-2 Cl. IM-2, Downgraded to C (sf); previously on Jan 31,
2012 Caa1 (sf) Placed Under Review for Possible Downgrade
Ser. 2003-2 Cl. IIM-1, Confirmed at B2 (sf); previously on Jan 31,
2012 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Chase Funding Trust, Series 2003-3
Cl. IIA-2, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. IA-5, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. IA-6, Downgraded to A3 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. IM-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. IM-2, Downgraded to C (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. IIM-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Issuer: Chase Funding Trust, Series 2004-2
Cl. IA-4, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. IA-5, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. IA-6, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. IIA-2, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. IM-1, Downgraded to C (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. IM-2, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Caa3 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF280340
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
CHASE MORTGAGE: Moody's Cuts Rating on Cl. B-2 Tranche to 'Ca'
--------------------------------------------------------------
Moody's Investors Service has upgraded one tranche, downgraded 19
tranches, and confirmed the ratings on 13 tranches from six RMBS
transactions issued by Chase Mortgage Finance Trust. The
collateral backing these deals primarily consists of first-lien,
fixed rate prime jumbo residential mortgages. The actions impact
approximately $332.6 million of RMBS issued in 2003 and 2004.
Complete rating actions are as follows:
Issuer: Chase Mortgage Finance Trust, Series 2003-S10
Cl. A-1, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-2, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-3, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Issuer: Chase Mortgage Finance Trust, Series 2003-S11
Cl. IA-1, Downgraded to Baa1 (sf); previously on Apr 22, 2011
Downgraded to A3 (sf)
Cl. IIA-6, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. IIA-7, Upgraded to A3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. A-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Issuer: Chase Mortgage Finance Trust, Series 2003-S14
Cl. IA-2, Confirmed at A1 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Cl. IIA-9, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. IIIA-10, Confirmed at A1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Upgrade
Cl. A-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. M, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: Chase Mortgage Finance Trust, Series 2003-S9
Cl. A-1, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Issuer: Chase Mortgage Finance Trust, Series 2004-S2
Cl. IA-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. IA-2, Downgraded to A1 (sf); previously on Feb 22, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. IA-4, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. IA-5, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. IIA-3, Downgraded to A3 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. IIA-4, Downgraded to A2 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. IIA-6, Downgraded to A2 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to A2 (sf); previously on Apr 22, 2011
Downgraded to Aa3 (sf)
Cl. A-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. B-1, Downgraded to B3 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on Apr 22, 2011
Downgraded to Caa3 (sf)
Issuer: Chase Mortgage Finance Trust, Series 2004-S4
Cl. A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Ba1 (sf); previously on Feb 22, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to Ba1 (sf); previously on Apr 22, 2011
Downgraded to A1 (sf)
Cl. A-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Ratings Rationale
The actions are a result of the recent performance review of Prime
Jumbo pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012, and "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
The rating action constitutes of a number of upgrades as well as
downgrades. The upgrades are due to significant improvement in
collateral performance, and rapid build-up in credit enhancement
due to high prepayments.
The downgrades are a result of deteriorating performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated. For e.g., for shifting
interest structures, back-ended liquidations could expose the
seniors to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. In Moody's current approach, the rating
agency captures this risk by running each individual pool through
a variety of loss and prepayment scenarios in the Structured
Finance Workstation(R)(SFW), the cash flow model developed by
Moody's Wall Street Analytics. This individual pool level analysis
incorporates performance variances across the different pools and
the structural nuances of the transaction.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
set at 3% for Jumbo and which is typically higher than the average
rate of new delinquencies for larger pools.
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, the adjusted rate of
new delinquency would be 3.03%. 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 0.75 to
2.5 for current delinquencies ranging from less than 2.5% to
greater than 10% respectively. Delinquencies for subsequent years
and ultimate expected losses are projected using the approach
described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. 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. 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, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF280490
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
CITICORP MORTGAGE: Moody's Lifts Cl. B-2 Tranche Rating to 'Caa1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded 37 tranches, downgraded 11
tranches, and confirmed the ratings on 12 tranches from 11 RMBS
transactions issued by Citicorp Mortgage Securities. The
collateral backing these deals primarily consists of first-lien,
fixed and adjustable-rate prime jumbo residential mortgages. The
actions impact approximately $476.6 million of RMBS issued in 2003
and 2004.
Ratings Rationale
The actions are a result of the recent performance review of Prime
Jumbo pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating action constitutes of a number of upgrades as well as
downgrades. The upgrades are due to significant improvement in
collateral performance, and rapid build-up in credit enhancement
due to high prepayments.
The downgrades are a result of deteriorating performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated. For e.g., for shifting
interest structures, back-ended liquidations could expose the
seniors to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. In Moody's current approach, the rating
agency captures this risk by running each individual pool through
a variety of loss and prepayment scenarios in the Structured
Finance Workstation(R)(SFW), the cash flow model developed by
Moody's Wall Street Analytics. This individual pool level analysis
incorporates performance variances across the different pools and
the structural nuances of the transaction.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
set at 3% for Jumbo and which is typically higher than the average
rate of new delinquencies for larger pools.
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, the adjusted rate of
new delinquency would be 3.03%. 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 0.75 to
2.5 for current delinquencies ranging from less than 2.5% to
greater than 10% respectively. Delinquencies for subsequent years
and ultimate expected losses are projected using the approach
described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. 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. 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, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Citicorp Mortgage Securities, Inc. 2003-9
Cl. A-5, Upgraded to A3 (sf); previously on Jan 31, 2012 Baa3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-7, Upgraded to Aa1 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-8, Upgraded to Aa1 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-9, Upgraded to Aa1 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-10, Upgraded to Aa3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-11, Upgraded to Aa3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-12, Upgraded to Aa1 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-21, Upgraded to A1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. A-22, Upgraded to Aa1 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-23, Upgraded to A1 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-24, Upgraded to A3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. A-PO, Upgraded to A3 (sf); previously on May 2, 2011
Downgraded to Baa2 (sf)
Cl. A-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. B-2, Upgraded to Caa1 (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Citicorp Mortgage Securities, Inc. 2004-1
Cl. IA-4, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. IA-4A, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. IIA-2, Downgraded to A3 (sf); previously on May 17, 2011
Downgraded to A1 (sf)
Cl. IIIA-1, Confirmed at A2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Issuer: Citicorp Mortgage Securities, Inc. 2004-2
Cl. A-5, Confirmed at A1 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-6, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to Baa2 (sf); previously on Jan 31,
2012 Ba1 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: MBIA Insurance Corporation (B3, Placed Under
Review for Possible Downgrade on December 19, 2011)
Cl. A-7, Upgraded to Baa2 (sf); previously on Feb 22, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. A-8, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. A-11, Upgraded to Baa2 (sf); previously on Feb 22, 2012
Downgraded to Ba1 (sf) and Placed Under Review for Possible
Upgrade
Cl. A-PO, Upgraded to Baa2 (sf); previously on May 2, 2011
Downgraded to Baa3 (sf)
Issuer: Citicorp Mortgage Securities, Inc. 2004-6
Cl. IA-7, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Downgrade
Issuer: Citicorp Mortgage Securities, Inc. 2004-8
Cl. IA-3, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. IA-4, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. IA-7, Upgraded to A2 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. IA-8, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. IA-PO, Upgraded to Baa2 (sf); previously on May 2, 2011
Downgraded to Baa3 (sf)
Cl. IIA-1, Downgraded to A3 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. IIA-2, Downgraded to Baa2 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. IIA-PO, Upgraded to A3 (sf); previously on May 2, 2011
Downgraded to Baa2 (sf)
Cl. IIIA-1, Upgraded to Aa2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. IIIA-2, Confirmed at Baa2 (sf); previously on Jan 31, 2012
Baa2 (sf) Placed Under Review for Possible Upgrade
Cl. IIIA-3, Confirmed at Baa2 (sf); previously on Jan 31, 2012
Baa2 (sf) Placed Under Review for Possible Upgrade
Issuer: Citicorp Mortgage Securities, Inc. 2004-9
Cl. IA-1, Upgraded to Baa3 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. IA-4, Upgraded to Baa3 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. IA-5, Upgraded to Baa3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. IA-6, Upgraded to Baa3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. IA-PO, Upgraded to Baa3 (sf); previously on May 2, 2011
Downgraded to Ba2 (sf)
Cl. IIA-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. IIA-PO, Upgraded to Baa3 (sf); previously on May 2, 2011
Downgraded to Ba2 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HYB1
Cl. A, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2004-HYB1
Cl. A-1, Upgraded to Ba2 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. A-3-1, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-3-2, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-4-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. A-4-2, Downgraded to Caa2 (sf); previously on Jan 31, 2012
Caa1 (sf) Placed Under Review for Possible Upgrade
Cl. IO-1, Upgraded to Ba2 (sf); previously on Feb 22, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. IO-3-1, Upgraded to B1 (sf); previously on Feb 22, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. IO-3-2, Upgraded to B1 (sf); previously on Feb 22, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. B-1, Downgraded to C (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2004-HYB2
Cl. I-A, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2004-HYB3
Cl. I-A, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. III-A, Confirmed at A3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF280502
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
CITIFINANCIAL: Moody's Lowers Ratings on 4 Note Classes to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 29
tranches, upgraded the ratings of 1 tranche, and confirmed the
ratings of 12 tranches from nine RMBS transactions, backed by
Subprime loans, issued by CitiFinancial and Citigroup.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. 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. 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, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: CitiFinancial Mortgage Securities Inc. 2003-2
Cl. MF-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. AF-4, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2003-3
Cl. AF-4, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Downgraded to A1 (sf); previously on Mar 7, 2011
Downgraded to Aa3 (sf)
Cl. MF-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Downgraded to C (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2003-4
Cl. MF-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. MF-3, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. MF-4, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. MF-5, Downgraded to C (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. MF-6, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Caa3 (sf)
Cl. MF-7, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Cl. MV-4, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. MV-6, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2004-1
Cl. MV-6, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. MV-7, Downgraded to Caa3 (sf); previously on Mar 7, 2011
Downgraded to Caa2 (sf)
Issuer: Citigroup Home Equity Loan Trust, Series 2003-HE1
Cl. A, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on Mar 7, 2011
Downgraded to Caa3 (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE2
Cl. M-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. M-4, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE3
Cl. A, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Baa3 (sf); previously on Jan 31,
2012 A1 (sf) Placed Under Review for Possible Downgrade*
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on Mar 7, 2011
Downgraded to Caa2 (sf)
Cl. M-4, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2004-OPT1
Cl. M-3, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Cl. M-7, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Cl. M-8, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Cl. M-9, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Cl. M-10, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2004-RES1
Cl. M-1, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. M-3, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. M-4, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281320
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
COMMERCIAL MORTGAGE 1999-C1: Moody's Cuts Rating on H Certs. to C
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of five classes,
placed four classes under review for possible downgrade, and
affirmed five classes of Commercial Mortgage Asset Trust ,
Commercial Mortgage Pass-Through Certificates, Series 1999-C1 as
follows:
Cl. A-4, Affirmed at Aaa (sf); previously on Mar 25, 1999
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Jul 8, 2004 Upgraded to
Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Jul 20, 2006 Upgraded
to Aaa (sf)
Cl. D, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Sep 25, 2008 Upgraded to Aaa (sf)
Cl. E, Downgraded to A2 (sf) and Placed Under Review for Possible
Downgrade; previously on Sep 25, 2008 Upgraded to Aa2 (sf)
Cl. F, Downgraded to Ba2 (sf) and Placed Under Review for Possible
Downgrade; previously on Nov 3, 2010 Downgraded to Baa2 (sf)
Cl. G, Downgraded to Caa3 (sf); previously on Nov 3, 2010
Downgraded to B3 (sf)
Cl. H, Downgraded to C (sf); previously on Nov 3, 2010 Downgraded
to Caa3 (sf)
Cl. J, Affirmed at C (sf); previously on Nov 3, 2010 Downgraded to
C (sf)
Cl. K, Affirmed at C (sf); previously on Nov 3, 2010 Downgraded to
C (sf)
Cl. X, Downgraded to B1 (sf) and Placed Under Review for Possible
Downgrade; previously on Feb 22, 2012 Downgraded to Ba3 (sf)
Ratings Rationale
The downgrades of five classes are primarily due to higher
realized and anticipated losses from specially serviced and
troubled loans. Three of the downgraded classes and one additional
class are placed on review for possible downgrade due to concerns
about higher potential losses from The Source Loan -- a specially-
serviced loan which is also the largest loan in the pool. The
Source Loan, collateralized by a regional mall in Westbury, New
York, is described in further detail below.
The affirmations are due to key parameters, including Moody's 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
approximately 11.6% of the current deal balance. At last review,
Moody's cumulative base expected loss was approximately 7.8%.
Moody's provides a current list of base losses for conduit and
fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
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 Structured Finance Interest-
Only Securities" published in February 2012.
For deals that include a pool of credit tenant loans, Moody's uses
its credit-tenant lease ("CTL") financing methodological 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 review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 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 underlying ratings 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 underlying rating level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 23, compared to a Herf of 18 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 20, 2011.
DEAL PERFORMANCE
As of the March 19, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 58% to $1 billion
from $2.4 billion at securitization. The Certificates are
collateralized by 129 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans (excluding
defeasance) representing 45% of the pool. There are no loans with
investment-grade credit estimates. Forty-four loans, representing
approximately 29% of the pool, are defeased and are collateralized
by U.S. Government securities. The pool contains a credit tenant
lease (CTL) component which represents 6% of the pool.
Twenty-seven loans, representing 16.8% 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-eight loans have liquidated from the pool, resulting in an
aggregate realized loss of $91 million (31% average loan loss
severity). Currently, four loans, representing 18% of the pool,
are in special servicing. The largest specially serviced loan is
The Source Loan ($124 million -- 12% of the pool), which is
secured by a 521,000 square foot regional mall in Westbury, New
York. The center, located on Long Island and known as "The Mall at
The Source", was formerly anchored by Fortunoff, a high-end
department store specializing in the sale of house wares and
jewelry. The departure of the anchor and unfavorable economic
conditions have precipitated the departure of other major
retailers at the mall. Two of the largest remaining tenants, Saks
Fifth Avenue Off 5th and Nordstrom Rack, will open stores at a
nearby power center slated to open in Fall 2012. Both retailers
are expected to close their stores at The Source upon lease
expiration in July 2012 and January 2013, respectively. Off 5th is
the outlet store format for luxury retailer Saks Incorporated
(Moody's Senior Unsecured Rating B1, stable outlook), and
Nordstrom Rack is the off-price division of retailer Nordstrom,
Inc. (Moody's Senior Unsecured Rating Baa1, Stable Outlook).
Inline space at the mall was 71% leased, as of February 2012. The
loan transferred to special servicing after the borrower was
unable to refinance following note maturity in March 2009. LNR,
the special servicer, is dual tracking foreclosure while
evaluating other workout options, including a possible A/B Note
split. The loan sponsor is Simon Property Group. The servicer in
March 2012 recognized a $47 million appraisal reduction.
The remaining three specially serviced loans are secured by a mix
of office and hotel property types. The servicer has recognized an
aggregate $81 million appraisal reduction on three of the four
specially-serviced loans. Moody's estimates an aggregate $101
million loss for all specially serviced loans.
Moody's has assumed a high default probability for five poorly-
performing loans representing 4% of the pool. Moody's analysis
attributes to these troubled loans an aggregate $5 million loss
(15% expected loss severity based on a 48% probability default).
Moody's was provided with full-year 2010 and partial year 2011
operating results for 98% and 91% of the performing pool,
respectively. Excluding troubled loans, Moody's weighted average
LTV is 63%, compared to 67% at last full review. Moody's net cash
flow reflects a weighted average haircut of 11% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 10.0%.
Excluding troubled loans, Moody's actual and stressed DSCRs are
1.60X and 1.99X, respectively, compared to 1.67X and 2.00X 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 11% of the pool.
The largest loan is the Laurel Mall Loan ($45 million -- 5% of the
pool). The loan is secured by a Class B regional mall located in
Livonia, Michigan, a western suburb of Detroit. The mall is
anchored by department stores Von Maur (not part of the
collateral) and Parisian, a division of The Bon-Ton Stores, Inc.
(Moody's Senior Unsecured Rating Caa1, stable outlook). Property
performance is stable. Moody's current LTV and stressed DSCR are
75% and 1.41X, respectively, compared to 76% and 1.39X at last
review.
The second-largest loan is the Best of the West Shopping Center
Loan ($34 million -- 3% of the pool). The loan is secured by
475,000 square foot power center located in Las Vegas, Nevada. The
property was 84% leased at YE 2011, following the recent departure
of a Borders bookstore. Property performance has improved slightly
since Moody's last review. Moody's current LTV and stressed DSCR
are 60% and 1.71X, respectively, compared to 63% and 1.62X at last
review.
The third-largest loan is the Hunter's Square Loan ($34 million
-- 3% of the pool). The loan is secured by a 350,000 square foot
power center located in Farmington Hills, Michigan, a northern
suburb of Detroit. The property was 92% leased at YE 2011,
compared to 95% in September 2010. Since Moody's last review in
2011, Borders Group, Inc. closed a 35,000 square foot bookstore,
and retailer Buy Buy Baby, Inc., has signed a new lease for 28,000
square feet at the center. Moody's current LTV and stressed DSCR
are 75% and, 1.43X respectively, compared to 67% and 1.61X at last
review.
The CTL component includes 10 loans secured by properties leased
under bondable leases. Moody's provides ratings for 40% of the CTL
component and has updated its internal credit estimates for the
remainder of the CTL credits. The largest exposures include the
French lodging company Accor, S.A. (53% of the CTL component),
R.R. Donnelley & Sons Company (26% of the CTL component, Moody's
Senior Unsecured Rating Ba1 -- stable outlook), Interface, Inc.
(14% of the CTL component, Moody's Senior Unsecured Rating B1 --
stable outlook), and Dairy Mart Convenience Stores, Inc. (7% of
the CTL component).
CREDIT SUISSE: Moody's Cuts Ratings on 12 Note Tranches to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 39
tranches, upgraded the ratings of three tranches, and confirmed
the ratings of eleven tranches from 22 RMBS transactions, backed
by Subprime loans, issued by Credit Suisse First Boston.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. 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. 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, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Credit Suisse First Boston Mortgage Acceptance Corp.
Series 2002-5
Cl. M-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2001-HE25
Cl. M-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2001-HE30
Cl. M-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. M-F-1, Downgraded to Ca (sf); previously on Mar 15, 2011
Downgraded to Caa2 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-1
Cl. M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-2
Cl. M-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-HE1
Cl. A-1, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. A-2, Downgraded to Aa3 (sf) and Remains On Review for Possible
Downgrade; previously on Jan 31, 2012 Aaa (sf) Placed Under Review
for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-4
Cl. M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-5
Cl. A-1, Downgraded to Aa1 (sf); previously on Nov 23, 2008
Confirmed at Aaa (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. M-3, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. B-1, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-6
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-1, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-8
Cl. M-1, Downgraded to Ba1 (sf); previously on Mar 15, 2011
Downgraded to Baa3 (sf)
Cl. M-2, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-1
Cl. M-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-1, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-2
Cl. M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on Mar 15, 2011
Downgraded to Caa3 (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-3
Cl. M-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously on Mar 15, 2011
Downgraded to Caa1 (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 15, 2011
Confirmed at Ca (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-5
Cl. M-5, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-1, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Downgrade
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-7
Cl. M-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B3 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-6, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-FRE1
Cl. B-2, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Issuer: CSFB ABS Trust Mortgage Pass-Through Certificates, Series
2001-HE20
Cl. A-1, Downgraded to Aa3 (sf) and Remains On Review for Possible
Downgrade; previously on Jan 31, 2012 Aa1 (sf) Placed Under Review
for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. A-IO, Downgraded to A1 (sf); previously on Feb 22, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Upgraded to B3 (sf); previously on Jan 31, 2012 Caa2 (sf)
Placed Under Review for Possible Upgrade
Issuer: CSFB ABS Trust Series 2001-HE16
Cl. M-1, Downgraded to Caa3 (sf); previously on Mar 15, 2011
Downgraded to Caa2 (sf)
Issuer: CSFB ABS Trust Series 2001-HE22
Cl. A-1, Downgraded to Aa3 (sf) and Remains On Review for Possible
Downgrade; previously on Jan 31, 2012 Aa1 (sf) Placed Under Review
for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Issuer: CSFB Home Equity Pass-Through Certificates, Series 2004-8
Cl. M-3, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-5, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-2, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Pass-Through Certificates, Series 2004-
AA1
Cl. M-2, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage Pass-Through Certificates, Series 2001-HE17
Cl. A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Currently rated at Aa3 (sf) and Remains On Review for
Possible Downgrade, previously on March 21, 2012 Aa3 (sf) Placed
Under Review for Possible Downgraded
Underlying Rating: Downgraded to Ba3 (sf); previously on Jan 31,
2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. A-IO, Downgraded to Ba3 (sf); previously on Feb 22, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ca (sf); previously on Mar 15, 2011
Downgraded to Caa3 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281475
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
CREDIT SUISSE: Moody's Cuts Ratings on 3 Note Tranches to 'C'
-------------------------------------------------------------
Moody's Investors Service has upgraded 12 tranches, downgraded 121
tranches, and confirmed the ratings on 29 tranches from seven RMBS
transactions issued by Credit Suisse First Boston Mortgage Corp.
The collateral backing these deals primarily consists of first-
lien, fixed and adjustable-rate Jumbo residential mortgages. The
actions impact approximately $845.3 million of RMBS issued in 2003
and 2004.
Ratings Rationale
These actions 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. It should be noted
that model-generated output is but one factor considered by
Moody's in rating these transactions.
Moody's also assessed deal performance to date and applied its
recently updated "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012, and "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012. Both methodologies impacted the final rating actions.
Therefore, certain of the rating downgrades can be attributed to
specific deal performance deterioration and the application of
these methodologies.
In 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%.
The following transactions included in these rating actions follow
the "combined" approach when calculating performance triggers:
CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-17
CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-23
CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-8
CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-21
CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27
CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-1
CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29
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 the "combined" and
"individual group trigger" approaches as noted above. As Moody's
explained when these bonds were placed on review, 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 pay-
down 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. In
resolving the review actions Moody's has taken 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, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. 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 3.00%, the adjusted rate of new delinquency would
be 3.03%. 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 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"Pre-2005 US RMBS Surveillance Methodology" publication.
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 2012, with a 3%
remaining decline in 2012, and unemployment rate to start
declining, albeit slowly, as the year progresses.
Complete rating actions are as follows:
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-17
Cl. I-A-2, Downgraded to Aa3 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. I-A-3, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. I-A-4, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. I-A-24, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. I-A-25, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. I-A-28, Downgraded to Aa3 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. I-P, Downgraded to A1 (sf); previously on Dec 22, 2011 Aa1
(sf) Placed Under Review for Possible Upgrade
Cl. I-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. II-A-1, Downgraded to Aa3 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. II-A-2, Downgraded to Aa3 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. II-A-3, Downgraded to Aa3 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. II-A-4, Downgraded to Aa3 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. II-A-6, Downgraded to Aa2 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. II-A-7, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa2 (sf)
Cl. II-A-12, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa2 (sf)
Cl. II-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. III-A-3, Downgraded to A3 (sf); previously on Feb 22, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-4, Downgraded to Aa1 (sf); previously on Mar 18, 2011
Confirmed at Aaa (sf)
Cl. III-A-5, Downgraded to Baa2 (sf); previously on Jan 31, 2012
Aaa (sf) Placed Under Review for Possible Downgrade
Cl. III-P, Downgraded to A3 (sf); previously on Dec 22, 2011 Aaa
(sf) Placed Under Review Direction Uncertain
Cl. III-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. IV-A-1, Downgraded to A3 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. IV-P, Downgraded to A3 (sf); previously on Mar 18, 2011
Confirmed at Aaa (sf)
Cl. IV-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. V-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. V-P, Downgraded to A2 (sf); previously on Mar 18, 2011
Downgraded to Aa2 (sf)
Cl. V-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. VI-A-1, Downgraded to A1 (sf); previously on Mar 18, 2011
Downgraded to Aa2 (sf)
Cl. VI-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. VII-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. VII-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-P, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa2 (sf)
Cl. B-2, Downgraded to Caa1 (sf); previously on Apr 29, 2011
Downgraded to B2 (sf)
Cl. B-3, Downgraded to Caa3 (sf); previously on Apr 29, 2011
Downgraded to Caa1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-21
Cl. I-A-3, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-7, Downgraded to Baa2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-10, Downgraded to Baa2 (sf); previously on Jan 31, 2012
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-14, Downgraded to A2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-15, Downgraded to Baa2 (sf); previously on Jan 31, 2012
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-16, Downgraded to Baa3 (sf); previously on Jan 31, 2012
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-19, Downgraded to Baa2 (sf); previously on Jan 31, 2012
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-20, Downgraded to Baa2 (sf); previously on Jan 31, 2012
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-22, Downgraded to A2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. I-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. II-A-1, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. II-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. II-P, Downgraded to Baa1 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. III-A-2, Downgraded to Aa2 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. III-A-3, Downgraded to Aa2 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. III-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. IV-A-1, Downgraded to Aa1 (sf); previously on Mar 1, 2004
Assigned Aaa (sf)
Cl. V-A-1, Downgraded to Aa1 (sf); previously on Mar 1, 2004
Assigned Aaa (sf)
Cl. V-P, Downgraded to Aa1 (sf); previously on Mar 1, 2004
Assigned Aaa (sf)
Cl. A-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-P, Downgraded to Baa3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. D-B-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to C (sf); previously on Apr 29, 2011
Downgraded to Caa2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-23
Cl. I-A-3, Confirmed at Aa1 (sf); previously on Dec 22, 2011 Aa1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-4, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-5, Downgraded to Aa2 (sf); previously on Apr 29, 2011
Downgraded to Aa1 (sf)
Cl. I-A-6, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-7, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-11, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-15, Downgraded to Baa2 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-18, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-19, Downgraded to Baa3 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. I-A-21, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. I-P, Downgraded to Ba3 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review for Possible Upgrade
Cl. A-P, Downgraded to Baa2 (sf); previously on Apr 29, 2011
Downgraded to A3 (sf)
Cl. II-A-1, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. II-A-5, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. II-A-6, Downgraded to Baa2 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. II-A-8, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. II-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
CL. III-A-4, Upgraded to Aa1 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
CL. III-A-5, Upgraded to Aa2 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
CL. III-A-6, Upgraded to Aa3 (sf); previously on Apr 29, 2011
Downgraded to A2 (sf)
CL. III-A-8, Upgraded to Aa3 (sf); previously on Apr 29, 2011
Downgraded to A2 (sf)
CL. III-A-9, Upgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to A3 (sf)
CL. III-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
CL. III-P, Upgraded to A1 (sf); previously on Dec 22, 2011 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. IV-A-1, Upgraded to A1 (sf); previously on Dec 22, 2011 A3
(sf) Placed Under Review for Possible Upgrade
Cl. V-A-1, Upgraded to A1 (sf); previously on Dec 22, 2011 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. VI-A-1, Upgraded to A2 (sf); previously on Dec 22, 2011 Baa1
(sf) Placed Under Review for Possible Upgrade
Cl. VII-A-1, Upgraded to A1 (sf); previously on Dec 22, 2011 A3
(sf) Placed Under Review for Possible Upgrade
Cl. VII-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. VIII-A-1, Upgraded to Aa3 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review for Possible Upgrade
Cl. VIII-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
CL. D-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
CL. D-P, Confirmed at Baa1 (sf); previously on Dec 22, 2011 Baa1
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-27
Cl. 1-A-3, Downgraded to A3 (sf); previously on Dec 22, 2011 Aa3
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-4, Downgraded to A3 (sf); previously on Dec 22, 2011 Aa3
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-P, Downgraded to A2 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. II-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. III-A-1, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa2 (sf)
Cl. III-A-2, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A-4, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. IV-A-6, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa2 (sf)
Cl. IV-A-7, Downgraded to Baa1 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. IV-A-8, Downgraded to Baa1 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. IV-A-16, Downgraded to Baa1 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. IV-A-17, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. IV-P, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. V-A-3, Downgraded to A3 (sf); previously on Dec 22, 2011 Aa3
(sf) Placed Under Review for Possible Upgrade
Cl. V-A-4, Downgraded to A3 (sf); previously on Dec 22, 2011 Aa3
(sf) Placed Under Review for Possible Upgrade
Cl. VI-A-1, Downgraded to A2 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. VII-A-1, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. VIII-A-1, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. IX-A-1, Downgraded to Baa1 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. VI-P, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. IV-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. VI-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-P, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. C-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. C-B-3, Downgraded to C (sf); previously on Apr 29, 2011
Downgraded to Caa2 (sf)
Cl. D-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. D-P, Downgraded to A3 (sf); previously on Dec 22, 2011 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. D-B-3, Downgraded to C (sf); previously on Apr 29, 2011
Downgraded to Ca (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-29
Cl. I-A-1, Downgraded to A2 (sf); previously on Dec 22, 2011 Aa3
(sf) Placed Under Review Direction Uncertain
Cl. II-A-2, Downgraded to A2 (sf); previously on Dec 22, 2011 Aa3
(sf) Placed Under Review Direction Uncertain
Cl. II-A-3, Downgraded to A3 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review Direction Uncertain
Cl. II-A-4, Downgraded to A2 (sf); previously on Dec 22, 2011 Aa3
(sf) Placed Under Review Direction Uncertain
Cl. III-A-1, Downgraded to A2 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. IV-A-1, Downgraded to A2 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. V-A-1, Downgraded to A2 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review Direction Uncertain
Cl. VI-A-1, Downgraded to A1 (sf); previously on Dec 22, 2011 Aa3
(sf) Placed Under Review Direction Uncertain
Cl. VII-A-1, Downgraded to A3 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review Direction Uncertain
Cl. D-P-1, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. D-P-2, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. D-P-3, Downgraded to A2 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. D-B-2, Downgraded to Caa3 (sf); previously on Apr 29, 2011
Downgraded to Caa1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-8
Cl. I-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A1 (sf); previously on Apr 29, 2011
Downgraded to Aa3 (sf)
Cl. II-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. III-A-3, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-4, Downgraded to A3 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review Direction Uncertain
Cl. III-A-24, Downgraded to Baa1 (sf); previously on Jan 31, 2012
A1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-25, Downgraded to A3 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review Direction Uncertain
Cl. IV-PPA-1, Downgraded to A3 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review Direction Uncertain
Cl. V-A-1, Downgraded to Aa1 (sf); previously on Apr 29, 2003
Assigned Aaa (sf)
Cl. V-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. V-P, Downgraded to Aa1 (sf); previously on Apr 29, 2003
Assigned Aaa (sf)
Cl. A-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-P, Downgraded to A3 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. C-B-2, Downgraded to Ca (sf); previously on Apr 29, 2011
Downgraded to Caa2 (sf)
Cl. D-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. D-B-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. D-B-2, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2004-1
Cl. I-A-1, Downgraded to A2 (sf); previously on Apr 29, 2011
Downgraded to A1 (sf)
Cl. I-A-2, Downgraded to Baa2 (sf); previously on Dec 22, 2011 A3
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-3, Downgraded to Baa2 (sf); previously on Dec 22, 2011 A2
(sf) Placed Under Review for Possible Upgrade
Cl. I-P, Downgraded to Baa2 (sf); previously on Dec 22, 2011 A1
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-1, Downgraded to Baa3 (sf); previously on Dec 22, 2011 A2
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-2, Downgraded to Baa3 (sf); previously on Dec 22, 2011 A2
(sf) Placed Under Review for Possible Upgrade
Cl. III-A-1, Downgraded to Baa3 (sf); previously on Dec 22, 2011
A2 (sf) Placed Under Review for Possible Upgrade
Cl. IV-A-1, Downgraded to Baa3 (sf); previously on Dec 22, 2011 A3
(sf) Placed Under Review for Possible Upgrade
Cl. V-A-1, Downgraded to Baa2 (sf); previously on Dec 22, 2011
Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. D-X-1, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. D-P-2, Upgraded to Ba1 (sf); previously on Apr 29, 2011
Downgraded to Ba3 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF280761
A list of updated estimated pool losses and sensitivity analysis
is being posted on an ongoing basis for the duration of this
review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
CREDIT SUISSE 1997-C1: Moody's Lifts Rating on I Certs. to 'Caa1'
-----------------------------------------------------------------
Moody's Investors Service affirmed the rating of one class and
upgraded three classes of Credit Suisse First Boston Mortgage
Securities Corp., Series 1997-C1 as follows:
Cl. H, Upgraded to A2 (sf); previously on Apr 22, 2011 Upgraded to
Baa1 (sf)
Cl. I, Upgraded to Caa1 (sf); previously on Feb 15, 2005
Downgraded to Caa3 (sf)
Cl. J, Affirmed at C (sf); previously on Feb 15, 2005 Downgraded
to C (sf)
Cl. A-X, Upgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf)
Ratings Rationale
The upgrades of the pooled classes are due to an increase in
subordination from payoffs and amortization and overall stable
pool performance. Key parameters, including Moody's loan to value
(LTV) ratio, Moody's stressed debt service coverage ratio (DSCR)
and the Herfindahl Index (Herf) support the upgrades. The pool has
paid down 94% since securitization and 11% since last review. The
rating of the IO class was upgraded based on the expected credit
performance of its referenced classes.
Class J is affirmed based on realized losses that have occured to
date for that class. The class has experienced a 45% principal
loss since securitization.
Moody's rating action reflects a cumulative base expected loss of
3.0% of the current balance. At last full review, Moody's
cumulative base expected loss was 2.4%. Moody's provides a current
list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 4, same as Moody's prior full 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.
For deals that include a pool of credit tenant loans, Moody's used
its credit-tenant lease ("CTL") financing methodological 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 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated April 22, 2011.
DEAL PERFORMANCE
As of the March 20, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $81.3
million from $1.36 billion at securitization. The Certificates are
collateralized by 11 mortgage loans ranging in size from less than
1% to 18% of the pool. Three loans, representing 51% of the pool,
have defeased and are collateralized with U.S. Government
securities. The pool contains a credit tenant lease (CTL)
component which represents 46% of the pool. The conduit component
only represents 3% of the pool.
One loan, representing 2% of the pool, is on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Sixteen loans have been liquidated from the pool since
securitization, resulting in an aggregate $19.5 million loss (20%
loss severity on average). There are currently no loans in special
servicing.
Moody's was provided with full year 2010 and partial year 2011
operating results for 55% and 95% of the conduit pool,
respectively. Moody's weighted average LTV is 35% compared to 41%
at last full review. Moody's net cash flow reflects a weighted
average haircut of 14% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 11.5%.
Moody's actual and stressed DSCRs are 0.96X and 5.62X,
respectively, compared to 0.89X and 3.89X 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 conduit loan is the Glastonbury Country Club Loan
($1.5 million -- 1.8% of the pool), which is secured by an 18-hole
golf course located in an upscale neighborhood near Hartford,
Connecticut. The loan is on the master servicer's watchlist due to
low DSCR caused by decrease in revenues. However, property
performance has improved with a year-end 2010 DSCR of 0.91X
compared to 0.89X at last review. The loan fully amortizes over
the loan term and has amortized by approximately 54% since
securitization and 7% since last review. Moody's LTV and stressed
DSCR are 46% and 2.30X, respectively, compared to 57% and 1.85X at
last review.
The second conduit loan is the Genus Inc. Building Loan ($628,000
-- 0.8%), which is secured by a 74,400 square foot R&D facility
located in Newburyport, Massachusetts. The property is 100% leased
to Varian Inc. through November 2015. The loan fully amortizes
over the loan term and has amortized by approximately 90% since
securitization and 10% since last review. Moody's LTV and stressed
DSCR are 9% and >4.00X, respectively, compared to 19% and >4.00X
at last review.
The CTL component includes six loans secured by properties leased
to four tenants under bondable leases. The CTL exposures are Bank
of America Corporation ($14.7 million -- 17.9%; Moody's senior
unsecured rating Baa1 -- Ratings Under Review for Possible
Downgrade), RadioShack Corporation ($10.8 million -- 13.1%;
Moody's senior unsecured rating Ba3 - negative outlook), Bon-Ton
Stores Inc. ($7.3 million -- 8.9%; Moody's senior unsecured rating
Caa2 -- negative outlook), and Kohl's Corporation ($5.2 million --
6.3%; Moody's senior unsecured rating Baa1 - stable outlook).
Credits representing approximately 100% of the CTL exposure are
publicly rated by Moody's. Moody's has downgraded the rating of
three credits since the prior review of this transaction in April
2011. The bottom-dollar weighted average rating factor (WARF) for
the CTL component has declined to 1,889 compared to 1,420 at last
review. WARF is a measure of the overall quality of a pool of
diverse credits. The bottom-dollar WARF is a measure of the
default probability within the pool.
CREDIT SUISSE 2001-CK6: S&P Cuts Ratings on 2 Cert. Classes to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from
Credit Suisse First Boston Mortgage Securities Corp.'s series
2001-CK6, a U.S. commercial mortgage-backed securities (CMBS)
transaction. "Concurrently, we withdrew our 'AAA (sf)' rating on
the IO A-X class in the same transaction," S&P said.
"The downgrades reflect our review of the continued interest
shortfalls affecting the trust, the decreased liquidity support
available to the trust, as well as credit support erosion that we
anticipate will occur upon the eventual resolution of the 17 loans
($86.4 million, 83.6%) that are currently with the special
servicer, Midland Loan Services Inc. (Midland)," S&P said.
"The downgrades of classes F and G also considered the
susceptibility of further interest shortfalls in the future
relating to the specially serviced loans and reflect the potential
for the master servicer to recover $1.4 million of outstanding
servicer advances for one ($5.8 million, 5.6%) of the 17 specially
serviced loans," S&P said.
"We lowered our ratings to 'D (sf)' on the class H and J
certificates because we expect the accumulated interest shortfalls
to remain outstanding for the foreseeable future. Classes H and J
had accumulated interest shortfalls outstanding between three to
six months," S&P said.
"In addition, we withdrew our 'AAA (sf)' rating on the IO A-X
class, following the downgrade of the principal and interest
paying class F, which was previously rated 'AA- (sf)', according
to our criteria for rating IO securities," S&P said.
"The March 16, 2012, trustee remittance report detailed current
interest shortfalls totaling $912,209. The interest shortfalls are
primarily due to $492,997 recovery of prior advances made by the
master servicer recouping nonrecoverable advances related to two
($12.6 million, 12.2%) of the 17 loans ($86.4 million, 83.6%) that
are currently with the special servicer, $205,139 in other
expenses related to one asset that was previously paid-off,
$107,917 in appraisal subordinate entitlement reduction (ASER)
amounts related to nine loans ($40.8 million, 39.4%), and $67,038
due to rate modifications; $88,554 of ASER recoveries offset these
shortfalls. According to the March trustee remittance report,
principal payments absorbed a portion of the total interest
shortfalls totaling $326,964," S&P said.
"According to the March 16, 2012, trustee remittance report, the
master servicer, Midland, made a nonrecoverability determination
on two loans ($2.3 million, 2.2%) and reported appraisal reduction
amounts (ARAs) totaling $19.5 million, which were in effect for
nine of the loans with the special servicer. In addition, the
master servicer indicated that it intends to recover, on a monthly
basis, a portion of the previous servicer advances totaling $1.4
million related to the Sierra Point Apartments loan ($5.8 million,
5.6%). We believe that the pace of loan maturity payoffs and
liquidations will influence how long accumulated interest
shortfalls remain outstanding and the extent to which interest
shortfalls affect the outstanding certificates. Further,
downgrades may be warranted if interest shortfalls continue and/or
increase due to additional trust expenses and timing of loan
payoffs and liquidation of specially serviced assets," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-CK6
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
F BBB+ (sf) AA- (sf) 88.25 0 0
G CCC+ (sf) BBB+ (sf) 74.08 87,247 87,247
H D (sf) BB (sf) 59.91 91,836 270,561
J D (sf) CCC+ (sf) 44.40 81,193 344,126
RATING WITHDRAWN
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-CK6
Credit
Rating enhancement
Class To From (%)
A-X NR AAA (sf) N/A
NR-Not rated.
N/A-Not applicable.
CREDIT SUISSE 2002-CP3: Moody's Keeps C Ratings on 2 Cert Classes
-----------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class,
downgraded two classes, confirmed two classes and affirmed nine
classes of Credit Suisse First Boston Mortgage Securities,
Commercial Mortgage Pass-Through Certificates, Series 2002-CP3 as
follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Jul 29, 2002
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Mar 16, 2006 Upgraded
to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Aug 13, 2007 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Aug 13, 2007 Upgraded
to Aaa (sf)
Cl. E, Affirmed at Aaa (sf); previously on Aug 13, 2007 Upgraded
to Aaa (sf)
Cl. F, Upgraded to Aa1 (sf); previously on Aug 13, 2007 Upgraded
to Aa2 (sf)
Cl. G, Confirmed at A3 (sf); previously on Jan 27, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. H, Downgraded to Ba1 (sf); previously on Jan 27, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. J, Downgraded to B3 (sf); previously on Jan 27, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. K, Affirmed at Caa3 (sf); previously on Oct 27, 2010
Downgraded to Caa3 (sf)
Cl. L, Affirmed at Ca (sf); previously on Oct 27, 2010 Downgraded
to Ca (sf)
Cl. M, Affirmed at C (sf); previously on Oct 27, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Oct 27, 2010 Downgraded
to C (sf)
Cl. A-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Ratings Rationale
The upgrades are due to an increase in subordination from payoffs
and amortization. The pool has paid down 62% since securitization
and 53% since last review.
The downgrades are due to concerns of interest shortfalls from
specially serviced loans, higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans and a decline in loan diversity.
The confirmations and 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
rating of the IO class was confirmed based on the expected credit
performance of its referenced classes.
On January 27, 2012 Moody's placed three classes on review for
possible downgrade. This action concludes Moody's review.
Moody's rating action reflects a cumulative base expected loss of
7.8% of the current balance. At last full review, Moody's
cumulative base expected loss was 3.5%. However, on an actual
dollar amount basis, the cumulative base expected loss was only
slightly higher to $26.6 million from $25.2 million at last full
review. Moody's provides a current list of base expected losses
for conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 9 compared to 18 at Moody's prior full 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 a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 20, 2011.
DEAL PERFORMANCE
As of the March 16, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 62% to $339.31
million from $895.70 million at securitization. The Certificates
are collateralized by 37 mortgage loans ranging in size from less
than 1% to 20% of the pool, with the top ten loans representing
62% of the pool. Four loans, representing 22% of the pool, have
defeased and are collateralized with U.S. Government securities.
The pool's largest loan, representing 20% of the pool, has an
investment grade credit estimate. The pool faces significantly
near term refinance risk, as loans represently nearly 100% of the
pool either mature or have an anticipated repayment date (ARD)
within the next six months.
Twenty-three 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.
Four loans have been liquidated from the pool since
securitization, resulting in an aggregate $3.4 million loss (11%
loss severity on average). Currently four loans, representing 16%
of the pool, are in special servicing. The master servicer has
recognized an aggregate $15.2 million appraisal reduction for the
specially serviced loans. Moody's has estimated an aggregate loss
of $12.5 million (80% expected loss on average) for three of the
four the specially serviced loans. Moody's stressed the value but
did not assume a loss on the largest specially loan, Gannon West
Pointe Apartments Loan ($38.2 million -- 11.3% of the pool), which
is secured by a 1,047-unit multifamily property located in
Maryland Heights, Missouri. This loan transferred into special
servicing due to payment delinquency and foreclosure was filed. A
recent Phase I environmental inspection indicated potential
environmental issues as a result of leakage from a landfill
adjacent to the property. The special servicer is currently
waiting for further clarity on this issue.
Moody's has assumed a high default probability for seven poorly
performing loans representing 11% of the pool and has estimated a
$9.5 million loss (26% expected loss based on a 64% probability
default) from these troubled loans.
Moody's was provided with full year 2010 and partial year 2011
operating results for 63% and 83% of the performing pool,
respectively. Excluding the three specially serviced and seven
troubled loans, Moody's weighted average LTV is 88% compared to
80% at last full review. Moody's net cash flow reflects a weighted
average haircut of 8% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.9%.
Excluding the three specially serviced and seven troubled loans,
Moody's actual and stressed DSCRs are 1.22X and 1.27X,
respectively, compared to 1.27X 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 loan with a credit estimate is the Westfarms Mall Loan ($67.7
million -- 20.0% of the pool), which represents a 50%
participation interest in a $135.5 million first mortgage loan.
The property is also encumbered with $44.9 million in subordinate
debt. The loan is secured by the borrower's interest in a 1.3
million square foot (SF) super-regional mall located in
Farmington, Connecticut. The property is anchored by Macy's, J.C.
Penney, Lord & Taylor and Nordstrom. As of September 2011, in-line
space was 92% leased, the same as at last review. The loan sponsor
is Taubman Centers Inc. Performance has been stable. The loan has
an ARD in July 2012. Moody's current credit estimate and stressed
DSCR are Aaa and 2.3X, respectively, compared to Aaa and 2.43X at
last review.
The top three performing conduit loans represent 17% of the pool
balance. The largest loan is the the Mall at Mill Creek Loan
($30.6 million -- 9.0% of the pool), which is secured by a 289,000
SF retail property located in Secaucus, New Jersey. In 2008 the
loan's sponsor, Hartz Mountain Industries, redeveloped the
property from a 50+ tenant community shopping center into a power
center. The power center is 100% leased to Kohl's, Bob's Discount
Furniture, Toys R' Us, TJ Maxx and Sports Authority. The loan has
an ARD in May 2012. Moody's LTV and stressed DSCR are 76% and
1.39X, respectively, compared to 89% and 1.18X at last review.
The second largest loan is the Annex of Arlington Loan ($16.3
million -- 4.8% of the pool), which is secured by a 197,000 SF
retail property in Arlington Heights, Illinois. The loan is on the
master servicer's watchlist due to low DSCR as a result of low
occupancy. However, property was 92% leased as of November 2011
compared to 53% in March 2011. Property performance declined in
2010 due to decrease in recoveries and percentage rent as a result
of low occupancy. Loan is scheduled to mature in April 2012.
Moody's LTV and stressed DSCR are 87% and 1.15X, respectively,
compared to 115% and 0.87X at last full review.
The third largest loan is the North Charleston Center Loan ($9.2
million -- 2.7% of the pool), which is secured by a 230,000 SF
retail property located in North Charleston, South Carolina. The
loan is on the master servicer's watchlist due to low DSCR as a
result of low occupancy and below market rents. The property was
70% leased as of December 2010, essentially the same as at last
review . Property performance has remained stable. The lLoan is
scheduled to mature July 2012 but is expected to pay off this
month. Moody's LTV and stressed DSCR are 87% and 1.18X,
respectively, compared to 89% and 1.16X at last review.
CREDIT SUISSE 2003-C3: Moody's Keeps C Ratings on 5 Sec. Classes
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 22 CMBS classes
of Credit Suisse First Boston Mortgage Securities Corp., Series
2003-C3 as follows:
Cl. A-5, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. D, Affirmed at Aa2 (sf); previously on Jul 30, 2007 Upgraded
to Aa2 (sf)
Cl. E, Affirmed at A1 (sf); previously on Jul 30, 2007 Upgraded to
A1 (sf)
Cl. F, Affirmed at A3 (sf); previously on Sep 16, 2010 Confirmed
at A3 (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Sep 16, 2010
Downgraded to Baa2 (sf)
Cl. H, Affirmed at Ba3 (sf); previously on Sep 16, 2010 Downgraded
to Ba3 (sf)
Cl. J, Affirmed at Caa2 (sf); previously on Sep 16, 2010
Downgraded to Caa2 (sf)
Cl. K, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. O, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. 622-A, Affirmed at A2 (sf); previously on Jul 30, 2007
Upgraded to A2 (sf)
Cl. 622-B, Affirmed at A3 (sf); previously on Jul 30, 2007
Upgraded to A3 (sf)
Cl. 622-C, Affirmed at Baa1 (sf); previously on Jul 30, 2007
Upgraded to Baa1 (sf)
Cl. 622-D, Affirmed at Baa2 (sf); previously on Jul 30, 2007
Upgraded to Baa2 (sf)
Cl. 622-E, Affirmed at Baa3 (sf); previously on Jul 30, 2007
Upgraded to Baa3 (sf)
Cl. 622-F, Affirmed at Ba1 (sf); previously on Jul 30, 2007
Upgraded to Ba1 (sf)
Cl. A-X, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. A-Y, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Ratings Rationale
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed 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 ratings of the IO Classes, Class A-X and Class A-Y, are
consistent with the expected credit performance of their reference
classes and are therefore affirmed.
Moody's rating action reflects a cumulative base expected loss of
4.8% of the current balance. At last full review, Moody's
cumulative base expected loss was 3.9%. The combined cumulative
base expected plus realized losses totals 5.7% compared to 4.7% at
last review. Moody's provides a current list of base expected
losses for conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012, and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 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 review also incorporated the CMBS IO calculator version
1.0, which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and the IO type corresponding
to an IO type as defined in the published methodology. The
calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
version 1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO
indication for consideration by the rating committee.
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 17 compared to 19 at Moody's prior full 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 4, 2011.
DEAL PERFORMANCE
As of the March 16, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 35% to $1.117
billion from $1.725 billion at securitization. The Certificates
are collateralized by 204 mortgage loans ranging in size from less
than 1% to 17% of the pool, with the top ten loans, excluding
defeased loans, representing 38% of the pool. Twenty-seven loans,
representing 19% of the pool, have defeased and are collateralized
with U.S. Government securities, the same number of defeased loans
as at last review. The pool includes two loans with investment
grade credit estimates, representing 24% of the pool, the same
number of loans as at last review.
Thirty-five 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. 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.
Thirteen loans have been liquidated from the pool since
securitization resulting in an aggregate $16.1 million loss (37%
loss severity on average). There are presently seven loans,
representing 4% of the pool, in special servicing. The master
servicer has recognized an aggregate $19.0 million appraisal
reduction for the loans currently in special servicing. Moody's
has estimated an aggregate $24.1 million loss (51% expected loss
on average) for the specially serviced loans.
Moody's has assumed a high default probability for seven poorly
performing loans representing 6% of the pool and has estimated a
$9.7 million loss (15% expected loss based on a 50% probability of
default) from these troubled loans.
Moody's was provided with full year 2010 and 2011 and partial year
2011 operating results for 68% and 28% of the non-defeased
performing pool, respectively. Excluding specially serviced and
troubled loans, Moody's weighted average LTV is 81% compared to
85% at last full review. Moody's net cash flow reflects a weighted
average haircut of 12.6% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.43X and 1.37X, respectively, compared to
1.41X and 1.31X, respectively, at last full 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 622 Third Avenue
Loan ($185.8 million -- 17.2% of the pool), which is secured by a
1.0 million square foot (SF) Class A office building located in
Midtown Manhattan. The property also secures a junior loan
component ($36.6 million), which is held within the trust and
serves as security for non-pooled Classes 622-A, 622-B, 622-C,
622-D, 622-E and 622-F. Additionally, the property is encumbered
by a mezzanine loan of approximately $38.5 million. The property
was 98% leased as of November 2011 compared to 90% as of April
2010. The largest tenants are the Interpublic Group (45% of the
net rentable area (NRA); lease expiration in September 2021), CIBC
(13% of the NRA; lease expiration in September 2013) and Mark
Paneth & Shron (8% of the NRA; lease expiration in February 2013).
Financial performance has declined slightly due to lower expense
reimbursement from new tenant leasing and higher real estate
taxes. The loan has also amortized 2% since last review. Moody's
credit estimate and stressed DSCR are A2 and 1.5X, respectively,
compared to A2 and 1.7X at last review.
The second loan with a credit estimate is The Crossings Loan
($48.8 million -- 4.5% of the pool), which is secured by a 391,000
SF factory outlet retail center located in the Pocono Mountains in
Tannersville, Pennsylvania. The property was 98% leased as of
February 2012 compared to 99% at last review. The largest tenants
are Forever 21 (4% of the NRA; lease expiration in September
2015), The Gap (3% of the NRA; lease expiration in November 2012)
and Nike Factory Store (3% of the NRA; lease expiration in October
2016). Moody's credit estimate and stressed DSCR are Aa2 and 2.4X,
respectively, the same as at last review.
The top three performing conduit loans represent 8.1% of the pool
balance. The largest conduit loan is the Great Lakes Crossing Loan
($51.0 million -- 4.7% of the pool), which represents a 41% pari
passu interest in a $125.4 million first mortgage loan. The loan
is secured by a 1.1 million SF value-oriented shopping center
located approximately 30 miles north of Detroit in Auburn Hills,
Michigan. The center is anchored by Burlington Coat Factory (7% of
the NRA; lease expiration in January 2014), the Sports Authority
(5% of the NRA; lease expiration in January 2019) and Bed Bath &
Beyond (4% of the NRA; lease expiration in January 2013). The
center is also encumbered by a $3.1 million B-note which is held
outside the trust. The center was 78% leased as of December 2011
compared to 87% at last review. Despite lower occupancy levels,
the financial performance of this property improved between year-
end 2010 and year-end 2011 due to higher revenue achievement and
lower real estate taxes. Moody's LTV and stressed DSCR are 67% and
1.5X, respectively, compared to 78% and 1.3X at last review.
The second largest conduit loan is the Gateway Station Loan ($18.6
million -- 1.7% of the pool), which is secured by a 280,000 SF
retail center located 10 miles south of Fort Worth, Texas. The
property was 99.6% leased as of December 2011 compared to 100% at
last review. The largest tenants are Kohl's (31% of the NRA; lease
expiration in January 2023), Ross Stores (11% of the NRA; lease
expiration in January 2013) and T.J. Maxx (10% of the NRA; lease
expiration in May 2020). Financial performance has declined due to
lower operating expense reimbursement due to new tenant leasing.
Moody's LTV and stressed DSCR are 124% and 0.82X, respectively,
compared to 101% and 1.08X at last review.
The third largest conduit loan is the Elk Grove Industrial
Portfolio Loan ($17.8 million -- 1.6% of the pool), which is
secured by 424,004 SF in seven separate industrial buildings
located in Elk Grove Village, Illinois. The property was 73%
leased as of September 2011 compared to 69% at Moody's last full
review. The loan is currently on the master servicer's watchlist
due to occupancy concerns. Financial performance has improved
slightly since last review from higher occupancy and improving
industrial market conditions in Chicago's O'Hare Airport
industrial submarket. Moody's LTV and stressed DSCR are 134% and
0.8X, respectively, the same as at last review.
CREDIT SUISSE 2007-TFL1: Moody's Cuts Ratings on 2 Classes to 'C'
-----------------------------------------------------------------
Moody's Investors Service downgraded five classes, upgraded five
classes, confirmed two classes and affirmed one class of Credit
Suisse First Boston Mortgage Securities Corp. Commercial Pass-
Through Certificates Series 2007-TFL1 as follows:
Cl. A-2, Upgraded to Aaa (sf); previously on Dec 9, 2011 Upgraded
to Aa2 (sf)
Cl. B, Upgraded to Aa1 (sf); previously on Dec 9, 2011 Upgraded to
A1 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Dec 9, 2011 Upgraded to
A2 (sf)
Cl. D, Upgraded to A2 (sf); previously on Dec 9, 2011 Upgraded to
A3 (sf)
Cl. E, Upgraded to Baa1 (sf); previously on Dec 9, 2011 Upgraded
to Baa2 (sf)
Cl. F, Confirmed at Ba1 (sf); previously on Jan 19, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Cl. G, Confirmed at B1 (sf); previously on Jan 19, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. H, Downgraded to Caa1 (sf); previously on Jan 19, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Cl. J, Downgraded to Caa2 (sf); previously on Jan 19, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. K, Downgraded to C (sf); previously on Jan 19, 2012 Caa2 (sf)
Placed Under Review for Possible Downgrade
Cl. L, Downgraded to C (sf); previously on Jan 19, 2012 Caa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-X-1, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-X-2, Affirmed at Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Ratings Rationale
On January 19, 2012, Moody's placed six classes on review for
possible downgrade due to an increase in expected loss related to
the J.W. Marriott Las Vegas Resort & Spa Loan. This action
concludes Moody's review.
The downgrades are due to the increase in expected loss due to the
exercise of the Fair Value Purchase Option by Galante Holdings,
Inc. (Galante), the B-Note holder of the JW Marriott Las Vegas
Resort & Spa Loan, at the Option Price of $84.6 million for the
total outstanding mortgage debt of $160.0 million.
The upgrades are due to the increase in credit support resulting
primarily from the pay off of two loans, the Park Central Hotel
loan ($203.0 million) and the Manhattan Mall loan ($232.0 million)
since Moody's last full review on December 9, 2011.
The confirmations and affirmations are due to key parameters,
including Moody's loan to value (LTV) ratio remaining within
acceptable ranges.
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000 and "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors.
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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and
Remittance Statements. On a periodic basis, Moody's also performs
a full transaction review that involves a rating committee and a
press release. Moody's prior full transaction review is summarized
in a press release dated December 9, 2011.
DEAL PERFORMANCE
As of the March 15, 2012 Payment Date, the transaction's
certificate balance has decreased by 66% to $433.4 million from
$1.27 billion at securitization due primarily to the pay off of
eight loans originally in the trust. The certificates are
currently collateralized by four floating rate loans ranging in
size from 13% to 35% of the pool. Three loans, representing 87% of
the pool balance are in special servicing, including one loan, the
Renaissance Aruba Beach Resort & Casino loan (24%), which is
pending return to the master servicer.
Moody's weighted average loan to value (LTV) ratio for the total
pool is 115%, compared to 79% at lat review. Moody's debt service
coverage ratio (DSCR) is 1.23X, compared to 1.33X at last review.
The JW Marriott Las Vegas Resort & Spa Loan ($150.0 million -- 35%
of the pooled balance), the largest loan, is secured by a 548-
guestroom full-service hotel that was constructed in 1999 and
renovated in 2006. The hotel is located in Summerlin (Las Vegas),
Nevada. Amenities include a spa, five restaurants and a casino.
The loan was transferred to special servicing in September 2011
due to imminent default when the borrower indicated an inability
to pay off the loan on the November 9, 2011 maturity date. The
$160.0 million mortgage loan includes a $10.0 million non-trust
junior secured loan component. A sale of the loan to Galante
Holdings, Inc. (the Participation B holder) pursuant to the Fair
Value Purchase Option provisions of the Pooling and Servicing
Agreement was scheduled for December 23, 2011. Certificate holders
of Classes K and L brought suit against Galante, Trimont Real
Estate Advisors (the special servicer) and other parties seeking,
among other things, to block the sale. All defendants have moved
to dismiss the case, and the motions await a decision by the
Court. A temporary restraining order barring the sale is presently
in effect pending resolution of the plaintiff's request for a
preliminary injunction. Pleadings in connection with that request
have been filed, and the Court will hear arguments during the
Court Term that ends June 15, 2012. The property was appraised for
$98.4 million in November 2011. Legal fees incurred by both the
special servicer and master servicer are to be reimbursed by the
trust. Moody's expects that the legal expenses will be paid from
principal and not cause an interruption of interest paid to the
certificate holders.
The Hines Portfolio Loan ($124.6 million -- 29%) is secured by 17
cross-collateralized and cross-defaulted office/R&D properties
containing 44 buildings located primarily in San Jose, California
and vicinity with a total of 1.6 million square feet. The loan was
transferred to special servicing in August 2011 due to imminent
default. The loan matured on November 9, 2011. The $259.1 million
mortgage loan includes a $134.4 million non-trust junior secured
loan component. As of September 2011 the portfolio was
approximately 59% leased. Trust debt has paid down 18% since
securitization. Moody's LTV ratio is 99% and stressed DSCR is
1.04X.
The Renaissance Aruba Beach Resort & Casino Loan ($102.4 million -
- 24%) is secured by a fee and leasehold interest in a 558-
guestroom hotel and casino property located in Oranjestad, Aruba.
The property has a large gaming component accounting for
approximately 40% of total revenue. The loan was transferred to
special servicing in December 2011 after the borrower indicated
its inability to pay off the loan in full on the January 2012
maturity date. The $160.8 million loan includes a $58.4 million
non-trust junior secured loan component. Property performance
during 2011 improved from recession levels and the loan was
extended to June 2014 and is pending return to the master
servicer. Trust debt has paid down 20% since securitization.
Moody's LTV ratio is 72% and stressed DSCR is 1.97X.
The SLS at Beverly Hills Loan ($56.4 million -- 13%) is secured by
a 297-guestroom hotel located in Beverly Hills, California. The
hotel re-opened in late 2008 after undergoing a substantial
renovation that repositioned the former Le Meridien hotel as the
flagship hotel of the SLS Hotels brand. RevPAR for the trailing
12-month period ending June 2011 was $231. Trust debt has paid
down by 19% since securitization. Moody's LTV is 62% and stressed
DSCR is 1.91X.
CREDIT SUISSE 2008-C1: Fitch Cuts Ratings on 7 Certificate Classes
------------------------------------------------------------------
Fitch Ratings has downgraded seven classes of Credit Suisse
Commercial Mortgage Trust (CSMC) commercial mortgage pass-through
certificates series 2008-C1 due to further certainty of losses
from the loans in special servicing and realized losses since the
last review.
Fitch modeled losses of 11.6% of the remaining pool; expected
losses on the original pool balance total 12.6%, including losses
already incurred to date. Fitch has designated 21 loans (49%) as
Fitch Loans of Concern, which includes six specially serviced
loans (5.4%). At Fitch's last review, there were 10 specially
serviced loans (18.1%). Currently, Fitch expects classes L
through S may be fully depleted from eventual losses associated
with the specially serviced loans.
As of the March 2012 distribution date, the pool's aggregate
principal balance has paid down by 3.4% to $857 million from
$887.2 million at issuance. No loans have defeased since
issuance. Interest shortfalls are currently affecting classes D
through S.
The largest contributor to expected losses is the 1100 Executive
Tower loan (10.3%), which is secured by a 16-story, 380,000-square
foot office building in Orange, CA. The loan transferred to
special servicing in December 2009 for imminent default and was
modified in February 2011. Key terms of the modification include
a five-year extension of the loan to May 11, 2017, a bifurcation
of the note into a $62 million A-note and a $27.5 million B-note,
a contribution of approximately $12.6 million in new capital from
the borrower, and reimbursement of certain costs associated with
the modification. In addition, the yield maintenance charge will
be waived for a lender-approved arm's length sale of the property
during the modified loan term. The loan was returned to the
master servicer.
The second largest contributor to expected losses is the Waikiki
Beach Walk Retail loan (15% of the pool), which is secured by
roughly 88,000 sf of retail space in the Waikiki Beach Walk, a
master-planned project that includes hotels, condominiums, time
shares, entertainment venues, and shopping, located in Honolulu,
HI. In 2010, servicer-reported net operating income (NOI) from
the property was down by 18% compared with the issuer's
underwriting. While the property has returned to nearly full
occupancy, the $130.3 million interest-only loan remains highly
leveraged.
The third largest contributor to expected losses is the specially-
serviced Holiday Inn Dallas North loan (1.7%), which is secured by
a 220-key full-service Holiday Inn hotel in Richardson, TX. The
$15.2 million, 10-year amortizing loan transferred to special
servicing in August 2009 for payment default. A receiver was put
in place in February 2010 and has been marketing the property for
sale. Several contracts have been signed but none have closed.
Contract prices indicate significant losses.
Fitch downgrades the following classes and revises recovery
estimates as indicated:
-- $6.7 million class J to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $10 million class K to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $3.3 million class L to 'Csf ' from 'CCsf '; RE to 0% from
60%;
-- $3.3 million class M to 'Csf' from 'CCsf'; RE 0%;
-- $3.3 million class N to 'Csf' from 'CCsf'; RE 0%;
-- $1.1 million class O to 'Csf' from 'CCsf'; RE 0%;
-- $2.2 million class P to 'Csf' from 'CCsf'; RE 0%.
Fitch also affirms the following classes and revises recovery
estimates as indicated:
-- $1.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $150.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $22.3 million class A-AB at 'AAAsf'; Outlook Stable;
-- $258 million class A-3 at 'AAAsf'; Outlook Stable;
-- $94.1 million class A-1-A at 'AAAsf'; Outlook Stable;
-- $78.5 million class A-2FL at 'AAAsf'; Outlook Stable;
-- $88.7 million class A-M at 'Asf'; Outlook Stable;
-- $57.7 million class A-J at 'Bsf'; Outlook Negative;
-- $8.9 million class B at 'B-sf'; Outlook Negative;
-- $8.9 million class C at 'CCCsf'; RE to 50% from 100%;
-- $12.2 million class D at 'CCCsf'; RE to 0% from 100%;
-- $10 million class E at 'CCCsf'; RE to 0% from 100%;
-- $6.7 million class F at 'CCCsf'; RE to 0% from 100%;
-- $8.9 million class G at 'CCCsf'; RE to 0% from 100%;
-- $14.4 million class H at 'CCCsf'; RE to 0% from 100%;
-- $2.2 million class Q at 'Csf'; RE 0%.
Fitch does not rate the $5.6 million class S.
DELTA/RENAISSANCE: Moody's Cuts Ratings on 17 Note Tranches to C
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 31
tranches, upgraded the ratings of 5 tranches and confirmed the
ratings of 13 tranches from 12 RMBS transactions, backed by
Subprime loans, issued by Delta/Renaissance. Moody's has also
withdrawn the ratings of two tranches.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. 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. 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.
Moody's has withdrawn the rating of Class A-5 and Class S from
Delta Funding Home Equity Loan Trust 1995-2. This is in line with
Moody's published special comment "Assignment of Wrapped Ratings
When Financial Guarantor Falls Below Investment Grade" published
in May 2008.
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
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Renaissance Home Equity Loan Trust 2002-1
Cl. M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Renaissance Home Equity Loan Trust 2002-3
Cl. A, Downgraded to Aa3 and Placed Under Review for Possible
Downgrade (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under
Review for Possible Downgrade
Underlying Rating: Downgraded to A2 (sf); previously on Jul 16,
2008 Assigned Aaa (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. M-1, Downgraded to B3 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Renaissance Home Equity Loan Trust 2002-4
A, Aa3 (sf) Placed Under Review for Possible Downgrade; previously
on Mar 7, 2011 Downgraded to Aa3 (sf)
Underlying Rating: Downgraded to A1 (sf); previously on Mar 7,
2011 Downgraded to Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
M-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf)
Placed Under Review for Possible Upgrade
M-2, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3 (sf)
Placed Under Review for Possible Upgrade
B, Confirmed at C (sf); previously on Jan 31, 2012 C (sf) Placed
Under Review for Possible Upgrade
Issuer: Renaissance Home Equity Loan Trust 2003-1
A, Downgraded to Aa3 and Placed Under Review for Possible
Downgrade (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under
Review for Possible Downgrade
Underlying Rating: Downgraded to Baa1 (sf); previously on Apr 6,
2011 Downgraded to Aa2 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
M-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 Baa2 (sf)
Placed Under Review for Possible Downgrade
M-2, Downgraded to C (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
B-A, Downgraded to C (sf); previously on Apr 6, 2011 Downgraded to
Ca (sf)
B-F, Downgraded to C (sf); previously on Apr 6, 2011 Downgraded to
Ca (sf)
Issuer: Renaissance Home Equity Loan Trust 2003-2
A, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3 (sf)
Placed Under Review for Possible Upgrade
M-1, Upgraded to B3 (sf); previously on Jan 31, 2012 Caa3 (sf)
Placed Under Review for Possible Upgrade
M-2A, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
M-2F, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Renaissance Home Equity Loan Trust 2003-3
A, Downgraded to A2 (sf); previously on Jan 31, 2012 Aaa (sf)
Placed Under Review for Possible Downgrade
M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
M-2A, Downgraded to Ca (sf); previously on Jan 31, 2012 Ba2 (sf)
Placed Under Review for Possible Downgrade
M-2F, Downgraded to Ca (sf); previously on Jan 31, 2012 Ba2 (sf)
Placed Under Review for Possible Downgrade
M-3, Downgraded to C (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
M-4, Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to
Caa3 (sf)
M-5, Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to
Ca (sf)
Issuer: Renaissance Home Equity Loan Trust 2003-4
A-1, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
A-3, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
M-1, Upgraded to Ba2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
M-2A, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3 (sf)
Placed Under Review for Possible Upgrade
M-2F, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3 (sf)
Placed Under Review for Possible Upgrade
M-3, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
M-4, Confirmed at C (sf); previously on Jan 31, 2012 C (sf) Placed
Under Review for Possible Upgrade
Issuer: Renaissance Home Equity Loan Trust 2004-1
AV-1, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
AV-3, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2004-2
Cl. AF-4, Aa3 (sf) Remains On Review for Possible Downgrade;
previously on Mar 21, 2012 Aa3 (sf) Placed Under Review for
Possible Downgrade
Underlying Rating: Upgraded to Aa3 (sf); previously on Jan 31,
2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. AF-5, Aa3 (sf) Remains On Review for Possible Downgrade;
previously on Mar 21, 2012 Aa3 (sf) Placed Under Review for
Possible Downgrade
Underlying Rating: Downgraded to Ba1 (sf); previously on Jan 31,
2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. AF-6, Aa3 (sf) Remains On Review for Possible Downgrade;
previously on Mar 21, 2012 Aa3 (sf) Placed Under Review for
Possible Downgrade
Underlying Rating: Confirmed at A3 (sf); previously on Jan 31,
2012 A3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. M-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Caa3 (sf)
Cl. M-5, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Renaissance Home Equity Loan Trust 2004-3
Cl. AF-4, Aa3 (sf) Remains On Review for Possible Downgrade;
previously on Mar 21, 2012 Aa3 (sf) Placed Under Review for
Possible Downgrade
Underlying Rating: Upgraded to A1 (sf); previously on Jan 31, 2012
B2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. AF-6, Aa3 (sf) Remains On Review for Possible Downgrade;
previously on Mar 21, 2012 Aa3 (sf) Placed Under Review for
Possible Downgrade
Underlying Rating: Upgraded to Baa3 (sf); previously on Jan 31,
2012 B1 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. M-1, Downgraded to Caa3 (sf); previously on Mar 7, 2011
Downgraded to Caa1 (sf)
Cl. M-2, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Caa3 (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Renaissance Home Equity Loan Trust 2004-4
Cl. AF-4, Upgraded to A1 (sf); previously on Jan 31, 2012 Ba3 (sf)
Placed Under Review for Possible Upgrade
Cl. AF-5, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Upgraded to A3 (sf); previously on Jan 31, 2012 Ba2 (sf)
Placed Under Review for Possible Upgrade
Cl. MF-1, Downgraded to Ca (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Caa3 (sf)
Cl. MF-3, Downgraded to C (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Cl. MV-1, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: Delta Funding Home Equity Loan Trust 1995-2
A-5, Withdrawn (sf); previously on Dec 19, 2011 B3 (sf) Placed
Under Review for Possible Downgrade
S, Withdrawn (sf); previously on Dec 19, 2011 B3 (sf) Placed Under
Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF279522
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
DILLON READ 2006-1: S&P Cuts Ratings on 2 Classes of Notes to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on the class A-SIVF and A1 notes issued by Dillon Read CMBS CDO
2006-1 Ltd., a hybrid collateralized debt obligation (CDO)
transaction collateralized primarily by commercial mortgage-backed
securities (CMBS) assets. "At the same time, we removed our rating
on class A-SIVF from CreditWatch with negative implications," S&P
said.
"We lowered our ratings to 'D (sf)' because the classes, which are
nondeferrable, did not receive interest and commitment fees, based
on the March 2012 trustee note valuation report," 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
Dillon Read CMBS CDO 2006-1 Ltd.
Rating
Class To From
A-SIVF D (sf) CCC- (sf)/Watch Neg
A1 D (sf) CC (sf)
EATON VANCE IX: Moody's Lifts Rating on Class D Notes to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Eaton Vance CDO IX, Ltd:
U.S.$45,000,000 Class A-1-B Floating Rate Notes Due April 20,
2019, Upgraded to Aaa (sf); previously on August 4, 2011 Upgraded
to Aa2 (sf);
U.S.$160,000,000 Class A-2 Floating Rate Notes Due April 20, 2019,
Upgraded to Aaa (sf); previously on August 4, 2011 Upgraded to Aa1
(sf);
U.S.$20,000,000 Class B Floating Rate Notes Due April 20, 2019,
Upgraded to Aa1 (sf); previously on August 4, 2011 Upgraded to A1
(sf);
U.S.$27,500,000 Class C Floating Rate Notes Due April 20, 2019,
Upgraded to A2 (sf); previously on August 4, 2011 Upgraded to Baa1
(sf);
U.S.$35,000,000 Class D Floating Rate Notes Due April 20, 2019,
Upgraded to Ba1 (sf); previously on August 4, 2011 Upgraded to Ba2
(sf);
Ratings Rationale
According to Moody's, the rating actions taken on the notes
reflect the benefit of the short period of time remaining before
the end of the deal's reinvestment period in April 2012. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive
"cushion" relative to certain covenant requirements. In
particular, the deal is assumed to benefit from lower WARF and
higher spread levels compared to the levels assumed at the last
rating action in August 2011. Moody's also notes that the
transaction's reported collateral quality and
overcollateralization ratio are stable since the last rating
action.
The rating upgrades are also the result of a correction to Moody's
modeling of the Senior Overcollateralization Ratio Test in its
cash flow analysis. Due to an input error, the Senior
Overcollateralization Ratio Test was not modeled properly during
previous rating actions, preventing interest and principal
proceeds from deleveraging the notes upon failure of the Senior
Overcollateralization Ratio Test in the model. This has been
corrected, and the Senior Overcollateralization Ratio Test is
modeled correctly in the rating actions.
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 $490 million,
defaulted par of $0.6 million, a weighted average default
probability of 16.79% (implying a WARF of 2414), a weighted
average recovery rate upon default of 51.31%, and a diversity
score of 79. 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.
Eaton Vance CDO IX, Ltd., issued in March 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. 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.
Below is 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% (WARF 1931)
Class A-1-A: +0
Class A-1-B: +0
Class A-2: +0
Class B: +0
Class C: +3
Class D: +2
Moody's Adjusted WARF + 20% (WARF 2897)
Class A-1-A: -0
Class A-1-B: -0
Class A-2: -0
Class B: -1
Class C: -2
Class D: -2
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The deal will exit its reinvestment period in
April 2012. A main source of uncertainty is whether deleveraging
from unscheduled principal proceeds will commence 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.
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.
FIRST FRANKLIN: Moody's Cuts Ratings on 2 Securities Classes to C
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 9
tranches, and upgraded the ratings of 14 tranches from 10 RMBS
transactions, backed by Subprime loans, issued by First Franklin.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies, Moody's considered the volatility of the
projected losses and timeline of the expected defaults. For bonds
backed by small pools, Moody's also considered the current
pipeline composition as well as any specific loss allocation rules
that could preserve or deplete the overcollateralization available
for the senior bonds at different pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: First Franklin Mortgage Loan Trust 2002-FF1
Cl. I-A-2, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2002-FF2
Cl. A-1, Downgraded to Caa2 (sf); previously on Mar 15, 2011
Downgraded to B2 (sf)
Cl. A-2, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2002-FF4
Cl. I-A2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A2, Downgraded to Caa2 (sf); previously on Mar 15, 2011
Downgraded to B3 (sf)
Cl. M-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2003-FF5
Cl. M-1, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Ca (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: First Franklin Mortgage Loan Trust 2003-FFH2
Cl. M-1A, Upgraded to B2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. M-1B, Upgraded to B2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: First Franklin Mortgage Loan Trust 2004-FF1
Cl. S, Downgraded to Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2004-FF11
Cl. M-1, Upgraded to Baa1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to B1 (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: First Franklin Mortgage Loan Trust 2004-FFH1
Cl. M-1, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to B2 (sf); previously on Jan 31, 2012 Caa1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Caa2 (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: First Franklin Mortgage Loan Trust 2004-FFH2
Cl. M-2, Upgraded to Ba3 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Caa1 (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: First Franklin Mortgage Loan Trust 2004-FFH3
Cl. M-1, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to B3 (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Ca (sf); previously on Mar 15, 2011
Downgraded to C (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281394
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
FIRST UNION: Moody's Affirms 'Caa3' Rating on Cl. G Certificates
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of six classes of
First Union Commercial Mortgage Securities, Inc., Commercial
Mortgage Pass-Through Certificates, Series 1999-C1 as follows:
Cl. C, Affirmed at Aaa (sf); previously on Oct 27, 2005 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Jan 24, 2007 Upgraded
to Aaa (sf)
Cl. E, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded
to Aaa (sf)
Cl. F, Affirmed at Baa1 (sf); previously on Dec 19, 2008 Upgraded
to Baa1 (sf)
Cl. G, Affirmed at Caa3 (sf); previously on Sep 22, 2010
Downgraded to Caa3 (sf)
Cl. IO-1, Affirmed at B3 (sf); previously on Feb 22, 2012
Downgraded to B3 (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
10.7% of the current balance. At last full review, Moody's
cumulative base expected loss was 10.0%. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 8, same as Moody's prior full 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.
For deals that include a pool of credit tenant loans, Moody's used
its credit-tenant lease ("CTL") financing methodological 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 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated April 22, 2011.
DEAL PERFORMANCE
As of the March 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 83% to $201.24
million from $1.16 billion at securitization. The Certificates are
collateralized by 68 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans representing 44% of
the pool. Fourteen loans, representing 24% of the pool, have
defeased and are collateralized with U.S. Government securities.
The pool contains a credit tenant lease (CTL) component which
represents 22% of the pool.
Nine loans, representing 13% 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.
Thirty-five loans have been liquidated from the pool since
securitization, resulting in an aggregate $18.6 million loss (16%
loss severity on average). Currently five loans, representing 16%
of the pool, are in special servicing. The master servicer has
recognized an aggregate $11.7 million appraisal reduction for the
specially serviced loans. Moody's has estimated an aggregate loss
of $12.2 million (60% expected loss on average) for two of the
specially serviced loans.
Moody's has assumed a high default probability for three poorly
performing loans representing 2% of the pool and has estimated a
$931 thousand loss (20% 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 90% and 82% of the performing pool,
respectively. Excluding the two specially serviced and troubled
loans, Moody's weighted average LTV is 71% compared to 74% at last
full 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 9.7%.
Excluding the two specially serviced and troubled loans, Moody's
actual and stressed DSCRs are 1.26X and 1.66X, respectively,
compared to 1.29X and 1.63X 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 17% of the pool
balance. The largest loan is The Clarinbridge Loan ($17.2 million
-- 8.5%), which is secured by a 306-unit multifamily property
located approximately 26 miles northwest of Atlanta in Kennesaw,
Georgia. The property was 96% leased as of December 2011 compared
to 97% at the last review. Moody's LTV and stressed DSCR are 73%
and 1.29X, respectively, compared to 70% and 1.34X at the prior
review.
The second largest loan is the New Brighton Manor Loan ($10.4
million -- 5.2%), which is secured by a 300-bed skilled nursing
home located in Staten Island, New York. As of September 2011, the
property was 92% occupied, compared to 96% at last review. The
loan is currently on the master servicer's watchlist due to low
DSCR. However, actual DSCR has improved from 0.60x in 2010 to
1.01x as of September 2011. Property performance has been
improving due to tighter control over property expenses and the
borrower is currently upgrading the property. Moody's LTV and
stressed DSCR are 99% and 1.53X, respectively, compared to 123%
and 1.23X at last review.
The third largest loan is the Kelton Towers Loan ($6.6 million --
3.3%), which is secured by a 105-unit multifamily property located
in Westwood, California. The property was 96% leased as of
September 2011 compared to 91% at the last review. However,
property performance has declined as the borrower lowered rents in
order to maintain its occupancy levels to compete with existing
product in the area. There were also major deferred maintenance
issues at the property and the master servicer has requested
remediation plans from the borrower. Moody's LTV and stressed DSCR
are 45% and 2.10X, respectively, compared to 46% and 2.07X at last
review.
The CTL component includes 24 loans secured by properties leased
to nine tenants under bondable leases. Moody's provides public
ratings for 78% of the CTL component and an internal view on the
remainder of the CTL loans. The largest exposures include Rite Aid
Corp. (38% of the CTL component, Moody's Long Term Corporate
Family Rating Caa2 -- stable outlook), Walgreen Co. (15%; Moody's
senior unsecured rating A2 -- Ratings Under Review for Possible
Downgrade), and CVS/Caremark (14%; Moody's senior unsecured rating
Baa2 -- stable outlook).
FORD AUTO: S&P Ups Series 2010-R1 Class D Note Rating From 'BB+'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on eight
classes of subordinated notes from Ford Auto Securitization
Trust's series 2010-R1, 2010-R2, and 2010-R3. "In addition, we
affirmed our 'AAA (sf)' ratings on the class A notes from series
2009-R1, 2009-R2, 2009-R3, 2010-R1, 2010-R2, and 2010-R3 and our
'AA+ (sf)' rating on the class B notes from series 2010-3," S&P
said.
"The rating actions reflect each transaction's collateral
performance to date, our views regarding future collateral
performance, and each transaction's structure and credit
enhancement level. In addition, our analysis incorporates
secondary credit factors, such as credit stability; payment
priorities under various scenarios; and economic-, sector-, and
issuer-specific analyses," S&P said.
"Since the transactions closed, the credit support for each has
increased as a percentage of the amortizing pool balance. In
addition, we decreased our lifetime loss expectations for each
transaction based on lower-than-expected default frequencies (see
table 1). In our opinion, the total credit support, as a
percentage of the amortizing pool balance, compared with our
revised expected remaining losses, is adequate for each of the
raised or affirmed ratings," S&P said.
Table 1
Collateral Performance (%)
As of the March 2012 distribution
Former Revised
Pool Current lifetime lifetime
Series Mo. factor CNL CNL exp. CNL exp.
2009-R1 33 21.41 0.75 1.10-1.20 1.00-1.10
2009-R2 31 28.49 0.71 1.20-1.30 1.00-1.1
2009-R3 31 27.87 0.56 1.05-1.15 0.80-0.90
2010-R1 26 43.78 0.50 1.35-1.45 0.90-1.00
2010-R2 23 52.01 0.54 1.45-1.55 1.25-1.35
2010-R3 18 58.73 0.30 1.90-2.10 0.90-1.00
CNL - Cumulative net loss.
Each transaction has a sequential principal payment structure with
credit enhancement in the form of overcollateralization, a reserve
account, and, to the extent available, excess spread. The credit
support level for each transaction has grown for all outstanding
classes as a percentage of the declining collateral balance (see
table 2).
Table 2
Hard Credit Support
As of the March 2012 distribution
Current
Total hard total hard
credit support credit support
Series Class at issuance(i) (% of current)(ii)
2009-R1 A-3 5.32 42.49
2009-R2 A-1 5.32 34.42
2009-R3 A-3 5.30 41.24
2010-R1 A-2 5.52 24.04
2010-R1 A-3 5.52 24.04
2010-R1 B 2.81 17.85
2010-R1 C 1.00 13.72
2010-R1 D (0.81) 9.59
2010-R2 A 5.41 22.98
2010-R2 B 2.76 17.88
2010-R2 C 1.00 14.49
2010-R2 D (0.77) 11.09
2010-R3 A-1 5.52 20.67
2010-R3 A-2 5.52 20.67
2010-R3 A-3 5.52 20.67
2010-R3 B 2.81 16.05
2010-R3 C 1.00 12.97
2010-R3 D (0.81) 9.89
(i)Consists of a reserve account, overcollateralization, and, for
the higher-rated trances, subordination; excludes excess spread,
which can also provide additional enhancement. (ii)Total hard
credit support at issuance and current total hard credit support
are as a percentage of the gross receivables balance.
"We incorporated a cash flow analysis into our 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, 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 have
adequate credit enhancement at their raised and affirmed rating
levels," S&P said.
"While we did not take any rating action on the series 2011-R1 and
2011-R2 transactions, they are trending better than our initial
expectations," S&P said.
"We will continue to monitor each transaction's performance 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," 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
Ford Auto Securitization Trust
Rating
Series Class To From
2010-R1 B AA+ (sf) AA (sf)
2010-R1 C AA (sf) A (sf)
2010-R1 D AA- (sf) BB+ (sf)
2010-R2 B AA+ (sf) AA (sf)
2010-R2 C AA (sf) A (sf)
2010-R2 D AA- (sf) BBB (sf)
2010-R3 C AA (sf) A+ (sf)
2010-R3 D AA- (sf) BBB+ (sf)
RATINGS AFFIRMED
Ford Auto Securitization Trust
Series Class Rating
2009-R1 A-3 AAA (sf)
2009-R2 Notes AAA (sf)
2009-R3 A-3 AAA (sf)
2010-R1 A-2 AAA (sf)
2010-R1 A-3 AAA (sf)
2010-R2 A AAA (sf)
2010-R3 A-1 AAA (sf)
2010-R3 A-2 AAA (sf)
2010-R3 A-3 AAA (sf)
2010-R3 B AA+ (sf)
FOUR CORNERS 2005-I: Moody's Raises Rating on Cl. D Notes to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Four Corners CLO 2005-I Ltd.:
US $16,250,000 Class B Senior Floating Rate Notes Due 2017,
Upgraded to Aaa (sf); previously on July 8, 2011 Upgraded to Aa1
(sf);
US $17,250,000 Class C Deferrable Mezzanine Floating Rate Notes
Due 2017, Upgraded to Aa2 (sf); previously on July 8, 2011
Upgraded to A2 (sf);
US $15,750,000 Class D Deferrable Mezzanine Floating Rate Notes
Due 2017, Upgraded to Ba1 (sf); previously on Jul 8, 2011 Upgraded
to Ba2 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of delevering of the senior notes resulting in
an increase in the transaction's overcollateralization ratios
since the rating action in July 2011. Moody's notes that the Class
A-1 Notes, Class A-2 Notes, and Class A-3 Notes have been paid
down by approximately 45.7% or $79.4 million since the last rating
action. Based on the latest trustee report dated March 16, 2012,
the Senior and Mezzanine overcollateralization ratios are reported
at 131.98% and 106.34%, respectively, versus June 2011 levels of
118.36% and 104.25%, respectively. Moody's also notes that the
deal's WARF is stable relative to the last rating action.
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 March 2012 trustee
report, reference securities that mature after the maturity date
of the notes currently make up approximately 6.5% of the
underlying reference 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 analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $154.3 million,
defaulted par of $2.9 million, a weighted average default
probability of 11.61% (implying a WARF of 2184), a weighted
average recovery rate upon default of 49.02%, and a diversity
score of 35. 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.
Four Corners CLO 2005-I Ltd., issued in February 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.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is 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% (1747)
Class B: 0
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (2621)
Class B: 0
Class C: -2
Class D: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2014 and
2016 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
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.
GE COMMERCIAL 2004-C2: Moody's Keeps 'C' Rating on O Certificates
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 11 classes and
affirmed 12 classes of GE Commercial Mortgage Corporation,
Commercial Mortgage Pass-Through Certificates, Series 2004-C2 as
follows:
Cl. A-3, Affirmed at Aaa (sf); previously on April 28, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on April 28, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on April 28, 2004
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on May 12, 2011 Upgraded
to Aaa (sf)
Cl. C, Upgraded to Aaa (sf); previously on May 12, 2011 Upgraded
to Aa1 (sf)
Cl. D, Upgraded to Aa3 (sf); previously on April 28, 2004
Definitive Rating Assigned A2 (sf)
Cl. E, Upgraded to A1 (sf); previously on April 28, 2004
Definitive Rating Assigned A3 (sf)
Cl. F, Upgraded to A2 (sf); previously on April 28, 2004
Definitive Rating Assigned Baa1 (sf)
Cl. G, Upgraded to Baa1 (sf); previously on April 28, 2004
Definitive Rating Assigned Baa2 (sf)
Cl. H, Affirmed at Baa3 (sf); previously on April 28, 2004
Definitive Rating Assigned Baa3 (sf)
Cl. J, Affirmed at B1 (sf); previously on August 13, 2010
Downgraded to B1 (sf)
Cl. K, Affirmed at B3 (sf); previously on August 13, 2010
Downgraded to B3 (sf)
Cl. L, Affirmed at Caa2 (sf); previously on August 13, 2010
Downgraded to Caa2 (sf)
Cl. M, Affirmed at Caa3 (sf); previously on August 13, 2010
Downgraded to Caa3 (sf)
Cl. N, Affirmed at Ca (sf); previously on August 13, 2010
Downgraded to Ca (sf)
Cl. O, Affirmed at C (sf); previously on August 13, 2010
Downgraded to C (sf)
Cl. PPL-A, Upgraded to Baa2 (sf); previously on April 28, 2004
Definitive Rating Assigned Baa3 (sf)
Cl. PPL-B, Upgraded to Baa3 (sf); previously on April 2, 2004
Assigned Ba1 (sf)
Cl. PPL-C, Upgraded to Ba1 (sf); previously on April 28, 2004
Definitive Rating Assigned Ba2 (sf)
Cl. PPL-D, Upgraded to Ba2 (sf); previously on April 28, 2004
Definitive Rating Assigned Ba3 (sf)
Cl. PPL-E, Upgraded to Ba3 (sf); previously on April 28, 2004
Definitive Rating Assigned B1 (sf)
Cl. PPL-F, Upgraded to B1 (sf); previously on April 28, 2004
Definitive Rating Assigned B2 (sf)
Cl. X-1, Affirmed at Ba3 (sf); previously on February 22, 2012
Downgraded to Ba3 (sf)
RATINGS RATIONALE
The upgrades for the pooled classes are due to overall improved
pool financial performance and increased credit support due to
loan payoffs and amortization. The upgrades for the six rake
classes associated with the Pacific Place Loan are due to improved
performance resulting from stable property operations and
principal amortization.
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
2.8% of the current balance. At last review, Moody's cumulative
base expected loss was 3.3%. Realized losses only represent 0.1%
of the original pooled balance. Moody's provides a current list of
base expected losses for conduit and fusion CMBS transactions on
moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in 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 Structured Finance Interest-Only
Securities" published in February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 28 compared to 30 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 12, 2011.
DEAL PERFORMANCE
As of the March 12, 2012 distribution date, the transaction's
aggregate certificate pooled balance has decreased by 30% to $970
million from $1.38 billion at securitization. The Certificates are
collateralized by 96 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten non-defeased loans
representing 44% of the pool. Fourteen loans, representing 9% of
the pool, have defeased and are secured by U.S. Government
securities. The pool contains three loans with investment grade
credit estimates, representing 18% of the pool.
Twenty-four loans, representing 24% 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.
Four loans have been liquidated from the pool, resulting in a
realized loss of $1.4 million (8% loss severity on average).
Currently one loan, representing less than 1% of the pool, is in
special servicing. Moody's estimates a $3.5 million loss for the
specially serviced loan (44% expected loss on average).
Moody's has assumed a high default probability for five poorly
performing loans representing 6% of the pool and has estimated an
aggregate $9.6 million loss (17% expected loss based on a 40%
probability of default) from these troubled loans.
Moody's was provided with full year 2010/2011 operating results
for 89% of the pool. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 85% compared to 86% at
Moody's prior review. Moody's net cash flow reflects a weighted
average haircut of 11% 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 1.47X and 1.26X, respectively, compared to
1.46X and 1.21X 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 Tysons Corner
Center Loan ($85.8 million -- 8.8%), which represents a 28% pari-
passu interest in a first mortgage loan. The loan is secured by
the borrower's interest in a 2.0 million square foot regional mall
located in McLean, Virginia. The mall is anchored by
Bloomingdale's, Macy's, Nordstrom and Lord & Taylor. The
property's financial performance has improved since securitization
due to additional rental income from a 265,000 square foot
renovation/expansion that was completely in 2007. The property was
98% leased as of September 2011 compared to 97% at the prior
review. Moody's current credit estimate and stressed DSCR are Aaa
and 2.31X, respectively, compared to Aaa and 2.28X at last review.
The second largest loan with a credit estimate is the Pacific
Place Loan ($77.8 million -- 8.0%), which is secured by a two-
building mixed use property including retail, office and leased
hotel components. The loan is divided into a senior component
which is security for the pooled classes and six subordinate
components (totaling $24.4 million) which are security for non-
pooled classes PPL-A, PPL-B, PPL-C, PPL-D, PPL-E and PPL-F. The
property is located in the Union Square submarket of San
Francisco, California. The two buildings are referred to as Pac
One and Pac Two. Pac One is an eight-story property built in 1907
and renovated in 1981 and 1999. Old Navy occupies a portion of the
ground floor and all of the basement, second and third floors.
Part of the ground floor, as well as floors five through nine, are
leased to the 200-room Palomor Hotel through June 2097. Pac Two is
a 16-story building housing the subject's office component as well
as the Container Store on the two lower levels. Pac Two was built
in 1907 and renovated in 1999. As of September 2011, the complex
was 100% leased compared to 98% at last review. The loan was
interest only for the first two years and now amortizes on a 360-
month schedule. Moody's current credit estimate and stressed DSCR
for the pooled portion of the loan are Baa1 and 1.60X,
respectively, compared to Baa2 and 1.52X at last review.
The third largest loan with a credit estimate is the AFR/Bank of
America Portfolio Loan ($14.6 million -- 1.5%), which represents a
5.9% pari-passu interest in a first mortgage loan secured by 115
properties located in various states. The properties consist of
office, operation centers and retail bank branches. As of
September 2011, the portfolio was 89% leased compared to 88% at
last review. Six properties have been released from the pool and
31 properties, representing 24% of the loan balance, have defeased
since securitization. Due to property releases, defeasance and
loan amortization, the loan balance has decreased by approximately
27% since securitization. Moody's current credit estimate and
stressed DSCR are A1 and 1.52X, respectively, compared to A1 and
1.54X at last review.
The top three performing conduit loans represent 15% of the pool.
The largest loan is the Prince Building Loan ($63.8 million --
6.6%), which is secured by a 312,570 square foot office and retail
building located in the SoHo submarket of New York City. The
building was built in 1897 and renovated in 1991. The 12-story,
Class B office building includes 22,335 square feet of street
level retail space and 312,570 square feet of office space. The
largest tenant is Scholastic, which occupies 43% of the property's
net rentable area (NRA) through 2013 and 2018. The three retail
tenants include Equinox, Forever 21 and Armani. As of September
2011, the property was 97% leased compared to 99% at the prior
review. Moody's LTV and stressed DSCR are 42% and 2.25X,
respectively, compared to 49% and 1.92X at last review.
The second largest loan is the Princeton Office Loan ($50.7
million -- 5.2%), which is secured by a six Class A office
buildings located in the 10-building College Park Research Center
in Plainsboro Township, New Jersey. The complex was built in
phases between 1976 and 1981 and is encumbered by a ground lease
through 2037. As of December 2011, the property was 91% leased
compared to 93% at last review and 85% at securitization. Moody's
LTV and stressed DSCR are 98% and 1.02X, respectively, compared to
77% and 1.31X at last review.
The third largest loan is the Stonebriar Plaza Loan ($27.9 million
-- 2.9%), which is secured by a 182,147 square foot retail
property located in Frisco, Texas. As of November 2011, the
property was 76% leased compared to 67% at the last review and 85%
at securitization. Property cash flow significantly dropped during
the recession but has shown slight signs of improvement as the
borrower has been able to lease up some of the vacant space.
Moody's has identified this as a troubled loan. The loan matures
in 2014. Moody's LTV and stressed DSCR are 163% and 0.60X,
respectively, compared to 156% and 0.62X at last review.
GE COMMERCIAL 2005-C1: Fitch Cuts Rating on $25.1MM Notes to CCsf
-----------------------------------------------------------------
Fitch Ratings has downgraded one subordinate class of GE
Commercial Mortgage Corporation (GECMC) commercial mortgage pass-
through certificates, series 2005-C1.
The downgrades reflect Fitch expected losses, most of which are
associated with the specially serviced loans. Fitch modeled
losses of 5.24% of the remaining pool. The total loss expectation
based on the original pool balance is 4.61%, which includes losses
realized to date. Fitch has designated 22 loans (25.71% of the
pool balance) as Fitch Loans of Concern, which include six
specially serviced loans (9.25%). Six of the Fitch Loans of
Concern (12.33%) are within the transaction's top 15 loans by
unpaid principal balance.
As of the March 2012 distribution date, the pool's aggregate
principal balance has reduced by 38.11% (including 1.36% of
realized losses) to $1.04 billion from $1.67 billion at issuance.
There are eight defeased loans (7.92%). Interest shortfalls are
affecting classes F through P.
The largest contributor to Fitch-modeled losses is the Washington
Mutual Buildings loan (3.77%), the fifth largest in the pool. The
original loan was secured by fee and leasehold interest in 257,336
square feet (SF) of office space in Los Angeles, CA previously
100% occupied by Washington Mutual. The loan transferred to
special servicing in March 2009 and the completely vacant
properties became real estate owned (REO) in September 2009. The
REO properties were sold in 2010, for approximately $10.5 million.
The special servicer pursued a deficiency claim against the
guarantor and borrower, and was granted summary judgment in June
2010. The guarantor and borrower subsequently filed appeal and as
a condition of the appeal, have posted a bond for the amount of
the judgment. Although a full recovery of the outstanding balance
is possible, until the outcome of the appeal is known, Fitch has
assumed losses based on the $10.5 million sale of the collateral.
The second largest contributor to Fitch-modeled losses is a 301
unit multifamily property in Jacksonville, FL (1.26%). The loan
transferred to special servicing in February 2009 due to payment
default and subsequently became REO in October 2009. The servicer
reported the property was recently sold at a March 2012
multifamily auction with final close of the sale pending.
The third largest contributor to Fitch-modeled losses is the
Lakeside Mall loan (8.14%), which is secured by the in-line space
and one of five anchors (Macy's Men's & Home) of a two-level 1.5
million SF regional mall located in Sterling Heights, MI within
the Detroit metropolitan statistical area (MSA). Additional non-
collateral anchors include Lord & Taylor and Sears. The servicer
reported occupancy for December 2011 at 75%, a decline from
December 2010 at 91%. The net operating income (NOI) debt service
coverage ratio (DSCR) reported at 1.25 times (x) for year end (YE)
December 2011, compared to 1.36x at YE December 2010. The loan is
sponsored by General Growth Properties, and is current as of the
March 2012 payment date.
Fitch downgrades the following class and revises the Recovery
Estimate (RE) as indicated:
-- $25.1 million class H to 'CCsf' from 'CCCsf'; RE 60% from
100%.
Fitch also affirms the following classes and revises Recovery
Estimates (REs) as indicated:
-- $129.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $36.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $31.1 million class A-AB at 'AAAsf'; Outlook Stable;
-- $457.9 million class A-5 at 'AAAsf'; Outlook Stable;
-- $69 million class A-1A at 'AAAsf'; Outlook Stable;
-- $110.9 million class A-J at 'AAAsf'; Outlook Stable;
-- $41.9 million class B at 'AAsf'; Outlook Stable;
-- $16.7 million class C at 'Asf'; Outlook Stable;
-- $27.2 million class D at 'BBBsf'; Outlook Stable;
-- $14.6 million class E at 'BBB-sf'; Outlook Stable;
-- $23 million class F at 'BBsf'; Outlook Stable;
-- $14.6 million class G at 'B-sf'; Outlook Negative;
-- $4.2 million class J at 'CCsf'; RE to 0% from 5%;
-- $8.4 million class K at 'Csf'; RE 0%;
-- $10.5 million class L at 'Csf; RE 0%;
-- $2.1 million class M at 'Csf'; RE 0%;
-- $6.3 million class N at 'Csf; RE 0%;
-- $4.2 million class O at 'Csf'; RE 0%.
Classes A-1 and A-2 have repaid in full. Fitch does not rate
class P.
On April 14, 2011, Fitch withdrew the rating on the interest-only
classes X-C and X-P.
GE COMMERCIAL 2005-C1: S&P Lowers Rating on Class G Cert. to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes of commercial mortgage pass-through certificates from GE
Commercial Mortgage Corp.'s series 2005-C1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "In addition, we
lowered our ratings on two classes and affirmed our ratings on
eight other classes from the same transaction," S&P said.
"Our rating actions follow our analysis of the credit
characteristics of the collateral remaining in the pool, the deal
structure, and the liquidity available to the trust. The upgrades
reflect increased credit enhancement levels due to the
deleveraging of the pool balance, as well as credit enhancement
and liquidity levels that provide adequate support through various
stress scenarios," S&P said.
"The downgrades reflect credit support erosion that we anticipate
will occur upon the eventual resolution of five ($80.5 million,
7.8%) of the six assets ($95.8 million, 9.3%) that are currently
with the special servicer. We also considered the monthly interest
shortfalls that are affecting the trust. We lowered our rating on
the class G certificate to 'D (sf)' because we believe that 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 X-C interest-only (IO) certificate based
on our current criteria," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.51x and a loan-to-value
(LTV) ratio of 87.7%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 1.10x
and an LTV ratio of 112.2%. The implied defaults and loss severity
under the 'AAA' scenario were 56.0% and 28.6%. The DSC and LTV
calculations exclude five ($80.5 million, 7.8%) of the six assets
($95.8 million, 9.3%) that are currently with the special
servicer, and eight defeased loans ($82.1 million, 7.9%). We
separately estimated losses for the specially assets and included
them in our 'AAA' scenario implied default and loss severity
figures," S&P said.
"As of the March 12, 2012, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $244,372
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts of $34,577, interest not advanced of $176,670, and
special servicing and workout fees of $33,124. The interest
shortfalls affected all classes subordinate to and including class
G. Class G has accumulative interest shortfalls outstanding for
five months. We downgraded class G to 'D (sf)' because we expect
these interest shortfalls to continue for the foreseeable future.
We lowered our rating on class F to 'CCC- (sf)' due to accumulated
interest shortfalls outstanding for five months. If class F
continues to experience interest shortfalls, we may lower our
rating to 'D (sf') on this class," S&P said.
CREDIT CONSIDERATIONS
"As of the March 12, 2012, trustee remittance report, six assets
($95.8 million, 9.3%) in the pool were with the special servicer,
LNR Partners LLC (LNR). The reported payment status of the
specially serviced assets as of the most recent trustee remittance
report is as follows: three are real estate owned (REO) ($72.5
million, 7.0%), two are 90-plus-days delinquent ($8.1 million,
0.8%), and one is late but less than 30 days ($15.3 million,
1.5%). Appraisal reduction amounts (ARAs) totaling $41.8 million
are in effect against four of the six specially serviced assets.
Details of the two largest specially serviced assets, both of
which are top 10 assets, are as set forth," S&P said.
"The Washington Mutual Buildings asset ($39.0 million, 3.8%) is
the fifth-largest asset in the pool. The total reported exposure
was $39.6 million. The asset consists of three office buildings
totaling 257,336 sq. ft. in Los Angeles, Calif. The loan was
transferred to the special servicer on March 19, 2009, due to
imminent default, and the office properties became REO on Sept.
17, 2009. The sole tenant in the office property, Washington
Mutual Inc. (WaMu), was acquired by JPMorgan Chase Bank and the
leases were subsequently rejected. LNR informed us that it sold
the office portfolio in 2010 for a combined total of $15.0
million. However, the transaction has not closed yet due to
deficiency claims. LNR is pursuing legal remedies and the
sale proceeds are currently held in escrow until the legal issues
are resolved. An ARA of $32.9 million is in effect against the
asset. We expect a significant loss upon the eventual resolution
of this asset," S&P said.
"The Oak Park Office Center asset ($20.4 million, 2.0%), a
173,400-sq.-ft. office building in Houston, is the eighth-largest
asset in the pool. The total reported exposure was $21.1 million.
The loan was transferred to the special servicer on April 26,
2010, due to imminent default and the property became REO on May
3, 2011. LNR indicated to us that the property is currently listed
for sale and an updated appraisal is not available. The reported
DSC was 0.71x as of Dec. 31, 2010. We expect a moderate loss upon
the eventual resolution of this asset," S&P said.
"The four remaining assets with the special servicer have
individual balances that represent less than 1.5% of the total
pooled trust balance. ARAs totaling $8.9 million are in effect
against three of these assets. We estimated losses for the three
of the four remaining assets, arriving at a weighted-average loss
severity of 42.0%. LNR stated that it is monitoring the remaining
loan since it has a current payment status," S&P said.
"According to the master servicer, one loan, the Lakeside Mall
loan, with a trust balance of $84.4 million (8.1%) and a whole-
loan balance of $168.7 million, was previously with the special
servicer and has since been returned to the master servicer.
Pursuant to the transaction documents, the special servicer is
entitled to a workout fee that is 1.0% of all future principal and
interest payments if the loan performs and remains with the master
servicer," S&P said.
TRANSACTION SUMMARY
"As of the March 12, 2012, trustee remittance report, the
collateral pool had an aggregate trust balance of $1.04 billion,
down from $1.67 billion at issuance. The pool comprises 90 loans
and three REO assets, down from 127 loans at issuance. The master
servicer, GEMSA Loan Services L.P. (GEMSA), provided financial
information for 92.5% of the loans in the pool (by balance), which
reflected data for full-year 2010, interim- or full-year 2011,"
S&P said.
"We calculated a weighted average DSC of 1.50x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV were 1.51x and 87.7%. Our adjusted figures exclude five
($80.5 million, 7.8%) of the six assets ($95.8 million, 9.3%) that
are currently with the special servicer, and eight defeased loans
($82.1 million, 7.9%). To date, the transaction has experienced
$22.8 million in principal losses from 13 assets. Twenty loans
($254.2 million, 24.5%) in the pool are on the master servicer's
watchlist, including two of the top 10 assets, which we discuss
below. Sixteen loans ($133.0 million, 12.8%) have a reported DSC
of less than 1.10x, 13 of which ($112.0 million, 10.8%) have a
reported DSC of less than 1.00x," S&P said.
SUMMARY OF TOP 10 ASSETS SECURED BY REAL ESTATE
"The top 10 assets secured by real estate have an aggregate
outstanding pooled balance of $426.9 million (41.2%). Using
servicer-reported numbers, we calculated a weighted average DSC of
1.66x for eight of the top 10 assets. The remaining two top 10
assets ($59.4 million, 5.8%) are with the special servicer, which
we discussed above. Our adjusted DSC and LTV were 1.65x and 83.0%
for eight of the top 10 assets, excluding the two specially
serviced assets. Two ($102.2 million, 9.8%) of the top 10 assets
are on the master servicer's watchlist. The Lakeside Mall loan,
the second-largest asset in the pool, has a whole-loan balance of
$168.7 million that is split into two pari passu pieces, $84.4
million of which makes up 8.1% of the pooled trust balance. The
loan is secured by 643,375 sq. ft. of a 1.48 million-sq.-ft.
regional mall in Sterling Heights, Mich., a suburb of Detroit.
According to the master servicer, the loan was previously
transferred to the special servicer on April 29, 2009, as part of
the GGP bankruptcy. The loan was modified on Jan. 4, 2010 and the
modification terms included an extension of the loan's maturity
from Dec. 1, 2009, to June 1, 2016. The loan was returned to the
master servicer on May 20, 2010. The loan appears on the master
servicer's watchlist due to a low reported DSC, which was 1.19x
for the year ended Dec. 31, 2011. Occupancy was 70.2% according to
the Sept. 30, 2011, rent roll," S&P said.
"The 23rd & Madison loan ($17.8 million, 1.7%), the 10th-largest
asset in the pool, is secured by a 54,027-sq.-ft. grocery-anchored
shopping center in Seattle, Wash. The loan is on GEMSA's watchlist
due to a low reported DSC, which was 0.91x for year-end 2010.
According to GEMSA, the property performance has improved in 2011;
the reported DSC and occupancy for the six months ended June 30,
2011, were 1.37x and 88.5%. GEMSA indicated that it will remove
the loan from its watchlist given the positive DSC," S&P said.
"Standard & Poor's stressed the pool collateral according to its
criteria. The resultant credit enhancement levels are consistent
with our raised, 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,"
S&P said.
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
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class To From Credit enhancement (%)
A-J AA+ (sf) AA- (sf) 19.41
B A+ (sf) A- (sf) 15.37
C A- (sf) BBB+ (sf) 13.75
RATINGS LOWERED
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class To From Credit enhancement (%)
F CCC- (sf) B (sf) 7.49
G D (sf) CCC+ (sf) 6.08
RATINGS AFFIRMED
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C1
Class Rating Credit enhancement (%)
A-3 AAA (sf) 30.11
A-4 AAA (sf) 30.11
A-AB AAA (sf) 30.11
A-5 AAA (sf) 30.11
A-1A AAA (sf) 30.11
D BBB- (sf) 11.13
E BB+ (sf) 9.71
X-C AAA (sf) N/A
N/A - Not applicable.
GIA INVESTMENT: Moody's Raises Rating on US$14MM B Notes to 'Ba3'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by GIA Investment Grade CDO 2001 Ltd.:
US$17,000,000 Class A-2 Floating Rate Senior Subordinated Notes
Due April 1, 2013, Upgraded to Aaa (sf); previously on June 10,
2011 Upgraded to A1 (sf);
US$14,000,000 Class B Floating Rate Senior Subordinated Notes
Due April 1, 2013, Upgraded to Ba3 (sf); previously on June 10,
2011 Upgraded to B2 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of delevering of the senior notes and an
increase in the transaction's overcollateralization ratios since
the last rating action in June 2011. Moody's notes that the Class
A-1 Notes have been paid down by approximately 94% or $86.2
million since the last rating action. Based on the latest trustee
report dated March 21, 2012, the Class A and Class B
overcollateralization ratios are reported at 138.59% and 109.15%,
respectively, versus May 2011 levels of 118.8% and 105.22%,
respectively. The reported overcollateralization ratios do not
reflect the recent principal distribution of $29.6 million to the
Class A-1 notes on April 2, 2012.
Notwithstanding benefits of the delevering, Moody's notes that the
credit quality of the underlying portfolio has deteriorated since
the last rating action. Based on the March 2012 trustee report,
the weighted average rating factor is currently 2727 compared to
1878 in May 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 $39.1 million,
defaulted par of $4.5 million, a weighted average default
probability of 1.82% (implying a WARF of 1913), a weighted average
recovery rate upon default of 27%, and a diversity score of 9. 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.
GIA Investment Grade CDO 2001 Ltd., issued in March 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
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, Moody's supplemented its
analysis with a simulation of expected losses using CDOROM 2.8TM.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is 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% (1531)
Class A-1: 0
Class A-2: 0
Class B: +1
Moody's Adjusted WARF + 20% (2296)
Class A-1: 0
Class A-2: 0
Class B: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by uncertainties of credit
conditions in the general economy. 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 described
below:
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 bond market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2) 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.
3) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors that are rated non investment grade, 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 CDOROMTM software and/or individual scenario
analysis.
GOLDMAN SACHS: Moody's Cuts Ratings on 27 Note Tranches to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 39
tranches, upgraded the ratings of 3 tranches, and confirmed the
ratings of 7 tranches from 11 RMBS transactions, backed by
Subprime loans, issued by Goldman Sachs.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. 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. 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, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: GSAA Home Equity Trust 2004-9
Cl. M-5, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: GSAA Trust 2004-NC1
Cl. AF-5, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2002-HE2 (wholesale;25% fixed/75% ARMs)
Cl. A-2, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Confirmed at Caa2 (sf); previously on Jan 31,
2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: GSAMP Trust 2003-FM1
Cl. M-1, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Issuer: GSAMP Trust 2003-HE1
Cl. M-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2003-HE2
Cl. A-1A, Downgraded to A3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. A-1B, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Upgrade
Cl. A-3A, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-3C, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to C (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. M-4, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2003-NC1
Cl. M-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2004-AR1
Cl. M-1, Downgraded to Baa3 (sf); previously on Mar 17, 2011
Downgraded to A3 (sf)
Cl. M-2, Downgraded to B1 (sf); previously on Mar 17, 2011
Downgraded to Ba3 (sf)
Cl. M-3, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. M-6, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-3, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-4, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-5, Downgraded to C (sf); previously on Mar 17, 2011
Confirmed at Ca (sf)
Issuer: GSAMP Trust 2004-FM1
Cl. M-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2004-FM2
Cl. M-1, Upgraded to Ba3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-3, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-4, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2004-WF
Cl. M-1, Upgraded to Aa3 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF280494
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
GREENWICH CAPITAL: Fitch Affirms 'CCsf' Rating on $6.5MM O Notes
----------------------------------------------------------------
Fitch Ratings affirms 17 classes of Greenwich Capital Commercial
Funding Corp. (GCCFC), series 2004-GG1 commercial mortgage pass-
through certificates.
The affirmations are a result of stable performance relative to
the previous rating action. Fitch modeled losses of 2.85% for the
remaining pool; expected losses as a percentage of the original
pool balance are at 2.26%, including losses already incurred to
date (0.76%). Fitch has designated 29 loans (29.90%) as Fitch
Loans of Concern, which includes the eight specially serviced
loans (8.25%). Fitch expects that class O may be fully depleted
from realized and expected losses.
As of the March 2012 distribution date, the pool's aggregate
principal balance has been reduced by approximately 46.42% to
$1.41 billion from $2.63 billion at issuance. Interest shortfalls
total $1.56 million and affect class P. Currently 13 loans (32% of
the pool) have defeased.
The largest contributor to modeled losses is the Aegon Center loan
(7.30% of the pool), which is secured by a 35-story, approximately
633,650 square foot (sf) multi-tenant office tower with a 504-
space attached parking garage, located in the Louisville, KY,
central business district. Aegon is scheduled to vacate 200,000 sf
of the building on or before Dec. 31, 2012. The company is closing
the pension operations that reside in the Lexington, KY area and
will only support a small technology group at the building. Hines
has been aggressively marketing the space and has backfilled
80,000 sf of Aegon's space with a new tenant, Mercer Inc. In its
modeling of the loan, Fitch applied a downward adjustment to net
operating income (NOI) commensurate with the anticipated decline
in revenues associated with the remaining space becoming vacant in
early 2013.
The second-largest contributor to modeled losses, Victorville
Pavilion (0.41% of the pool), is the specially serviced retail
center comprising of 40,754 sf with a restaurant outparcel. The
center is located in Victorville, CA, east of Los Angeles, and is
adjacent to the Mall of Victor Valley. The loan was transferred to
the special servicer on March 13, 2009 based on imminent default.
Circuit City was the anchor and vacated the site in 2009. The
special servicer has worked to release the anchor space and sign
new tenants for the remaining three small inline spaces. An
outparcel was sold in January 2011 and with the completion of the
leasing activity the special servicer continues to evaluate
workout options.
The third-largest contributor to modeled losses, Friendship Center
(0.41% of the pool), is an anchored retail center located in
Ocala, Fl. The collateral includes approximately 108,216 sf of
retail space where occupancy has continued to decrease due to
depressed retail activity. As of year-end 2011, the center's
occupancy was recorded at 65%. CBRE has been retained in order to
manage and lease the property. Leasing activity in the first
quarter of 2012 has been very active as three tenants have renewed
and a number of other tenant negotiations are in early stages.
Fitch affirms these classes as indicated:
-- $28.3 million class A-6 at 'AAAsf', Outlook Stable;
-- $1 billion class A-7 at 'AAAsf', Outlook Stable;
-- $61.8 million class B at AAAsf', Outlook Stable;
-- $26 million class C at 'AAAsf', Outlook Stable;
-- $52 million class D at 'AAAsf', Outlook Stable;
-- $32.5 million class E at 'AAAsf', Outlook Stable;
-- $32.5 million class F at 'A+sf', Outlook Positive;
-- $26 million class G at 'A-sf', Outlook Positive;
-- $39 million class H at 'BBBsf', Outlook Stable;
-- $6.5 billion class J at 'BB+sf', Outlook Stable;
-- $13 million class K at 'BBsf', Outlook Stable;
-- $13 million class L at 'Bsf', Outlook Stable;
-- $9.8 million class M at 'B-sf', Outlook Negative;
-- $9.8 million class N at 'CCCsf', RE 90%;
-- $6.5 million class O at 'CCsf', RE 0%;
-- $9.8 million class OEA-B1 at 'AAAsf', Outlook Stable;
-- $13.2 million class OEA-B2 at 'AAAsf', Outlook Stable.
Classes A-1, A-2, A-3, A-4, and A-5 have repaid in full. Fitch
does not rate $22.3 million class P. Classes XC and XP were
previously withdrawn.
GREENWICH CAPITAL: Moody's Cuts Ratings on 2 Cert. Classes to 'C'
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of ten classes
and affirmed ten classes of Greenwich Capital Commercial Funding
Corp. Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2005-GG5 as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Jan 17, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Jan 17, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4-1, Affirmed at Aaa (sf); previously on Jan 17, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4-2, Affirmed at Aaa (sf); previously on Jan 17, 2006
Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Jan 17, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-5, Downgraded to Aa2 (sf); previously on Mar 29, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. A-M, Downgraded to A2 (sf); previously on Mar 29, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-J, Downgraded to Ba1 (sf); previously on Mar 29, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to B3 (sf); previously on Mar 29, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. C, Downgraded to Caa2 (sf); previously on Mar 29, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Cl. D, Downgraded to Caa3 (sf); previously on Mar 29, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. E, Downgraded to Ca (sf); previously on Mar 29, 2012 Caa2 (sf)
Placed Under Review for Possible Downgrade
Cl. F, Downgraded to C (sf); previously on Mar 29, 2012 Ca (sf)
Placed Under Review for Possible Downgrade
Cl. G, Downgraded to C (sf); previously on Mar 29, 2012 Ca (sf)
Placed Under Review for Possible Downgrade
Cl. H, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded
to C (sf)
Cl. XC, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. XP, Downgraded to Baa3 (sf); previously on Mar 29, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The downgrades are due to higher expected losses for the pool
resulting from actual and anticipated losses from specially
serviced and troubled loans along with the possibility of interest
shortfalls affecting investment grade classes.
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
10.4% of the current balance. At last review, Moody's cumulative
base expected loss was 8.2%. Realized losses have increased from
0.6% of the original balance to 2.4% since the prior review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in 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 Structured Finance Interest-Only
Securities" published in February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 31 compared to 34 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated April 28, 2011.
DEAL PERFORMANCE
As of the March 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 15% to $3.65
billion from $4.30 billion at securitization. The Certificates are
collateralized by 150 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 46%
of the pool. Three loans, representing 0.3% of the pool, have
defeased and are secured by U.S. Government securities. The pool
contains two loans with investment grade credit estimates,
representing 3% of the pool.
Thirty-eight loans, representing 14% 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-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $103.8 million (30% loss severity).
Twenty-four loans, representing 23% of the pool, are currently in
special servicing. The largest specially serviced loan is the
Schron Industrial Portfolio Loan ($317.5 million -- 8.7% of the
pool), which is secured by 36 industrial-flex properties totaling
6.2 MM square feet (SF) and built between 1970 and 2003. The
properties are located across 15 MSAs and 14 states with
Pennsylvania having the largest concentration (21%). The loan
transferred to special servicing in December 2010 for a non-
monetary default with the last paid thru date being April 2011.
Performance has suffered due to a drop in occupancy, with March
2012 occupancy at 64%. The special servicer has moved forward with
foreclosure actions and has applied an appraisal reduction of
$137.3 million for this loan. The continued performance
deterioration of this loan and thus higher expected loss is a
driving factor in the downgrade of this transaction.
The remaining 23 specially serviced properties are secured by a
mix of property types. The master servicer has recognized an
aggregate $318.7 million appraisal reduction for 24 of the
specially serviced loans. Moody's has estimated an aggregate
$319.9 million loss (40% expected loss on average) for the
specially serviced loans.
Based on the most recent remittance statement, Classes B through L
have experienced cumulative interest shortfalls totaling $19.4
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,
ASERs, extraordinary trust expenses and non-advancing by the
master servicer based on a determination of non-recoverability.
Moody's has assumed a high default probability for 12 poorly
performing loans representing 1.2% of the pool and has estimated
an aggregate $8.5 million loss (20% expected loss based on a 50%
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 credit
estimate loans, Moody's weighted average LTV is 99% compared to
101% 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 9.1%.
Excluding special serviced, troubled, and credit estimate loans
Moody's actual and stressed DSCRs are 1.44X and 1.03X,
respectively, compared to 1.47X and 0.95X 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 San Francisco
Centre Loan ($60.0 million - 1.6%), which represents a 50% pari-
passu interest in a $120.0 million first mortgage loan. The loan
is secured by the borrower's leasehold interest in a 498,100 SF
retail center located in the Union Square retail area of San
Francisco, California. The tenancy consists of a mix of
established and trend-setting boutiques, traditional high-end mall
retailers and a flagship Nordstrom and Bloomingdales, which are
not part of the collateral. The center was 97% leased as of
December 2010, essentially the same as at last review and
securitization. Performance has been stable. The loan sponsors are
the Westfield Group and Forest City. Moody's current credit
estimate and stressed DSCR are Baa2 and 1.27X, respectively,
compared to Baa2 and 1.22X at last review.
The second largest loan with a credit estimate is the Imperial
Valley Loan ($53.5 million - 1.5%), which is secured by the
borrower's interest in an 765,000 SF regional mall located in El
Centro, California. The center is anchored by Sears, Dillard's, JC
Penney and Macy's. As of September 2011, the center was 98%
leased, essentially the same as at last review. Performance has
been stable. Moody's current credit estimate and stressed DSCR are
Baa3 and 1.33X, respectively, compared to Baa3 and 1.31X at last
review.
The top three conduit loans represent 20% of the pool. The largest
conduit loan is the 731 Lexington Avenue Loan ($320.0 million -
8.8%), which is secured by a 148,000 SF multi-level retail
condominium located on Lexington Avenue between East 58th and East
59th Street in New York City. The property is 100% leased, the
same as last review. Major tenants include Home Depot, which
occupies 53% of the premises through January 2025, H&M and the
Container Store. The office component serves as the headquarters
for Bloomberg LP. Performance has been stable. Moody's LTV and
stressed DSCR are 98% and 0.86X, respectively, compared to 96% and
0.87X at last review.
The second largest conduit loan is the Lynnhaven Mall Loan ($224.1
million -- 6.1%), which is secured by the borrower's interest in a
1.3 million SF regional mall located in Virginia Beach, Virginia.
The mall is anchored by JC Penney, Macy's and Dillards. The loan
sponsor is General Growth Properties. Overall mall occupancy as of
September 2011 was 89%, the same as at last review and compared to
88% at securitization. Property performance has improved after a
down year in 2009 due what appears to be a one-time higher G&A
expense. Moody's LTV and stressed DSCR are 96% and 0.93X,
respectively, compared to 106% and 0.81X at last review.
The third largest conduit loan is the Maryland Multifamily
Portfolio Loan ($200.0 million - 5.5%), which represents a 59%
pari passu interest in a $340.0 million first mortgage loan. The
loan is secured by nine multifamily properties located mostly in
suburban Baltimore, Maryland. The portfolio was 94% leased as of
December 2011, the same as at last review. Performance has
improved slightly with an increase in rents. Moody's LTV and
stressed DSCR are 111% and 0.85X, respectively, compared to 118%
and 0.80X at last review.
GS MORTGAGE: Moody's Lowers Rating on Class A-2 Certs. to 'Ca'
--------------------------------------------------------------
Moody's has downgraded the ratings of two classes of Certificates
issued by GS Mortgage Securities Corporation II, Series 2006-RR2
due to deterioration in the credit quality of the underlying
collateral as evidenced by the Moody's weighted average rating
factor (WARF), recovery rate (WARR) and realized losses. The
affirmations are due to the 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. A-1, Downgraded to Caa3 (sf); previously on Jun 8, 2011
Downgraded to Caa2 (sf)
Cl. A-2, Downgraded to Ca (sf); previously on Jun 8, 2011
Downgraded to Caa3 (sf)
Cl. B, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. C, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. D, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. E, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. F, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Cl. O, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Ratings Rationale
GS Mortgage Securities Corporation II, Series 2006-RR2 is a static
pooled re-remic transaction backed by a portfolio of commercial
mortgage backed securities (CMBS) (100.0% of the pool balance). As
of the March 23, 2012 Trustee report, the aggregate Certificate
balance of the transaction, has decreased to $712.1 million from
$770.9 million at issuance, with the paydown directed to the Class
A1 Certificates, as a result of amortization of the underlying
collateral. The deal has sustained aggregate realized losses of
$19.9 million.
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 6,708 compared to 6,080 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (1.6% compared to 1.2% at last review), A1-A3
(0.7% compared to 1.3% at last review), Baa1-Baa3 (4.9% compared
to 5.0% at last review), Ba1-Ba3 (12.3% compared to 16.6% at last
review), B1-B3 (5.9% compared to 10.5% at last review), and Caa1-C
(74.7% compared to 65.4% 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 4.3 years compared
to 4.8 years 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
5.2% compared to 7.3% 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 that at last review.
The high MAC is due to a small number of collateral names
concentrated in high risk credits.
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
5.2% to 0.0% or up to 9.2% would result in average rating movement
on the rated tranches of 0 to 1 notch downward and 0 to 1 notch
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in 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.
INGRESS I: Fitch Cuts Ratings on $28MM C Notes to 'Dsf'
-------------------------------------------------------
Fitch Ratings has downgraded and withdrawn one class issued by
Ingress I, Ltd.
On April 4, 2012, the trustee notified noteholders of an event of
default (EOD) due to the failure to pay the full and timely
interest on the class C notes. Noteholders had not given
direction to accelerate the notes or liquidate the portfolio at
the time of this review.
Ingress CDO I is a collateralized debt obligation (CDO) supported
by a static pool of residential mortgage-backed securities (RMBS;
51.1%) and commercial mortgage backed securities (CMBS; 48.9%).
Additionally, $13.6 million of the trustee reported $23.8 million
portfolio represents the notional balance of interest-only CMBS
collateral.
Fitch has taken these actions:
-- $28,156,358 class C notes downgraded to 'Dsf' from 'Csf';
and withdrawn.
JER CRE 2006-2: Moody's Lowers Rating on Class B-FL Notes to 'C'
----------------------------------------------------------------
Moody's Investors Service has downgraded two and affirmed the
ratings of twelve classes of Notes issued by JER CRE CDO 2006-2
Ltd. The downgrades are due to material undercollateralization of
the Notes, realized losses on the underlying collateral and an
increase in interest shortfalls on pool collateral since last
review. 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 CLO) transactions.
Cl. A-FL, Downgraded to Ca (sf); previously on Jul 8, 2010
Downgraded to Caa3 (sf)
Cl. B-FL, Downgraded to C (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Cl. C-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. C-FX, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. D-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. D-FX, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. E-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. E-FX, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. F-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. G-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. H-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. J-FX, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to
C (sf)
Cl. L, Affirmed at C (sf); previously on Oct 1, 2009 Downgraded to
C (sf)
Ratings Rationale
JER CRE CDO 2006-2 Ltd. is a currently static cash CRE CDO
transaction (the reinvestment period ended October 2011) backed by
a portfolio of commercial mortgage backed securities (CMBS) (72.5%
of the pool balance), mezzanine loans (15.2%), CDOs (8.3%) and
whole loans (4.0%). As of the March 26, 2012 Trustee report, the
aggregate Note balance of the transaction, including preferred
shares, decreased to $752.3 million from $1.2 billion at issuance,
with the paydown directed to the Class A-FL Notes, s a result of a
combination of failing the overcollateralization tests and
redirection of interest on Defaulted Securities as principal
proceeds. The deal entered into an Event of Default on the
September 27, 2010 payment date as a result of failure to make
fullpayment of interest on the Class A-FL and Class B-FL Notes.
The current balance of the Preferred Shares has been reduced to
zero due to realized losses as of the March 26, 2012 Trustee
report.
There are fifty-nine assets with a par balance of $369.8 million
(74.9% of the current pool balance) that are considered Defaulted
Securities as of the March 26, 2012 Trustee report. Fifty-five of
these assets (88.4% of the defaulted balance) are CMBS, three
assets are CDO (9.3%), and one asset is a whole loan (2.2%).
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 8,899 compared to 8,969 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (6.5% compared to 0.0% at last review), Baa1-Baa3
(3.0% compared to 0.5% at last review), B1-B3 (0.0% compared to
2.4% at last review), and Caa1-C (90.5% compared to 97.1% 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 3.6 years compared
to 7.1 at last review. The large reduction in WAL is due to the
reinvestment period ending post the last review. The current WAL
reflects Moody's current view on the static collateral pool's
amortization profile and extensions, if any.
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
2.7% compared to 2.2% 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 0% compared to 100.0% 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 up to 13%
would result in average rating movement on the rated tranches of 0
to 1 notches upward, respectively.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in 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.
JPMORGAN 2000-C9: Fitch Keeps 'BB+' Rating on $20.4MM H Certs
-------------------------------------------------------------
Fitch Ratings affirms class H from J.P. Morgan Commercial Mortgage
Finance Corp.'s mortgage pass-through certificates, series 2000-
C9.
The affirmation is due to the increase in credit enhancement being
sufficient to offset Fitch expected losses. Fitch modeled losses
of 32.3% for the remaining pool; expected losses of the original
pool are at 5.5%, including losses already incurred to date
(4.6%). Fitch expects losses to be absorbed by the non-rated class
J.
As of the March 2012 distribution date, the pool's aggregate
principal balance has been paid down approximately 97.1% to $23.7
million from $814.4 million at issuance. The pool has become
highly concentrated with only six loans remaining, including one
defeased loan (the largest loan representing 39.1% of the pool).
Interest shortfalls are affecting the non-rated classes J through
NR with cumulative unpaid interest totaling $1.3 million. Fitch
has identified two loans (58.4%) as Fitch Loans of Concern, one of
which is currently in special servicing.
The first Loan of Concern (34.3%) is secured by a four-building
industrial property totaling 1.02 million square feet (SF) in
Elizabeth, NJ. The loan was transferred to the special servicer in
October 2009 as the borrower was not able to refinance the loan at
the anticipated repayment date (ARD) of Sept. 1, 2009. The loan
was modified in January 2012 and recently returned to the master
servicer. The property performance has deteriorated significantly
since year-end 2008 due to low occupancy and increased operating
expenses. The occupancy declined to 66.7% in November 2010 after
several tenants vacated upon lease expiration. The occupancy rate
has since rebounded after new leases were signed in December 2010
and September 2011. Servicer reported 3Q11 DSCR was 0.16 times (x)
with an occupancy rate of 84%.
The second Loan of Concern (5.8%) is secured by a 17,488 SF retail
property in Baltimore, MD. The loan was transferred to the special
servicer in February 2012 due to payment default. The special
servicer is working with the borrower to bring the loan current.
Fitch stressed the cash flow of the remaining loans by applying a
10% reduction to 2010 fiscal year-end or annualized 2011 year-to-
date net operating income, and applying an adjusted market cap
rate between 10% and 10.5 % to determine value.
Each loan also underwent a refinance test by applying an 8%
interest rate and 30-year amortization schedule based on the
stressed cash flow. Loans that could refinance to a debt-service
coverage ratio (DSCR) above 1.25x were considered to payoff at
maturity. The performing loans were applied a 5% default
probability with 45% loss severity.
Fitch has affirmed this class, as indicated:
-- $20.4 million class H at 'BB+'; Outlook Stable.
Classes A-1 through G have paid in full. Classes J, K and NR are
not rated by Fitch. Fitch has previously withdrawn the rating on
the Interest-only class X.
JPMORGAN 2004-CIBC9: S&P Affirms 'CCC-' Cl. F Certificates Rating
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on nine
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-
CIBC9, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
"The affirmations follow our analysis of the transaction primarily
using our U.S. conduit/fusion CMBS criteria, which included a
review of credit characteristics of the remaining collateral in
the pool and subordination and liquidity support levels that we
consider to be consistent with our outstanding ratings on these
classes. Our ratings analysis also considered the potential
decline in credit support that we anticipate will occur upon the
eventual resolution of nine ($51.9 million, 7.2%) of the 10 ($63.0
million, 8.8%) assets that are with the special servicer. We also
considered the monthly interest shortfalls that are affecting the
trust," S&P said.
"We affirmed our 'AAA (sf)' rating on the class X interest-only
(IO) certificate based on our current criteria," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.58x and a loan-to-value
(LTV) ratio of 74.4%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted-average DSC of 1.28x
and an LTV ratio of 95.3%. The implied defaults and loss severity
under the 'AAA' scenario were 32.9% and 25.0%. The DSC and LTV
calculations noted above exclude five ($46.0 million) defeased
loans and nine ($51.9 million, 7.2%) of the 10 assets ($63.0
million, 8.8%) that are currently with the special servicer. We
separately estimated losses for the excluded specially serviced
assets and included them in our 'AAA' scenario implied default and
loss severity figures," S&P said.
CREDIT CONSIDERATIONS
"As of the March 12, 2012, trustee remittance report, nine assets
($52.8 million, 7.4%) in the pool were with the special servicer,
C-III Asset Management LLC (C-III), one of which is a top 10 loan.
Subsequent to the March remittance report, the Buffalo Grove Town
Center loan ($10.2 million, 1.4%) was transferred to the special
servicer due to payment default. The reported payment status of
the specially serviced assets is: five are real estate owned (REO;
$15.8 million, 2.2%); three are 90-plus-days delinquent ($25.9
million, 3.6%); one is 60-days delinquent ($10.2 million, 1.4%);
and one is 30-days delinquent ($11.1 million, 1.6%). Appraisal
reduction amounts (ARAs) totaling $7.6 million are in effect
against seven of the 10 specially serviced assets. Details on the
three largest assets with the special servicer are as set forth,"
S&P said.
"The Ridgemont Apartments and Mountain Brook Apartments asset
($15.2 million, 2.1%) consists of two multifamily rental complexes
totaling 506 units in the Chattanooga, Tenn., area and is the
largest specially serviced asset and the seventh-largest loan in
the pool. The loan was transferred to C-III on Jan. 8, 2010, due
to imminent payment default, and the current payment status for
this asset is 90-plus-days delinquent. An ARA of $2.6 million is
in effect for this asset. C-III is proceeding with foreclosure.
Recent financial information is not available for this asset.
Standard & Poor's anticipates a moderate loss upon the eventual
disposition of this asset," S&P said.
"The Palm Glen Shopping Center loan ($11.1 million, 1.6%) is the
second-largest specially serviced asset. The loan was transferred
to special servicing on Aug. 5, 2009, due to payment default. The
asset is 30-days delinquent. The collateral is a 175,218-sq.-ft.
anchored retail shopping center Phoenix, Ariz. C-III indicated
that it will transfer the asset back to the master servicer
upon resolution of the outstanding default interest," S&P said.
"The Buffalo Grove Town Center loan ($10.2 million, 1.4%) is
secured by a 132,198-sq.-ft. anchored retail shopping center in
Buffalo Grove, Ill., about 35 miles outside Chicago. The loan's
reported payment status is 60-plus-days delinquent. As of Dec. 31,
2011, the reported DSC for the loan was 1.04x," S&P said.
"The remaining seven specially serviced assets have individual
balances that represent 0.9% or less of the total pool balance.
ARAs totaling $5.0 million were in effect against six of these
seven remaining specially serviced assets. According to the
special servicer, one asset was sold on March 14, 2012, which was
subsequent to the March remittance report. Standard & Poor's
estimated losses for nine of the 10 specially serviced assets,
representing a weighted average loss severity of 37.1%," S&P said.
TRANSACTION SUMMARY
"As of the March 12, 2012, trustee remittance report, the
collateral pool balance was $712.3 million, which is 64.4% of the
balance at issuance. The pool includes 75 loans and five REO
assets down from 98 loans at issuance. The master servicer,
Berkadia Commercial Mortgage LLC (Berkadia), provided financial
information for 95.0% of the nondefeased loan balance, 69.5% of
which was interim or full-year 2011 data and 25.5% was full-year
2010 data. Wells Fargo Bank N.A., which serves as the primary
servicer for the Grace Building ($109.4 million, 15.4%), the
largest loan in the pool, provided Berkadia with full-year 2011
data for this loan," S&P said.
"We calculated a weighted average DSC of 1.56x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.58x and 74.4%. Our adjusted DSC and LTV
figures exclude five ($46.0 million) defeased loans and nine
($51.9 million, 7.2%) of the transaction's 10 ($63.0 million,
8.8%) specially serviced assets. The transaction has experienced
$58.2 million in principal losses from eight assets to date.
Eighteen loans ($118.3 million, 16.6%) in the pool are on the
master servicer's watchlist, including the fifth-largest loan
($20.8 million, 2.9%) in the pool. Eleven loans ($64.4 million,
9.0%) have a reported DSC of less than 1.10x, eight of which
($42.4 million, 6.0%) have reported a DSC below 1.00x," S&P said.
SUMMARY OF THE TOP 10 LOANS
"The top 10 loans have an aggregate outstanding balance of $320.5
million (45.0%). Using servicer-reported numbers, we calculated a
weighted average DSC of 1.71x for the top 10 loans. Our adjusted
DSC and LTV ratio for the top 10 loans were 1.62x and 72.3%," S&P
said.
"The Avion Midrise III and IV Portfolio loan ($20.8 million, 2.9%)
is the fifth-largest loan in the pool and was placed on the
servicer's watchlist due to imminent expiration of a major
tenant's lease. This loan is secured by a 143,011-sq.-ft. office
building in Chantilly, Va., about 25 miles outside Washington,
D.C. The building is fully occupied by two tenants: Lockheed
Martin ('A-'); and the Government Services Administration (GSA).
The GSA lease, which was set to expire on Feb. 1, 2012, was
extended five years to Feb. 1, 2017. Servicer-reported DSC
increased to 2.02x for the nine months ended Sept. 30, 2011, from
1.84x for the year-ended Dec. 31, 2010," S&P said.
"Standard & Poor's stressed the collateral 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 AFFIRMED
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-CIBC9
Class Rating Credit enhancement (%)
A-3 AAA (sf) 13.30
A-4 AAA (sf) 13.30
A-1A AAA (sf) 13.30
B BBB (sf) 9.43
C BB+ (sf) 7.50
D CCC+ (sf) 4.60
E CCC (sf) 3.05
F CCC- (sf) 0.92
X AAA (sf) N/A
N/A - Not applicable.
JPMORGAN 2008-C2: Moody's Reviews 'B1' Rating on A-M Securities
---------------------------------------------------------------
Moody's Investors Service placed the ratings of four classes of JP
Morgan Chase Commercial Mortgage Securities Corp. 2008-C2 on
review for downgrade as follows:
Cl. A-4, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 12, 2010 Downgraded to A1 (sf)
Cl. A-4FL, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 12, 2010 Downgraded to A1 (sf)
Cl. A-1A, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 12, 2010 Downgraded to A1 (sf)
Cl. A-M, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 12, 2010 Downgraded to B1 (sf)
Ratings Rationale
The classes are placed on review for possible downgrade due to
interest shortfalls and an increase in expected losses from
specially serviced and troubled loans.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in 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 Structured Finance Interest-Only
Securities" published in February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point. For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 compared to 23 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 20, 2011.
DEAL PERFORMANCE
As of the March 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $1.1 billion
from $1.2 at securitization. The Certificates are collateralized
by 76 mortgage loans ranging in size from less than 1% to 11.3% of
the pool, with the top ten loans representing 54% of the pool. The
pool does not contain any defeased loans. The pool contains two
loans, representing 3% of the pool, that have investment grade
credit estimates.
Thirty-two loans, representing 31% 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 an
aggregate realized loss of $17 million (50% loss severity overall)
compared to $4 million at last review. Eight loans, representing
24% of the pool, are currently in special servicing. The largest
specially serviced loan is the The Promenade Shops at Dos Lagos
(now called the The Shops at Dos Lagos) ($125 million
-- 11.3 % of the pool), which is secured by a 350,000 square foot
(SF) retail property located in Corona, California. The loan is
real estate owned (REO) and the special servicer anticipates
marketing the property for sale in summer 2012. Moody's review
incorporates a 100% expected loss for this loan.
The second largest specially serviced loan is The Westin
Portfolio, which is secured by two Westin hotels (487 room
property located in La Paloma, Arizona and a 412 room property
located in Hilton Head, SC). A recent loan modification was
approved through bankruptcy that will result in an increase in
interest shortfalls for this loan. However, the modification terms
are subject to change due to a pending appeal.
The servicer has recognized an aggregate $198 million appraisal
reduction for four specially serviced loans, while Moody's will
finalize Moody's loss estimate during Moody's full review.
Based on the most recent remittance statement, Classes AJ through
NR have experienced cumulative interest shortfalls totaling $27
million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced and troubled loans. Interest shortfalls are
caused by special servicing fees, including workout and
liquidation fees, appraisal subordinate entitlement reductions
(ASERs), extraordinary trust expenses, loan modifications that
include either an interest rate reduction or a non-accruing note
component, and non-recoverability determinations by the servicer
that involve a clawback for previously made advances.
Moody's full review will focus on a interest shortfall analysis as
well as overall pool performance.
JPMORGAN 2012-C6: Fitch Expects to Assign 'Bsf' to $18MM H Certs
----------------------------------------------------------------
Fitch Ratings has issued a presale report on JPMCC 2012-C6
Commercial Mortgage Pass-Through Certificates. Fitch expects to
rate the transaction and assign Outlooks as follows:
-- $54,007,000 class A-1 'AAAsf'; Outlook Stable;
-- $145,182,000 class A-2 'AAAsf'; Outlook Stable;
-- $491,685,000 class A-3 'AAAsf'; Outlook Stable;
-- $102,891,000 class A-SB 'AAAsf'; Outlook Stable;
-- $892,986,000* class X-A 'AAAsf'; Outlook Stable;
-- $99,221,000 class A-S 'AAAsf'; Outlook Stable;
-- $56,697,000 class B 'AAsf'; Outlook Stable;
-- $25,514,000 class C 'A+sf'; Outlook Stable;
-- $28,349,000 class D 'A-sf'; Outlook Stable;
-- $55,280,000** class E 'BBB-sf'; Outlook Stable;
-- $1,418,000** class F 'BBB-sf'; Outlook Stable;
-- $15,591,000** class G 'BBsf'; Outlook Stable;
-- $18,427,000** class H 'Bsf'; Outlook Stable.
*Notional amount and interest only.
** Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of April 5, 2012. Fitch does not expect to rate the
$39,688,408** class NR or the $240,964,408** interest only class
X-B.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 49 loans secured by 118 commercial
properties having an aggregate principal balance of approximately
$1.13 billion as of the cutoff date. The loans were contributed to
the trust by JPMorgan Chase, National Association and Ladder
Capital Finance, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.7% of the properties
by balance, cash flow analysis of 83.0% of the pool, and asset
summary reviews on 83.0% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.23 times (x), a Fitch stressed loan-to value (LTV) of
95.5%, and a Fitch debt yield of 9.8%. Fitch's aggregate net cash
flow represents a variance of 5.5% to issuer cash flows and 11.3%
below full-year 2011 net operating income.
The Master Servicer will be Wells Fargo Bank, National
Association, rated 'CMS2' by Fitch. The Special Servicer will be
Midland Loan Services, Inc., a Division of PNC Bank, N.A., rated
'CSS1' by Fitch.
LASALLE 2005-MF1: Moody's Keeps C Ratings on 2 Securities Classes
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of two classes of
LaSalle Commercial Mortgage Securities Inc., Series 2005-MF1 as
follows:
Cl. A, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Ratings Rationale
The affirmations at C are due to actual and anticipated losses
from specially specially serviced and troubled loans as well as
interest shortfalls. Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf) remain within acceptable ranges for the affirmed
ratings.
This transaction is classified as a small balance CMBS
transaction. Small balance transactions, which represent less than
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
7.9% of the current balance compared to expected was 13.8% at last
review. Moody's provides a current list of base expected losses
for conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating Conduit Transactions" published in September 2000 and
Moody's Approach to Small Loan Transactions" rating methodology
published in December 2004.
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 168.
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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a Press Release dated May 4, 2011.
DEAL PERFORMANCE
As of the March 20, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 58% to $164.2
million from $387.3 million at securitization. The Certificates
are collateralized by 183 mortgage loans ranging in size from less
than 1% to 2% of the pool, with the top ten loans representing 15%
of the pool. The pool is characterized by both geographic and
property type concentrations. Approximately 99% of the pool is
secured by multi-family properties; a combined 36% of the pool is
located in California, Texas and Washington.
Fifty-one loans, representing 30% 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.
Fifty-six loans have been liquidated from the pool since
securitization, resulting in an aggregate $49.6 million loss (69%
loss severity on average). Currently, there are 15 loans,
representing 7% of the pool in special servicing. Moody's has
estimated an aggregate $5.6 million loss (69% expected loss on
average) for 12 of the specially serviced loans.
Moody's has also assumed a high default probability for 23 poorly
performing loans, representing 12% of the pool, and has estimated
an aggregate $3.0 million loss (15% expected loss based on a 50%
probability default) for the troubled loans.
Moody's was provided with full year 2010 and partial 2011
operating results for 67% and 24%, respectively, of the pool.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 94% compared to 105% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 11%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.5%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.36X and 1.17X, respectively, compared to
1.24X and 1.04X 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 pool has also experienced significant interest shortfalls.
Based on the most recent remittance statement, Classes C through N
have experienced cumulative interest shortfalls totaling $2.3
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.
LASALLE 2006-MF2: Moody's Keeps C Ratings on 2 Securities Classes
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of two classes of
LaSalle Commercial Mortgage Securities Inc., Series 2006-MF2 as
follows:
Cl. A, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. X, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Ratings Rationale
The affirmations are due to actual and anticipated losses from
specially serviced and troubled loans as well as interest
shortfalls. Moody's loan to value (LTV) ratio, Moody's stressed
debt service coverage ratio (DSCR) and the Herfindahl Index (Herf)
remain within acceptable ranges for the affirmed ratings.
This transaction is classified as a small balance CMBS
transaction. Small balance transactions, which represent less than
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
10.1% of the current balance compared to 9.9% at last review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating Conduit Transactions" published in September 2000 and
Moody's Approach to Small Loan Transactions" rating methodology
published in December 2004. Other methodologies included "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 168.
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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a Press Release dated May 4, 2011.
DEAL PERFORMANCE
As of the March 20, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 55% to $222.9
million from $495.5 million at securitization. The Certificates
are collateralized by 259 mortgage loans ranging in size from less
than 1% to 2% of the pool, with the top ten loans representing 13%
of the pool. The pool is characterized by both geographic and
property type concentrations. 96% of the pool is secured by multi-
family properties and approximately 38% of the pool is located in
Texas, Oregon and Washington.
Seventy-seven loans, representing 29% 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.
Ninety-seven loans have been liquidated from the pool since
securitization, resulting in an aggregate $73.4 million loss (66%
loss severity on average). Currently, there are 31 loans,
representing 14% of the pool in special servicing. Moody's has
estimated an aggregate $10.1 million loss (66% expected loss on
average) for 16 of the specially serviced loans.
Moody's has also assumed a high default probability for 40 poorly
performing loans, representing 15% of the pool, and has estimated
an aggregate $5.1 million loss (15% expected loss based on a 50%
probability default) for the troubled loans.
Moody's was provided with full year 2010 and partial 2011
operating results for 85% and 21%, respectively, of the pool.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 96%, the same as at Moody's prior review. Moody's
net cash flow reflects a weighted average haircut of 11% to the
most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.5%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.34X and 1.16X, respectively, compared to
1.41X and 1.18X 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 pool has also experienced significant interest shortfalls.
Based on the most recent remittance statement, Classes B through N
have experienced cumulative interest shortfalls totaling $3.0
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.
LB-UBS COMMERCIAL: Fitch Cuts Ratings on 5 Certificate Classes
--------------------------------------------------------------
Fitch Ratings downgrades five and affirms 15 classes of LB-UBS
Commercial Mortgage Trust commercial mortgage pass-through
certificates, series 2006-C7 due to further deterioration in loan
performance and increased loss expectations from loans in special
servicing. In addition, Fitch has resolved the Rating Watch
Negative on class A-M.
Fitch modeled losses of 14.8% on the current collateral (13.7%
cumulative transaction losses on the original collateral which
includes losses realized to date). The downgrades reflect an
increase in cumulative transaction losses across the pool mostly
attributed to loans in special servicing.
Affirmations reflect sufficient levels of credit enhancement at
each respective rating category compared to the total base case
expected loss for the pool. Fitch expects that classes G through
T may be fully depleted and class F significantly impacted from
losses associated with the specially serviced assets.
As of March 2012, there are cumulative interest shortfalls in the
amount of $15.9 million currently affecting classes D through T.
As of the March 2012 distribution date, the pool's aggregate
principal balance has been paid down by 13.9% to $2.6 billion from
$3.0 billion at issuance. There are no defeased loans in the
pool.
Fitch has identified 45 loans (31.7%) as Fitch Loans of Concern,
which includes 24 specially serviced loans (21.4%).
The largest contributor to losses is the Arizona Retail portfolio
(3.31%) which consists of 12 shopping centers in the Phoenix, AZ
metropolitan statistical area (MSA) totaling 588,569 square feet
(sf). The properties were foreclosed upon in April 2010 and are
currently real estate owned (REO). Two of the properties have
been sold with proceeds applied to outstanding advances.
Portfolio occupancy as of YE 2011 was 58.1% with four of twelve
properties in the portfolio having vacancy greater than 50%. The
receiver is working to increase occupancy while simultaneously
positioning the assets for sale.
The second largest contributor to modeled losses is the Midtown
Plaza loan (2.50%) which is secured by two office buildings
totaling 494,012 sf located in the Midtown sub-market of Atlanta,
GA. The loan transferred to special servicing in October 2011 for
maturity default. Property occupancy was 73% as of June 2011 with
DSCR of 0.97x, an increase from 0.52x at YE 2010. Fitch continues
to monitor the loan as the special servicer determines a workout
strategy.
The third largest contributor to modeled losses is the Colony
Square loan (4.46%) which is secured by two office buildings, a
retail mall building and a three-level underground parking lot
totaling 827,252 sf in Atlanta, GA. The loan transferred to
special servicing in October 2011 for maturity default. Property
occupancy was 74% as of June 2011 in line with occupancy at YE
2010 (74%). The DSCR as of June 2011 was 1.10x which is a slight
increase from DSCR at YE 2010 (0.98x). Fitch continues to monitor
the loan as the special servicer determines a workout strategy.
In total, there are currently 24 loans (21.4%) in special
servicing consisting of one loan (0.3%) that is current, four
loans (1.4%) that are 30 to 90 days delinquent, one loan (3.7%)
that is performing matured, one loan (1.3%) that is a non-
performing matured balloon loan, six loans (9.4%) in foreclosure,
and eleven assets (5.4%) that are REO.
At Fitch's last review there were 18 loans (7.1%) in special
servicing consisting of seven loans (2.7%) in foreclosure, three
loans (0.4%) that were 90 days delinquent and eight assets (4.0%)
that were REO
Fitch downgrades, revises Recovery Estimates and assigns Rating
Outlooks to the following classes as indicated:
-- $302.0 million class A-M to 'AAsf' from 'AAAsf'; Outlook
Stable;
-- $30.2 million class D to 'CCsf' from 'CCCsf'; RE to 0% from
100%;
-- $26.4 million class E to 'Csf' from 'CCCsf'; RE to 0% from
100%;
-- $26.4 million class F to 'Csf' from 'CCCsf'; RE to 0% from
100%;
-- $26.4 million class G to 'Csf' from 'CCsf'; RE to 0% from
100%;
Class A-M has also been removed from Rating Watch Negative.
Fitch affirms and revises the Recovery Estimates of the following
classes as indicated:
-- $339.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $49.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $968.1 million class A-3 at 'AAAsf'; Outlook Stable;
-- $363.8 million class A-1A at 'AAAsf'; Outlook Stable.
-- $294.4 million class A-J at 'CCCsf' RE to 30% from 100%;
-- $22.6 million class B at 'CCCsf'; RE to 0% from 100%;
-- $30.2 million class C at 'CCCsf' RE to 0% from 100%;
-- $30.2 million class H at 'Csf'; RE to 0% from 100%;
-- $26.4 million class J at 'Csf' RE 0%;
-- $26.4 million class K at 'Csf' RE 0%;
-- $7.5 million class L at 'Csf' RE 0%;
-- $3.8 million class M at 'Csf' RE 0%;
-- $11.3 million class N at 'Csf' RE 0%;
-- $3.8 million class P at 'Csf' RE 0%;
-- $3.8 million class Q at 'Csf' RE 0%;
-- $3.8 million class S at 'Csf' RE 0%.
Class A-1 has been paid in full. Fitch has withdrawn the ratings
of the interest-only classes X-CP, X-CL and X-W.
Fitch does not rate class T.
LB-UBS COMMERCIAL: Moody's Cuts Rating on Cl. G Cert. to 'Caa2'
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
and affirmed six non-pooled or rake classes and 14 pooled classes
of LB-UBS Commercial Mortgage Securities Trust Commercial Mortgage
Pass-Through Certificates, Series 2005-C3 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned
Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned
Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Jul 26, 2005
Assigned Aaa (sf)
Cl. A-5, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned
Aaa (sf)
Cl. A-M, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned
Aaa (sf)
Cl. A-J, Affirmed at A2 (sf); previously on Oct 23, 2009
Downgraded to A2 (sf)
Cl. B, Affirmed at A3 (sf); previously on Oct 23, 2009 Downgraded
to A3 (sf)
Cl. C, Affirmed at Baa2 (sf); previously on Oct 23, 2009
Downgraded to Baa2 (sf)
Cl. D, Downgraded to Ba1 (sf); previously on Oct 23, 2009
Downgraded to Baa3 (sf)
Cl. E, Downgraded to B1 (sf); previously on Oct 23, 2009
Downgraded to Ba3 (sf)
Cl. F, Downgraded to Caa1 (sf); previously on Oct 23, 2009
Downgraded to B3 (sf)
Cl. G, Downgraded to Caa2 (sf); previously on Oct 23, 2009
Downgraded to Caa1 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on Oct 23, 2009
Downgraded to Caa3 (sf)
Cl. J, Affirmed at C (sf); previously on Oct 23, 2009 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Oct 23, 2009 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Oct 23, 2009 Downgraded
to C (sf)
Cl. ML-1, Affirmed at Baa2 (sf); previously on Jul 26, 2005
Assigned Baa2 (sf)
Cl. ML-2, Affirmed at Baa3 (sf); previously on Jul 26, 2005
Assigned Baa3 (sf)
Cl. CBM-1, Affirmed at Caa3 (sf); previously on May 12, 2011
Upgraded to Caa3 (sf)
Cl. CBM-2, Affirmed at Caa3 (sf); previously on May 12, 2011
Upgraded to Caa3 (sf)
Cl. CBM-3, Affirmed at Caa3 (sf); previously on May 12, 2011
Upgraded to Caa3 (sf)
Cl. X-CBM, Affirmed at Caa3 (sf); previously on May 12, 2011
Upgraded to Caa3 (sf)
Cl. X-CL, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. X-CP, Affirmed at Aaa (sf); previously on Jul 26, 2005
Assigned Aaa (sf)
Ratings Rationale
The downgrades are due to increased expected losses from specially
serviced and troubled loans as well as a decrease in pool
diversity. 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
conduit has a Herf of 15 compared to 21 at Moody's prior review.
The affirmations of the pooled classes are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed 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 affirmations of the non-pooled, or rake classes, are due to
the stable performance of the underlying collateral supporting
these classes.
Moody's rating action reflects a cumulative base expected loss of
6.9% of the current pooled balance compared to 6.3% at last
review. The deal's cumulative realized losses have increased by
$32 million since last review. Moody's base expected loss plus
cumulative realized losses have increased by $24 million to 6.2%
of the original pooled balance compared to 5.8% at last review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
As previously mentioned, the conduit herf is 15 compared to 21 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 8.2 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 12, 2011.
DEAL PERFORMANCE
As of the March 16, 2012 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 24% to $1.5
billion from $2 billion at securitization. The total deal balance
is $1.6 billion due to two non-pooled rake bonds totaling $51
million that are tied to the 200 Park Avenue Loan and three rake
bonds totaling $39 million that are to the Courtyard by Marriot
Portfolio Loan. The Certificates are collateralized by 99 mortgage
loans ranging in size from less than 1% to 19% of the pool, with
the top ten loans representing 58% of the pool. Two loans,
representing 20% of the pool, have investment grade credit
estimates. One loan, representing 2% of the pool, has been
defeased and is collateralized with U.S. Government Securities.
Thirty-six loans, representing 29% 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, resulting in an
aggregate realized loss of $36 million (38% average loss
severity). Ten loans, representing 9% of the pool, are currently
in special servicing. The largest specially serviced loan is the
101 Avenue of the Americas Loan ($81 million -- 5.4% of the pool),
which is secured by a 411,000 square foot (SF) office property
located in the Manhattan. The loan represents a 60% pari passu
interest in a $135 million first mortgage. The property
transferred to special servicing in October 2011. The property was
fully leased to the SEI Union Building Services Local 32B-J.
However, the union vacated the space at its December 2011 lease
expiration to move into a smaller space (245,000 SF) at nearby 620
Sixth Avenue. The loan and lease term were coterminous, however,
the loan was extended by 13-months via a recent loan modification.
Fortunately, the loan was structured with a full complement of
reserves. The loan's tenant improvement and leasing commission
(TI/LC) reserve is funded at $45 per square foot or almost $18
million. The borrower will be converting the property to multi-
tenant space. The loan modification included some provisions to
facilitate the conversion, however, the borrower is funding all
costs associating with converting the space. Although Moody's is
concerned by the fact that the building is completely vacant and
generating no income, a loss is not being incorporated at this
time. The servicer has recognized a $20 million appraisal
reduction. The property was recently appraised in excess of the
loan amount and the borrower has demonstrated a commitment to the
collateral.
The nine remaining specially serviced loans are secured by a mix
of hotel, office, retail and industrial properties. The servicer
has recognized an aggregate $35 million appraisal reduction for
five of the ten specially serviced loans, while Moody's has
estimated an aggregate $26 million loss for nine of the ten
specially serviced loans.
Moody's has assumed a high default probability for nine poorly
performing loans representing 10% of the pool and has estimated a
$24 million aggregate loss (17% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 and full or partial year
2011 operating results for 99% and 98% of the conduit,
respectively. The conduit portion of the pool excludes specially
serviced, troubled and defeased loans as well as loans with credit
estimates. Moody's weighted average conduit LTV is 97% compared to
108% at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 11% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.35X and 1.09X,
respectively, compared to 1.35X and 1.06X 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.
Based on the most recent remittance statement, Classes F through T
have experienced cumulative interest shortfalls totaling $3.7
million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the exposure to
specially serviced and troubled loans. Interest shortfalls are
caused by special servicing fees, including workout and
liquidation fees, appraisal subordinate entitlement reductions
(ASERs), extraordinary trust expenses, loan modifications that
include either an interest rate reduction or a non-accruing note
component, and non-recoverability determinations by the servicer
that involve a clawback for previously made advances.
The largest loan with an credit estimate is the 200 Park Avenue
Loan ($279 million -- 18.7%), ), which represents a pari passu
interest in a $900 million first mortgage loan secured by a 2.9
million SF Class A office building located near the Grand Central
Terminal in New York City. The property is also known as the
MetLife Building. The property also secures a $51 million junior
non-pooled component which is the security for non-pooled Classes
ML-1 and ML-2. The property is primarily tenanted by legal,
finance, insurance and real estate companies. The property was 96%
leased as of September 2011 compared to 92% at last review.
Performance has declined due to a lower average in-place rent.
However, the rent role indicates limited near term lease rollover.
Additionally, several large tenants have 2012 rent steps in their
leases and a few tenants have rent abatement periods that expired
at 2011 year end or will expire in 2012. Moody's expects the rent
steps and rent abatement period expirations will lead to improved
performance in 2012. Moody's credit estimate and stressed DSCR are
Baa3 and 1.14X, respectively, compared to Baa2 and 1.24X at last
review.
The other loan with a credit estimate is the 1919 Park Avenue Loan
($15 million --1.0%), which is secured by a 209,000 SF office
building located in Weehawken, New Jersey. The property is
currently 100% leased to Savvis Communications Corporation through
January 2031. Savvis is a data center operator. Moody's withdrew
its ratings for Savvis after CenturyLink (Baa3, negative outlook)
acquired Savvis in 2011. Moody's performed a lit dark analysis due
to the single tenant exposure. Moody's credit estimate and
stressed DSCR are Aaa and 2.56X, respectively, compared to Aaa and
2.76X at last review.
The top three performing conduit loans represent 23% of the pool
balance. The largest loan is the 900 North Michigan Avenue Loan
($188 million -- 12.6% of the pool), which is secured by a mixed
use property consisting of a vertical mall (475,400 SF), an office
(349,900 SF) and garage (1,660 spaces) located in the northern end
of Chicago's Magnificent Mile. The collateral is part of a larger
complex which includes a 343-room Four Seasons Hotel and 106
residential condominium units. As of December 2011, the property
was 97% leased, which is the same as at last review. Property
performance has improved since last review. 2011 retail tenant
sales were $692 PSF, which is considered very strong. Moody's LTV
and stressed DSCR are 79% and 1.07X, respectively, compared to 97%
and 0.88X at last review.
The second largest loan is the Courtyard by Marriott Portfolio
Loan ($112 million -- 7.5%), which represents a participation
interest in a $505 million first mortgage loan secured by a
portfolio of 64 limited service hotels located in 29 states. The
property also secures a $39 million junior non-pooled component of
the first mortgage which is the security for non-pooled Classes
CBM-1, CBM-2, CBM-3 and an interest only strip related to those
rake bonds, Class X-CBM. The loan is current, but remains on the
servicer's watchlist due to low DSCR. Although total revenue,
occupancy and reported operating income increased in 2011, the
revenue per available room (RevPAR) remained flat at $65 due to a
decline in average daily rate (ADR). Moody's LTV and stressed DSCR
are 97% and 1.23X, respectively, compared to 104% and 1.15X at
last review.
The third largest loan is the Lakeside Commons Loan ($47 million -
- 3.1%), which is secured by a 514,000 SF office property located
10 miles north of Atlanta, Georgia's central business district.
Although the loan is current, it is on the servicer's watclist,
matures in May 2012 and property performance is downward trending.
The property and submarket vacancy are in excess of 20%. The debt
yield based on 2010 net operating income (NOI) is 8.9%, but it is
only 6.3% based on annualized September 2011 NOI. Moody's believes
the borrower will have to fund a large equity gap in order to
refinance this loan. Moody's LTV and stressed DSCR are 167% and
0.62X, respectively, compared to 116% and 0.89X at last review.
LNR CDO 2002-1: Moody's Cuts Ratings on 3 Note Classes to 'Ca'
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one class,
downgraded the ratings of five classes and affirmed the ratings of
two classes of Notes issued by LNR CDO 2002-1, Ltd. The upgrade is
due to accelerated paydown to the Class A Notes. The downgrades
are due to realized losses to the underlying collateral as well as
the deterioration in the par value and interest coverage tests.
The affirmations are due to the 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. A, Upgraded to Aaa (sf); previously on May 14, 2010 Confirmed
at Aa2 (sf)
Cl. B, Affirmed at Ba1 (sf); previously on Apr 29, 2011 Downgraded
to Ba1 (sf)
Cl. C, Affirmed at B1 (sf); previously on Apr 29, 2011 Downgraded
to B1 (sf)
Cl. D-FX, Downgraded to Caa2 (sf); previously on Apr 29, 2011
Downgraded to B3 (sf)
Cl. D-FL, Downgraded to Caa2 (sf); previously on Apr 29, 2011
Downgraded to B3 (sf)
Cl. E-FX, Downgraded to Ca (sf); previously on Apr 29, 2011
Downgraded to Caa3 (sf)
Cl. E-FXD, Downgraded to Ca (sf); previously on Apr 29, 2011
Downgraded to Caa3 (sf)
Cl. E-FL, Downgraded to Ca (sf); previously on Apr 29, 2011
Downgraded to Caa3 (sf)
Ratings Rationale
LNR CDO 2002-1, Ltd. is a static CRE CDO transaction backed by
commercial mortgage backed securities (CMBS) (100% of the pool
balance) issued between 1998 and 2002. As of the March 22, 2012
Trustee Report date, the aggregate collateral balance of the
transaction is $412.9 million compared to $800.6 million at
issuance, representing $362.7 million of realized losses and $25.0
of paydown to the underlying collateral. The amortization of Class
A Notes is a result of both paydown from the underlying collateral
and the redirection of interest proceeds as principal, due to
failure of certain par value tests.
Sixty-seven assets with a par balance of $327.3 million (79.3% of
the pool balance) were listed as Defaulted or Impaired Securities
as of the March 22, 2012 Trustee Report; primarily due to interest
shortfalls, credit rating downgrades, and/or losses. Moody's
expects significant losses to occur on these assets 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 6,870 compared to 7,200 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (0.4% compared to 0.0% at last review), A1-A3
(5.1% compared to 4.1% at last review), Baa1-Baa3 (3.0% compared
to 2.9% at last review), Ba1-Ba3 (12.0% compared to 12.5% at last
review), B1-B3 (11.4% compared to 11.3% at last review), and Caa1-
C (68.1% compared to 69.2% 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 3.0, the same as 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
5.1% compared to 7.2% 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 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
5.1% to 0.1% or up to 10.1% would result in average rating
movement on the rated tranches of 0 to 3 notches downward or 0 to
3 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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in 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.
MERRILL LYNCH: Moody's Cuts Ratings on 3 Securities Classes to C
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of nine
tranches, upgraded the rating of one tranche, and confirmed the
ratings of two tranches from 3 RMBS transactions, backed by
Subprime loans, issued by Merrill Lynch.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors, Inc. 2002-NC1
Cl. M-1, Upgraded to Ba3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. B-1, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC5
Cl. M-1, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B1 (sf); previously on Mar 21, 2011
Downgraded to Ba3 (sf)
Cl. M-4, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on Mar 21, 2011
Downgraded to Caa3 (sf)
Cl. M-6, Downgraded to C (sf); previously on Mar 21, 2011
Downgraded to Ca (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. Series 2002-AFC1
Cl. BF-1, Downgraded to C (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. MV-2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281288
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
MORGAN STANLEY: Moody's Lowers Ratings on 32 Note Tranches to 'C'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 50
tranches, upgraded the ratings of 4 tranches, and confirmed the
ratings of 18 tranches from 21 RMBS transactions backed by
Subprime loans issued by Morgan Stanley.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication.
When assigning the final ratings to senior bonds, in addition to
the methodologies, Moody's considered the volatility of the
projected losses and timeline of the expected defaults. For bonds
backed by small pools, Moody's also considered the current
pipeline composition as well as any specific loss allocation rules
that could preserve or deplete the overcollateralization available
for the senior bonds at different pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. 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. 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, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2002-HE3
Cl. A-2, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-HE1
Cl. M-1, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC7
Cl. M-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on Mar 15, 2011
Downgraded to Caa3 (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC8
Cl. M-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-3, Downgraded to C (sf); previously on Mar 15, 2011
Confirmed at Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
Cl. M-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Caa3 (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC2
Cl. M-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC7
Cl. M-2, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B2 (sf); previously on Mar 15, 2011
Downgraded to Ba2 (sf)
Cl. M-4, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC8
Cl. M-1, Downgraded to A3 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B3 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Caa3 (sf)
Cl. M-6, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-OP1
Cl. M-2, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Upgrade
Cl. M-3, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. M-4, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. M-5, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. M-6, Downgraded to C (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. B-3, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC1
Cl. M-1, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to B3 (sf); previously on Jan 31, 2012 Caa3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Ca (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. B-1, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC2
Cl. M-1, Upgraded to Ba3 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: Morgan Stanley ABS Capital I Trust 2000-1
Cl. B-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley ABS Capital Inc. Mortgage Pass-Through
Certificates, Series 2002-NC6
Cl. M-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2001-AM1
Cl. M-1, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM1
Cl. M-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM3
Cl. M-1, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. B-1, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. B-2, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE2
Cl. A-1, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC1
Cl. M-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC3
Cl. A-2, Downgraded to Aa3 (sf); previously on Aug 29, 2002
Assigned Aaa (sf)
Underlying Rating: Downgraded to Aa3 (sf); previously on Jul 7,
2008 Assigned Aaa (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3, Placed
Under Review for Possible Downgrade on March 20, 2012)
Cl. A-3, Downgraded to Aa3 (sf); previously on Aug 29, 2002
Assigned Aaa (sf)
Cl. M-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-OP1
Cl. M-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to C (sf); previously on Feb 11, 2009
Downgraded to Ca (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC1
Cl. M-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011
Confirmed at Ca (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281391
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
MORGAN STANLEY 2002-IQ3: Moody's Lowers Rating on H Certs. to 'C'
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of six classes
and affirmed six classes of Morgan Stanley Dean Witter Capital I
Trust 2002-IQ3, Commercial Mortgage Pass-Through Certificates,
Series 2002-IQ3 as follows:
Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. C, Downgraded to A3 (sf); previously on Dec 17, 2002
Definitive Rating Assigned A2 (sf)
Cl. D, Downgraded to Baa2 (sf); previously on Dec 17, 2002
Definitive Rating Assigned A3 (sf)
Cl. E, Downgraded to Ba3 (sf); previously on Sep 16, 2010
Downgraded to Baa3 (sf)
Cl. F, Downgraded to B2 (sf); previously on Sep 16, 2010
Downgraded to Ba2 (sf)
Cl. G, Downgraded to Caa3 (sf); previously on Sep 16, 2010
Downgraded to B3 (sf)
Cl. H, Downgraded to C (sf); previously on Sep 16, 2010 Downgraded
to Ca (sf)
Cl. J, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. X-Y, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Ratings Rationale
The downgrades are due to higher than expected realized and
anticipated losses from specially serviced and troubled 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
8.1% of the current balance. At last review, Moody's cumulative
base expected loss was 5.5%. Realized losses have increased from
1.8% of the original balance to 2.1% since the prior review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
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 Structured Finance Interest-
Only Securities" published in February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 23 compared to 33 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 12, 2011.
DEAL PERFORMANCE
As of the March 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 53% to $424.7
million from $909.6 million at securitization. The Certificates
are collateralized by 145 mortgage loans ranging in size from less
than 1% to 13.4% of the pool, with the top ten non-defeased loans
representing 48% of the pool. Twelve loans, representing 8% of the
pool, have defeased and are secured by U.S. Government securities.
Sixty loans, representing 50% 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, resulting in a
realized loss of $19 million (44% loss severity). Currently two
loans, representing 7% of the pool, are in special servicing. The
largest specially serviced loan is the Northwestern Corporate
Center Loan ($25.8 million -- 6% of the pool), which is secured by
3 office buildings totaling 250,322 square feet (SF) located in
Southfield, Michigan. The loan was transferred to special
servicing in August 2009 due to imminent monetary default. The
property dropped to 30% leased in 2009 due to the largest tenant
vacating, and as of February 2012 the property is 26% leased. The
master servicer has recognized a $21.5 million appraisal reduction
for this loan. An overall weakened performance since last review,
as well as a poor office market, has increased Moody's expected
loss on this loan. Moody's estimates an aggregate $23.5 million
loss for the two specially serviced loans (91% expected loss on
average).
Moody's has assumed a high default probability for ten poorly
performing loans representing 8% of the pool and has estimated an
aggregate $5 million loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 77%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 72% compared to 71% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 15.3% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.47X and 1.75X, respectively, compared to
1.55X 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 24% of the pool
balance. The largest loan is the 77 P Street Office Loan ($56.9
million -- 13.4% of the pool), which is secured by a 342,411 SF
office building located in the Capitol Hill submarket of
Washington, D.C. The sole tenant, the District of Columbia,
originally occupied 100% of the space under leases expiring in
2011 and 2012. The tenant has indicated that it will only renew
150,000 square feet of its space, or about 44% of the NRA,
commencing in September 2012. Currently the tenant has vacated 90%
of its space while the borrower reconfigures the space for the new
lease. Moody's valuation is based on a dark analysis using market
current rent and occupancy levels. Moody's LTV and stressed DSCR
are 97% and 1.06X, respectively, compared to 73% and 1.38X at last
review.
The second largest loan is the Richards Building Loan ($28.6
million -- 6.7% of the pool), which is secured by a leasehold
mortgage on a 126,000 SF biotechnology office building located in
Cambridge, Massachusetts. While the property is 100% leased, the
largest tenant Alkermes (51.5% NRA) has a lease expiration at the
end of this month. It is currently sub leasing its space to four
different tenants (Aveo - 11%, GNU BIO - 7%, Bind Bio - 40%, and
Paratek - 42%), however only Aveo has signed a new primary lease.
The second largest tenant, Genzyme, has a letter of intent out for
GNU Bio's space, bringing its overall leased space to 56,853 SF or
45% of the NRA. Both Bind Bio and Paratek have indicated they are
vacating, and Ariad has expressed interest in Paratek's space that
is expiring this month, however no letter of intent has been
signed. After June 2012, the property is projected to be 57%
leased. Due to the uncertainty of leasing going forward, Moody's
has taken a larger hair cut to the reported NOI to reflect the
potential vacancy at the property. Moody's LTV and stressed DSCR
are 97% and 1.06X, respectively, compared to 73% and 1.41X at last
review.
The third largest loan is the 125 Delawanna Avenue Loan ($17.5
million -- 4.1% of the pool), which is secured by a 361,120 SF
industrial warehouse facility located in Clifton, New Jersey. The
property was 100% leased as of September 2011, the same as at last
review. The near term roll over risk was mitigated by the lease
renewal of the sole tenant, Distribution Services, until 2017.
Overall performance on this loan remains stable and in line with
last review. Moody's LTV and stressed DSCR are 66% and 1.55X,
respectively, compared to 70% and 1.47X at last review.
MORGAN STANLEY 2005-HQ6: DBRS Confirms D Rating on 2 Note Classes
-----------------------------------------------------------------
DBRS has downgraded six classes of the Morgan Stanley Capital I
Trust 2005-HQ6 as follows:
- Class B from BBB (high) (sf) to BBB (sf)
- Class C from BBB (sf) to BBB (low) (sf)
- Class D from BBB (low) (sf) to BB (high) (sf)
- Class E from BB (high) (sf) to BB (sf)
- Class F from BB (low) (sf) to B (sf)
- Class G from B (sf) to B (low) (sf)
All six of the downgraded classes have Stable trends.
The following 19 classes were confirmed as follows:
- Class A-1A at AAA (sf)
- Class A-2A at AAA (sf)
- Class A-2B at AAA (sf)
- Class A-3 at AAA (sf)
- Class A-AB at AAA (sf)
- Class A-4A at AAA (sf)
- Class A-4B at AAA (sf)
- Class A-J at A (low) (sf)
- Class X-1 at AAA (sf)
- Class X-2 at AAA (sf)
- Class H at CCC (sf)
- Class J at CCC (sf)
- Class K at C (sf)
- Class L at C (sf)
- Class M at C (sf)
- Class N at C (sf)
- Class O at C (sf)
- Class P at D (sf)
- Class Q at D (sf)
Classes A-1A, A-2A, A-2B, A-3, A-AB, A-4A, A-4B, A-J, X-1 and X-2
have Stable trends.
These rating actions reflect the continued decline in the outlook
for the largest loans in special servicing and the decline in key
performance metrics in DSCR and LTV for the pool overall since
issuance.
DBRS conducted its last full surveillance review of this
transaction in July 2011. Since that time, eight loans have
liquidated out of the pool at a cumulative loss of $17.4 million
to the trust and a weighted-average loss severity of approximately
63% as of the March 2012 remittance report. The realized losses
have been in line with the DBRS projections at the time of the
July 2011 review. Cumulative losses for the pool were in excess
of $52 million, with interest shortfalls of $6.9 million as of the
March 2012 remittance report.
There were 12 loans remaining in special servicing as of the March
2012 remittance report, representing 7.9% of the outstanding pool
balance. Only one of those loans is a new transfer since the time
of the last review in July 2011: Prospectus ID #169 (Sun
Commercial Center), which transferred in January 2012 and
represents 0.07% of the transaction. DBRS generally projected
losses for the specially serviced loans based on the most recent
appraisals and projected fees and advances due at liquidation or
repayment at maturity for loans remaining in the pool following a
modification. The special servicer provided the most recent
workout status for each loan, and that information was also
incorporated into the respective loss projections. In total, DBRS
anticipates losses in excess of $90 million could be realized as
these 12 loans are liquidated or modified.
The two largest loans in special servicing as of the March 2012
remittance report, Prospectus ID #13 (Oviedo Marketplace) and
Prospectus ID #23 (County Line Commerce Center), have both been
real estate owned (REO) since 2010 and represent approximately $55
million of the DBRS loss projection for this pool combined.
Prospectus ID #13 (Oviedo Marketplace) is secured by 557,000 sf of
a 953,000 sf regional mall located in the Orlando, Florida, suburb
of Oviedo. The property is anchored by Macy's, Dillard's, Sears
and Regal Cinemas. The property was owned and operated by General
Growth Properties, Inc. (GGP), who turned the property over to the
special servicer after filing for bankruptcy in 2010. The
property's occupancy and revenues have suffered since 2009, with
the March 2012 in-line occupancy at 49%, according to the
servicer. The June 2010 appraisal valued the property at $16.1
million and the June 2011 appraisal valued the property even
lower, at $11.6 million. Both figures represent a drastic decline
from the property's value of $92.1 million at issuance. The trust
loan balance is approximately $49 million with outstanding
advances approaching $4 million as of the March 2012 remittance
report.
Based on the sharp value decline and the property's inability to
secure new tenancy despite a strong operator appointed by the
special servicer in Urban Retail Properties, DBRS projects a loss
in excess of $44 million could be realized at liquidation. The
special servicer is working to stabilize the property and plans to
market the asset for sale in the near term.
Prospectus ID #23 (County Line Commerce Center) is secured by a
mixed-use (office and industrial) property comprising five
buildings located in the Philadelphia suburb of Warminster,
Pennsylvania. The loan transferred to special servicing in 2009
for monetary default and the property occupancy and revenues have
suffered since. Occupancy fell from 85% at Q3 2009 to 65% by
YE2011, and the servicer reports the property was 68% leased as of
March 2012. The property was 74% occupied at issuance, with an
underwritten NCF figure of $2.5 million. The special servicer
reported a YE2011 NCF figure for the property of $1.8 million.
According to the property manager, the center suffers from its
location in a tertiary market with limited access to public
transportation and below-average proximity to regional
transportation arteries. The property also has a history of
electrical and mechanical problems, with maintenance and capital
projects ongoing to address those issues. The June 2010 appraisal
valued the property at $20.5 million, and the June 2011 appraisal
lowered the value slightly, to $20 million. At issuance, the
property was valued at $37.5 million. The servicer reports a B-
note in the amount of $2.8 million is outstanding in addition to
the $23.7 million trust loan. The servicer's advances for this
loan were just below $2 million as of the March 2012 remittance
report.
Given the recent years of difficulty, the property's below-average
marketability and the value decline since issuance, DBRS projects
a loss in excess of $10 million could be realized at liquidation.
The servicer is working to stabilize the asset with the intention
of marketing the property for sale following stabilization.
There are 47 loans on the servicer's watchlist, representing 48.9%
of the outstanding pool balance, as of the March 2012 remittance
report. The two largest loans in the pool, Prospectus ID #1
(Lincoln Square Retail) and Prospectus ID #2 (1500 Broadway), are
on the watchlist for a low DSCR resulting from occupancy
fluctuations at the respective properties. Both loans are secured
by trophy properties located in strong submarkets and are expected
to rebound in the near term.
Since issuance, the pool balance has been reduced by 17.1%, with
143 of the original 172 loans remaining as of the March 2012
remittance report. At issuance, DBRS calculated a weighted-
average term DSCR of 1.40 times (x) and weighted-average debt
yield of 9.0% for the pool, with a weighted-average LTV of 71.5%.
As of the most recent year-end reporting on file for the remaining
loans in the pool, the weighted-average DSCR was 1.30x and the
weighted-average debt yield was 9.1% while the most recent
weighted-average LTV was 80.8%. The weighted-average debt yield
based on the most recent NCF is considered low (less than 11%) and
could increase the difficulty in securing replacement financing
for the loans maturing over the next few years.
One loan in the pool, Prospectus ID #24 (FRIS Chkn Roll-up), is
shadow-rated investment grade by DBRS. That shadow rating was
confirmed by DBRS as part of this review. The loan represents
0.96% of the transaction as of the March 2012 remittance report
and has performed well since issuance.
As part of this surveillance review, DBRS analyzed the loans on
the servicer's watchlist, the specially serviced loans, and the
Top Fifteen loans in the pool. Combined, these loans represent
90% of the outstanding pool balance as of the March 2012
remittance report.
MORGAN STANLEY 2005-HQ7: Moody's Keeps 'C' Ratings on 4 Certs.
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of three classes
and affirmed seventeen classes of Morgan Stanley Capital I Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2005-HQ7 as
follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Dec 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Dec 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Dec 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Dec 5, 2005 Assigned
Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Dec 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Affirmed at Aaa (sf); previously on Dec 5, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at A2 (sf); previously on Sep 22, 2010
Downgraded to A2 (sf)
Cl. B, Affirmed at A3 (sf); previously on Sep 22, 2010 Downgraded
to A3 (sf)
Cl. C, Downgraded to Baa2 (sf); previously on Sep 22, 2010
Downgraded to Baa1 (sf)
Cl. D, Downgraded to Baa3 (sf); previously on Sep 22, 2010
Downgraded to Baa2 (sf)
Cl. E, Downgraded to Ba1 (sf); previously on Sep 22, 2010
Downgraded to Baa3 (sf)
Cl. F, Affirmed at B1 (sf); previously on May 12, 2011 Downgraded
to B1 (sf)
Cl. G, Affirmed at B3 (sf); previously on May 12, 2011 Downgraded
to B3 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on Sep 22, 2010
Downgraded to Caa3 (sf)
Cl. J, Affirmed at Ca (sf); previously on Sep 22, 2010 Downgraded
to Ca (sf)
Cl. K, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale
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
5.6% of the current balance. At last review, Moody's cumulative
base expected loss was 5.4%. Realized losses have increased from
2.4% of the original balance to 2.6% since the prior review.
Moody's provides a current list of base losses for conduit and
fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
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 Structured Finance Interest-
Only Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 56 compared to 59 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 a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 11, 2011.
DEAL PERFORMANCE
As of the March 14, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 15% to $1.66
billion from $1.96 billion at securitization. The Certificates are
collateralized by 248 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten non-defeased loans
representing 30% of the pool. Three loans, representing 2% of the
pool, have defeased and are secured by U.S. Government securities.
One-hundred three 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. The large number of loans on the
watchlist (including the 3rd, 4th, and 5th largest loans) was
taken into account within this rating action.
Twenty-three loans have been liquidated from the pool, resulting
in a realized loss of $50.9 million (50% loss severity). Currently
ten loans, representing 3% of the pool, are in special servicing.
The loans are secured by a mix of property types. Moody's
estimates an aggregate $18.4 million loss for the specially
serviced loans (39% expected loss on average).
Moody's has assumed a high default probability for 14 poorly
performing loans representing 9% of the pool and has estimated an
aggregate $32.1 million loss (22% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 99%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 100%, the same as at Moody's 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
9.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.35X and 1.04X, respectively, compared to
1.41X and 1.04X 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 17% of the pool
balance. The largest loan is the 261 Fifth Avenue Loan ($141
million -- 8.5% of the pool), which is secured by a 434,000 square
foot (SF) office building located in New York City. The property
was 96% leased as of November 2011, the same as at last review.
Performance has improved due to increased base rents and a decline
in expenses. The loan is interest only for its entire term.
Moody's LTV and stressed DSCR are 122% and 0.77X, respectively,
compared to 124% and 0.76X at last review.
The second largest loan is the U-Store-It Portfolio Loan ($80
million -- 4.8% of the pool), which is secured by a portfolio of
29 self-storage properties located across 14 states. Facility
sizes range from 246 units to 1,014 units, totaling 16,318 units
in aggregate. Performance has improved since the last review as
occupancy increased to 79% as of September 2011 from 73% at last
review. The loan is interest only for its entire term. Moody's LTV
and stressed DSCR are 94% and 1.1X, compared to 98% and 1.05X at
last review.
The third largest loan is Hilltop Mall Loan ($64.4 million -- 3.9%
of the pool), which is secured by a 1.1 million SF regional mall
(564000 SF of collateral) located in Richmond, CA. The loan has
been on the watchlist since June 2010 due to low occupancy. The
collateral's largest tenants are Walmart (34% of the net rentable
area (NRA); lease expiration January 2022) and 24 Hour Fitness (7%
of the NRA, lease expiration January 2016). The center is also
anchored by Macy's, JC Penny and Sears, which are not part of the
collateral. The loan sponsor is Simon Property Group Inc. As of
December 2011, the property's inline occupancy was 52%, down from
55% at last review. Moody's believes that there is a high
likelihood of default due to the property's decline in performance
and near term loan maturity of July 2012. Moody's LTV and stressed
DSCR are 163% and 0.68X, respectively, compared to 133% and 0.75X
at last review.
MORGAN STANLEY 2005-IQ10: Moody's Lowers Ratings on 3 Certs. to C
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of ten classes
and affirmed twelve classes of Morgan Stanley Capital I Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2005-IQ10 as
follows:
Cl. A-AB, Affirmed at Aaa (sf); previously on Nov 21, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-3-2, Affirmed at Aaa (sf); previously on Nov 21, 2005
Assigned Aaa (sf)
Cl. A-4A, Affirmed at Aaa (sf); previously on Nov 21, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4B, Affirmed at Aaa (sf); previously on Nov 21, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Nov 21, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Downgraded to Baa1 (sf); previously on Sep 29, 2010
Downgraded to A2 (sf)
Cl. B, Downgraded to Ba1 (sf); previously on Sep 29, 2010
Downgraded to Baa1 (sf)
Cl. C, Downgraded to Ba2 (sf); previously on Sep 29, 2010
Downgraded to Baa2 (sf)
Cl. D, Downgraded to B2 (sf); previously on Sep 29, 2010
Downgraded to Ba2 (sf)
Cl. E, Downgraded to B3 (sf); previously on Sep 29, 2010
Downgraded to Ba3 (sf)
Cl. F, Downgraded to Caa3 (sf); previously on Sep 29, 2010
Downgraded to B3 (sf)
Cl. G, Downgraded to Ca (sf); previously on Sep 29, 2010
Downgraded to Caa1 (sf)
Cl. H, Downgraded to C (sf); previously on Sep 29, 2010 Downgraded
to Caa3 (sf)
Cl. J, Downgraded to C (sf); previously on Sep 29, 2010 Downgraded
to Ca (sf)
Cl. K, Downgraded to C (sf); previously on Sep 29, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded
to C (sf)
Cl. O, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded
to C (sf)
Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. X-2, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. X-Y, Affirmed at Aaa (sf); previously on Nov 21, 2005
Definitive Rating Assigned Aaa (sf)
Ratings Rationale
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
8.9% of the current balance. At last review, Moody's cumulative
base expected loss was 6.0%. Realized losses have increased from
0.3 % of the original balance to 0.6% since the prior review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
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 Structured Finance Interest-Only
Securities" published in February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 26, the same as 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 11, 2011.
DEAL PERFORMANCE
As of the March 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 25% to $1.16
billion from $1.55 billion at securitization. The Certificates are
collateralized by 199 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans representing 45%
of the pool. One loan, representing 0.3% of the pool, has defeased
and is secured by U.S. Government securities. The pool contains 74
loans secured by residential cooperative properties (11% of the
pool). These loans have a credit estimate of Aaa. Since last
review, the 195 Broadway Loan ($196.0 million balance; 12.6% of
the original pool balance) prepaid during its open period. This
was the pool's largest loan at securitization.
Forty-eight loans, representing 15% 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.
Seven loans have been liquidated from the pool, resulting in a
realized loss of $9.4 million (18% loss severity). Currently six
loans, representing 10% of the pool, are in special servicing. The
largest specially serviced loan is the 69th Street Philadelphia
Loan ($60.3 million -- 5.2% of the pool), which is secured by
eight Class B strip / retail buildings along four city blocks in
the 69th Street corridor of Philadelphia, PA. The loan transferred
to the special servicer in January 2012 due to a missed payment in
December 2011, however the loan had been on the watchlist since
October 2009. Performance has suffered due a decrease in occupancy
and increase in expenses stemming from increased repairs and
maintenance. The properties were 69% occupied as of January 2012,
declining from 75% in March 2011, 79% at year end 2009 and 81% at
origination. A further decline in performance is expected as
leases expire and occupancy continues to drop. The borrower has
submitted a discounted payoff which is currently under review by
the servicer. The decline in performance of this loan is the main
driver in the higher expected loss for this pool.
The second largest specially serviced loan is the Cortana Mall
Loan ($31.7 million -- 2.7% of the pool), which is secured by a
1.4 million square foot (SF) (350,000 SF serves as collateral)
class B regional mall located in Baton Rouge, LA. The loan
transferred to special servicing in September 2009 as the borrower
notified the servicer that NOI would be insufficient to cover debt
payments. A deed in lieu of foreclosure closed during February
2011 and a new management/leasing team was put in place to improve
operations. However, performance has continued to suffer and the
property was 56% leased as of March 2012. The special servicer is
awaiting an updated appraisal after which the property will be
marketed for sale.
The remaining four specially serviced properties are secured by a
mix of property types. Moody's estimates an aggregate $57.9
million loss for the specially serviced loans (50% expected loss
on average).
Moody's has assumed a high default probability for 11 poorly
performing loans representing 4% of the pool and has estimated an
aggregate $9.0 million loss (20% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 94%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 89% compared to 93% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 11% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.48X and 1.19X, respectively, compared to
1.53X and 1.12X 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 19% of the pool
balance. The largest loan is the 1875 K Street Loan ($85.0 million
-- 7.3% of the pool), which is secured by a 176,000 SF Class A
office building located in Washington D.C. The property was 95%
leased as of December 2011 compared to 94% at last review.
Performance increased during 2011 due to a reduction in real
estate taxes. However, the second largest tenant (17% of the NRA)
will be vacating the property in September of this year. The third
largest tenant (9% of NRA) has a lease expiration in November
2013. Due to potential upcoming lease rollover, Moody's valuation
is based on a stabilized occupancy levels and market rents.
Moody's LTV and stressed DSCR are 122% and 0.75X, respectively,
compared to 119% and 0.78X at last review.
The second largest loan is the L-3 Communications Loan ($79.5
million - 6.8% of the pool), which is secured by an eight building
office/industrial complex totaling 901,000 SF located in Salt Lake
City, UT. The complex was 100% leased as of October 2011, the same
as at last review and securitization. Performance has improved due
to an increase in rents. Moody's utilized a Lit/Dark analysis for
this loan as the largest tenant, L-3 Communications, occupies 83%
of the NRA with a lease expiration in November 2018. Moody's LTV
and stressed DSCR are 88% and 1.13X, respectively, compared to 87%
and 1.14X at last review.
The third largest loan is the Central Mall Forth Smith Loan ($56.2
million - 4.8% of the pool), which is secured by a regional mall
totaling 861000 SF (collateral is 738000 SF) and located in
northwest Arkansas in Fort Smith, AR. The property is the only
regional mall within a 55 mile radius. Occupancy as of December
2011 was 92% compared to 90% in December 2010 and 87% at
securitization with sales of $301/SF in 2010. Moody's LTV and
stressed DSCR are 100% and 1.03X, respectively, compared to 98%
and 1.04X at last review.
MORGAN STANLEY 2005-TOP17: S&P Lowers Ratings on 13 Classes to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes of commercial mortgage-backed securities (CMBS) from
Morgan Stanley Capital I Trust 2005-TOP17, eight of which it
lowered to 'D (sf)'. "In addition, we affirmed our 'AAA (sf)'
ratings on four other classes from the same transaction," S&P
said.
"The downgrades reflect our analysis of interest shortfalls
affecting the trust, reduced liquidity support, and the
transaction structure. As of the March 13, 2012, remittance
report, the trust experienced monthly interest shortfalls totaling
$210,567, which affected classes E through P. The shortfalls were
related to an interest reduction ($127,007), an interest
adjustment ($44,000), appraisal subordinate entitlement reductions
(ASERs) ($22,195), and special servicing fees ($17,300). The
$127,007 interest reduction is due to the recent modification of
the Coventry Mall loan ($68.7 million, 9.1%), which was split into
an A note ($42.5 million, 5.6%) and a B note ($26.2 million,
3.5%). The B note does not accrue interest, and we expect this
interest reduction to affect the trust though the remaining life
of the loan. The $44,000 interest adjustment is also related to
this loan, and the master servicer, Wells Fargo Commercial
Mortgage Servicing (Wells Fargo), indicated that it will take a
final interest adjustment of $21,297 from the trust, which will be
reflected in the next reporting period," S&P said.
"Accumulated interest shortfalls on classes F through N have been
outstanding for a minimum of two months, and we expect these
shortfalls to remain outstanding for an extended period of time.
Consequently, we lowered our ratings on these classes to 'D (sf)'.
We lowered our ratings on classes A-J through E due to reduced
liquidity support available to these classes, which makes them
more susceptible to future interest shortfalls. The class E
certificates also experienced interest shortfalls as reflected in
the March 2012 reporting period," S&P said.
"The affirmations of the 'AAA (sf)' ratings on the principal and
interest certificates reflect subordination levels and liquidity
that is consistent with the outstanding ratings. We affirmed our
'AAA (sf)' ratings on the class X-1 and X-2 interest-only (IO)
certificates based on our current criteria," S&P said.
"Our analysis included a review of the credit characteristics of
all of the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 2.15x and a loan-to-value (LTV) ratio of 74.4%.
We further stressed the assets' cash flows under our 'AAA'
scenario to yield a weighted average DSC of 1.39x and an LTV
ratio of 97.4%. The implied defaults and loss severity under the
'AAA' scenario were 48.1% and 27.9%, respectively. The DSC and LTV
calculations we reflect our examination of more recent financial
information for several loans. The calculations exclude four
($17.2 million, 2.3%) of the five ($85.9 million, 11.4%) assets
with the special servicer and four ($27.0 million, 3.6%) defeased
loans. We separately estimated losses for the excluded specially
serviced assets and included them in the 'AAA' scenario implied
default and loss figures," S&P said.
CREDIT CONSIDERATIONS
"As of the March 13, 2012, remittance report, five ($85.9 million,
11.4%) assets were with the special servicer, C-III Asset
Management LLC (C-III). The reported payment status of the
specially serviced assets is: one ($5.7 million, 0.8%) is real
estate-owned (REO), two ($6.4 million, 0.9%) are 90-plus-days
delinquent, one ($5.1 million, 0.7%) is a matured balloon loan,
and one ($68.7 million, 9.1%) is late, but less than 30 days
delinquent. Appraisal reduction amounts (ARAs) totaling $27.3
million were in effect for the five specially serviced assets.
Details of the largest specially serviced asset, which is also a
top 10 loan, are as set forth," S&P said.
"The Coventry Mall loan ($68.7 million, 9.1%) is the largest asset
with the special servicer and the third-largest loan in the pool.
The loan was reported as late but less than 30 days delinquent,
but C-III has indicated to us that the loan is current in its
payments," S&P said. According to C-III, the loan was transferred
to special servicing in February 2011 due to operating, tenant
improvement (TI), and leasing commission (LC) shortfalls, as well
as the borrower's desire to restructure the loan. C-III further
indicated that it completed a loan modification on Dec. 21, 2011,
the terms of which included, among other items:
* An extension of the maturity date to Dec. 1, 2016;
* A split of the then outstanding $71.2 million principal balance
into a $45.0 million A note and a $26.2 million B note; and
* A $2.5 million pay down of the newly formed $45.0 million A
note.
"The A note will revert to interest-only payments at the existing
rate of 6.0%, while the B note will cease to accrue interest. We
expect the terms of the B note to result in interest shortfalls
that will continue to affect the trust through the remaining life
of the loan," S&P said.
"The Coventry Mall loan is secured by an 803,898-sq.-ft. anchored
retail shopping center in Pottstown, Pa. The anchors include
Boscov's and Sears. The Sears anchor appears on the Sears store
closing list, which we factored into our cash flow analysis. The
Boscov's remains at this location and has a September 2014 lease
expiration. As of the February 2012 rent roll, the property was
86.0% occupied. We expect occupancy to decline to 71.0% with the
anticipated closing of the Sears anchor," S&P said.
"The four remaining specially serviced assets have individual
balances that represent less than 0.8% of the total pool balance.
ARAs totaling $5.1 million are in effect against these assets. We
estimated losses for these four assets, arriving at a weighted
average loss severity of 29.1%," S&P said.
TRANSACTION SUMMARY
"As of the March 13, 2012, trustee remittance report, the
collateral pool had a trust balance of $753.8 million, down from
$980.8 million at issuance. The pool currently includes 96 loans
and one REO asset. Wells Fargo provided financial information for
98.2% of the nondefeased assets in the pool (by balance), 51.7% of
which was full-year 2010, 17.6% was interim 2011, and 28.9% was
full-year 2011 data. We calculated a weighted average DSC of 2.09x
for the pool based on the reported figures. Our adjusted DSC and
LTV ratio were 2.15x and 74.4%. Our adjusted figures reflect our
examination of more recent financial information for several loans
and also exclude four ($17.2 million, 2.3%) of the five ($85.9
million, 11.4%) assets with the special servicer and four ($27.0
million, 3.6%) defeased loans. The trust has experienced principal
losses of $2.5 million relating to three assets. Twenty-five
($137.9 million, 18.3%) loans, including one of the top 10 loans
in the pool, are on the master servicer's watchlist. Sixteen
($122.3, 16.2%) loans in the pool have a reported DSC of less than
1.10x, 12 ($103.7 million, 13.8%) of which have a reported DSC
below 1.00x," S&P said.
SUMMARY OF TOP 10 LOANS SECURED BY REAL ESTATE
"The top 10 loans secured by real estate have an aggregate
outstanding trust balance of $377.9 million (50.1%). Using
servicer-reported numbers, we calculated a weighted average DSC of
2.34x for the top 10 real estate loans. Our adjusted DSC and LTV
ratio for the top 10 loans were 2.42x and 73.4%. Our adjusted
figures reflect our examination of more recent financial
information for several loans. One of the top 10 loans appears on
the master servicer's watchlist," S&P said.
"The Towers Crescent loan ($34.7 million, 4.6%), the fourth-
largest in the pool, is secured by two office properties totaling
288,248 sq. ft. in Vienna, Va. According to the master servicer,
the loan is on the watchlist because IBM, which occupied 44,109
sq. ft., vacated in July 2011. However, Capital One has since
leased this and additional space (totaling 129,619 sq. ft.). As of
the February 2012 rent roll, the property was 80% occupied. The
most recent reported DSC was 2.14x as of Sept. 30, 2011," S&P
said.
"Standard & Poor's stressed the remaining assets in the pool
according to its current criteria, and the analysis is consistent
with the 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,"
S&P said.
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
Morgan Stanley Capital I Trust 2005-TOP17
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-J A+ (sf) AA- (sf) 11.87
B BBB (sf) A- (sf) 9.11
C B (sf) BBB+ (sf) 8.13
D CCC+(sf) BBB- (sf) 6.67
E CCC-(sf) BB+ (sf) 5.36
F D (sf) BB (sf) 4.55
G D (sf) BB- (sf) 3.58
H D (sf) B (sf) 2.60
J D (sf) B- (sf) 2.27
K D (sf) CCC (sf) 1.79
L D (sf) CCC- (sf) 1.30
M D (sf) CCC- (sf) 1.14
N D (sf) CCC- (sf) 0.97
RATINGS AFFIRMED
Morgan Stanley Capital I Trust 2005-TOP17
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-AB AAA (sf) 21.79
A-5 AAA (sf) 21.79
X-1 AAA (sf) N/A
X-2 AAA (sf) N/A
N/A - Not applicable.
PARK PLACE: Moody's Downgrades Ratings on Four Tranches to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of six
tranches, upgraded the ratings of seven tranches, and confirmed
the ratings of two tranches from five RMBS transactions, backed by
Subprime loans, issued by Park Place trusts.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-MCW1
Cl. M-1, Confirmed at A1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Upgrade
Cl. M-3, Downgraded to Caa2 (sf); previously on Mar 18, 2011
Downgraded to Caa1 (sf)
Cl. M-4, Downgraded to C (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-MHQ1
Cl. M-2, Upgraded to Baa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to B2 (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. M-4, Downgraded to Ca (sf); previously on Mar 18, 2011
Downgraded to Caa3 (sf)
Cl. M-5, Downgraded to C (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WCW1
Cl. M-3, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. M-4, Downgraded to C (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WHQ2
Cl. M-2, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WWF1
Cl. M-3, Upgraded to Baa1 (sf); previously on Mar 18, 2011
Downgraded to Baa2 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. M-5, Downgraded to C (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281573
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
PORTER SQUARE: Moody's Raises Rating on US$24MM B Notes to 'B3'
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one class of
Notes issued by Porter Square CDO I, Ltd. The class of notes
affected by the rating action is the following:
U.S.$24,000,000 Class B Senior Secured Floating Rate Notes Due
2038 (current balance of $15,147,528), Upgraded to B3 (sf);
previously on May 7, 2010 Downgraded to Caa3 (sf).
Ratings Rationale
According to Moody's, the rating action taken results primarily
from the deleveraging of the notes and an improvement in the
credit quality of the underlying portfolio, as seen in an
improvement in the WARF.
Since the last rating action in May 2011, the Class B notes was
paid down by $5.725 million, representing 27.4% of outstanding
balance. WARF has improved from 3395 in May 2011 to 1815, per the
trustee.
Porter Square CDO I, Ltd. is a collateralized debt obligation
issuance backed by a portfolio of primarily Residential Mortgage-
Backed Securities (RMBS) originated in 2002 and 2003.
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.
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 notes that in arriving at its ratings of SF CDOs, there
exist a number of sources of uncertainty, operating both on a
macro level and on a transaction-specific level. Primary sources
of assumption uncertainty are the extent of the slowdown in growth
in the current macroeconomic environment and the commercial and
residential 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. Among the uncertainties in the residential
real estate property market are those surrounding future housing
prices, pace of residential mortgage foreclosures, loan
modification and refinancing, unemployment rate and interest
rates.
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 Caa Assets notched up by 2 rating notches:
Class B: 0
Class C: 0
Moody's Caa Assets notched down by 2 rating notches:
Class B: -1
Class C: 0
PREFERRED TERM: Moody's Lowers Rating on $201.4-Mil. Notes to 'C'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Preferred Term Securities V, Ltd.:
US$201,450,000 Floating Rate Mezzanine Notes, due April 3, 2032,
(current balance of $12,608,002.45 including deferred interest),
Downgraded to C (sf); previously on November 18, 2010 Downgraded
to Caa3 (sf).
Ratings Rationale
According to Moody's, the rating downgrade is primarily the result
of the loss in par coverage for the Mezzanine Notes, which has
increased the likelihood that the Mezzanine Notes will experience
significant losses. Moody's notes that there are three bank TruPS
assets remaining in the transaction and all are reported to be
defaulted by the trustee based on the last report on February 29,
2012. As of the last rating action in November 2010, one of the
bank TruPS had been deferring interest but had not defaulted. The
bank has since been closed by the FDIC.
The Class B Mezzanine Principal Coverage Test is currently
reported at 12.15%. The only performing par is related to a zero-
coupon principal-only strip issued by Federal Home Loan Mortgage
Corporation, due March 2031. The strip has a face value of $5
million and an accreted value of $1.5 million. Furthermore, the
deal has been in an Event of Default since October 15, 2009.
Preferred Term Securities V, Ltd., issued on March 26, 2002, is a
collateral debt obligation backed by a portfolio of bank trust
preferred securities.
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs" published in May 2011.
Moody's did not model the transaction.
PRUDENTIAL COMMERCIAL: Fitch Cuts Rating on 3 Note Classes to Csf
-----------------------------------------------------------------
Fitch Ratings has downgraded nine classes and affirmed five
classes of Prudential Commercial Mortgage Trust 2003-PWR1,
commercial mortgage pass-through certificates.
The downgrades are due to increased Fitch expected losses since
the last review, primarily associated with loans in special
servicing.
Fitch modeled losses of 5.14% of the outstanding pool. The total
loss expectation based on the original pool balance is 5.89%,
which includes 2.04% in losses realized to date. In addition,
Fitch is also concerned with the maturity concentration as 95.8%
of the loans mature in the next 12 months. Current cumulative
interest shortfalls totaling $1,282,484 are affecting classes H
through P.
As of the March 2012 distribution date, the pool's certificate
balance has paid down 23.16% to $718.1 million from $960 million.
Fitch identified 30 (25.9%) Fitch Loans of Concern, of which five
(5.2%) are specially serviced. Of the non-defeased pool, the
loans of concern and specially serviced loans represents 33.7% and
6.8%, respectively. There are 17 (23.3%) defeased loans within the
pool.
The largest contributor to expected losses is a 105,895 square
foot (sf) real estate owned (REO) mixed-use office and retail
property located in Bonita Springs, FL. The loan transferred to
special servicing in April 2011 for monetary default and the
special servicer took title to the property via foreclosure in
February 2012. Colliers International was engaged to manage and
lease the property. The special servicer reports that the
property should be listed for sale within the next 90 days. Fitch
expects losses upon disposition of the asset based on valuations
obtained by the special servicer.
The second largest contributor to expected losses is a loan
(4.16%) secured by a 405,844 sf office building with a 660-parking
space garage located in Wilmington, DE. The loan transferred to
the special servicer in December 2009 for maturity default and was
later modified in June 2011. The modification included a $15.1
million write-off of principal; an interest rate reduction with
periodic rate increases until December 2015; and interest-only
payments until maturity. Prior to the modification, the property
lost its largest tenant, DuPont (60%), and has additional tenant
rollover in 2012. The special servicer reported the property's
occupancy and debt service coverage ratio (DSCR) was 49% and 1.14
times (x), respectively, as of year-end 2011.
The third largest contributor to Fitch expected losses is a loan
(0.92%) secured by a 166,681 sf industrial property in Towson, MD.
The loan transferred to the special servicer in March 2011 for
imminent default. The property's sole tenant, Raytheon Company,
vacated the premises in December 2010 upon its lease expiration.
Subsequent to the tenant's vacancy, the borrower requested a deed
in lieu of foreclosure. The special servicer is pursuing the
appointment of a receiver to lease and market the property.
Fitch downgrades the following classes, revises Outlooks and
assigns Recovery Estimates (RE) as indicated:
-- $36 million class C to 'AAsf' from 'AAAsf'; Outlook Stable;
-- $14.4 million class D to 'Asf' from 'AAAsf'; Outlook Stable;
-- $9.6 million class E to 'BBB-sf' from 'AAsf'; Outlook Stable;
-- $10.8 million class F to 'BBsf' from 'A+sf'; Outlook to
Negative from Stable;
-- $12 million class G to 'B-sf' from 'Asf'; Outlook Negative;
-- $16.8 million class H to 'CCsf' from 'BBsf'; RE 5%;
-- $7.2 million class J to 'Csf' from 'Bsf'; RE 0%;
-- $4.8 million class K to 'Csf' from 'B-sf'; RE 0%;
-- $7.2 million class L to 'Csf' from 'CCCsf'; RE 0%.
Fitch affirms the following classes as indicated:
-- $146.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $518.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $32.4 million class B at 'AAAsf'; Outlook Stable.
Fitch does not rate class P.
Classes M and N will remain at 'D' with a Recovery Estimate of 0%
due to incurred losses.
Fitch has previously withdrawn the ratings on the interest-only
class X-1. Class X-2 has paid in full.
R.E. REPACK: Moody's Affirms Rating on Class A Certs. at 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
Certificates issued by R.E. Repack Trust 2002-1. The affirmation
is due to the key transaction parameters performing within the
level 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 and
Re-Remic) transactions.
Moody's rating action is as follows:
Cl. A, Affirmed at Ba1 (sf); previously on Apr 29, 2011 Downgraded
to Ba1 (sf)
Ratings Rationale
R.E. Repack Trust 2002-1 is a direct pass-through of the Class B
Notes issued by the LNR CDO 2002-1, Ltd. transaction (the
"Underlying Bond"). As of the March 27, 2012 Trustee Report, the
aggregate balance of the rated Certificates is $80.0 million, the
same as at securitization. The Underlying Bond was affirmed at Ba1
(sf) on April 11, 2012. Since the ratings of the Certificates are
linked to the ratings of the Underlying Bond, any credit action on
the Underlying Bond may trigger a review of the ratings of the
Certificates.
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in 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.
RESI FINANCE: Moody's Lowers Ratings on 2 Note Tranches to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of six
tranches and confirmed the ratings of 14 tranches from four RMBS
transactions, backed by synthetic prime jumbo loans, issued by
RESI Finance Limited Partenership.
Issuer: RESI Finance Limited Partnership 2003-C/RESI Finance DE
Corporation 2003-C, Series 2003-C
Class A5 Notes, Confirmed at Aa2 (sf); previously on Jan 31, 2012
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B1, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. B2, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. B3, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Cl. B4, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf)
Placed Under Review for Possible Downgrade
Cl. B5, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Issuer: RESI Finance Limited Partnership 2003-CB1/RESI Finance DE
Corporation 2003-CB1
Cl. B6, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Issuer: RESI Finance Limited Partnership 2004-A RESI Finance
Limited Partnership 2004-A/RESI Finance DE Corporation 2004-A
Class A5 Notes, Confirmed at A1 (sf); previously on Jan 31, 2012
A1 (sf) Placed Under Review for Possible Upgrade
Cl. B1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Upgrade
Cl. B2, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. B3, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. B4, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. B5, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: RESI Finance Limited Partnership 2004-C RESI Finance
Limited Partnership 2004-C/RESI Finance DE Corporation 2004-C
Class A5 Notes, Confirmed at Aa3 (sf); previously on Jan 31, 2012
Aa3 (sf) Placed Under Review for Possible Upgrade
Cl. B1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. B2, Downgraded to B2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. B3, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. B4, Downgraded to Ca (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. B5, Downgraded to Ca (sf); previously on Apr 21, 2011
Downgraded to Caa3 (sf)
Cl. B6, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Downgrade
Ratings Rationale
These synthetic transactions provide the owner of a sizable pool
of mortgages (the "Protection Buyer") credit protection through a
credit default swap with the issuer (the "Protection Seller") of
the notes. Through this agreement, the Protection Buyer pays a fee
in return for the transfer of a portion of the reference portfolio
credit risk.
Investors in the notes have an interest in the holdings of the
issuer, which include highly rated investment instruments, a
forward delivery agreement and fee collections on the agreement
with the Protection Buyer. Investors are exposed to losses from
the reference portfolio but benefit only indirectly from cash
flows from these assets. Depending on the class of notes held,
investors have credit protection from subordination.
The reference portfolios of these transactions include prime
conforming and nonconforming fixed-rate and adjustable-rate
mortgages purchased from various originators. The actions are a
result of the recent performance review of Prime pools originated
before 2005 and reflect Moody's updated loss expectations on these
pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating action constitute of a number of downgrades. The
downgrades are a result of deteriorating performance and/or
structural features resulting in higher expected losses for
certain bonds than previously anticipated. For e.g., for shifting
interest structures, back-ended liquidations could expose the
seniors to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. In Moody's current approach, Moody's captures
this risk by running each individual pool through a variety of
loss and prepayment scenarios in the Structured Finance
Workstation(R)(SFW), the cash flow model developed by Moody's Wall
Street Analytics. This individual pool level analysis incorporates
performance variances across the different pools and the
structural nuances of the transaction
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is set at 3%
for Jumbo and which is typically higher than the average rate of
new delinquencies for larger pools.
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, the adjusted rate of
new delinquency would be 3.03%. 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 0.75 to
2.5 for current delinquencies ranging from less than 2.5% to
greater than 10% respectively. Delinquencies for subsequent years
and ultimate expected losses are projected using the approach
described in the methodology publication.
When assigning the final ratings to senior bonds, in addition to
the methodologies, Moody's considered the volatility of the
projected losses and timeline of the expected defaults. For bonds
backed by small pools, Moody's also considered the current
pipeline composition as well as any specific loss allocation rules
that could preserve or deplete the overcollateralization available
for the senior bonds at different pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF278342
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
RESIDENTIAL ASSET: Moody's Cuts Ratings on 10 Note Classes to 'C'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 26
tranches, upgraded the ratings of 13 tranches, and confirmed the
ratings of eight tranches from 13 RMBS transactions, backed by
Subprime loans, issued by Residential Asset Securities Corporation
(RASC) trusts.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). 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 volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: RASC Series 2001-KS2 Home Equity Mortgage Asset-Backed
Pass-Through Certificates, Series 2001-KS2
Cl. A-II, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: RASC Series 2003-KS11 Trust
Cl. M-I-3, Downgraded to C (sf); previously on Apr 5, 2011
Downgraded to Ca (sf)
Cl. M-I-1, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Confirmed at Caa2 (sf); previously on Jan 31, 2012
Caa2 (sf) Placed Under Review for Possible Upgrade
Issuer: RASC Series 2003-KS2 Trust
Cl. A-I-5, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Baa3 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to C (sf); previously on Mar 30, 2011
Downgraded to Ca (sf)
Issuer: RASC Series 2003-KS4 Trust
Cl. A-I-5, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to C (sf); previously on Apr 5, 2011
Downgraded to Ca (sf)
Issuer: RASC Series 2003-KS6 Trust
Cl. A-I, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. A-II, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Issuer: RASC Series 2003-KS8 Trust
Cl. A-I-4, Upgraded to A3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. A-I-5, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: RASC Series 2004-KS1 Trust
Cl. A-I-5, Downgraded to Baa3 (sf); previously on Jan 31, 2012
Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Baa2 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to C (sf); previously on Apr 5, 2011
Downgraded to Ca (sf)
Cl. M-II-1, Upgraded to B3 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: RASC Series 2004-KS10 Trust
Cl. A-I-3, Upgraded to Aa3 (sf); previously on Mar 30, 2011
Downgraded to A1 (sf)
Cl. A-II-1, Upgraded to Aa2 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to B3 (sf); previously on Mar 30, 2011
Downgraded to Caa2 (sf)
Cl. M-2, Downgraded to C (sf); previously on Mar 30, 2011
Downgraded to Ca (sf)
Issuer: RASC Series 2004-KS2 Trust
Cl. M-I-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to C (sf); previously on Apr 5, 2011
Downgraded to Ca (sf)
Cl. A-I-4, Upgraded to Baa2 (sf); previously on Apr 5, 2011
Downgraded to Baa3 (sf)
Cl. A-I-5, Downgraded to Ba1 (sf); previously on Apr 5, 2011
Downgraded to Baa3 (sf)
Issuer: RASC Series 2004-KS3 Trust
Cl. A-I-5, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Baa3 (sf); previously on Jan 31, 2012
Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012
Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to C (sf); previously on Apr 5, 2011
Downgraded to Ca (sf)
Issuer: RASC Series 2004-KS5 Trust
Cl. A-I-4, Upgraded to B1 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-I-5, Downgraded to Caa1 (sf); previously on Apr 5, 2011
Downgraded to B2 (sf)
Cl. M-I-1, Downgraded to C (sf); previously on Apr 5, 2011
Downgraded to Caa3 (sf)
Cl. M-I-2, Downgraded to C (sf); previously on Apr 5, 2011
Downgraded to Ca (sf)
Issuer: RASC Series 2004-KS6 Trust
Cl. A-I-4, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. A-I-5, Downgraded to Ba3 (sf); previously on Apr 5, 2011
Downgraded to Ba2 (sf)
Cl. A-I-6, Downgraded to Ba2 (sf); previously on Apr 5, 2011
Downgraded to Ba1 (sf)
Cl. M-I-1, Downgraded to Ca (sf); previously on Apr 5, 2011
Downgraded to Caa2 (sf)
Cl. M-I-2, Downgraded to C (sf); previously on Apr 5, 2011
Confirmed at Ca (sf)
Issuer: RASC Series 2004-KS8 Trust
Cl. A-I-4, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. A-I-5, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. A-I-6, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-I-1, Upgraded to B2 (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-I-2, Upgraded to Ca (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found
at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF281479
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
SALOMON BROTHERS: Moody's Affirms 'C' Ratings on 2 Cert. Classes
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of eight classes of
Salomon Brothers Commercial Mortgage Trust 2001-C2 Commercial
Mortgage Pass-Through Certificates, Series 2001-C2 as follows:
Cl. G, Affirmed at A3 (sf); previously on Aug 9, 2007 Upgraded to
A3 (sf)
Cl. H, Affirmed at Ba1 (sf); previously on Sep 9, 2010 Downgraded
to Ba1 (sf)
Cl. J, Affirmed at B3 (sf); previously on Sep 9, 2010 Downgraded
to B3 (sf)
Cl. K, Affirmed at Ca (sf); previously on Sep 9, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed at Ca (sf); previously on Sep 9, 2010 Downgraded
to Ca (sf)
Cl. M, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. N, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. X-1, Affirmed at Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (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
41% of the current balancecompared to 8% at last review. The
current cumulative base expected loss represents a higher
percentage of the pool than at last review because of significant
paydowns. However, the dollar amount of expected loss is less. At
last review Moody's cumulative expected loss was $38.6 million
compared to $27.2 million at this review. Realized losses have
increased from 2.0% of the original balance to 3.1% since the
prior review. Moody's provides a current list of base expected
losses for conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012, and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 10 compared to 40 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 25, 2011.
DEAL PERFORMANCE
As of the March 13, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $66.3
million from $864.7 million at securitization. The Certificates
are collateralized by 15 mortgage loans ranging in size from less
than 1% to 17% of the pool, with the top ten non-defeased loans
representing 91% of the pool. The pool does not contain any
defeased loans or loans with investment grade credit estimates.
There are no loans currently on the watch list. Twelve loans have
been liquidated from the pool, resulting in a realized loss of
$26.4 million (41% loss severity). Currently 11 loans,
representing 83% of the pool, are in special servicing. The
largest specially serviced loan is the Market Square Shopping
Center Loan ($10.9 million -- 16.6% of the pool), which is secured
by a 209,283 square foot (SF) anchored retail center located in
Spartanburg, South Carolina. The loan was transferred to special
servicing in 2004 and became REO in 2006. The property is being
listed for sale next month. The remaining ten specially serviced
properties are secured by a mix of property types. Moody's
estimates an aggregate $26.9 million loss for the specially
serviced loans (49% expected loss on average).
Moody's was provided with full year 2010 operating results for 92%
of the pool. Excluding specially serviced loans, Moody's weighted
average LTV is 32% compared to 74% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 11.7%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.0%.
Excluding special serviced, Moody's actual and stressed DSCRs are
1.31X and 3.49X, respectively, compared to 1.43X and 1.59X 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.
There are only four conduit loans remaining in the pool. All four
loans are performing and Moody's expects each conduit loan to pay
off in full at or ahead of its scheduled maturity.
SALOMON BROTHERS: Moody's Cuts Rating on Cl. G-8 Certs. to 'B1'
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes,
upgraded the ratings of three classes and affirmed the ratings of
eight classes of Salomon Brothers Commercial Mortgage Trust 2001-
MM, Commercial Mortgage Pass-Through Certificates, Series 2001-MM,
as follows:
Cl. C, Affirmed at Aaa (sf); previously on Aug 12, 2010 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on May 20, 2011 Upgraded
to Aaa (sf)
Cl. E-3, Affirmed at Aaa (sf); previously on Aug 12, 2010 Upgraded
to Aaa (sf)
Cl. E-4, Affirmed at Aaa (sf); previously on Aug 12, 2010 Upgraded
to Aaa (sf)
Cl. E-5, Affirmed at A3 (sf); previously on May 20, 2011 Upgraded
to A3 (sf)
Cl. E-8, Affirmed at Aa2 (sf); previously on May 20, 2011 Upgraded
to Aa2 (sf)
Cl. F-3, Affirmed at Aaa (sf); previously on May 20, 2011 Upgraded
to Aaa (sf)
Cl. F-4, Upgraded to Aa1 (sf); previously on May 20, 2011 Upgraded
to Aa2 (sf)
Cl. F-5, Downgraded to Ba1 (sf); previously on May 20, 2011
Upgraded to Baa3 (sf)
Cl. F-8, Downgraded to Ba1 (sf); previously on May 20, 2011
Upgraded to Baa3 (sf)
Cl. G-3, Upgraded to Aa2 (sf); previously on May 20, 2011 Upgraded
to Aa3 (sf)
Cl. G-4, Upgraded to Aa2 (sf); previously on May 20, 2011 Upgraded
to Aa3 (sf)
Cl. G-5, Downgraded to Ba2 (sf); previously on May 20, 2011
Upgraded to Ba1 (sf)
Cl. G-8, Downgraded to B1 (sf); previously on May 20, 2011
Upgraded to Ba3 (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale
The upgrades are due to overall improved property financial
performance and increased credit support due to loan payoffs and
amortization.
The downgrades are due to weakened performance, specifically an
increase in vacancy at the Stamford Square property and potential
turnover in a weaker New Jersey office market for the Glenpointe
Center East property.
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
2.2% of the current balance. At last review, Moody's cumulative
base expected loss was 2.2%. There have been no realized losses to
date. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012, and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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, the same as 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 20, 2011.
DEAL PERFORMANCE
As of the March 19, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 83.5% to $111.5
million from $674.4 million at securitization. The Certificates
are collateralized by six mortgage loans ranging in size from 9%
to 24% of the pool. No loans have defeased and no loans have
investment grade credit estimates.
Two loans, representing 48% 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.
No loans have been liquidated from the pool since securitization
and there are no loans currently in special servicing.
Moody's was provided with full year 2010 operating results for
100% of the pool. Moody's weighted average LTV is 60.7% compared
to 52.6% at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 25% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.0%.
Moody's actual and stressed DSCRs are 1.47X and 2.01X,
respectively, compared to 2.54X and 2.15X 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.
This transaction has several unique features in terms of
certificate structure, loan grouping, payment priority and loss
allocation. The trust presently consists of three remaining senior
certificates (Classes X, C and D) and 12 remaining junior
certificates. The junior certificates are divided into eight
series corresponding to specific loan groups. Each loan group
supports three certificates (E, F and G). The aggregate principal
balance of each loan group is divided into a senior portion and a
junior portion. The senior portion of each series supports the
pooled classes. After the principal balance of the related senior
portion has been reduced to zero, principal payments are then
applied to the junior certificates on a senior/sequential basis
within each respective loan group. Based on the payment priority
and the certificate structure of this transaction, it is possible
that a junior certificate holder may receive principal payments
before the principal balance of a higher-rated certificate from a
different loan group is reduced to zero. At securitization there
were eight loan groups but four groups, corresponding to Classes
E-1, F-1, G-1; E-2, F-2, G-2; E-6, F-6, G-6 and E-7, F-7 and G-7,
have been repaid in full.
The four loans in Loan Group A have paid off in full.
The four loans in Loan Group B have paid off in full.
Loan Group C consists of two loans totaling $26.8 million and is
the collateral for Classes E-3, F-3 and G-3. Loan Group C's
certificate balance has declined by approximately 69% since
securitization due to amortization and the payoff of two loans.
The largest loan in Loan Group C is the Trails Village Center Loan
($13.8 million -- 12.4% of the pool), which is secured by 174,644
square foot (SF) retail center located in Las Vegas, Nevada. The
largest tenants include Von's (32% of the Net Rentable Area (NRA)
- lease expiration in 2028) and CVS (15% of the NRA - lease
expiration in 2029). The property remains well occupied at 97% as
of December 2010, compared with 95% at last review. The loan fully
amortizes and matures in July 2023. Overall, the two loans in this
group have amortized 30% since securitization. Moody's LTV for
Loan Group C is 41% compared to 42% at last review. Moody's
affirmed the ratings of E-3 and F-3, and upgraded the rating of G-
3 due to higher subordination and overall stable performance.
Loan Group D consists of two loans totaling $31.4 million and is
the collateral for Classes E-4, F-4 and G-4. Loan Group D's
certificate balance has declined by approximately 61% since
securitization due to amortization and the payoff of two loans.
The largest loan in Loan Group D is the Richmond Square Loan ($21
million -- 19% of the pool), which is secured by a 360-unit luxury
high rise apartment building located in Arlington, Virginia.
Occupancy remains very strong at this property, as it was 99%
occupied as of December 2010, compared to 100% at last review.
Reported Net Operating Income has increased 8% since last review,
mainly due to a decline in fixed expenses. The loan amortizes on a
30-year schedule and matures in February 2013. Moody's LTV for
Loan Group D is 40% compared to 42% at last review. Moody's
upgraded the ratings of F-4 and G-4 due to higher subordination
and improved performance and affirmed the rating of E-4.
Loan Group E consists of one loan, which has a balance of $27
million, and is the collateral for Classes E-5, F-5 and G-5. Loan
Group E's certificate balance has declined by approximately 68%
since securitization due to amortization and the payoff of three
loans. The remaining loan in Group E is the Glenpointe Center East
Loan ($27 million -- 24% of the pool), which is secured by a
317,000 SF office building located in Teaneck, New Jersey. The
property's occupancy decreased to 74% as of February 2011,
compared to 94% at last review, resulting in a 17% decline in Net
Operating Income. Moodys Net Cash Flow reflects a larger hair cut
to the reported NOI due to additional near term lease turn over,
as well as a weak office market. The loan amortizes on a 25-year
schedule and matures in November 2012. Moody's LTV for Loan Group
E is 85% compared to 62% at last review. Moody's affirmed the
rating of E-5, and downgraded the ratings of F-5 and G-5 due to
weakened performance.
The four loans in Loan Group F have paid off in full.
The four loans in Loan Group G have paid off in full.
Loan Group H consists of one loan, which has a balance of $26.2
million, and is the collateral for Classes E-8, F-8 and G-8. Loan
Group H's certificate balance has declined by approximately 69%
since securitization due to amortization and the payoff of three
loans. The remaining loan in Loan Group H is the Stamford Square
Loan ($26.2 million -- 23.6% of the pool), which is secured by a
280,000 SF Class A office building located in Stamford,
Connecticut. The property is currently 88% leased as of February
2011, compared to 90% at last review and 100% at securitization.
The largest tenant (General Electric -- 57% NRA, lease expiration
in June 2012) has vacated its space but is continuing to pay rent
until lease expiration. Once General Electric vacates, the
property will be 31% leased. Moodys Net Cash Flow reflects a
larger hair cut to the reported NOI due to the vacancy of General
Electric, as well as uncertainty about signing new tenants in the
near to mid term. The loan amortizes on a 25-year schedule and
matures in June 2020. Moody's LTV for Loan Group H is 81% compared
to 67% at last review. Moody's affirmed the rating of class E-8,
and downgraded the ratings of F-8 and G-8 due to weakened
performance.
SCHOONER TRUST: DBRS Confirms 'B(low)(sf)' Rating on Cl. K Notes
----------------------------------------------------------------
DBRS has confirmed the following classes of Schooner Trust, Series
2006-5 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class XC at AAA (sf)
-- Class XP at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (sf)
-- Class H at BB (low) (sf)
-- Class J at B (high) (sf)
-- Class K at B (sf)
-- Class L at B (low) (sf)
The trends on all classes are Stable.
Overall, performance in the pool has remained stable since
issuance. The weighted-average debt service coverage ratio (DSCR)
is currently 1.6 times (x), compared with 1.5x at issuance, and
the weighted-average debt yield is currently 13.0%, compared with
10.6% at issuance. Seventy-nine loans remain after 73 months of
seasoning has reduced the original collateral balance by 18.2%.
There are seven loans are on the servicer's watchlist and all are
current. DBRS considers two of these loans to be of some concern.
675 Yonge Street (Prospectus ID#56, 0.50% of the current pool
balance) is secured by a mixed-use retail and office property in
downtown Toronto, just east of the University of Toronto campus.
This loan has been on the servicer's watchlist since May 2009 when
occupancy dropped to 35%. Exposure to tenant roll is concentrated
in one unit, which represents approximately 39% of the net
rentable area (NRA). Challenges in finding a stable tenant to
occupy this space since the original tenant vacated have resulted
in a significant decline in cash flow since issuance; however, the
loan has never been delinquent. The borrower continues to
actively market available space and make timely mortgage payments.
2695 Dollard Avenue (Prospectus ID#48, 0.7% of the current pool
balance) is secured by an industrial property in LaSalle, Qu‚bec.
This loan was placed on the watchlist in April 2010 when the sole
tenant vacated. According to the servicer, a new tenant had been
found for the space in late 2010 and signed a five-year lease for
100% of the NRA. That lease was scheduled to expire in November
2015. A March 2012 rent roll, however, indicates that the
property is still vacant. At press time, DBRS is awaiting
confirmation from the servicer regarding the lease in question.
This loan has no history of delinquency.
The top fifteen loans in this transaction represent more than half
of the current pool balance. The weighted-average DSCR and
weighted-average debt yield for these loans is 1.64x and 13.4%,
respectively. Five loans, including the third largest loan in the
pool, representing 6.4% of the current pool balance, are fully
defeased.
DBRS maintains investment-grade shadow-ratings on two loans in
this pool. These shadow-ratings were also confirmed, in addition
to the previously mentioned rating actions.
SPECIALTY UNDERWRITING: Moody's Cuts Ratings on 4 Securities to C
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of nine
tranches, upgraded the rating of one tranche, and confirmed the
ratings of three tranches from five RMBS transactions, backed by
Subprime loans, issued by Specialty Underwriting and Residential
Finance (SURF) trusts.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2003-BC1
Cl. S, Confirmed at B2 (sf); previously on Feb 22, 2012 Downgraded
to B2 (sf) and Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Caa2 (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. B-1, Downgraded to C (sf); previously on Mar 4, 2011
Downgraded to Ca (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2003-BC2
Cl. S, Downgraded to Caa2 (sf); previously on Feb 22, 2012
Downgraded to B3 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC2
Cl. M-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Mar 4, 2011
Downgraded to Caa2 (sf)
Cl. M-3, Downgraded to C (sf); previously on Mar 4, 2011
Downgraded to Ca (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC3
Cl. M-2, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 4, 2011
Downgraded to Ca (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC4
Cl. A-1B, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-2C, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281386
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
TAXABLE WORLD: Moody's Affirms 'Ba1' Rating on Revenue Bonds
------------------------------------------------------------
Moody's Investors Service affirmed the rating of Taxable World
Headquarters Revenue Bonds, Series 1995 as follows:
Bonds, Affirmed at Ba1; previously on Feb 28, 2008 Downgraded to
Ba1
Ratings Rationale
The rating was affirmed at Ba1 based on the support of the long-
term triple net lease guaranteed by Owens Corning (Owens Corning;
senior unsecured rating Ba1, stable outlook).
The principal methodology used in this rating was "Commercial Real
Estate Finance: Moody's Approach to Rating Credit Tenant Lease
Financings" published in November 2011.
No model was used in this review.
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 ratings are determined by a committee process that
considers both quantitative and qualitative factors.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
prior full review is summarized in a press release dated April 28,
2011.
Deal Performance
This CTL transaction is secured by a mortgage on a three story,
400,000 square foot corporate campus located in Toledo, Ohio. The
lease expires on March 31, 2015. The lease payments are sufficient
to fully amortize the loan during the lease term. As of March 3,
2012, the aggregate certificate balance had decreased by 86% to
$12.2 million from $85.3 million at securitization.
THORNBURG MORTGAGE: Moody's Cuts Rating on Cl. B2 Tranche to 'Ca'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 11
tranches from 2 RMBS transactions, backed by prime jumbo loans,
issued by Thornburg Mortgage.
Ratings Rationale
The actions are a result of the recent performance review of Prime
pools originated before 2005 and reflect Moody's updated loss
expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The downgrades are a result of deteriorating performance and/or
structural features resulting in higher expected losses for
certain bonds than previously anticipated. For e.g., for shifting
interest structures, back-ended liquidations could expose the
seniors to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. In Moody's current approach, Moody's captures
this risk by running each individual pool through a variety of
loss and prepayment scenarios in the Structured Finance
Workstation(R)(SFW), the cash flow model developed by Moody's Wall
Street Analytics. This individual pool level analysis incorporates
performance variances across the different pools and the
structural nuances of the transaction.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
set at 3% for Jumbo and which is typically higher than the average
rate of new delinquencies for larger pools.
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, the adjusted rate of
new delinquency would be 3.03%. 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 0.75 to
2.5 for current delinquencies ranging from less than 2.5% to
greater than 10% respectively. Delinquencies for subsequent years
and ultimate expected losses are projected using the approach
described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Thornburg Mortgage Securities Trust 2004-3
Cl. A, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to Baa3 (sf); previously on Feb 22, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. B1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. B2, Downgraded to Ca (sf); previously on Apr 20, 2011
Downgraded to Caa3 (sf)
Issuer: Thornburg Mortgage Securities Trust 2004-4
Cl. I-A, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. I-AX, Downgraded to A1 (sf); previously on Feb 22, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Ba2 (sf); previously on Jan 31, 2012
Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. II-AX, Downgraded to Ba2 (sf); previously on Feb 22, 2012
Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. V-A, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. V-AX, Downgraded to Ba1 (sf); previously on Feb 22, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281631
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
VERTICAL CRE 2006-1: S&P Lowers Ratings on 6 Note Classes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A, C, D, E, F, G, and H notes from Vertical CRE CDO 2006-1
Ltd., a collateralized debt obligation (CDO) transaction backed by
commercial mortgage-backed securities (CMBS) assets and managed by
MBIA Capital Management Corp. "At the same time, we removed the
ratings on the class A, C, and D notes from CreditWatch, where we
placed them with negative implications on March 19, 2012," S&P
said.
"The downgrades reflect our updated criteria for CDOs backed by
structured finance assets," S&P said.
"The transaction has also had deterioration in the credit quality
of the underlying assets since we last downgraded the notes on
July 16, 2010. As of the Feb. 15, 2012, trustee report, the
transaction held over $87 million in defaulted assets, compared
with about $75 million noted in the June 16, 2010, report, which
we used for the July 2010 rating action," S&P said.
"Vertical CRE CDO 2006-1 Ltd. experienced an event of default
(EOD) in September 2009 and the controlling class of noteholders
voted to accelerate in October 2009. Post the acceleration, the
transaction pays the A notes' interest and principal ahead of any
payments to notes junior to class A. The A notes currently have an
outstanding balance of $97.64 million, about 45.63% of the
original balance," 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,"
S&P said.
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
Vertical CRE CDO 2006-1 Ltd.
Rating
Class To From
A CCC- (sf) B (sf)/Watch Neg
C D (sf) CCC- (sf)/Watch Neg
D D (sf) CCC- (sf)/Watch Neg
E D (sf) CC (sf)
F D (sf) CC (sf)
G D (sf) CC (sf)
H D (sf) CC (sf)
OTHER RATING OUTSTANDING
Vertical CRE CDO 2006-1 Ltd.
Class Rating
B D (sf)
TRANSACTION INFORMATION
Issuer: Vertical CRE CDO 2006-1 Ltd.
Coissuer: Vertical CRE CDO 2006-1 (Delaware) Corp.
Collateral manager: MBIA Capital Management Corp.
Trustee: Wells Fargo Bank N.A.
Transaction type: Cash flow CDO of CMBS
WACHOVIA BANK 2005-C17: Moody's Keeps C Ratings on 4 Certificates
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 19 classes of
Wachovia Bank Commercial Mortgage Securities Inc., Commercial
Mortgage Pass-Through Certificates, Series 2005-C17 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on May 10, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-PB, Affirmed at Aaa (sf); previously on May 10, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on May 10, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on May 10, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at Aa2 (sf); previously on Jul 21, 2010
Downgraded to Aa2 (sf)
Cl. B, Affirmed at A2 (sf); previously on Jul 21, 2010 Downgraded
to A2 (sf)
Cl. C, Affirmed at A3 (sf); previously on Jul 21, 2010 Downgraded
to A3 (sf)
Cl. D, Affirmed at Baa2 (sf); previously on Jul 21, 2010
Downgraded to Baa2 (sf)
Cl. E, Affirmed at Ba1 (sf); previously on Jul 21, 2010 Downgraded
to Ba1 (sf)
Cl. F, Affirmed at Ba3 (sf); previously on Jul 21, 2010 Downgraded
to Ba3 (sf)
Cl. G, Affirmed at B3 (sf); previously on Jul 21, 2010 Downgraded
to B3 (sf)
Cl. H, Affirmed at Caa2 (sf); previously on Jul 21, 2010
Downgraded to Caa2 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on Jul 21, 2010
Downgraded to Caa3 (sf)
Cl. K, Affirmed at Ca (sf); previously on Jul 21, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded
to C (sf)
Cl. O, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded
to C (sf)
Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed 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
6.1% of the current pooled balance compared to 5.1% at last
review. Moody's based expected loss plus realized losses is 5.1%
of the original pooled balance compared to 4.7% at last review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in 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 Structured Finance Interest-Only
Securities" published in February 2012.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 36 compared to 42 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated April 22, 2011.
DEAL PERFORMANCE
As of the March 16, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 22% to $2.1 billion
from $2.7 billion at securitization. The Certificates are
collateralized by 199 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 33%
of the pool. Twenty-four loans, representing 15% of the pool, have
been defeased and are collateralized with U.S. Government
Securities. Two loans, representing 3% of the pool, have
investment grade credit estimates.
Twenty-seven loans, representing 25% 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 an
aggregate realized loss of $9 million (68% average loss severity).
Twenty-four loans, representing 8% of the pool, are currently in
special servicing. The largest specially serviced loan is the
Olympia Portfolio, which was originally 23 cross-defaulted and
cross-collateralized loans secured by 22 retail and two office
properties located in Florida and Georgia. Seven of the loans (25%
of the portfolio balance) have been defeased, while two of the
loans (8% of the portfolio balance) are not being specially
serviced. The remaining 14 loans have a combined balance of $49
million or 2.5% of the pool. Ten of the remaining 14 properties
are leased to Walgreens (A2, on review for possible downgrade).
The loans transferred to special servicing in March 2011 due to a
delinquent payment. The loans are listed as between 30 and 60 days
past due. In addition to the portfolio's monthly debt service
payments the borrower had been paying $30 thousand of monthly
installments to reimburse the servicer for previous tax advances
and other lender costs. The portfolio was to be returned once all
past advances and expenses had been reimbursed. Approximately $128
thousand of advances and lender costs remain, but the borrower
recently stopped reimbursing. The servicer has not recognized an
appraisal reduction for this portfolio and Moody's currently does
not estimate a loss.
The remaining specially serviced loans are secured by a mix of
retail, office, multifamily, industrial and hotel property types.
The servicer has recognized an aggregate $49 million appraisal
reduction for seven of the 24 specially serviced loans, while
Moody's has estimated an aggregate $60 million loss (54% expected
loss based on a 100% probability of default) for nine of the 24
specially serviced loans.
Moody's has assumed a high default probability for 23 poorly
performing loans representing 13% of the pool and has estimated a
$40 million aggregate loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 and full or partial year
2011 operating results for 96% and 90% of the conduit,
respectively. The conduit portion of the pool excludes specially
serviced, troubled and defeased loans as well as loans with credit
estimates. Moody's weighted average conduit LTV is 86% compared to
90% at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 8% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.61X and 1.30X,
respectively, compared to 1.48X and 1.22X 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 Tharaldson Pool 1-A
Loan ($44 million -- 2.1% of the pool), which is secured by fee
interests in 14 limited service hotels and ground leases on an
additional 13 limited service hotels. Each land parcel is leased
to borrowers in the Tharaldson 1-B Pool, which is included in the
trust and has been fully defeased. Performance has remained stable
since last review. Moody's credit estimate and stressed DSCR are
A2 and 2.14X, respectively compared to A2 and 2.21X at last
review.
The other loan with a credit estimate is the 200 Varick Street
Loan ($27 million -- 1.3% of the pool), which is secured by a
400,000 SF Class B office building located in the Hudson Square
office submarket of New York City. Property performance improved
significantly beginning in 2010 due to higher in-place rents and
expense reimbursements. The property continues to perform well and
is 98% leased as of December 2011. The loan is interest-only for
the entire 10-year loan term. Moody's credit estimate and stressed
DSCR are Aaa and 3.06X, respectively, compared to Aa2 and 2.01X at
last review.
The top three performing conduit loans represent 18% of the pool
balance. The largest loan is the One and Two International Place
Loan ($199 million -- 9.4% of the pool) which represents a 50%
pari passu interest in a $398 million first mortgage loan. The
loan is secured by two Class A office buildings totaling 1.8
million SF located in the Financial District office submarket of
Boston, Massachusetts. The property is 72% leased as of January
2012, which is similar to last review. The loan is currently on
the watchlist. Property performance declined after Ropes & Grey
(19% of NRA) vacated at itsr December 2010 lease expiration.
Despite the drop in occupancy, the loan is current and the
properties can easily service the debt payment. Moody's LTV and
stressed DSCR are 73% and 1.26X, respectively, compared to 77% and
1.16X at last full review.
The second largest conduit loan is the Digital Realty Trust
Portfolio Loan ($138 million -- 6.5% of the pool) which is secured
by six office properties located in five states. One of the
properties, the Comverse Office building in Wakefield,
Massachusetts is underperforming the portfolio. The Comverse
Office center is only 67% leased as of September 2011 and is on
the watchlist. The Comverse property dragged down the portfolio's
occupancy to 84% from 94% at last review. The loan sponsor is
Digital Realty Trust (Baa2, stable outlook), a publicly traded
REIT. Moody's LTV and stressed DSCR are 51% and 2.11X,
respectively, compared to 49% and 2.66X at last full review.
The third largest conduit loan is the MetroPlace III & IV Loan
($51 million -- 2.4% of the pool), which is secured by two Class A
office towers located in Fairfax, Virginia. The property is 97%
leased as of December 2011 compared to 99% at last review. GSA
tenants lease approximately 60% of the NRA. The property was 28%
vacant at securitization and performance has steadily improved
since then. Moody's LTV and stressed DSCR are 66% and 1.51X,
respectively, compared to 72% and 1.40X at last review.
WACHOVIA BANK 2004-C11: Moody's Keeps C Ratings on 3 Cert Classes
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
and affirmed 13 classes of Wachovia Bank Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-
C11 as follows:
Cl. A-4, Affirmed at Aaa (sf); previously on May 10, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-5, Affirmed at Aaa (sf); previously on May 10, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on May 10, 2004
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Oct 9, 2008 Upgraded to
Aaa (sf)
Cl. C, Affirmed at Aa2 (sf); previously on Oct 9, 2008 Upgraded to
Aa2 (sf)
Cl. D, Affirmed at A3 (sf); previously on Aug 4, 2010 Downgraded
to A3 (sf)
Cl. E, Downgraded to Baa2 (sf); previously on Aug 4, 2010
Downgraded to Baa1 (sf)
Cl. F, Downgraded to Ba1 (sf); previously on Aug 4, 2010
Downgraded to Baa2 (sf)
Cl. G, Downgraded to Ba3 (sf); previously on Aug 4, 2010
Downgraded to Ba1 (sf)
Cl. H, Downgraded to B3 (sf); previously on Aug 4, 2010 Downgraded
to B1 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on Aug 4, 2010 Downgraded
to Caa3 (sf)
Cl. K, Affirmed at Ca (sf); previously on Aug 4, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed at Ca (sf); previously on Aug 4, 2010 Downgraded
to Ca (sf)
Cl. M, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to
C (sf)
Cl. N, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to
C (sf)
Cl. O, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to
C (sf)
Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The downgrades are due to higher than expected losses from
troubled loans and loans in special servicing along with
anticipated increases in interest shortfalls.
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
6.3% of the current balance. At last review, Moody's cumulative
base expected loss was 3.8%. Realized losses represent less than
0.1% of the original pooled balance. Moody's provides a current
list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012, and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
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 review also incorporated the CMBS IO calculator ver 1.0,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
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 12 compared to 14 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 a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated May 4, 2011.
DEAL PERFORMANCE
As of the March 17, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 28% to $749 million
from $1.04 billion at securitization. The Certificates are
collateralized by 47 mortgage loans ranging in size from less than
1% to 14% of the pool, with the top ten non-defeased loans
representing 53% of the pool. Seven loans, representing 26% of the
pool, have defeased and are secured by U.S. Government securities.
Defeasance at last review represented 17% of the pool. The pool
contains two loans with investment grade credit estimates,
representing 13% of the pool.
Eleven loans, representing 21% 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.
One loan has liquidated from the pool, resulting in a realized
loss of $23,881 (1.4% loss severity). Currently three loans,
representing 6% of the pool, are in special servicing. The largest
specially serviced loan is the Bay City Mall Loan ($22.7 million -
- 3.0% of the pool), which is secured by a 362,535 square foot
(SF) mall located in Bay City, Michigan. The loan was transferred
to special servicing in April 2009 as part of General Growth
Properties (GGP) bankruptcy filing. After the borrower's loan
modification proposal was rejected, the property became REO in
February 2011 via a deed-in-lieu of foreclosure. The property
manager has successfully leased up the property to 91% as of
February 2012. Occupancy as of December 2009 was 80%. The special
servicer anticipates marketing the property for sale during the
second quarter in 2012.
The remaining two specially serviced properties are secured by a
multifamily and retail properties. Moody's estimates an aggregate
$40.7 million loss for the specially serviced loans (52% expected
loss on average).
Moody's has assumed a high default probability for two poorly
performing loans representing 10% of the pool and has estimated an
aggregate $17.7 million loss (25% expected loss on average) from
these troubled loans.
Moody's was provided with full year 2010 operating results for 95%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 84% compared to 89% 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 9.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.39X and 1.24X, respectively, compared to
1.40X and 1.18X 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 Four Seasons Town
Centre Loan ($80.6 million -- 10.8% of the pool), which is secured
by a 928,410 SF GGP sponsored mall located in Greensboro, North
Carolina. The subject property is the dominant mall in the
Greensboro market. Major tenants include JC Penney (24% of the net
rentable area (NRA); lease expiration August 31, 2014) and Belk
(23% of the NRA; lease expiration January 31, 2014). The mall is
shadow anchored by Dillard's (lease expiration November 30, 2050).
Total mall and inline occupancy as of September 2011 were 93% and
75%, respectively, compared to 93% and 71% at the last review. The
borrower was able to sign some month-to-month inline tenants to
long term leases since the last review. The loan's maturity date
was extended 3.5 years to June 2017 as part of the restructuring
of the loan as part of the GGP's bankruptcy plan. Performance has
been stable and the loan is benefitting from amortization. Moody's
credit estimate and stressed DSCR are A3 and 1.56X, respectively,
compared to A3 and 1.52 at the last review.
The second loan with a credit estimate is the University Mall Loan
($17.6 million -- 2.3% of the pool), which is secured by a 653,558
SF mall located in Tuscaloosa, Alabama. Major tenants include Belk
(26% of the NRA; lease expiration August 19, 2015) and JC Penney
(15% of the NRA; lease expiration August 9, 2015). The property is
the dominant mall in the Tuscaloosa market. The property was 98%
leased as of December 2011 compared to 97% at the last review.
Property performance continues to improve and the loan is
benefitting from amortization. Moody's credit estimate and
stressed DSCR are Aa1 and 2.44X, respectively, compared to Aa3 and
2.29X at last review.
The top three non defeased conduit loans represent 27% of the
pool. The largest conduit loan is the Brass Mill Center & Commons
Loan ($104.1 million -- 13.9% of the pool), which is secured by a
864,187 SF enclosed mall and outdoor community center located in
Waterbury, Connecticut. The subject property is not the dominant
in the area. Major competition includes the Danbury Mall which is
located 30 miles east of the subject and Westfarms Mall which is
located 25 miles northeast of the subject. Major tenants include
JC Penney (15% of the NRA; lease expiration September 30, 2017)
and Burlington Coat Factory (11% of the NRA; lease expiration
January 31, 2015). The property is shadow anchored by Macy's and
Sears. Total mall and collateral occupancy as of September 2011
was 89% and 85%, respectively, which is inline with the last
review. The loan's maturity date was extended 2.5 years to April
2016 as part of the restructuring of the loan as part of the GGP's
bankruptcy plan. Moody's LTV and stressed DSCR are 79% and 1.31X,
respectively, compared to 71% and 1.38X at last review.
The second largest conduit loan is the Bank of America Tower Loan
($69.3 million -- 9.2% of the pool), which is secured by a 697,341
SF office building located in Jacksonville, Florida. Property was
48% leased as of September 2011 compared to 73% at the last
review. Bank of America, the building's largest tenant, downsized
to 96,759 SF (14% of the NRA) from 188,032 SF (27% of the NRA)
upon extension of its lease in July 2009. Since that time, other
tenants have left the property at their respective lease
maturities. The borrower continues to market the vacant space and
has had some success signing some smaller tenants at the property.
The loan is on the master servicer's watchlist due to low
occupancy. Moody's considers this loan as a troubled loan becuase
of its low occupany and weak office market.
The third largest conduit loan is the Amargosa Commons Shopping
Center Loan ($27.2 million -- 3.6% of the pool), which is secured
by a 173,302 SF retail center located in Palmdale, California.
Major tenants include TJ Maxx (16% of the NRA; lease expiration
October 31, 2013) and Bed Bath & Beyond (12% of the NRA; lease
expiration January 31, 2014). The property was 79% leased as of
December 2011 compared to 72% at the prior review. Circuit City
previously occupied 19% of the NRA but vacated after the company's
bankruptcy filing and subsequent liquidation. Since Circuit City
vacated their space, the borrower signed leases to Party City and
Weight Watchers totaling almost 8% of the total space at the
property. The loan is on the master servicers watchlist due to low
occupancy and debt service coverage but the borrower indicated
that they will continue to cover debt service payments. Moody's
LTV and stressed DSCR are 128% and 0.74X, respectively, compared
to 149% and 0.64X at last review.
WASHINGTON MUTUAL: Moody's Cuts Ratings on Two Tranches to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 34
tranches and confirmed the rating of one tranche from nine RMBS
transactions, backed by prime jumbo loans, issued by Washington
Mutual.
Ratings Rationale
The actions are a result of the recent performance review of Prime
pools originated before 2005 and reflect Moody's updated loss
expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating action constitute of a number of downgrades. The
downgrades are a result of deteriorating performance and/or
structural features resulting in higher expected losses for
certain bonds than previously anticipated. For e.g., for shifting
interest structures, back-ended liquidations could expose the
seniors to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. In Moody's current approach, Moody's captures
this risk by running each individual pool through a variety of
loss and prepayment scenarios in the Structured Finance
Workstation(R)(SFW), the cash flow model developed by Moody's Wall
Street Analytics. This individual pool level analysis incorporates
performance variances across the different pools and the
structural nuances of the transaction
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
set at 3% for Jumbo and which is typically higher than the average
rate of new delinquencies for larger pools.
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, the adjusted rate of
new delinquency would be 3.03%. 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 0.75 to
2.5 for current delinquencies ranging from less than 2.5% to
greater than 10% respectively. Delinquencies for subsequent years
and ultimate expected losses are projected using the approach
described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR10
Trust
Cl. A-6, Downgraded to Baa2 (sf); previously on Apr 20, 2011
Downgraded to A2 (sf)
Cl. A-7, Downgraded to Baa2 (sf); previously on Apr 20, 2011
Downgraded to A2 (sf)
Cl. B-1, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR6
Trust
Cl. A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on Apr 20, 2011
Downgraded to Caa2 (sf)
Cl. B-5, Downgraded to C (sf); previously on Apr 20, 2011
Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR7
Trust
Cl. A-6, Downgraded to A3 (sf); previously on Apr 20, 2011
Downgraded to A1 (sf)
Cl. A-7, Downgraded to A3 (sf); previously on Apr 20, 2011
Downgraded to A1 (sf)
Cl. A-8, Downgraded to A3 (sf); previously on Apr 20, 2011
Downgraded to A1 (sf)
Cl. B-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Caa2 (sf); previously on Apr 20, 2011
Downgraded to B3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR3
Trust
Cl. A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR4
Trust
Cl. A-6, Downgraded to Ba2 (sf); previously on Apr 20, 2011
Downgraded to Baa3 (sf)
Cl. B-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR9
Trust
Cl. A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on Apr 20, 2011
Downgraded to Caa2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2003-AR1
Cl. A-5, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2003-AR3
Cl. A-5, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on Apr 20, 2011
Downgraded to Caa3 (sf)
Cl. B-3, Downgraded to C (sf); previously on Apr 20, 2011
Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2003-AR5
Cl. A-6, Downgraded to A3 (sf); previously on Apr 20, 2011
Downgraded to A1 (sf)
Cl. A-7, Downgraded to A3 (sf); previously on Apr 20, 2011
Downgraded to A1 (sf)
Cl. B-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Caa2 (sf); previously on Apr 20, 2011
Downgraded to B1 (sf)
Cl. B-3, Downgraded to Ca (sf); previously on Apr 20, 2011
Downgraded to Caa3 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281285
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
WAYFARER 2006-2: Moody's Raises Rating on Class B Notes to 'Caa3'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by SGS Inv. Grade Credit Fund (Wayfarer
2006-2), Ltd.:
US$870,300,000 (current outstanding balance of $858,791,391.02)
Class A-1 Delayed Drawdown Notes, Due December 2013, Upgraded to
Aa1 (sf); previously on February 23, 2009 Downgraded to Aa2
(sf);
US$20,000,000 Class B Floating Rate Notes Due December 2013,
Upgraded to Caa3 (sf); previously on February 23, 2009
Downgraded to Ca (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of the shortened time-to-maturity of the notes
and a reduction in the Class A-1 Notes outstanding balance. As a
result of the failure of the Class A/B overcollateralization test,
excess interest payments are currently being diverted into a
collateral account and the Class A-1 Notes outstanding balance is
reduced by the amount of interest diverted. The outstanding
balance of the Class A-1 Notes have been reduced by $10.7 million,
or 1.2%, since the rating action in February 2009. While the
credit quality of the portfolio has deteriorated since the last
rating action in February 2009, the interest payment diversions
are credit positive for the Class A-1 Notes, Class A-2 Notes and
Class B Notes. Additionally, Moody's notes that interest payments
are current for the Class B Notes as of the last payment period in
March 2012.
Based on the latest trustee report dated March 2012, the weighted
average rating factor is currently 1040 compared to 839 in
February 2009. The Class A/B, Class C and Class D
overcollateralization ratios are reported at 102.3%, 101.2% and
100.2%, respectively, versus February 2009 levels of 103.5%,
102.4% and 101.0%, respectively. SGS Inv. Grade Credit Fund
(Wayfarer 2006-2), Ltd., issued in December 2006, is a synthetic
collateralized debt obligation backed primarily by a portfolio of
senior unsecured bonds.
The principal methodology used in these ratings was "Moody's
Approach to 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 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
developments.
WELLS FARGO: Moody's Lowers Ratings on 4 Note Tranches to 'C'
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 125
tranches, upgraded the ratings of 14 tranches, and confirmed the
ratings of 22 tranches from 35 RMBS transactions backed by Prime
Jumbo loans, issued by Wells Fargo.
Ratings Rationale
The actions are a result of the recent performance review of prime
Jumbo pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The rating action constitute of a number of upgrades as well as
downgrades. The upgrades are due to a significant improvement in
collateral performance, and/ or rapid build-up in credit
enhancement due to high prepayments.
The downgrades are a result of deteriorating performance and/or
structural features resulting in higher expected losses for
certain bonds than previously anticipated. For e.g., for shifting
interest structures, back-ended liquidations could expose the
seniors to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. In Moody's current approach, Moody's captures
this risk by running each individual pool through a variety of
loss and prepayment scenarios in the Structured Finance
Workstation(R)(SFW), the cash flow model developed by Moody's Wall
Street Analytics. This individual pool level analysis incorporates
performance variances across the different pools and the
structural nuances of the transaction
The actions taken on Wells 2003-F Trust and Wells 2004-5 Trust
also reflect the correction of an error in the Structured Finance
Workstation cash flow model used by Moody's in rating these
transactions. When these transactions were reviewed previously,
the model did not properly allocate losses to the certificates.
The loss allocation has been corrected and, therefore, the rating
actions on these transactions can be attributed to both this
correction as well as specific deal performance.
The approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is set at 3%
for Jumbo and which is typically higher than the average rate of
new delinquencies for larger pools.
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, the adjusted rate of
new delinquency would be 3.03%. 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 0.75 to
2.5 for current delinquencies ranging from less than 2.5% to
greater than 10% respectively. Delinquencies for subsequent years
and ultimate expected losses are projected using the approach
described in the methodology publication.
When assigning the final ratings to senior bonds, in addition to
the methodologies, Moody's considered the volatility of the
projected losses and timeline of the expected defaults. For bonds
backed by small pools, Moody's also considered the current
pipeline composition as well as any specific loss allocation rules
that could preserve or deplete the overcollateralization available
for the senior bonds at different pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. 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. 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, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Wells Fargo Mortgage Backed Securities 2003-11 Trust
Cl. I-A-5, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-10, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-11, Confirmed at A1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-12, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-13, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Issuer: Wells Fargo Mortgage Backed Securities 2003-15 Trust
Cl. I-A-1, Upgraded to Baa3 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-2, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-3, Upgraded to Ba2 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. A-PO, Upgraded to Baa3 (sf); previously on Apr 18, 2011
Downgraded to Ba2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2003-8 Trust
Cl. A-1, Upgraded to A3 (sf); previously on Jan 31, 2012 Baa2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-2, Upgraded to A2 (sf); previously on Jan 31, 2012 Baa1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-4, Upgraded to A2 (sf); previously on Jan 31, 2012 Baa1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-5, Upgraded to A2 (sf); previously on Jan 31, 2012 Baa1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-6, Upgraded to A2 (sf); previously on Feb 22, 2012 Baa1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-7, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. A-9, Upgraded to A3 (sf); previously on Jan 31, 2012 Baa2 (sf)
Placed Under Review for Possible Upgrade
Issuer: Wells Fargo Mortgage Backed Securities 2003-B Trust
Cl. A-1, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2003-E Trust
Cl. A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ba3 (sf); previously on Apr 18, 2011
Downgraded to Ba1 (sf)
Cl. A-3, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to B3 (sf); previously on Apr 18, 2011
Downgraded to B1 (sf)
Cl. A-WIO, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2003-F Trust
Cl. A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2003-J Trust
Cl. I-A-5, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A2 (sf)
Cl. I-A-9, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A2 (sf)
Cl. I-A-10, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A2 (sf)
Cl. I-A-12, Downgraded to Ba1 (sf); previously on Apr 18, 2011
Downgraded to Baa3 (sf)
Cl. II-A-1, Confirmed at A2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-3, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-5, Downgraded to Aa3 (sf); previously on Apr 18, 2011
Downgraded to Aa1 (sf)
Cl. II-A-6, Downgraded to Aa1 (sf); previously on Apr 18, 2011
Confirmed at Aaa (sf)
Cl. II-A-7, Downgraded to A3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. III-A-2, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A2 (sf)
Cl. III-A-3, Downgraded to Ba1 (sf); previously on Apr 18, 2011
Downgraded to Baa2 (sf)
Cl. IV-A-1, Downgraded to A1 (sf); previously on Apr 18, 2011
Downgraded to Aa2 (sf)
Cl. IV-A-2, Downgraded to A2 (sf); previously on Apr 18, 2011
Downgraded to Aa3 (sf)
Cl. IV-A-3, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A3 (sf)
Cl. V-A-1, Downgraded to A3 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2003-L Trust
Cl. I-A-1, Downgraded to Aa3 (sf); previously on Apr 18, 2011
Downgraded to Aa1 (sf)
Cl. I-A-2, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-5, Downgraded to A2 (sf); previously on Apr 18, 2011
Downgraded to Aa2 (sf)
Cl. II-A-1, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2003-N Trust
Cl. I-A-3, Downgraded to A3 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Cl. II-A-1, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Cl. II-A-2, Downgraded to A3 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Cl. II-A-3, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to Baa3 (sf); previously on Apr 18, 2011
Downgraded to A3 (sf)
Cl. III-A-2, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-1 Trust
Cl. A-2, Confirmed at Aa1 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-8, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-10, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. A-11, Downgraded to A3 (sf); previously on Apr 18, 2011
Downgraded to Aa3 (sf)
Cl. A-12, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-13, Downgraded to A1 (sf); previously on Apr 18, 2011
Downgraded to Aa3 (sf)
Cl. A-14, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-17, Downgraded to A2 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Cl. A-20, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-WIO, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-PO, Downgraded to A3 (sf); previously on Apr 18, 2011
Downgraded to Aa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-3 Trust
Cl. A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Upgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-5 Trust
Cl. I-A-1, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-PO, Upgraded to Baa2 (sf); previously on Apr 18, 2011
Downgraded to Baa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-6 Trust
Cl. A-4, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-8, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. A-15, Upgraded to Aa2 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-16, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-A Trust
Cl. A-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on Apr 18, 2011
Downgraded to Caa2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-B Trust
Cl. A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-BB Trust
Cl. A-1, Downgraded to B2 (sf); previously on Apr 18, 2011
Downgraded to B1 (sf)
Cl. A-2, Downgraded to B2 (sf); previously on Apr 18, 2011
Downgraded to Ba3 (sf)
Cl. A-3, Downgraded to Ca (sf); previously on Apr 18, 2011
Downgraded to Caa2 (sf)
Cl. A-4, Downgraded to Baa2 (sf); previously on Apr 18, 2011
Downgraded to A3 (sf)
Cl. A-5, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Ca (sf); previously on Apr 18, 2011
Downgraded to Caa2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-C Trust
Cl. A-1, Downgraded to Baa2 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Cl. B-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on Apr 18, 2011
Downgraded to Caa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-CC Trust
Cl. A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-D Trust
Cl. A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-IO, Downgraded to Baa1 (sf); previously on Feb 22, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba3 (sf); previously on Apr 18, 2011
Downgraded to A3 (sf)
Cl. B-2, Downgraded to Caa3 (sf); previously on Apr 18, 2011
Downgraded to B1 (sf)
Cl. B-3, Downgraded to Ca (sf); previously on Apr 18, 2011
Downgraded to Caa1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-DD Trust
Cl. I-A-1, Downgraded to B2 (sf); previously on Apr 18, 2011
Downgraded to Ba2 (sf)
Cl. II-A-5, Confirmed at A2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-6, Downgraded to Ba3 (sf); previously on Apr 18, 2011
Downgraded to Ba2 (sf)
Cl. II-A-7, Downgraded to Ba2 (sf); previously on Apr 18, 2011
Downgraded to Baa3 (sf)
Cl. II-A-8, Downgraded to Caa1 (sf); previously on Apr 18, 2011
Downgraded to B1 (sf)
Cl. B-1, Downgraded to C (sf); previously on Apr 18, 2011
Downgraded to Ca (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-E Trust
Cl. A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Baa3 (sf); previously on Feb 22, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-9, Upgraded to Aa1 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-10, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-EE Trust
Cl. I-A-1, Downgraded to Ba1 (sf); previously on Apr 18, 2011
Downgraded to Baa3 (sf)
Cl. II-A-1, Downgraded to Baa3 (sf); previously on Apr 18, 2011
Downgraded to Baa1 (sf)
Cl. II-A-2, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-G Trust
Cl. A-2, Downgraded to A3 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Cl. A-3, Downgraded to Aa1 (sf); previously on Apr 18, 2011
Confirmed at Aaa (sf)
Cl. A-4, Downgraded to Baa2 (sf); previously on Apr 18, 2011
Downgraded to A2 (sf)
Cl. B-1, Downgraded to Ba3 (sf); previously on Apr 18, 2011
Downgraded to Baa3 (sf)
Cl. B-2, Downgraded to Ca (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on Apr 18, 2011
Downgraded to Caa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-H Trust
Cl. A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-J Trust
Cl. A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on Apr 18, 2011
Downgraded to Ca (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2003-I Trust
Cl. A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-K Trust
Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Cl. II-A-3, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-6, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-8, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-11, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-12, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-L Trust
Cl. A-7, Confirmed at Aa1 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-8, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-9, Downgraded to A3 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-M Trust
Cl. A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B3 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on Apr 18, 2011
Downgraded to Caa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-O Trust
Cl. A-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-U Trust
Cl. A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-V Trust
Cl. I-A-1, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Confirmed at A1 (sf)
Cl. I-A-2, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Ba1 (sf); previously on Apr 18, 2011
Confirmed at A2 (sf)
Cl. II-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2004-W Trust
Cl. A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-8, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-9, Downgraded to Ba2 (sf); previously on Apr 18, 2011
Downgraded to Baa2 (sf)
Cl. A-10, Downgraded to B1 (sf); previously on Apr 18, 2011
Downgraded to Ba2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-X Trust
Cl. I-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-5, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Confirmed at Baa3 (sf); previously on Jan 31, 2012
Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on Apr 18, 2011
Downgraded to Caa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-Y Trust
Cl. II-A-1, Downgraded to Baa1 (sf); previously on Apr 18, 2011
Downgraded to A1 (sf)
Cl. III-A-3, Confirmed at Baa3 (sf); previously on Jan 31, 2012
Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on Apr 18, 2011
Downgraded to Caa2 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF280498
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
WELLS FARGO 2012-C6: Fitch Rates $13.8MM Certificates 'Bsf'
-----------------------------------------------------------
Fitch Ratings has assigned the following ratings to Wells Fargo
Commercial Mortgage Securities, Inc. Mortgage Trust 2012-C6
commercial mortgage pass-through certificates:
-- $57,427,000 class A-1 'AAAsf'; Outlook Stable;
-- $136,818,000 class A-2 'AAAsf'; Outlook Stable;
-- $67,832,000 class A-3 'AAAsf'; Outlook Stable;
-- $385,428,000 class A-4 'AAAsf'; Outlook Stable;
-- $748,100,000*a class X-A 'AAAsf'; Outlook Stable;
-- $100,595,000 class A-S 'AAAsf'; Outlook Stable;
-- $42,781,000 class B 'AAsf'; Outlook Stable;
-- $31,219,000a class C 'Asf'; Outlook Stable;
-- $47,407,000a class D 'BBB-sf'; Outlook Stable;
-- $13,875,000a class E 'BBsf'; Outlook Stable;
-- $13,875,000a class F 'Bsf'; Outlook Stable.
* Notional amount and interest only
a Privately placed pursuant to Rule 144A
Fitch does not rate the $176,907,832 interest-only class X-B or
the $27,750,832 class G.
WFRBS COMMERCIAL: Moody's Assign B2 Rating to Cl. F Certificates
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eleven classes
of CMBS securities, issued by WFRBS Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2012-C6.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-S, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba2 (sf)
Cl. F, Definitive Rating Assigned B2 (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Ratings Rationale
The Certificates are collateralized by 89 fixed rate loans secured
by 152 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 1.50X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.16X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 94.7% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio (inclusive of subordinated debt and debt-like preferred
equity) of 100.2% 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
38.7. The transaction's loan level diversity is at the higher end
of 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 55.0. The
transaction's property diversity profile is higher than the
indices calculated in most multi-borrower transactions issued
since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-S to mitigate the potential increased
severity to class A-S.
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 2.5, which is higher
than the indices calculated in most multi-borrower transactions
since 2009.
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 Structured Finance Interest-Only
Securities" published in February 2012.
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. Moody's
analysis also uses the CMBS IO calculator ver1.0, which references
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type corresponding to an IO type as defined in
the published methodology.
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%, and 23%, the model-indicated rating for the currently
rated Aaa Super Senior class would be Aaa, Aaa, and Aa1,
respectively; for the most junior Aaa rated class A-S would be
Aa1, Aa2, and A1, respectively. Parameter Sensitivities are not
intended to measure how the rating of the security might migrate
over time; rather they are designed to provide a quantitative
calculation of how the initial rating might change if key input
parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
ZAIS INVESTMENT V: S&P Lowers Ratings on 2 Note Classes to 'CCC-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
A-1 notes from Zais Investment Grade Ltd. V, a collateralized debt
obligation (CDO) transaction backed by tranches from other CDOs.
Zais Group LLC manages the transaction. "At the same time, we
lowered the ratings on the class B-1 and B-2 notes," S&P said.
"Zais Investment Grade Ltd. V experienced an event of default
(EOD) in April 2009 and the controlling class of noteholders voted
to accelerate in August 2009. Post the acceleration, the
transaction pays the A-1 notes' interest and principal ahead of
any payments to notes junior to class A-1," S&P said.
"The upgrade reflects the significant paydowns to the A-1 notes
since our last review in September 2011. They currently have an
outstanding balance of $109.97 million, about 40.55% of the
original balance," S&P said.
"We do not expect the class A-2, B-1, and B-2 notes to receive any
interest or principal payments until the A-1 notes are completely
paid off. The class A-2 is a nondeferrable note, and we lowered
the rating to 'D (sf)' since they missed their timely interest in
August 2009," S&P said.
"The actions also reflect our updated criteria for CDOs backed by
structured finance assets," 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," 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 ACTION
Zais Investment Grade Ltd. V
Rating
Class To From
A-1 BBB- (sf) BB (sf)
B-1 CCC- (sf) CCC (sf)
B-2 CCC- (sf) CCC (sf)
OTHER RATING OUTSTANDING
Zais Investment Grade Ltd. V
Class Rating
A-2 D (sf)
TRANSACTION INFORMATION
Issuer: Zais Investment Grade Ltd. V
Coissuer: Zais Investment Grade Corp. V
Collateral manager: Zais Group LLC
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
* S&P Takes Various Rating Actions on 9 KeyCorp Loan Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 17
classes of notes from five KeyCorp Student Loan Trusts and removed
16 of these from CreditWatch with negative implications. "At the
same time, we placed our rating on one class from KeyCorp Student
Loan Trust 2001-A on CreditWatch with negative implications and
withdrew our rating on one class from KeyCorp Student Loan Trust
2003-A. We also affirmed our ratings on 15 classes of notes from
eight KeyCorp Student Loan Trusts and removed five of these from
CreditWatch negative," S&P said.
The bullets detail the collateral backing the nine trusts and
describe their payment waterfall structures:
* Trusts 1999-B, 2000-A, and 2000-B are backed by a mixed
collateral pool composed of Federal Family Education Loan
Program (FFELP) loans and private loans. These trusts have
single waterfalls.
* Trusts 2001-A through 2006-A were originally backed by a mixed
collateral pool composed of FFELP and private loans. These
trusts have bifurcated waterfalls. The FFELP collateral in the
2001-A deal has been put to the put provider and the group I
FFELP notes have been redeemed in full. Accordingly, the 2001-A
group II notes now benefit only from private loan collateral.
* "In all of the trusts we reviewed, loans from group I are
solely comprised of FFELP loans and group II are solely
comprised of private loans," S&P said.
"The rating actions on the group I senior notes reflect the
application of our revised criteria for the treatment of the U.S.
government in its role as an insurer or guarantor and government
agency loan-level support in structured finance transactions. The
downgrades generally reflect the classes' inability to meet timely
interest or principal payments at legal final maturity under our
rating stress scenarios. The affirmations reflect the ability of
the class to meet timely interest or principal payments at legal
final maturity under our rating stress scenarios," S&P said.
DEAL PERFORMANCE
The tables set out some of the key metrics that S&P reviewed:
Table 1
Deal Statistics
Trust Cumulative Priv. guar. Note At release
default (%) collateral (%) factor (%) levels
(i) (ii)(iii) (Y/N)
1999-B 9.46 43.75 13.57 No(iv)
2000-A 7.82 26.20 14.29 No(iv)
2000-B 9.88 61.35 17.77 No(iv)
2001-A 12.74 37.65 26.23 Yes
2002-A 15.26 31.12 31.58 Yes
2003-A 17.47 8.70 36.32 Yes
2004-A 19.63 4.00 44.37 No
2005-A 14.52 3.36 53.31 No
2006-A 15.55 0.87 64.86 No
(i) As reported in the respective quarterly servicer report
except for the 1999-B trust, which is calculated using the
information in the respective quarterly servicer report.
(ii) Loans noted on the respective quarterly servicer report as
"Priv. Non Guar - TERI". "The majority of these loans were
originally guaranteed by TERI and accordingly received higher
recovery levels on defaults compared with defaults on loan
from the other loan programs," S&P said.
(iii)Calculated using the current loan pool balance, which
includes interest to be capitalized.
(iv) Have shifted to full turbo structure.
Table 2
Loan Status
Trust 90 days Deferment Forbearance Repayment
delinquent (%) (%) (%)
(%)
1999-B 2.48 2.41 3.49 94.05
2000-A 2.79 4.16 4.06 91.68
2000-B 1.92 1.86 3.09 94.99
2001-A 1.76 3.13 2.19 94.66
2002-A 1.40 4.66 3.04 92.19
2003-A 1.33 6.96 3.30 89.51
2004-A 1.79 7.18 4.30 87.97
2005-A 1.61 8.50 5.78 84.77
2006-A 1.92 8.11 8.38 81.87
Note: 90-plus-day delinquencies is calculated as a percent of the
total loan pool balance in repayment. All calculations are
calculated using the current loan pool balance, which includes
interest to be capitalized.
Table 3
Credit Enhancement
Trust Reserve Class A Class B Class C
(%) sub. (%) sub. (%) sub. (%)
1999-B 0 66.69 45.63 N/A
2000-A 0 N/A N/A N/A
2000-B 0 N/A N/A N/A
2001-A 3.13 N/A N/A N/A
2002-A 3.14 N/A N/A N/A
2003-A 3.64 8.92 N/A N/A
2004-A 3.97 41.95 29.61 9.87
2005-A 3.50 35.11 11.30 N/A
2006-A 3.50 30.91 9.87 N/A
Note: All calculations are as a percentage of the current loan
pool balance, which includes interest to be capitalized.
N/A - Not applicable.
Sub. -Subordination.
Table 4
Parity
Trust Class A Class B Class C Class D
parity (%) parity (%) parity (%) parity (%)
1999-B 350.13 201.53(i) 104.98(ii) N/A
2000-A 105.80 N/A N/A N/A
2000-B 99.82 N/A N/A N/A
2001-A 103.13 N/A N/A N/A
2002-A 103.14 N/A N/A N/A
2003-A 113.78 103.64 N/A N/A
2004-A 153.91 130.14 104.36 94.95
2005-A 158.60 116.20 103.12 N/A
2006-A 136.66 106.94 97.05 N/A
(i)Class B parity is for the mezzanine class in the 1999-B trust.
(ii)Class C parity is for the certs class in the 1999-B trust.
In tables 1-4, the information for the 2001-A through 2006-A
trusts pertains only to group II. All data is from the quarterly
servicer report with a collection period ending during fourth-
quarter 2011.
SINGLE WATERFALL TRANSACTIONS
"The affirmed ratings on the notes from the 1999-B, 2000-A, and
2000-B trusts are based on our view of the strong performance of
the underlying collateral and a deal structure, which currently
allows for no releases. The transactions performance reflects the
low levels of cumulative net losses, low levels of deferment and
forbearance, and high levels of repayment. The FFELP collateral
benefits from guaranty payments by the federal government of at
least 97% on defaults serviced within FFELP guidelines. A large
portion of the private student loan collateral within these
transactions benefited after closing through April 2008 from
guaranty payments on defaulted loans from The Education Resources
Institute (TERI)," S&P said.
"These transactions are structured so that all payments received
from both the private and FFELP student loans are used to amortize
all of the notes based on the structures' payment waterfalls.
Furthermore, the transactions include turbo features allowing them
to use all remaining funds to amortize the notes rather than
releasing cash to the residual holders if certain conditions have
been met. These transactions have reached the transaction-
specified dates and have shifted to full turbo structures," S&P
said.
"The class A-2 and mezzanine notes from the 1999-B trust benefit
from subordination amounts of 66.69% and 45.63% in addition to the
overcollateralization and excess spread. Credit enhancement for
the certificate class from the 1999-B trust and the class A notes
from the 2000-A transaction comprises overcollateralization and
excess spread. The credit enhancement available for the class A
notes from the 2000-B trust is excess spread. While total parity
for both the 1999-B and 2000-A transactions exceeds 104%, the
total parity for the 2000-B deal is below 100%. Because this trust
has reached its date for paying full turbo, we expect that the
total parity will soon exceed 100%. We will continue to monitor
the total parity for the 2000-B deal and may place the rating on
CreditWatch negative if total parity does not rise above 100% in
the near term," S&P said.
BIFURCATED WATERFALL TRANSACTIONS
Group I Notes (FFELP-Backed)
"The underlying collateral for all of the group I notes comprises
student loans originated under FFELP and, therefore, benefit from
the U.S. federal government's reinsurance of at least 97% of the
loans' principal and accrued interest. The structures allow pro
rata payments to the class A and B notes. If certain triggers are
breeched, the payments can revert back to sequential and/or
interest can be reprioritized to make senior class principal
payments. If the group I notes have reached certain parity ratios,
the group II notes can then use the remaining proceeds to reach
certain parity ratios," S&P said.
"On Aug. 9, 2011, we placed all of the group I notes from all of
the trusts we reviewed on CreditWatch negative. We affirmed our
ratings on the subordinate bonds from these transactions on Aug.
30, 2011, after lowering our long-term sovereign credit rating on
the United States of America to 'AA+' with a negative outlook from
'AAA' and removing the long-term and short-term ratings from
CreditWatch negative. We affirmed our ratings on Aug. 30, 2011,
because our ratings on the subordinate bonds were lower than the
rating on the U.S. The ratings on the senior classes remained on
CreditWatch negative," S&P said.
APPLICABLE CRITERIA
"On Sept. 19, 2011, we published new criteria that describes our
methodology for the treatment of partial loan-level support to
loans backing 'AAA' rated securities, where U.S. government
agencies or entities rated by Standard & Poor's provide such
support, or with a credit estimate in the case of an agency or
entity that we do not rate. Because the FFELP loans backing the
bonds issued by these transactions are supported by the U.S.
Department of Education (ED) in the form of a guarantee, special
allowance payments (SAPs), and interest subsidy payments (ISPs),
we applied the Sept. 19 criteria when reviewing the 'AAA (sf)'
ratings that were assigned to the senior bonds. Moreover, because
Standard & Poor's views the ED as an integral part of the U.S.
federal government, we view any of its obligations as having the
same creditworthiness as other U.S. ('AA+') obligations," S&P
said.
APPLICATION OF CRITERIA
"According to the applicable criteria, the degree of support
provided by the government prior to its default is a function of
the rating on the government entity relative to the rating on the
obligation. As such, as outlined in the revised criteria, we
assume that a guarantor rated in the 'AA' category will pay 85% of
its obligations in a 'AAA' stress scenario. Based on this, we used
cash flow models and imposed the 15% haircut on government-
supported cash inflows to determine the effect to these
transactions under various 'AAA' stressed scenarios. The rating
actions reflect the application of our revised criteria for the
treatment of the U.S. government in its role as an insurer or
guarantor, and government agency loan-level support in structured
finance transactions," S&P said.
Group II Notes (Private-Backed)
"The 2002-A through 2006-A transactions are structured with
bifurcated collateral pools whereby the proceeds from the FFELP
collateral are first used to amortize the group I notes until they
reach their parity release levels," S&P said.
"At that point, the proceeds of the FFELP collateral are available
to amortize the group II notes until they reach their parity
release levels. Likewise, the proceeds from the private loan
collateral are first used to amortize the group II notes until
they reach their parity release levels. At that point, proceeds
are available to amortize the group I notes until they reach their
parity release levels. Currently, the group II notes, with more
than one class, are paying sequentially, and we expect them to
continue paying sequentially until they've paid down. The
structures with more than one class allow for the reprioritization
of interest if certain triggers are breeched. In the event of
nonmonetary events of defaults, payments would be allocated
sequentially. Accordingly, we have differentiated the ratings on
the senior notes," S&P said.
"On March 5, 2010, we placed all of the 2003-A through 2006-A
group II notes, other than class I-O, on CreditWatch negative
based on the performance of the private student loan collateral.
At the time, we were concerned about the performance of the
private student loan collateral in the 2002-A transaction but did
not place our ratings on the 2002-A group II notes on CreditWatch
because we were not confident at the time that there was a greater
than 50% chance of downgrade," S&P said.
DEFAULT EXPECTATIONS AND NET LOSS PROJECTIONS
"Based on our view of the current and projected performance of
these pools (groups I and II) of loans, we raised our lifetime
cumulative default expectations for each trust," S&P said.
"The group I collateral was originally comprised of Stafford,
PLUS, and FFELP consolidation loans. Currently, the trusts' FFELP
collateral primarily comprises consolidation loans. For the group
I FFELP student-loan-backed collateral, we project lifetime
cumulative defaults ranging from 8.4% to 12.0% of the original
balance (see table 5). The projected remaining cumulative defaults
as a percentage of the current balance range from 8.0% to 12.0%,"
S&P said.
Table 5
Group 1 Cumulative Default Expectations
Approx. projected Approx. projected
lifetime cumulative remaining cumulative
defaults as a % of defaults as a % of
initial balance current balance
Trust (%) (%)
2002-A 9.0 10.0
2003-A 10.0 8.0
2004-A 12.0 12.0
2005-A 13.5 11.0
2006-A 16.0 8.0
"Generally, the group II collateral originally comprised private
student loans originated under seven different loan programs. The
loans in the older trusts have generally performed better than
loans included in the newer trusts. We reviewed the default
performance at a loan program level for each trust and calculated
a weighted average base case cumulative default expectation for
each trust based on the loan program composition in each trust.
For the group II private student-loan-backed collateral, we have
increased our cumulative default assumption to 17.5%-29.0% of the
original pool balance (see table 6). We assumed future stressed
recovery rates of approximately 10%-15% of the dollar amount of
cumulative defaults, which results in our expectation for
remaining cumulative net losses ranging from 2.6% to 12.5%," S&P
said.
Table 6
Group II Cumulative Default And Net Loss Expectations
Approx. projected Approx. projected
lifetime cumulative remaining cumulative
defaults as a % of losses as a % of
initial balance current balance
Trust (%) (%)
2002-A 17.5-18.5 6.4-9.3
2003-A 20.5-21.5 7.8-10.8
2004-A 25.0-26.0 12.1-15.1
2005-A 22.0-25.0 12.6-18.7
2006-A 26.0-29.0 15.7-21.4
CASH FLOW MODELING ASSUMPTIONS
"Based on a loan-level collateral file provided by the issuer, we
ran midstream cash flows," S&P said. These are some of the major
assumptions S&P modeled:
FFELP loans:
* Defaults in the ranges set out above;
* Servicer rejects in the 0.30%-3.00% range;
* Moderately front-loaded six-year default curve;
* Recovery rates at the government guaranty (generally, at least
97%), which is provided for on the loan-level collateral
file;
* Special allowance payments and interest rate subsidy delays of
two months;
* Delay of U.S. ED claim reimbursement on defaulted loans of 300
to 630 days; and
* In 'AAA' stress scenarios, a 15% haircut on payments received
from the U.S. ED.Private loans:
* Four-year straight-line default curve; and
* Recovery rates in the 10%-15% range and received over five
years.
FFELP and private loans:
* Remaining expected defaults were stressed at a 1.0x-3.6x
multiple, depending on the rating stress scenario;
* Prepayment speeds starting at an approximately three constant
prepayment rate (CPR; an annualized prepayment speed stated as
a percentage of the current loan balance) and ramping up 1% per
year to a maximum rate ranging from 5 CPR to 8 CPR depending on
the rating scenario. S&P held the applicable maximum rate
constant for the remainder the deal's life;
* Deferment: 7.5%-13% of the loans are in deferment for 48
months;
* Forbearance: 6.5%-12.5% of the loans are in forbearance for 24
months;
* "Stressed interest rate vectors at each rating category from
'BBB' and above, and we assumed our speculative-grade vectors
for any rating below 'BBB'," S&P said.
* The put was not exercised for the deals that have the option to
put the loan pools to the put provider; and
* "We used each period's beginning collateral and beginning note
balance as basis for calculating deal triggers," S&P said.
CASH FLOW MODELING RESULTS
Group I Notes
"Based on the cash flow results, we believe all of the subordinate
group I classes have credit enhancement commensurate with a 'AA'
rating. The group I senior classes from the 2004-A through 2006-A
transactions did not pass our 'AAA' cash flow stresses.
Accordingly, we downgraded the classes to 'AA+'," S&P said.
"The group I senior classes from the 2002-A and 2003-A trusts did
pass our 'AAA' stress cash flow runs. These two deals out-
performed all of the transactions we modeled to resolve the
sovereign-related CreditWatch actions," S&P said. S&P believes
this is primarily due to these features:
* Approximately 95% or more of the consolidation loans have
fixed-rate weighted average coupons (WACs) of approximately
4.5%-6.0%. The fixed WAC contributes to excess spread in a low
interest rate environment.
* The transactions have a lower fee structure than that of many
other FFELP trusts.
* The transactions limit the interest rate the noteholders can
receive at the net loan rate on the collateral. This protects
the trust in an upward interest rate environment.
Group II Notes
"The 2002-A and 2003-A transactions provide for each group of
loans to be put to the put provider on certain dates. Our cash
flow results indicated that the cross collateralization from the
FFELP loans accounted for approximately 4.5%-5.5% of the group II
private loan balance in the 'BB' through 'A' cash flow runs for
the 2002-A and 2003-A trusts. Accordingly, if the noteholders
exercised the put option on the FFELP group I loans, then the
private-backed notes would not receive the benefit of the future
cross-collateralization amounts from the FFELP group. If this
event were to occur, we may review our ratings on the applicable
notes," S&P said.
"We downgraded to 'CCC (sf)' classes that breeched their interest
reprioritization triggers within the next five years under a 'B'
stress scenario cash flow. We downgraded to 'B- (sf)' the classes
that didn't receive full and timely principal payments at the
legal final maturity date in the 'B' stress scenario cash flow,"
S&P said.
"For the remainder of classes, we either downgraded or affirmed
the ratings based on our review of the cash flow results,
remaining credit enhancement, the class' payment priority, and the
benefit we believe the classes will receive due to the breech of
interest reprioritization triggers," S&P said.
The 2001-A Group II Notes
"The 2001-A transaction has performed well and is most similar in
structure to the 2002-A trust, but the collateral performance has
been much better than the 2002-A deal. Recently, the noteholders
put the FFELP collateral to the put provider, and the group I
FFELP-backed notes were redeemed in full. As a result, the group
II notes will no longer receive any benefit from excess spread on
the FFELP collateral. Accordingly, we placed our rating on the
group II notes on CreditWatch negative," S&P said.
The 2003-A Group II Class A-IO Note
"The group II class A-IO note from the 2003-A trust receives a
0.12% annual coupon, paid quarterly, on the notional balance of
the group II class A-3 note from the same transaction. The class
A-IO note interest is paid pro rata with the interest paid to the
other group II class A notes. Both interest and principal payments
received on the loans are included in available funds that can be
used to pay the coupon on the interest-only (I/O) bond.
Furthermore, cash releases from the group I waterfall can be used
to make necessary interest payments on the group II notes,
including the I/O note. Based on our published criteria, we
withdrew our rating on this class because we lowered our rating on
the class it references (group II class A-3) to 'A (sf)'," S&P
said.
"Standard & Poor's will continue to monitor the performance of the
student loan receivables backing these transactions relative to
its revised cumulative default expectations and the available
credit enhancement. We will take rating actions as we consider
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
RATING DOWNGRADED
KeyCorp Student Loan Trust 2002-A
Rating
Class To From
II-A-2 BBB (sf) A (sf)
RATINGS DOWNGRADED AND REMOVED FROM CREDITWATCH
KeyCorp Student Loan Trust 2003-A
Rating
Class To From
II-A-3 A (sf) AAA (sf)/Watch Neg
II-B BB (sf) A+ (sf)/Watch Neg
KeyCorp Student Loan Trust 2004-A
Rating
Class To From
I-A-2 AA+ (sf) AAA (sf)/Watch Neg
II-A-2 AA (sf) AAA (sf)/Watch Neg
II-B BBB (sf) AA (sf)/Watch Neg
II-C B- (sf) A (sf)/Watch Neg
II-D CCC (sf) BBB (sf)/Watch Neg
KeyCorp Student Loan Trust 2005-A
Rating
Class To From
I-A-2 AA+ (sf) AAA (sf)/Watch Neg
II-A-4 AA (sf) AAA (sf)/Watch Neg
II-B BB (sf) A (sf)/Watch Neg
II-C B- (sf) BBB (sf)/Watch Neg
KeyCorp Student Loan Trust 2006-A
Rating
Class To From
I-A-2 AA+ (sf) AAA (sf)/Watch Neg
II-A-3 AA (sf) AAA (sf)/Watch Neg
II-A-4 BBB (sf) AAA (sf)/Watch Neg
II-B B (sf) A (sf)/Watch Neg
II-C CCC (sf) BBB (sf)/Watch Neg
RATING PLACED ON CREDITWATCH NEGATIVE
KeyCorp Student Loan Trust 2001-A
Rating
Class To From
II-A-2 A (sf)/Watch Neg A (sf)
RATING WITHDRAWN
KeyCorp Student Loan Trust 2003-A
Rating
Class To From
II-A-IO NR AAA (sf)
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH
KeyCorp Student Loan Trust 2002-A
Rating
Class To From
I-A-2 AAA (sf) AAA (sf)/Watch Neg
KeyCorp Student Loan Trust 2003-A
Rating
Class To From
I-A-2 AAA (sf) AAA (sf)/Watch Neg
KeyCorp Student Loan Trust 2005-A
Rating
Class To From
II-A-2 AAA (sf) AAA (sf)/Watch Neg
II-A-3 AAA (sf) AAA (sf)/Watch Neg
KeyCorp Student Loan Trust 2006-A
Rating
Class To From
II-A-2 AAA (sf) AAA (sf)/Watch Neg
RATINGS AFFIRMED
KeyCorp Student Loan Trust 1999-B
Class Rating
A-2 AAA (sf)
Mezzanine AA+ (sf)
Certs A (sf)
KeyCorp Student Loan Trust 2000-A
Class Rating
A-2 A (sf)
KeyCorp Student Loan Trust 2000-B
Class Rating
A-2 A (sf)
KeyCorp Student Loan Trust 2002-A
Class Rating
I-B AA (sf)
KeyCorp Student Loan Trust 2003-A
Class Rating
I-B AA (sf)
KeyCorp Student Loan Trust 2004-A
Class Rating
I-B AA (sf)
KeyCorp Student Loan Trust 2005-A
Class Rating
I-B AA (sf)
KeyCorp Student Loan Trust 2006-A
Class Rating
I-B AA (sf)
* S&P Lowers Ratings on 6 Certificate Classes to 'D'
----------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of commercial mortgage pass-through certificates from
three U.S. commercial mortgage-backed securities (CMBS)
transactions due to interest shortfalls.
"The downgrades reflect current and potential interest shortfalls.
We lowered our ratings on six of these classes to 'D (sf)' because
we expect the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The six classes that we
downgraded to 'D (sf)' had accumulated interest shortfalls
outstanding between six to nine months," S&P said. The recurring
interest shortfalls for the certificates are primarily due to one
or more of these factors:
* Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
* The lack of servicer advancing for assets where the servicer
has made nonrecoverable advance declarations;
* Special servicing fees; and
* Interest rate reductions or deferrals resulting from loan
modifications.
"Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. We also
considered servicer nonrecoverable advance declarations, special
servicing fees, and interest rate reductions and deferrals
resulting from loan modifications that are likely, in our view, to
cause recurring interest shortfalls," S&P said.
"The servicer implements ARAs and resulting ASER amounts in
accordance with each transaction's terms. Typically, these terms
call for the automatic implementation of an ARA equal to 25% of
the stated principal balance of a loan when it is 60 days past due
and an appraisal, or other valuation, is not available within a
specified timeframe. We primarily considered ASER amounts based on
ARAs calculated from MAI appraisals when deciding which classes
from the affected transactions to downgrade to 'D (sf)'. This is
because ARAs based on a principal balance haircut are highly
subject to change, or even reversal, once the special servicer
obtains the MAI appraisals," S&P said.
"Servicer nonrecoverable advance declarations can prompt
shortfalls due to a lack of debt service advancing, the recovery
of previously made advances deemed nonrecoverable, or the failure
to advance trust expenses when nonrecoverable declarations have
been determined. Trust expenses may include, but are not limited
to, property operating expenses, property taxes, insurance
payments, and legal expenses," S&P said.
"We detail the eight downgraded classes from the three U.S. CMBS
transactions," S&P said.
Bear Stearns Commercial Mortgage Securities Inc. Series 2001-TOP2
"We lowered our ratings on the class E and F certificates from
Bear Stearns Commercial Mortgage Securities Inc.'s series 2001-
TOP2. We lowered our rating on the class F certificate to 'D (sf)'
to reflect accumulated interest shortfalls outstanding for nine
months due primarily to ASER amounts totaling $60,798 related to
two ($13.6 million, 20.5%) of the three assets ($22.3 million,
33.6%) that are currently with the special servicer, Berkadia
Commercial Mortgage LLC. The interest shortfalls were also due to
interest adjustments on one asset ($8.7 million, 13.0%) of $55,268
and special servicing fees of $9,047. ASER recoveries of $87,998
related to three liquidated assets offset the total interest
shortfalls reported for the March 2012 period. We downgraded the
class E certificate due to reduced liquidity support available to
the class and the potential for this class to experience interest
shortfalls in the future relating to the specially serviced
assets. As of the March 15, 2012, trustee remittance report, the
master servicer, Wells Fargo Bank N.A. (Wells Fargo) reported ARAs
totaling $9.5 million in effect for two assets. The total reported
monthly ASER amount on these assets was $60,798. The reported net
monthly interest shortfalls totaled $38,551 and accumulated
interest shortfalls have affected all of the classes subordinate
to and including class F," S&P said.
PNC Mortgage Acceptance Corp. Series 2001-C1
"We lowered our rating on the class K certificate from PNC
Mortgage Acceptance Corp.'s series 2001-C1 to 'D (sf)' to reflect
accumulated interest shortfalls outstanding for six months due
primarily to ASER amounts totaling $23,105 related to five ($37.9
million, 50.7%) of the seven ($47.8 million, 63.9%) assets that
are currently with the special servicer, Midland Loan Services
Inc. (Midland), and special servicing fees of $9,351. A $20,772
recovery from a liquidated asset offset the total interest
shortfalls reported in the March 2012 period. As of the March 12,
2012, trustee remittance report, ARAs totaling $3.8 million were
in effect for five assets. The reported monthly interest
shortfalls totaled $32,457 (excluding the recovery). Accumulated
interest shortfalls outstanding have affected all of the classes
subordinate to and including class J," S&P said.
Prudential Commercial Mortgage Trust 2003-PWR1
"We lowered our ratings on the class G, H, J, K, and L
certificates from Prudential Commercial Mortgage Trust 2003-PWR1.
We lowered our ratings on the class H, J, K, and L certificates to
'D (sf)' to reflect accumulated interest shortfalls outstanding
for eight months due primarily to shortfalls resulting from a rate
modification amount of $51,785 related to one asset ($29.9
million, 4.2%). The shortfalls were also due to ASER amounts
related to two ($22.2 million, 3.1%) of the five assets ($37.3
million, 5.2%) that are currently with the special servicer, C-III
Asset Management LLC, and special servicing fees of $7,533. ASER
recoveries of $18,131 offset the total interest shortfalls
reported in the March 2012 period. We downgraded the class G
certificate due to reduced liquidity support available to the
class and the potential for this class to experience interest
shortfalls in the future relating to the specially serviced
assets. As of the March 12, 2012, trustee remittance report, Wells
Fargo reported ARAs totaling $10.8 million in effect for two
assets and a total reported monthly ASER amount of $11,400. The
net reported monthly interest shortfalls excluding the ASER
recovery in March were $84,665. Accumulated interest shortfalls
have affected all of the classes subordinate to and including
class H," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
Bear Stearns Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2001-TOP2
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
E CCC- (sf) B- (sf) 25.71 0 0
F D (sf) CCC- (sf) 12.46 (21,209) 168,837
PNC Mortgage Acceptance Corp.
Commercial mortgage pass-through certificates series 2001-C1
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
K D (sf) CCC- (sf) 12.12 27,137 96,882
Prudential Commercial Mortgage Trust 2003-PWR1
Commercial Mortgage pass-through certificates
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
G CCC- (sf) B+ (sf) 5.30 0 0
H D (sf) B- (sf) 2.96 (15,187) 279,270
J D (sf) CCC (sf) 1.96 27,694 221,551
K D (sf) CCC- (sf) 1.29 18,460 147,680
L D (sf) CCC- (sf) 0.29 27,690 221,520
*********
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, Ivy B. Magdadaro, 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
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $775 for 6 months delivered via e-
mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Christopher
Beard at 240/629-3300.
*** End of Transmission ***