/raid1/www/Hosts/bankrupt/TCR_Public/120819.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, August 19, 2012, Vol. 16, No. 230
Headlines
AMERICAN HOME: Moody's Lowers Rating on One RMBS Tranche to 'Ca'
APIDOS CDO IV: Moody's Raises Rating on Class E Notes to 'Ba2'
AVENUE CLO II: S&P Raises Rating on Class B-2L Notes to 'BB'
AVENUE CLO III: Moody's Upgrades Rating on Cl. B-2L Notes to 'B1'
AVALON IV: S&P Gives 'BB' Rating on Class E Deferrable Notes
BANC OF AMERICA 2005-11: Moody's Cuts Rating on 1-A-8 Secs. to 'C'
BATTALION CLO II: S&P Gives 'BB' Rating on Class D Notes
BEAR STEARNS: Moody's Cuts Ratings on Nine RMBS Tranches to 'C'
BEAR STEARNS 1996-06: Moody's Cuts Rating on X-1 Tranche to 'Caa2'
BEAR STEARNS 2005-TOP20: Fitch Lowers Ratings on 9 Cert Classes
BXG RECEIVABLES 2005-A: S&P Affirms 'BB' Rating on Class F Notes
C-BASS MORTGAGE: Moody's Cuts Rating on Cl. A-1 Tranche to 'Ca'
CIFC FUNDING 2011-I: S&P Affirms 'BB' Rating on Class D Notes
CITIGROUP COMMERCIAL: Fitch Holds CCsf Ratings on 3 Cert. Classes
CREST 2000-1: Moody's Affirms 'Caa3' Rating on Class D Notes
CRIIMI MAE 1996-C1: Fitch Affirms Rating on Two Note Classes
DEUTSCHE BANK 2006-AB2: Moody's Cuts Ratings on 5 Secs. to Ca(sf)
GMAC COMMERCIAL 2004-C1: Fitch Affirms 'Csf' Ratings on 5 Certs.
GS MORTGAGE II: Fitch Lower Ratings on Seven Certificate Classes
HALCYON 2012-1: S&P Gives 'BB' Rating on Class D Deferrable Notes
HARBORVIEW 2006-CB1: S&P Raises Ratings on 3 Classes From 'CCC'
HIGHBRIDGE LOAN 2012-1: S&P Gives 'B' Rating on Class E Notes
ICE ISSUER: Moody's Downgrades Rating on Class A Notes to 'Ba2'
INDYMAC TRUST 2004-L1: S&P Lowers Rating on Class B Secs. to 'D'
JER CRE 2006-2: Moody's Cuts Rating on Class A-FL Notes to 'C'
JC PENNEY: Moody's Lowers Rating on MTN Program to 'Ba3'
JC PENNEY: Moody's Lowers Ratings on Two Cert. Classes to 'Ba3'
JPMORGAN CHASE 2004-CIBC9: S&P Cuts Rating on Class F Cert. to 'D'
JPMORGAN 2005-CIBC12: Fitch Cuts Rating on Five Security Classes
JWS CBO 2000-1: Fitch Cuts Rating on $9.9MM Class D Notes to 'Dsf'
KNOWLEDGEFUNDING OHIO: Fitch Affirms Ratings on 8 Loan Notes
LITIGATION SETTLEMENT I: S&P Lifts Rating on Sub. Notes From 'BB'
MEZZ CAP 2004-C1: S&P Affirms 'CCC-' Rating on Class A Certs.
MORGAN STANLEY 1997-RR: Fitch Affirms Rating on Three Note Classes
MORGAN STANLEY 2004-RR: Fitch Affirms Rating on Two Note Classes
MORGAN STANLEY 2007-TOP25: Fitch Junks Rating on Four Note Classes
NEUBERGER BERMAN XII: S&P Gives 'BB' Rating on Class E Notes
NEWCASTLE CDO VIII: Moody's Raises Rating on Cl. I-B Notes to Ba3
NORTHERN LIGHTS III: S&P Gives 'BB-' Rating on Series 2012-1 Notes
OPTION ONE 2007-6: Moody's Cuts Rating on Cl. II-A-1 Debt to 'B1'
PITTSBURG REDV'T: Fitch Lowers Rating on $144-Mil. TABS to 'BB-'
PPLUS TRUST: Moody's Confirms 'B3' Rating on $42.5MM SPR-1 Certs.
SANTANDER DRIVE 2012-5: Moody's Rates $34.7MM Class E Notes 'Ba1'
SANTANDER DRIVE 2012-5: S&P Gives 'BB+' Rating on Class E Notes
SATURNS 2007-1: Moody's Cuts Ratings on Callable Units to 'Ba3'
SILVERLEAF FINANCE VI: S&P Affirms 'BB+' Rating on Class G Notes
SPECIALITY UNDERWRITING: Moody's Lifts M-2 Tranche Rating to 'Ca'
SPRINT CAPITAL 2003-17: Moody's Confirms B3 Rating on A-1 Certs.
SPRINT CAPITAL 2004-2: Moody's Confirms 'B3' Rating on STRATS
SYMPHONY CLO IV: Moody's Raises Rating on Class D Notes From Ba2
SYMPHONY CLO IX: S&P Affirms 'BB' Rating on Class E Notes
SYMPHONY CLO X: S&P Gives 'BB' Rating on Class E Deferrable Notes
* Fitch Cuts Ratings on 11 Bonds on 6 CRE CDOs Transactions to D
* Moody's Takes Actions on RMBS Issued by ABSC and Credit Suisse
* S&P Lowers Ratings on 7 Classes From 2 U.S. CMBS Transactions
* S&P Lowers Ratings on 4 Classes from 3 U.S. CMBS Transactions
* S&P Puts Ratings on 3,364 RMBS Transactions on CreditWatch
*********
AMERICAN HOME: Moody's Lowers Rating on One RMBS Tranche to 'Ca'
----------------------------------------------------------------
Moody's Investors Service has downgraded seven tranches, upgraded
11 tranches and confirmed the rating on one tranche from five RMBS
transactions issued by American Home. The collateral backing these
deals primarily consists of first-lien, fixed and/or adjustable-
rate Alt-A and Option ARM residential mortgages. The actions
impact approximately $777 million of RMBS issued from 2005.
Complete rating actions are as follows:
Issuer: American Home Mortgage Assets Trust 2006-4
Cl. I-A-1-1, Downgraded to Ca (sf); previously on Dec 22, 2010
Confirmed at Caa3 (sf)
Cl. II-A-2, Confirmed at C (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: American Home Mortgage Investment Trust 2005-1
Cl. I-A-1, Upgraded to B1 (sf); previously on Dec 22, 2010
Downgraded to B2 (sf)
Cl. I-A-2, Upgraded to B3 (sf); previously on Dec 22, 2010
Downgraded to Caa1 (sf)
Cl. I-A-3, Upgraded to Caa2 (sf); previously on Dec 22, 2010
Downgraded to Caa3 (sf)
Cl. IV-A-1, Upgraded to B2 (sf); previously on Jul 18, 2011
Downgraded to Caa1 (sf)
Cl. IV-A-2, Upgraded to Caa3 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Cl. V-A-1, Upgraded to A3 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. VII-A-1, Upgraded to Ba1 (sf); previously on Dec 22, 2010
Downgraded to B1 (sf)
Cl. VII-A-2, Upgraded to Caa1 (sf); previously on May 30, 2012
Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. VIII-A-1, Downgraded to Caa1 (sf); previously on Dec 22, 2010
Downgraded to B2 (sf)
Cl. VIII-A-2, Downgraded to Caa2 (sf); previously on Dec 22, 2010
Downgraded to B3 (sf)
Issuer: American Home Mortgage Investment Trust 2005-2
Cl. II-A-2, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Issuer: American Home Mortgage Investment Trust 2005-3
Cl. I-A-1, Downgraded to B1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa1 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-3, Upgraded to Aa3 (sf); previously on May 30, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. III-A-1, Downgraded to B3 (sf); previously on Jan 7, 2011
Downgraded to B1 (sf)
Cl. III-A-3, Downgraded to A2 (sf); previously on May 30, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: American Home Mortgage Investment Trust 2005-4
Cl. I-A-1, Upgraded to B3 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Alt-A and
Option ARM pools originated on or after 2005 and reflect Moody's
updated loss expectations on these pools.
The rating action consists of a number of upgrades and downgrades.
The upgrades are due to 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 structural features resulting in higher expected
losses for certain bonds than previously anticipated.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating Interest-
Only Securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and pool factor of greater than 5%. Moody's can withdraw
its rating when the pool factor drops below 5% and the number of
loans in the deal declines to 40 loans or lower. If, however, a
transaction has a specific structural feature, such as a credit
enhancement floor, that mitigates the risks of small pool size,
Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For [Alt-A/Option ARM] pools,
Moody's first applies a baseline delinquency rate of 10% for 2005,
19% for 2006 and 21% for 2007. Once the loan count in a pool falls
below 76, this rate of delinquency is increased by 1% for every
loan fewer than 76. For example, for a 2005 pool with 75 loans,
the adjusted rate of new delinquency is 10.1%. Further, to account
for the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.20
to 2.0 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered the volatility of the
projected losses and timeline of the expected defaults.
A list of these actions including CUSIP identifiers may be found
at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF294445
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://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
APIDOS CDO IV: Moody's Raises Rating on Class E Notes to 'Ba2'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Apidos CDO IV:
$20,000,000 Class B Senior Notes Due 2018, Upgraded to Aa1 (sf),
previously on August 24, 2011 Upgraded to Aa3 (sf);
$16,000,000 Class C Deferrable Mezzanine Notes Due 2018, Upgraded
to A1 (sf) previously on August 24, 2011 Upgraded to Baa1 (sf);
$14,000,000 Class D Deferrable Mezzanine Notes Due 2018 , Upgraded
to Baa2 (sf), previously on August 24, 2011 Upgraded to Ba1 (sf);
$11,000,000 Class E Deferrable Junior Notes Due 2018, Upgraded to
Ba2 (sf), previously on August 24, 2011 Upgraded to B1 (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 October 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 and diversity 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 ratios are stable since the last rating
action.
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 $343.7 million,
defaulted par of $2.8 million, a weighted average default
probability of 16.05% (implying a WARF of 2535), a weighted
average recovery rate upon default of 49.66%, and a diversity
score of 76. 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.
Apidos COD IV, issued in September 2006, 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 a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 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% (2028)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +3
Class D: +3
Class E: +2
Moody's Adjusted WARF + 20% (3042)
Class A-1: 0
Class A-2: 0
Class B: -2
Class C: -2
Class D: -2
Class E: -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 upcoming speculative-grade debt maturities 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) Deleveraging: The main source of uncertainty in this
transaction 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.
AVENUE CLO II: S&P Raises Rating on Class B-2L Notes to 'BB'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2L, A-3L, and B-2L notes from Avenue CLO II Ltd., a
collateralized loan obligation (CLO) transaction managed by
Avenue Capital Management II L.P. "At the same time, we affirmed
our ratings on the A-1L, and B-1L notes," S&P said.
"The upgrades mainly reflect the paydowns to the class A-1L notes
since the last review. Since January 2012, the class A-1L notes
have paid down $64.7 million. As of the July 2012 trustee report,
the class A-1L current notes balance was about 73% of the original
balance. These paydowns have significantly improved the credit
enhancement available to support the rated notes," S&P said.
"We affirmed our ratings on the A-1L and B-1L notes to reflect the
sufficient credit support available at the current rating levels,"
S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Avenue CLO II Ltd.
Rating
Class To From
A-2L AA+ (sf) AA (sf)
A-3L AA- (sf) A+ (sf)
B-2L BB (sf) B+ (sf)
RATINGS AFFIRMED
Avenue CLO II Ltd.
Class Rating
A-1L AAA (sf)
B-1L BBB+ (sf)
AVENUE CLO III: Moody's Upgrades Rating on Cl. B-2L Notes to 'B1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Avenue CLO III, Ltd.:
U.S. $39,000,000 Class A-2L Floating Rate Notes Due July 20, 2018,
Upgraded to Aa1 (sf); previously on August 5, 2011 Upgraded to A1
(sf);
U.S. $24,000,000 Class A-3L Floating Rate Notes Due July 20, 2018,
Upgraded to A2 (sf); previously on August 5, 2011 Upgraded to Baa2
(sf);
U.S. $21,500,000 Class B-1L Floating Rate Notes Due July 20, 2018,
Upgraded to Baa3 (sf); previously on August 5, 2011 Upgraded to
Ba3 (sf);
U.S. $22,000,000 Class B-2L Floating Rate Notes Due July 20, 2018
(current outstanding balance of $23,840,452), Upgraded to B1 (sf);
previously on August 5, 2011 Upgraded to Caa3 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of improvement in the overcollateralization
ratios since the rating action in August 2011. The
overcollateralization ratios have increased in part due to the
diversion of excess interest to deleverage the Class A-1L Notes as
a result of Class B-2L overcollateralization test failures. Since
the rating action in August 2011, $9.5 million of interest
proceeds have been paid to the Class A-1L Notes, reducing the
outstanding balance of the notes by 3.1%. Based on the latest
trustee report dated July 11, 2012, the Senior Class A, Class A,
Class B-1L and Class B-2L overcollateralization ratios are
reported at 122.5%, 114.5%, 108.1%, and 101.5%, respectively,
versus July 2011 levels of 117.6%, 110.1%, 104.1% and 98.0%,
respectively. Moody's also notes that the deferred interest owed
to the Class B2-L Notes has been reduced by approximately $1.1
million since the last rating action and it expects the remaining
balance to be repaid in the upcoming payment dates.
In addition, Moody's notes that the rating actions taken on the
notes reflect the benefit of the end of the deal's reinvestment
period in July 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 higher spread levels compared to the levels assumed
at the last rating action in August 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 $416.8 million,
defaulted par of $18.3 million, a weighted average default
probability of 18.77% (implying a WARF of 2738), a weighted
average recovery rate upon default of 48.96%, and a diversity
score of 54. 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.
Avenue CLO III, Ltd., issued in May 2006, 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 a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 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% (3285)
Class A-1L: 0
Class A-2L: -2
Class A-3L: -2
Class B-1L: -1
Class B-2L: -1
Moody's Adjusted WARF - 20% (2190)
Class A-1L: 0
Class A-2L: +1
Class A-3L: +3
Class B-1L: +2
Class B-2L: +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 upcoming speculative-grade debt maturities,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) Deleveraging: The main source of uncertainty in this
transaction 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.
AVALON IV: S&P Gives 'BB' Rating on Class E Deferrable Notes
------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Avalon
IV Capital Ltd./Avalon IV Capital LLC's $315.75 million floating-
rate notes based on information as of Aug. 8, 2012, following the
transaction's effective date.
"Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The 'effective date' for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an 'effective
date rating affirmation')," S&P said.
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Avalon IV Capital Ltd./Avalon IV Capital LLC
Class Rating Amount (mil. $)
A AAA (sf) 231.00
B AA (sf) 23.00
C (deferrable) A (sf) 32.00
D (deferrable) BBB (sf) 16.00
E (deferrable) BB (sf) 13.75
BANC OF AMERICA 2005-11: Moody's Cuts Rating on 1-A-8 Secs. to 'C'
------------------------------------------------------------------
Moody's Investors Service has downgraded 42 tranches, upgraded 33
tranches and confirmed the ratings on eight tranches from 11 RMBS
transactions issued by Banc of America Mortgage. The collateral
backing these deals primarily consists of first-lien, fixed and
adjustable-rate prime Jumbo residential mortgages. The actions
impact approximately $753 million of RMBS issued from 2005 to
2008.
Complete rating actions are as follows:
Issuer: Banc of America Mortgage 2005-1 Trust
Cl. 1-A-2, Upgraded to Baa1 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-3, Upgraded to Ba1 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-14, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-17, Upgraded to B3 (sf); previously on Apr 21, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-19, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-20, Upgraded to Ba2 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-22, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-23, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Issuer: Banc of America Mortgage 2005-3 Trust
Cl. 1-A-20, Upgraded to A1 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-21, Downgraded to Ba1 (sf); previously on Apr 21, 2010
Downgraded to Baa3 (sf)
Cl. 1-A-24, Downgraded to Ba1 (sf); previously on Apr 21, 2010
Downgraded to Baa3 (sf)
Cl. 1-A-27, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Issuer: Banc of America Mortgage 2005-C Trust
Cl. 1-A-1, Upgraded to Ba1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-1, Downgraded to B3 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Issuer: Banc of America Mortgage 2005-E Trust
Cl. 2-A-6, Confirmed at B2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-1, Upgraded to Ba1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. 4-A-1, Upgraded to Ba2 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Issuer: Banc of America Mortgage 2006-2 Trust
Cl. A-3, Downgraded to Caa2 (sf); previously on Apr 21, 2010
Downgraded to Caa1 (sf)
Cl. A-4, Downgraded to Caa2 (sf); previously on Apr 21, 2010
Downgraded to Caa1 (sf)
Cl. A-5, Downgraded to Caa1 (sf); previously on Apr 21, 2010
Downgraded to B2 (sf)
Cl. A-12, Downgraded to Ca (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. A-13, Downgraded to Caa2 (sf); previously on Apr 21, 2010
Downgraded to Caa1 (sf)
Cl. A-15, Downgraded to Caa2 (sf); previously on Apr 21, 2010
Downgraded to B2 (sf)
Cl. 30-IO, Downgraded to Caa1 (sf); previously on Apr 21, 2010
Downgraded to B2 (sf)
Issuer: Banc of America Mortgage 2008-A Trust
Cl. 1-A-3, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-5, Upgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-7, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-3, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 2-A-4, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-5, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 2-A-7, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 3-A-3, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-4, Downgraded to Ba3 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-5, Downgraded to Ba3 (sf); previously on Apr 30, 2010
Downgraded to Baa3 (sf)
Cl. 3-A-6, Downgraded to Ca (sf); previously on Apr 30, 2010
Upgraded to Caa1 (sf)
Cl. 3-A-7, Downgraded to Ca (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-
Through Certificates, Series 2005-10
Cl. 1-A-1, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 1-A-2, Upgraded to A1 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. 1-A-4, Upgraded to Baa2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-5, Upgraded to B2 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-9, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 1-A-10, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 1-A-12, Upgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-16, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 1-A-18, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 1-A-19, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 2-A-2, Upgraded to Ba1 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Cl. 15-PO, Downgraded to B2 (sf); previously on Apr 30, 2010
Downgraded to Ba1 (sf)
Cl. 30-PO, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-
Through Certificates, Series 2005-11
Cl. 1-A-1, Upgraded to Ba1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-2, Upgraded to B1 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-7, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 1-A-8, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 2-A-1, Downgraded to Ba2 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 15-PO, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-
Through Certificates, Series 2005-6
Cl. 1-A-1, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-6, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-9, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-16, Upgraded to B1 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-17, Upgraded to B1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 30-IO, Upgraded to B1 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf)
Issuer: Banc of America Mortgage Securities, Pass-Through
Certificates, Series 2005-7
Cl. 1-A-1, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 1-A-2, Upgraded to Ba1 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 1-A-3, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 1-A-4, Upgraded to Ba1 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 1-A-6, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 2-A-2, Confirmed at Baa2 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-3, Confirmed at A3 (sf); previously on May 30, 2012 A3
(sf) Placed Under Review for Possible Upgrade
Cl. A-PO, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Issuer: Banc of America Mortgage Securities, Inc Mortgage Pass-
Through Certificates, Series 2005-9
Cl. 1-A-6, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 1-A-8, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 2-A-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-2, Upgraded to Ba1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-3, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. 4-A-1, Downgraded to Ba3 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 4-A-3, Downgraded to B2 (sf); previously on Apr 30, 2010
Downgraded to Ba2 (sf)
Cl. 30-PO, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Ratings Rationale
The actions are a result of the recent performance of Prime jumbo
pools originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of a number of upgrades, downgrades,
and confirmations. 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.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating Interest-
Only Securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and pool factor of greater than 5%. Moody's can withdraw
its rating when the pool factor drops below 5% and the number of
loans in the deal declines to 40 loans or lower. If, however, a
transaction has a specific structural feature, such as a credit
enhancement floor, that mitigates the risks of small pool size,
Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on prime jumbo pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For prime jumbo pools, Moody's
first applies a baseline delinquency rate of 3.5% for 2005, 6.5%
for 2006 and 7.5% for 2007. Once the loan count in a pool falls
below 76, this rate of delinquency is increased by 1% for every
loan fewer than 76. For example, for a 2005 pool with 75 loans,
the adjusted rate of new delinquency is 3.54%. Further, to account
for the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.20
to 2.0 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered the volatility of the
projected losses and timeline of the expected defaults.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.3% in July 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF294737
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_SF196023
BATTALION CLO II: S&P Gives 'BB' Rating on Class D Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Battalion CLO II Ltd./Battalion CLO II LLC's $371.5 million
floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a static pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread), and cash flow structure, which can
withstand the default rate projected by Standard & Poor's CDO
Evaluator model, as assessed by Standard & Poor's using the
assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- 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.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which it assessed using
its cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-13.84%.
-- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111779.pdf
RATINGS ASSIGNED
Battalion CLO II Ltd./Battalion CLO II LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 259.00
A-2 AA (sf) 50.00
B (deferrable) A (sf) 29.00
C (deferrable) BBB (sf) 18.00
D (deferrable) BB (sf) 15.50
Subordinated notes NR 37.25
NR-Not rated.
BEAR STEARNS: Moody's Cuts Ratings on Nine RMBS Tranches to 'C'
---------------------------------------------------------------
Moody's Investors Service has downgraded 14 tranches, upgraded 15
tranches and confirmed the ratings on two tranches from six RMBS
transactions issued by Bear Stearns. The collateral backing these
deals primarily consists of first-lien, fixed and/or adjustable-
rate Alt-A residential mortgages. The actions impact approximately
$1.2 billion of RMBS issued from 2005.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2005-1
Cl. A-1, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Bear Stearns ALT-A Trust 2005-2
Cl. I-A-1, Upgraded to Baa2 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. I-M-1, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. II-A-2a, Downgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Caa1 (sf)
Cl. II-A-2b, Downgraded to C (sf); previously on Jul 2, 2010
Downgraded to Ca (sf)
Cl. II-A-4, Downgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Caa1 (sf)
Cl. II-X-4, Downgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Caa1 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-4
Cl. I-A-2, Downgraded to Caa3 (sf); previously on Jul 2, 2010
Downgraded to Caa2 (sf)
Cl. II-3A-1, Upgraded to B3 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. II-3A-2, Upgraded to B2 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. II-3A-3, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Issuer: Bear Stearns ALT-A Trust 2005-5
Cl. I-A-1, Upgraded to Ba3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-3, Upgraded to Ba3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-4, Upgraded to B3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. II-1A-1, Upgraded to B3 (sf); previously on Jul 2, 2010
Downgraded to Caa2 (sf)
Cl. II-3A-1, Upgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Caa3 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-7
Cl. I-1A-1, Upgraded to B2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. I-1A-2, Confirmed at Ca (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Cl. I-2A-1, Upgraded to Ba3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. I-2A-2, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Cl. I-2A-3, Confirmed at Ca (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Cl. II-3A-1, Downgraded to Caa3 (sf); previously on Jul 2, 2010
Downgraded to Caa2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AC2
Cl. II-1A-4, Downgraded to C (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Downgrade
Cl. II-1A-5, Downgraded to C (sf); previously on Oct 20, 2010
Downgraded to Ca (sf)
Cl. II-1A-6, Downgraded to C (sf); previously on Oct 20, 2010
Downgraded to Ca (sf)
Cl. II-2A-1, Downgraded to C (sf); previously on Oct 20, 2010
Downgraded to Ca (sf)
Cl. II-2A-2, Downgraded to C (sf); previously on Oct 20, 2010
Downgraded to Ca (sf)
Cl. II-2A-3, Downgraded to C (sf); previously on Oct 20, 2010
Downgraded to Ca (sf)
Cl. II-2A-4, Downgraded to C (sf); previously on Feb 22, 2012
Upgraded to Ca (sf)
Cl. II-PO, Downgraded to C (sf); previously on Oct 20, 2010
Downgraded to Caa3 (sf)
Ratings Rationale
The actions are a result of the recent performance of Alt-A pools
originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of a number of upgrades, downgrades and
confirmations.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.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating Interest-
Only Securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and pool factor of greater than 5%. Moody's can withdraw
its rating when the pool factor drops below 5% and the number of
loans in the deal declines to 40 loans or lower. If, however, a
transaction has a specific structural feature, such as a credit
enhancement floor, that mitigates the risks of small pool size,
Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For [Alt-A/Option ARM] pools,
Moody's first applies a baseline delinquency rate of 10% for 2005,
19% for 2006 and 21% for 2007. Once the loan count in a pool falls
below 76, this rate of delinquency is increased by 1% for every
loan fewer than 76. For example, for a 2005 pool with 75 loans,
the adjusted rate of new delinquency is 10.1%. Further, to account
for the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.20
to 2.0 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered the volatility of the
projected losses and timeline of the expected defaults.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF294365
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://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
BEAR STEARNS 1996-06: Moody's Cuts Rating on X-1 Tranche to 'Caa2'
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 2 tranches
from Bear Stearns Mtg Sec Inc 1996-06, backed by Scratch and Dent
loans.
Ratings Rationale
The actions are a result of the recent performance review of
Scratch and Dent pools and reflect Moody's updated loss
expectations on these pools. In addition, these actions reflect
correction of an input error that was made during prior reviews.
When monitoring these deals in the past, erroneous cumulative loss
percentages of the collateral pool were used to determine
projected future loss. The cumulative loss percentages have been
corrected, and the rating actions reflect that change.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "US RMBS Surveillance Methodology for Scratch
and Dent" published in May 2011. The methodology used in rating
Interest-Only Securities is "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications. As a result of an extension of the
Home Affordable Modification Program (HAMP) to 2013 and an
increased use of private modifications, Moody's is extending its
previous view that loan modifications will only occur through the
end of 2012. It is now assuming that the loan modifications will
continue at current levels until the end of 2013.
When assigning the final ratings to the bonds, in addition to the
methodologies described above, Moody's considered the volatility
of the projected losses and timeline of the expected defaults.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.2% in June 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: Bear Stearns Mortgage Securities Inc. 1996-06
X-1, Downgraded to Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf)
B-2, Downgraded to Baa1 (sf); previously on Apr 19, 2012 A1 (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_SF293893
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_SF247004
BEAR STEARNS 2005-TOP20: Fitch Lowers Ratings on 9 Cert Classes
---------------------------------------------------------------
Fitch Ratings has downgraded nine classes of Bear Stearns
Commercial Mortgage Securities Trust (BSCMS), 2005-TOP20
commercial mortgage pass-through certificates.
The downgrades reflect an increase in Fitch expected losses across
the pool, primarily attributed to updated valuations and workout
strategies on the existing specially serviced loans. Fitch
modeled losses of 4.99% of the remaining pool. The expected
losses based on the original pool size are 4.56%, which includes
1.31% in realized losses as of the July 2012 distribution date.
Fitch has designated 34 loans (24.7% of the pool balance) as Fitch
Loans of Concern, which includes eight specially serviced loans
(13.2%). Four of the Fitch Loans of Concern (15.39%) are within
the transaction's top 15 loans by unpaid principal balance,
including the largest loan in the pool (6.78%).
As of the July 2012 distribution date, the pool's aggregate
principal balance has reduced by approximately 16.49% (including
realized losses) to $1.7 billion from $2.1 billion at issuance.
Two loans (1.7%) are currently defeased. Interest shortfalls are
affecting classes N, P, and Q.
The largest contributor to Fitch-modeled losses is the Lakeforest
Mall A-Note (6.78%), the largest loan in the pool. The loan is
secured by 402,625 square feet (sf) of inline space in a 1.1
million sf regional mall in Gaithersburg, MD. The loan originally
transferred to special servicing in July 2010 for maturity default
after the sponsor (Simon Property Group) was unable to refinance
the existing debt. Also in special servicing is a $20 million B-
note encumbered by the property, which is held outside the trust
and correlates to the LF rake class of the transaction
The borrower continues to manage the asset under a forbearance
agreement while marketing the asset for sale with a proposed
assumption of debt. The servicer reported that a potential
purchaser has been identified and documentation is underway as the
potential purchaser completes their due diligence.
The next largest contributor to Fitch-modeled losses is the Two
Renaissance Square loan (4.92%). The loan is secured by a 470,464
sf office building located in Phoenix, AZ. The loan, which
matured in April 2012, had transferred to special servicing in
February 2012 for imminent maturity default. A discounted pay off
(DPO) of the subject loan was approved and closed in July 2012,
and is expected to be reflected in the August 2012 remittance.
The third largest contributor to Fitch-modeled losses is secured
by four mobile home parks located in IL (2) and MI (2), totaling
1,092 pads (0.92%). The loan had transferred to special servicing
in September 2010 for monetary default. The servicer was
unsuccessful in selling the loan in a 2011 note sale initiative.
The servicer has since been negotiating a Deed in Lieu of
foreclosure which will be recommended for trust approval shortly.
As of year-end December 2011 occupancy reported at 66%.
Fitch downgrades the following classes, revises the Rating
Outlooks and assigns Recovery Esitmates (RE's) as indicated:
-- $147.7 million class A-J to 'Asf' from 'AAsf'; Outlook
Stable;
-- $20.7 million class C to 'BBBsf' from 'Asf'; Outlook to
Negative from Stable;
-- $15.5 million class D to 'BBB-sf' from 'BBBsf'; Outlook to
Negative from Stable;
-- $28.5 million class E to 'Bsf' from 'BBsf'; Outlook to
Negative from Stable;
-- $18.1 million class F to 'CCCsf' from 'BBsf'; RE 100%;
-- $18.1 million class G to 'CCCsf' from 'Bsf'; RE 65%;
-- $23.3 million class H to 'CCsf' from 'B-sf'; RE 0%;
-- $18.1 million class J to 'Csf' from 'CCCsf'; RE 0%;
-- $5.2 million class K to 'Csf' from 'CCsf'; RE 0%.
Fitch also affirms the following classes and revises the Rating
Outlook on class B as indicated:
-- $61.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $176 million class A-3 at 'AAAsf'; Outlook Stable;
-- $82.9 million class A-AB at 'AAAsf'; Outlook Stable;
-- $955 million class A-4A at 'AAAsf'; Outlook Stable;
-- $130.8 million class A-4B at 'AAAsf'; Outlook Stable;
-- $15.5 million class B at 'Asf'; Outlook to Negative from
Stable;
-- $7.8 million class L at 'Csf'; RE 0%;
-- $6.6 million class M at 'Dsf'; RE 0%;
-- Class N at 'Dsf'; RE 0%;
-- Class O at 'Dsf'; RE 0%;
-- Class P at 'Dsf'; RE 0%.
Class A-1 has paid in full. The balances for classes N, O, P and
the unrated class Q have been reduced to zero due to realized
losses. The ratings on the rake class LF will remain at 'Dsf' /
RE 0% due to realized losses.
Fitch had previously withdrawn the rating withdraws the rating on
the interest-only class X.
BXG RECEIVABLES 2005-A: S&P Affirms 'BB' Rating on Class F Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from BXG Receivables Note Trust 2004-B. "At the same
time, we affirmed our ratings on 24 classes from five BXG
Receivables Note Trust timeshare securitizations, including series
2004-B," S&P said.
BXG Receivables Note Trust series 2004-B, 2005-A, 2006-B, 2007-A,
and 2010-A are asset-backed securities (ABS) securitizations
backed by timeshare loans.
"The upgrades reflect the increased credit enhancement in the form
of reserve account in series 2004-B. According to the June 2012
servicer report (from Bluegreen Corp.), the reserve account had a
balance of $2.58 million, about 30% of the trust pool balance. The
current notes balances are approximately 5% of the original
balance," S&P said.
"We affirmed our ratings on 24 classes from series 2004-B, 2005-A,
2006-B, 2007-A, and 2010-A, because they were able to withstand
our stress tests at the current rating levels. The ratings reflect
the credit enhancement available in the form of structural
subordination, the reserve accounts, and the available excess
spread. The ratings are also based on Bluegreen Corp.'s
demonstrated servicing ability and experience in the timeshare
market," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
BXG Receivables Note Trust 2004-B
Rating
Class To From
B AAA (sf) AA (sf)
C AA (sf) A (sf)
RATINGS AFFIRMED
BXG Receivables Note Trust 2004-B
Class Rating
A AAA (sf)
D BBB (sf)
E BBB (sf)
BXG Receivables Note Trust 2005-A
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BBB- (sf)
F BB (sf)
BXG Receivables Note Trust 2006-B
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BBB- (sf)
F BB+ (sf)
BXG Receivables Note Trust 2007-A
Class Rating
A AAA (sf)
B AA (sf)
C A- (sf)
D BBB+ (sf)
E BBB (sf)
F BBB- (sf)
G BB+ (sf)
BXG Receivables Note Trust 2010-A
Class Rating
A A (sf)
B BBB (sf)
C-BASS MORTGAGE: Moody's Cuts Rating on Cl. A-1 Tranche to 'Ca'
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on two
tranches, upgraded the ratings on four tranches and confirmed the
ratings on three tranches from five subprime RMBS transactions
issued by C-BASS. The transactions are backed by subprime
residential mortgage loans.
Complete rating actions are as follows:
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB6
Cl. A-3, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-4, Confirmed at B1 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at C (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB7
Cl. AF-3, Upgraded to Ba1 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. AF-4, Upgraded to Ba1 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-CB8
Cl. A-2B, Upgraded to Ba2 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-CB9
Cl. A-1, Downgraded to Ca (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-CB8
Cl. AF-2, Downgraded to B3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades/downgrades in the
rating action are a result of improving/deteriorating performance
and/or structural features resulting in lower/higher expected
losses for certain bonds than previously anticipated.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for Moody's current
views on loan modifications. As a result of an extension of the
Home Affordable Modification Program (HAMP) to 2013 and an
increased use of private modifications, Moody's is extending its
previous view that loan modifications will only occur through the
end of 2012. It is now assuming that the loan modifications will
continue at current levels until the end of 2013.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The above 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 sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's
forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's
expects housing prices to remain stable through the remainder of
2012 before gradually rising towards the end of 2013. Performance
of RMBS continues to remain highly dependent on servicer activity
such as modification-related principal forgiveness and interest
rate reductions. Any change resulting from servicing transfers or
other policy or regulatory change can also impact the performance
of these transactions .
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF294735
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
CIFC FUNDING 2011-I: S&P Affirms 'BB' Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on CIFC
Funding 2011-I Ltd./CIFC Funding 2011-I LLC's $363.5 million
floating-rate notes following the transaction's effective date as
of June 4, 2012.
"Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The 'effective date' for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an 'effective
date rating affirmation')," S&P said.
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
CIFC Funding 2011-I Ltd./CIFC Funding 2011-I LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 275.30
A-2 AA (sf) 15.00
B (deferrable) A (sf) 36.70
C (deferrable) BBB (sf) 17.50
D (deferrable) BB (sf) 19.00
E (deferrable) NR 17.90
Subordinated notes NR 33.83
NR-Not rated.
CITIGROUP COMMERCIAL: Fitch Holds CCsf Ratings on 3 Cert. Classes
-----------------------------------------------------------------
Fitch Ratings has upgraded two pooled classes of Citigroup
Commercial Mortgage Trust (CGCMT) commercial mortgage pass-through
certificates, series 2006-FL2 and has affirmed all other pooled
and nonpooled classes. The upgrades reflect significant increases
in credit enhancement to the more senior pooled classes since
Fitch's last rating action, combined with stable loss expectations
on the remaining loans. Fitch's updated base case loss
expectation is 27.5% of the remaining pool. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market value and cash flow declines.
Since Fitch's last rating action, the pool has paid down by
approximately $58 million (38%) due primarily to the full payoff
of the Doubletree Suites Galleria and H Street loans.
Under Fitch's methodology, two loans (82.7% of the remaining pool)
are modeled to default in the base case stress scenario, defined
as the 'B' stress. In this scenario, the modeled average cash
flow decline is 12.6% based on imputed cash flows from updated
valuations or from recent trailing 12 month reported cash flows.
To determine a sustainable Fitch cash flow and stressed value,
Fitch analyzed servicer-reported operating statements, updated
property valuations, and comparisons with properties' competitive
sets. Fitch estimates that average recoveries on the pooled loans
will be approximately 67% in the base case.
The transaction is collateralized by four loans, which includes
two secured by hotels (65.5% of the pooled trust balance), one by
an office portfolio (19%), and one by a mixed-use (hotel/office)
property (15.5%). Two of the remaining four loans are in special
servicing, having transferred for imminent or actual maturity
default.
With respect to the pooled classes, only the Radisson Ambassador
Plaza Hotel & Casino loan (52.6%) was modeled to take a loss in
the base case. Of the five remaining junior nonpooled classes
rated by Fitch, only the two classes associated with the Radisson
Ambassador loan were modeled with losses.
The specially-serviced Radisson Ambassador Plaza Hotel & Casino
loan is secured by a 233-room, full-service hotel and
approximately 15,000 square foot (sf) casino located in San Juan,
Puerto Rico. The loan transferred to special servicing in June
2011 for imminent maturity default. The borrower had exercised
its third and final extension option, which expired on July 9,
2011. In January 2012, a forbearance agreement was executed,
which terminates upon the earlier of another default or July 2013.
An approximately $5 million-$6 million product improvement plan
(PIP) is underway to update the lobby (convert it from open-air to
enclosed) and update all rooms and hallways. The plan, scheduled
to take three to five years, will begin with the lobby and then
address the rooms and hallways on a floor-by-floor basis. An
updated appraisal has been ordered and the special servicer is
awaiting receipt. Fitch continues to model significant losses to
the senior pooled loan based on a Fitch adjustment to the most
recent appraisal. The nonpooled RAM-1 and RAM-2 classes
associated with the loan continue to be modeled with no recoveries
in the base case.
Fitch upgrades the following classes as indicated:
-- $5.5 million class G to 'AAAsf' from 'AAsf'; Outlook Stable;
-- $20.9 million class H to 'AAAsf' from 'A-sf'; Outlook Stable.
Fitch affirms the following classes, revises Rating Outlooks, and
assigns Recovery Estimates (REs) as indicated:
-- $22.4 million class J at 'BBB+sf'; Outlook to Positive from
Stable;
-- $22.4 million class K at 'CCCsf'; RE 90%;
-- $23.9 million class L at 'CCsf'; RE 0%;
-- $446,894 class CAN-1 at 'BBB+sf'; Outlook Stable;
-- $662,586 class CAN-2 at 'BBBsf'; Outlook Stable;
-- $1.3 million class CAN-3 at 'BBB-sf'; Outlook Stable;
-- $2 million class RAM-1 at 'CCsf'; RE 0%;
-- $2.4 million class RAM-2 at 'CCsf'; RE 0%.
The following classes originally rated by Fitch have paid in full:
A-1, A-2, X-1, B, C, D, E, F, CAC-1, CAC-2, CAC-3, CNP-1, CNP-2,
CNP-3, DSG-1, HFL, HGI-1, HGI-2, HMP-1, HMP-2, HMP-3, MVP, WBD-1,
and WBD-2. In addition, Fitch previously withdrew the ratings on
the interest-only classes X-2 and X-3.
CREST 2000-1: Moody's Affirms 'Caa3' Rating on Class D Notes
------------------------------------------------------------
Moody's Investors Service affirmed one class of Notes issued by
Crest 2000-1, Ltd. 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.
Moody's rating action is as follows:
US Class D Fourth Priority Fixed Rate Term Notes, Affirmed at
Caa3 (sf); previously on Sep 21, 2011 Upgraded to Caa3 (sf)
Ratings Rationale
Crest 2000-1, Ltd. is a static CRE CDO transaction backed by a
portfolio of commercial mortgage backed securities (CMBS) (86.3%
of the pool balance) and asset backed securities (ABS) (13.7%). As
of the July 31, 2012 Trustee report, the aggregate Note balance of
the transaction has decreased to $30.3 million from $487.0 million
at issuance, with the paydown directed to the Class D Notes, as a
result of regular amortization of the underlying collateral. The
Class A1, A2, B and C Notes have all been paid down in full.
There are currently no assets in the pool that are considered
Defaulted Securities as of the July 31, 2012 Trustee report. There
have been minimal realized losses to the underlying collateral.
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 assessments 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 549 compared to 215 at last review. The
current distribution of Moody's rated collateral and assessments
for non-Moody's rated collateral is as follows: Aaa-Aa3 (86.3%
compared to 92.4% at last review), Baa1-Baa3 (0.0% compared to
5.9% at last review), Ba1-Ba3 (10.0% compared to 0.0% at last
review), and Caa1-C (3.7% compared to 1.7% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 1.5 years compared
to 3.2 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
46.4% compared to 50.3% 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 4.6% compared to 17.7% 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) v3.2.1.2, 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
46.4% to 36.4% or up to 56.4% would not impact the current rating.
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 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
CRIIMI MAE 1996-C1: Fitch Affirms Rating on Two Note Classes
------------------------------------------------------------
Fitch Ratings has affirmed two classes of notes issued by CRIIMI
MAE Trust, series 1996-C1. The affirmations reflect the
distressed nature of the underlying collateral of which
approximately 36% are non-rated or defaulted first loss commercial
mortgage-backed securities (CMBS) bonds.
Since the last rating action in August 2011, cumulative losses on
the underlying collateral have increased to $11.5 million from
$7.8 million. Over this time, the class E notes principal balance
has been reduced by $3.1 million for a total of $73.5 million in
principal paydowns since issuance.
Given the high concentration of the pool, Fitch conducted an asset
by asset analysis of the underlying collateral to estimate
recoveries while accounting for defeasance. Based on this
analysis, default appears inevitable for class E; however, Fitch
estimates strong recoveries.
The class F notes have already experienced losses of approximately
$11.5 million and full losses are anticipated.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. However, given the
portfolio's distressed nature, Fitch believes that the probability
of default for all classes of notes can be evaluated without using
the Structured Finance Portfolio Credit Model (SF PCM) to estimate
potential further losses from the non-defaulted portion of the
portfolio. CRIIMI MAE 1996-C1 is collateralized by all or a
portion of five classes of fixed-rate CMBS in four separate
underlying transactions from the 1995 and 1996 vintages. The
entire portfolio has a Fitch derived rating below 'CCC' or is not
rated, and therefore, is more susceptible to default in the near
term.
Fitch has affirmed the following classes:
-- $26,524,941 class E notes at 'Csf';
-- $478,344 class F notes at 'Dsf'.
Classes A-1, A-2, B, C, and D have been paid in full.
DEUTSCHE BANK 2006-AB2: Moody's Cuts Ratings on 5 Secs. to Ca(sf)
-----------------------------------------------------------------
Moody's Investors Service has downgraded 12 tranches, upgraded two
tranches and confirmed the rating on one tranche from four RMBS
transactions issued by Deutsche Bank. The collateral backing these
deals primarily consists of first-lien, fixed and/or adjustable-
rate Alt-A residential mortgages. The actions impact approximately
$473 million of RMBS issued from 2005.
Complete rating actions are as follows:
Issuer: DBALT 2007-RAMP1
Cl. A-2, Upgraded to B3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series
2005-1
Cl. I-A-2, Downgraded to Caa1 (sf); previously on May 30, 2012
B3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-4, Upgraded to Caa2 (sf); previously on Nov 30, 2011
Downgraded to Caa3 (sf)
Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series
2005-3
Cl. I-A-1, Downgraded to Caa1 (sf); previously on May 30, 2012
B2 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-3, Downgraded to Caa1 (sf); previously on Jun 16, 2010
Downgraded to B3 (sf)
Cl. IV-A-4, Downgraded to Caa1 (sf); previously on Jun 16, 2010
Downgraded to B2 (sf)
Cl. IV-A-5, Downgraded to Caa2 (sf); previously on Jun 16, 2010
Downgraded to B2 (sf)
Cl. IV-A-6, Downgraded to Caa2 (sf); previously on Jun 16, 2010
Downgraded to Caa1 (sf)
Cl. IV-A-X, Downgraded to Caa1 (sf); previously on Jun 16, 2010
Downgraded to B2 (sf)
Issuer: Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series
2006-AB2
Cl. A-1, Downgraded to Ca (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ca (sf); previously on Sep 8, 2010
Downgraded to Caa3 (sf)
Cl. A-3, Downgraded to Ca (sf); previously on Sep 8, 2010
Downgraded to Caa3 (sf)
Cl. A-5B, Downgraded to Ca (sf); previously on Sep 8, 2010
Downgraded to Caa3 (sf)
Cl. A-8, Downgraded to Ca (sf); previously on Sep 8, 2010
Downgraded to Caa3 (sf)
Ratings Rationale
The actions are a result of the recent performance of Alt-A pools
originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of a number of upgrades, downgrades,
confirmations.
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.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating Interest-
Only Securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and pool factor of greater than 5%. Moody's can withdraw
its rating when the pool factor drops below 5% and the number of
loans in the deal declines to 40 loans or lower. If, however, a
transaction has a specific structural feature, such as a credit
enhancement floor, that mitigates the risks of small pool size,
Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Alt-A pools, Moody's first
applies a baseline delinquency rate of 10% for 2005, 19% for 2006
and 21% for 2007. Once the loan count in a pool falls below 76,
this rate of delinquency is increased by 1% for every loan fewer
than 76. For example, for a 2005 pool with 75 loans, the adjusted
rate of new delinquency is 10.1%. Further, to account for the
actual rate of delinquencies in a small pool, Moody's multiplies
the rate calculated above by a factor ranging from 0.20 to 2.0 for
current delinquencies that range from less than 2.5% to greater
than 50% respectively. Moody's then uses this final adjusted rate
of new delinquency to project delinquencies and losses for the
remaining life of the pool under the approach described in the
methodology publication.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered the volatility of the
projected losses and timeline of the expected defaults.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures
reflect the higher of the credit quality of the guarantor or the
RMBS without the benefit of the guarantee. As a result, the rating
on the security is the higher of 1) the guarantor's financial
strength rating and 2) the current underlying rating, which is
what the rating of the security would be absent consideration of
the guaranty. The principal methodology Moody's uses in
determining the underlying rating is the same methodology for
rating securities that do not have financial guaranty, described
earlier.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.2% in July 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF294821
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://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
GMAC COMMERCIAL 2004-C1: Fitch Affirms 'Csf' Ratings on 5 Certs.
----------------------------------------------------------------
Fitch Ratings has affirmed all classes of GMAC Commercial Mortgage
Securities Inc., Series 2004-C1 (GMACC 2004-C1) commercial
mortgage pass through certificates.
The affirmations reflect stable loan performance and sufficient
credit enhancement to withstand Fitch's modeled losses of 6.5% of
the remaining pool. Modeled losses of the original pool are at
5.8%, including losses already incurred to date. As of the Aug.
2012 distribution date, the pool's aggregate principal balance has
been reduced by 28.1% to $518.6 million from $721.4 million at
issuance, due to a combination of principal repayment (26.9%) and
realized losses (1.2%). Interest shortfalls totaling $3.1 million
are currently affecting classes H through P. Seven loans (20%)
are fully defeased and one loan is partially defeased.
Fitch has identified 11 loans (20.7%) as Fitch Loans of Concern,
which includes three specially-serviced loans (9.6%). The largest
specially serviced asset (8.2% in total), and largest contributor
to Fitch expected losses, is comprised of two cross collateralized
office properties located in Fort Washington, PA. The borrower
was unable to meet debt service obligations after the loss of a
major tenant. A foreclosure sale was held in March 2011 and the
Trust was the winning bidder. Fitch expects losses upon
liquidation of the assets based on a recent valuation.
The next largest specially serviced asset (1.4%) is a retail
property located in Mount Clemens, MI. The property went into
monetary default after an anchor tenant stopped paying rent. The
special servicer is pursuing foreclosure and the Borrower filed
for bankruptcy. Fitch expects losses upon liquidation of the
asset.
Fitch has affirmed the following classes and Outlooks and assigned
Recovery Estimates (RE) as indicated:
-- $31.1 million class A-3 at 'AAAsf'; Outlook Stable;
-- $343.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $33.8 million class A-1A at 'AAAsf'; Outlook Stable;
-- $20.7 million class B at 'AAAsf'; Outlook Stable;
-- $8.1 million class C at 'AAAsf'; Outlook Stable;
-- $15.3 million class D at 'AAsf'; Outlook Stable;
-- $8.1 million class E at 'BBBsf'; Outlook Stable;
-- $12.6 million class F at 'BBsf'; Outlook Stable;
-- $8.1 million class G at 'B-sf'; Outlook Stable;
-- $10.8 million class H at 'CCCsf'; RE:80%;
-- $4.5 million class J at 'CCsf'; RE:0%;
-- $4.5 million class K at 'Csf'; RE:0%;
-- $4.5 million class L at 'Csf'; RE:0%;
-- $2.7 million class M at 'Csf'; RE:0%;
-- $2.7 million class N at 'Csf'; RE:0%;
-- $2.7 million class O at 'Csf'; RE:0%.
Class A-1 and A-2 have been paid in full. Fitch does not rate
class P. The ratings on the interest-only classes X-1 and X-2
were previously withdrawn.
GS MORTGAGE II: Fitch Lower Ratings on Seven Certificate Classes
----------------------------------------------------------------
Fitch Ratings has downgraded seven and affirmed 14 classes of GS
Mortgage Securities Corporation II, commercial mortgage pass-
through certificates, series 2005-GG4 (GSMSC II 2005-GG4), due to
further deterioration of performance, most of which involves
increased losses on the specially serviced loans.
The downgrades reflect an increase in Fitch-modeled losses across
the pool. Fitch modeled losses of 10.3% for the remaining pool
(modeled losses are 9.7% of the original pool, including losses
incurred to date). Fitch has designated 40 loans (27.6%) as Fitch
Loans of Concern, which includes 20 specially-serviced loans
(17.4%).
As of the August 2012 distribution date, the pool's aggregate
principal balance has been reduced by 28.5% (to $2.86 billion from
$4 billion at issuance), of which 26.2% were due to pay down and
2.3% were due to realized losses. Eight loans comprising 8.1% of
the pool have been defeased. Cumulative interest shortfalls
totaling $16.2 million are currently affecting classes H through
P.
The largest contributor to modeled losses is a specially-serviced
loan (2.5%) secured by a 73,522 square foot (sf) open-air retail
center located in Waikoloa, HI. The loan was transferred to
special servicing in January 2010 as the borrower was unable to
pay off the loan at maturity. A loan modification agreement was
approved and executed. Terms of the approved modification include
a bifurcation of the loan into an A-note and a B-note and an
extension of the maturity date. Fitch modeled a full loss on the
B- note portion of the loan.
The second largest contributor to modeled losses is a loan (7%)
secured by a 1.2 million sf office located in Denver, CO.
Property occupancy dropped to 88% at year-end (YE) 2011 from 99%
at YE 2010 due to multiple tenants vacating the property.
Approximately 40% of the total square footage have lease
expiration dates over the next three years.
Fitch has downgraded the following classes, as indicated:
-- $300.1 million class A-J to 'BBBsf' from 'Asf'; Outlook
Stable;
-- $65 million class B to 'BBsf' from 'BBBsf'; Outlook Stable;
-- $35 million class C to 'Bsf' from 'BBB-sf'; Outlook Negative;
-- $75 million class D to 'CCCsf' from 'Bsf'; RE 35%;
-- $40 million class E to 'CCsf' from 'CCCsf'; RE 0%;
-- $55 million class F to 'Csf' from 'CCsf'; RE 0%;
-- $45 million class G to 'Csf' from 'CCsf'; RE 0%.
In addition, Fitch has affirmed the following classes as
indicated:
-- $63.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $106 million class A-ABA at 'AAAsf'; Outlook Stable;
-- $29.6 million class A-ABB at 'AAAsf'; Outlook Stable;
-- $500 million class A-4 at 'AAAsf'; Outlook Stable;
-- $1.17 billion class A-4A at 'AAAsf'; Outlook Stable;
-- $167.4 million class A-4B at 'AAAsf; Outlook Stable;
-- $114.5 million class A-1A at 'AAAsf'; Outlook Stable;
-- $40 million class H at 'Csf'; RE 0%;
-- $20 million class J at 'Csf'; RE 0%;
-- $20 million class K at 'Csf'; RE 0%;
-- $12.6 million class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
Class P is not rated by Fitch.
Classes A-1, A-1P, A-DP, and A-2 have been paid in full. The
ratings on the interest-only classes X-P and X-C were previously
withdrawn.
HALCYON 2012-1: S&P Gives 'BB' Rating on Class D Deferrable Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Halcyon Loan Advisors Funding 2012-1 Ltd./Halcyon Loan
Advisors Funding 2012-1 LLC's $322.0 million floating-rate notes.
The note issuance is collateralized loan obligation securitization
backed by a revolving pool consisting primarily of broadly
syndicated senior-secured loans.
The preliminary ratings are based on information as of Aug. 13,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) 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 collateral manager's experienced management team.
Its projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.3439%-12.6500%.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111767.pdf
PRELIMINARY RATINGS ASSIGNED
Halcyon Loan Advisors Funding 2012-1 Ltd./Halcyon Loan Advisors
Funding 2012-1
LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 230.000
A-2 AA (sf) 32.000
B (deferrable) A (sf) 30.000
C (deferrable) BBB (sf) 15.000
D (deferrable) BB (sf) 15.000
Subordinated notes NR 36.875
NR-Not rated.
HARBORVIEW 2006-CB1: S&P Raises Ratings on 3 Classes From 'CCC'
---------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
classes 2-A1A, 2-A1B, and 2-A1C from Harborview Mortgage Loan
Trust 2006-CB1 by raising them to 'AA+ (sf)' from 'CCC (sf)'. "In
addition, we affirmed our 'CC (sf)' rating on class 2-A2," S&P
said.
"Classes 2-A1A, 2-A1B, and 2-A1C are guaranteed as to payments of
interest and principal by Freddie Mac ('AA+'). Due to an error, we
incorrectly lowered our 'AAA (sf)' ratings on these classes to
'BBB (sf)' on April 8, 2009. At that time, we did not account for
the then 'AAA' rating of the guarantor. We incorrectly lowered
these ratings again on Oct. 29, 2009, to 'CCC (sf)'," S&P said.
"The affirmed 'CC (sf)' rating reflects our assessment that the
credit enhancement for this class will remain insufficient to
cover our projected loss," S&P said.
This transaction is backed by Alternative A (Alt-A) collateral. In
addition to the Freddie Mac guarantee, overcollateralization
(prior to depletion) and excess spread provide credit support for
this transaction.
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 CORRECTED
Harborview Mortgage Loan Trust 2006-CB1
Rating
Class CUSIP To From
2-A1A 41161PF65 AA+ (sf) CCC (sf)
2-A1B 41161PF73 AA+ (sf) CCC (sf)
2-A1C 41161PF81 AA+ (sf) CCC (sf)
RATING AFFIRMED
Harborview Mortgage Loan Trust 2006-CB1
Class CUSIP Rating
2-A2 41161PE41 CC (sf)
HIGHBRIDGE LOAN 2012-1: S&P Gives 'B' Rating on Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Highbridge Loan Management 2012-1 Ltd./Highbridge Loan
Management 2012-1 LLC's $283.25 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Aug. 10,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
The asset manager's experience: Highbridge Loan Management
2012-1 Ltd. will be Highbridge Principal Strategies LLC's
(Highbridge's) first collateralized loan obligation (CLO)
transaction. However, Highbridge is experienced in managing
investment vehicles that focus on debt securities, and the
specific team of individuals that will be managing this
transaction has previous experience managing CLOs.
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which comprises
primarily broadly syndicated speculative-grade senior secured
term loans.
The asset manager's experienced management team.
Its projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.34%-13.84%.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of excess
interest proceeds that are available prior to paying uncapped
administrative expenses and fees, subordinated hedge and
synthetic security termination payments, portfolio manager
incentive fees, and subordinated note payments to principal
proceeds for the purchase of additional collateral assets
during the reinvestment period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111766.pdf
PRELIMINARY RATINGS ASSIGNED
Highbridge Loan Management 2012-1 Ltd./Highbridge Loan Management
2012-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 200.00
A-2 AA (sf) 27.50
B (deferrable) A (sf) 23.00
C (deferrable) BBB (sf) 13.50
D (deferrable) BB (sf) 12.25
E (deferrable) B (sf) 7.00
Subordinated notes NR 30.10
NR-Not rated.
ICE ISSUER: Moody's Downgrades Rating on Class A Notes to 'Ba2'
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the ICE
Issuer Trust asset-backed notes to Ba2 (sf) from Baa3 (sf) and
kept the ratings of the notes under review for further downgrade.
Backing the notes are streams of the commission income earned by
International Creative Management while representing creative and
technical talent in the fields of motion pictures, television,
music, live performance and publishing.
The complete rating action is as follows:
Issuer: ICE Issuer Trust
Class A Note rating, downgraded to Ba2 (sf) and placed under
review for possible downgrade; previously on 4 Dec, 2010 confirmed
at Baa3 (sf)
Ratings Rationale
The downgrade is primarily a result of the recent amendment to the
note Indenture, a waiver of an early amortization event and
increased operational risk to the transaction.
The Indenture amendment changed the interest rate on the notes to
a fixed rate that increases from 8% currently to 15% in June 2013.
These interest rates are significantly higher than the most recent
rate on the notes of 6.2% (based on LIBOR plus 6%). The high
interest rate reduced the interest coverage ratio and in July 2012
led to a draw on the interest reserve account to cover payments of
interest and fees. In addition, the high interest payments left
significantly less cash for the amortization of the note
principal.
The majority of noteholders waived the early amortization event
that occurred in July 2012, when the debt service coverage ratio
was lower than the levels the transaction documents required. As a
consequence of this waiver, the early amortization of the notes
has not occurred, and the transaction continues releasing a
portion of the residual cash to the junior claim-holders.
Finally, operational risk increased when the sponsor of the
transaction reorganized in early 2012 and broke up into two
separate companies. As a result, the servicer of the transaction
is now a part of the company that is separate from the
transaction's residual holder. The reorganization contributes to a
greater operational risk since a third-party servicer has less
vested interest in the successful amortization of the notes.
During the review period Moody's will analyze in depth the
transaction's performance and cash flows. In rating
securitizations of intellectual property Moody's evaluates the
sufficiency of the cash flows for making the required payments on
the notes. Moody's identifies key drivers of the cash flows and
estimates their expected values over the course of the transaction
as well as the probability distributions around these values.
Moody's derives expected revenues and distributions based on the
analysis of the historical performance trends of the collateral.
Moody's then feeds the simulated revenues through the
transactions' priority of payments to assess potential performance
of the notes under different expected and stressed scenarios. In
rating transactions Moody's considers a loss of yield to
investors, if any, probability of default and expected loss on the
notes.
INDYMAC TRUST 2004-L1: S&P Lowers Rating on Class B Secs. to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on class B
from IndyMac Loan Trust 2004-L1 by lowering it to 'D (sf)' from
'BB (sf)'.
"We incorrectly affirmed our rating on class B at 'BB (sf)' on
Jan. 13, 2010, and again on Feb. 21, 2012. We removed the rating
from CreditWatch with negative implications in February 2012. On
July 25, 2009, the scheduled maturity date, class B had not been
paid in full and we should have lowered the rating to 'D (sf)',"
S&P said.
"All of the mortgage loans in this trust consist of residential
lot loans. This class was bond insured by Financial Guaranty
Insurance Corp. (FGIC; not rated)," 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 CORRECTED
IndyMac Loan Trust 2004-L1
Rating
Class CUSIP To From
B 45660YAK7 D (sf) BB (sf)
JER CRE 2006-2: Moody's Cuts Rating on Class A-FL Notes to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one class
and affirmed the ratings of thirteen classes of Notes issued by
JER CRE CDO 2006-2 Ltd. The downgrade is due to the deterioration
in the credit quality of the underlying portfolio as evidenced by
increased level of under-collateralization, the continuing
occurance of an Event of Default (EOD), and $43.2 million of
remaining interest rate swap termination fee. The affirmations are
due to key transaction parameters performing within levels
commensurate with the existing ratings levels. The rating action
is the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation (CRE CDO and Re-Remic)
transactions.
Cl. A-FL, Downgraded to C (sf); previously on Apr 11, 2012
Downgraded to Ca (sf)
Cl. B-FL, Affirmed at C (sf); previously on Apr 11, 2012
Downgraded to C (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 in October 2011) backed
by a portfolio of commercial mortgage backed securities (CMBS)
(68.3% of the pool balance), mezzanine loans (17.9%), CRE CDOs
(9.2%) and whole loans (4.6%). As of the July 25, 2012 payment
date, the aggregate Note balance of the transaction, including
preferred shares, has decreased to $752.3 million from $1.2
billion at issuance, with the paydown directed to the Class A-FL
Notes, as 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 full payment 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
July 25, 2012 payment date.
There are fifty-one assets with a par balance of $325.6 million
(77.5% of the current pool balance) that are considered defaulted
securities as of the July 25, 2012 payment date. Forty-six of
these defaulted securities (83.5% of the defaulted balance) are
CMBS, three are CDO (10.5%), and two are whole loans (6.0%).
Moody's does expect significant losses to occur on the defaulted
securities once they are realized.
As of the June 25, 2012 payment date, interest shortfalls from the
underlying collateral resulted in a default of the interest rate
swap payment which triggered an early termination of the interest
rate swap agreement. After the July 25, 2012 payment date, the
balance of the remaining swap termination payment is $43.2
million, which represents 10.3% of the current collateral par
amount.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated credit estimates for the non-Moody's rated
collateral. The bottom-dollar WARF is a measure of the default
probability within a collateral pool. Moody's modeled a bottom-
dollar WARF of 9,387 compared to 8,899 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (2.0% compared to 6.5% at last review), Baa1-Baa3
(0.9% compared to 3.0% at last review) and Caa1-Ca/C (97.1%
compared to 90.5% 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 3.3 years compared
to 3.9 years at last review. The current WAL assumption is based
on the current performing collateral pool and assumption about
extensions.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Due to the speculative-grade
collateral, Moody's modeled a fixed 2.7% WARR, the same as that 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%, the same as that 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) v3.2.1.2, 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. In general, the rated notes are particularly
sensitive to changes in recovery rate assumptions. However, in
light of the performance indicators noted above, Moody's believes
that it is unlikely that the ratings announced on Aug. 15 are
sensitive to further changes.
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 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
JC PENNEY: Moody's Lowers Rating on MTN Program to 'Ba3'
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the
following certificates issued by CABCO Trust for J. C. Penney
Debentures:
Trust Certificates MTN Program, Downgraded to Ba3; previously on
June 17, 2009 Upgraded to Ba1
Ratings Rationale
The transaction is a structured note whose rating changes with the
rating of the Underlying Securities. The rating action is a result
of the change of the rating of J.C. Penney Corporation, Inc.
7.625% Debentures due March 1, 2097, which was downgraded to Ba3
from Ba1 on August 10, 2012.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the rating is a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
JC PENNEY: Moody's Lowers Ratings on Two Cert. Classes to 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the
following certificates issued by Corporate Backed Callable Trust
Certificates J.C. Penney Debenture-Backed Series 2007-1 Trust:
Class A-1 Certificates, Downgraded to Ba3; previously on April 15,
2009 Downgraded to Ba1
Class A-2 Certificates, Downgraded to Ba3; previously on April 15,
2009 Downgraded to Ba1
Ratings Rationale
The transaction is a structured note whose ratings change with the
rating of the Underlying Securities. The rating actions are a
result of the change of the rating of J.C. Penney Corporation,
Inc. 7.625% Debentures due March 1, 2097, which was downgraded to
Ba3 from Ba1 on August 10, 2012.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the rating is a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
JPMORGAN CHASE 2004-CIBC9: S&P Cuts Rating on Class F Cert. to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
F 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,
to 'D (sf)' from 'CCC- (sf)'.
"The downgrade reflects a principal loss that class F incurred, as
detailed in the Aug. 13, 2012, trustee remittance report.
According to the August 2012 trustee remittance report, the
aggregate principal losses for the current period, which totaled
$7.4 million, were attributed to the disposition of the Bellaire
Garden Apartments, Dean Commerce Building, and Burnham Woods
Apartments assets. The assets had an aggregate beginning scheduled
principal balance of $11.2 million and were liquidated in August
at a loss severity of 65.5%. Consequently, class F incurred an
18.0% loss of its $15.2 million beginning principal balance. Class
G, which we previously rated 'D (sf)', experienced principal
losses that reduced its outstanding balance to zero," 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
JPMORGAN 2005-CIBC12: Fitch Cuts Rating on Five Security Classes
----------------------------------------------------------------
Fitch Ratings has downgraded five classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., series 2005-CIBC12 (JPMCC
2005-CIBC12).
The downgrades reflect an increase in Fitch expected losses across
the pool and greater certainty of losses associated with specially
serviced assets. Fitch modeled losses of 6.97% of the remaining
pool; modeled losses of the original pool are at 9.53%. Fitch has
designated 41 loans (24.47%) as Fitch Loans of Concern, which
includes 15 specially-serviced loans (10.7%).
As of the July 2012 distribution date, the pool's aggregate
principal balance has reduced by 34.1% to $1.41 billion from $2.22
billion at issuance. In addition, three loans (1.7%) have been
fully defeased. Interest shortfalls totaling $11,283,959 are
currently affecting classes D through NR.
The largest contributor to modeled losses is a specially serviced
loan (2.81%) secured by a 289,000 square feet (sf) office complex
located in Atlanta, GA. The loan transferred to special servicing
in April 2012 after being monitored for hardship and the borrower
is requesting a loan modification due to the tenant negotiating
new lease terms. The office buildings are occupied by a single
tenant with the lease expiring in May 2013.
The second largest contributor to modeled losses is a specially
serviced loan (.76%) secured by a 248 unit multifamily property
located in North Las Vegas, NV. The loan transferred to the
special servicer in November 2010 due to monetary default. The
borrower filed for bankruptcy in April 2011. The special servicer
is pursuing noteholder's rights and remedies.
The third largest contributor to modeled losses is a 98,577 sf
office building located in Roswell, GA. The asset became real
estate owned (REO) in January 2012. The special servicer is
working to dispose of the asset.
Fitch downgrades the following classes and revises Rating Outlooks
and assigns Recovery Estimates (REs) as indicated:
-- $162.5 million class A-J to 'BBBsf' from 'Asf'; Outlook
Stable;
-- $43.3 million class B to 'BBsf' from 'BBB-sf'; Outlook to
Negative from Stable;
-- $19 million class C to 'Bsf' from 'BBsf'; Outlook to Negative
from Stable;
-- $32.5 million class D to 'CCCsf' from 'Bsf'; RE 35%;
-- $27.1 million class E to 'CCsf' from 'CCCsf'; RE 0%;
In addition, Fitch affirms the following classes and assigns
recovery estimates (REs) as indicated:
-- $88.9 million class A-3A2 at 'AAAsf'; Outlook Stable;
-- $62 million class A-3B at 'AAAsf'; Outlook Stable;
-- $649.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $70.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $216.7 million class A-M at 'AAAsf'; Outlook Stable;
-- $24.4 million class F at 'Csf' '; RE 0%;
-- $50 million class UHP at 'B-sf'; Outlook Stable.
Classes G, H, J, K, L, M, N, and P remain at 'D/RE 0%'. Class NR,
which is not rated by Fitch, has been reduced to zero from 27.1
million at issuance due to realized losses. Class A-1, A-2 and A-
3A1 have paid in full.
JWS CBO 2000-1: Fitch Cuts Rating on $9.9MM Class D Notes to 'Dsf'
------------------------------------------------------------------
Fitch Ratings has downgraded and withdrawn the rating of one class
of notes issued by JWS CBO 2000-1 Ltd./Corp. (JWS CBO) as follows:
-- $9,937,459 class D notes to 'Dsf' from 'Csf'.
At the stated maturity date of July 30, 2012, the class D notes
received a total interest payment of $481,601 and a principal
payment of approximately $8.5 million, leaving an unpaid principal
balance of approximately $9.9 million. The downgrade of the notes
reflects the failure to redeem the entire principal amount due at
the stated maturity date. Fitch has withdrawn the ratings due to
the default of this tranche.
According to the trustee report, three equity positions remained
in the portfolio after the final maturity date. Future recoveries
on these assets are possible, though likely minimal. Fitch will
not maintain any further surveillance on the transaction.
JWS CBO is a collateralized bond obligation (CBO) managed by
Stonegate Capital Management, L.L.C. (Stonegate) that closed on
July 18, 2000.
KNOWLEDGEFUNDING OHIO: Fitch Affirms Ratings on 8 Loan Notes
------------------------------------------------------------
Fitch Ratings has affirmed the senior and subordinate student loan
notes issued by KnowledgeFunding Ohio, Inc. - 2005 Indenture of
Trust at 'BBsf' and 'CCCsf', respectively. The Rating Outlook for
the senior notes remains Negative due to the potential negative
excess spread in a high interest rate environment and erosion of
parity ratio for the senior notes. The Rating Outlook for the
subordinate notes remains Stable.
Fitch affirms the ratings on the senior notes based on the
sufficient level of credit enhancement to cover the applicable
risk factor stresses in the current interest environment. Credit
enhancement for the senior notes consists of overcollateralization
and excess spread.
Affirmation of the subordinate notes at 'CCCsf' is based on the
fact that the subordinate notes are undercollateralized, and in
Fitch's projections, future excess spread is not sufficient to
regain overcollateralization of the notes.
Fitch used its 'Global Structured Finance Rating Criteria' and
'Rating U.S. Federal Family Education Loan Program Student Loan
ABS' to review the ratings.
Fitch has affirmed the following ratings:
KnowledgeFunding Ohio, Inc. - 2005 Indenture of Trust Notes:
-- 2005 A-1 at 'BBsf'; Outlook Negative;
-- 2005 A-2 at 'BBsf'; Outlook Negative;
-- 2005 A-3 at 'BBsf'; Outlook Negative;
-- 2006 A-1 at 'BBsf'; Outlook Negative;
-- 2006 A-2 at 'BBsf'; Outlook Negative;
-- 2006 A-3 at 'BBsf'; Outlook Negative;
-- 2005 C-1 at 'CCCsf'; Outlook Stable;
-- 2006 C-1 at 'CCCsf'; Outlook Stable.
LITIGATION SETTLEMENT I: S&P Lifts Rating on Sub. Notes From 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the
subordination class notes from Litigation Settlement Monetized Fee
Trust I's series 2001-1-B and removed it from CreditWatch
positive. Litigation Settlement Monetized Fee Trust I issuances
are securitizations of fee awards payable according to the master
settlement agreement and a state of Florida attorney fee payment
agreement.
"The upgrade reflects the principal payments made to the
subordination class notes. The notes have paid down more than $7.0
million in each of the past three quarterly payments. The
subordination class notes are now the most senior notes in the
capital structure," S&P said.
"The transaction is currently behind its optimal payments schedule
due to litigation between the trustee and certain Florida law
firms. A subordinated note liquidated fee reserve account has been
created as an escrow account to benefit the noteholders once the
litigation is resolved," S&P said.
"As time passes, the extension risk continues to reduce, leaving
the risk of the original participating manufacturers (OPMs) of the
master settlement agreement making timely payments as the primary
concern. We considered the ratings on the remaining OPMs in the
upgrade of the subordination notes," S&P said.
Standard & Poor's will continue to review the outstanding ratings
and take additional rating actions as it deems appropriate.
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
Litigation Settlement Montetized Fee Trust I Series 2001-1-B
Rating
Class To From
Subordination BBB (sf) BB (sf)/ Watch Pos
MEZZ CAP 2004-C1: S&P Affirms 'CCC-' Rating on Class A Certs.
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on two
classes from Mezz Cap Commercial Mortgage Trust's series 2004-C1
and 2004-C2.
"The affirmations reflect Standard & Poor's analysis of the
specially serviced assets and other credit-impaired loans in the
transactions. Our analysis of these transactions assumed higher
loss severities than are typical for commercial mortgage-backed
securities (CMBS) loans due to the subordinated nature of the
collateral, which consists of class B notes. As of the July 17,
2012, remittance reports, lifetime loan-level losses incurred in
series 2004-C1 and 2004-C2 reflected average severities of 100%
and 94%, respectively. We affirmed the 'CCC- (sf)' ratings on the
A certificates from both deals. All rated classes below the A
certificates were previously downgraded to 'D (sf)' due to
principal losses or interest shortfalls," S&P said.
"In our analysis of the specially serviced assets, we considered
the recent appraisal or broker opinions of value provided by the
respective special servicers of the A-note securitizations to
derive loss estimates for the collateral. We also considered the
reported interest shortfalls as of the July 17, 2012, trustee
remittance reports and anticipated shortfalls for each of the
transactions. The shortfalls occurred after the master servicer,
Wells Fargo Bank N.A., declared future payment advances non-
recoverable on several of the specially serviced assets in the
deals. As a result, Standard & Poor's expects a significant amount
of interest shortfalls for both deals going forward. If the
subject bonds experience interest shortfalls that we consider
to be recurring in nature, we may further lower their ratings to
'D (sf)'," S&P said.
"Details of the two Mezz Cap Commercial Mortgage Trust series are:
As of the July 17, 2012, remittance report, the collateral pool
for series 2004-C1 consisted of 54 loans and four real estate-
owned (REO) assets with an aggregate trust balance of $30.1
million, compared with 85 loans totaling $50.5 million at
issuance; $9.8 million (32.6%) of the loan collateral is defeased.
Eight assets totaling $7.0 million (23.2%) are in special
servicing, including four ($3.4 million, 11.4%) that are REO, one
($364,674, 1.2%) that is in foreclosure, two ($2.7 million, 9.0%)
that are 90-plus-days delinquent, and one ($485,860, 1.6%) that is
current. Reported interest shortfalls totaled $48,177 and have
affected all of the classes subordinate to and including class B.
The trust has experienced losses totaling $9.7 million," S&P said.
"The collateral pool for series 2004-C2 consisted of 58 loans and
one REO asset with an aggregate trust balance of $37.0 million as
of the July 17, 2012, remittance report, compared with 81 loans
totaling $52.4 million at issuance; $1.2 million (3.3%) of the
loan collateral is defeased. Twelve assets totaling $12.0 million
(32.4%) are in special servicing, consisting of one ($563,049,
1.5%) that is REO, one ($1.0 million, 2.8%) that is in
foreclosure, five ($5.1 million, 13.8%) that are 90-plus-days
delinquent, one ($369,647, 1.0%) that is 30 days delinquent, two
($3.6 million, 9.8%) that are late but less than 30 days
delinquent , and two ($1.3 million, 3.4%) that are classified as
non-performing maturity balloons. Reported interest shortfalls
totaled $87,757 and have affected all of the classes subordinate
to and including class B. To date, the trust has experienced
losses totaling $4.1 million," 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
Mezz Cap Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C1
Class Rating Credit enhancement (%)
A CCC-(sf) 30.42
Mezz Cap Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C2
Class Rating Credit enhancement (%)
A CCC-(sf) 34.47
MORGAN STANLEY 1997-RR: Fitch Affirms Rating on Three Note Classes
------------------------------------------------------------------
Fitch Ratings has affirmed three classes of notes issued by Morgan
Stanley 1997-RR (MS 1997-RR). The affirmations reflect the
distressed nature of the underlying collateral of which
approximately 27.8% are non-rated or defaulted first-loss
commercial mortgage-backed securities (CMBS) bonds.
Since the last rating action in August 2011, there has been an
additional $3.5 million in principal losses, totaling $114.3
million in cumulative losses since issuance. Over this time, the
class F notes principal balance has been reduced by $20 million
for a total of $63.6 million in principal paydowns since issuance.
Given the high concentration of the pool, Fitch conducted an
asset-by-asset analysis of the underlying collateral to estimate
recoveries while accounting for defeasance. Based on this
analysis, default appears inevitable for class F; however, Fitch
estimates strong recoveries.
The class G notes have already experienced losses of approximately
$31.1 million and close to full losses are anticipated.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. However, given the
portfolio's distressed nature, Fitch believes that the probability
of default for all classes of notes can be evaluated without using
the Structured Finance Portfolio Credit Model (SF PCM) to estimate
potential further losses from the non-defaulted portion of the
portfolio.
MS 1997-RR is backed by CMBS B-pieces (the most junior bonds of
CMBS transactions) and closed on Nov. 26, 1997. It is
collateralized by all or a portion of seven classes of fixed-rate
CMBS in five separate underlying transactions from the 1996 and
1997 vintages.
Fitch has affirmed the following classes:
-- $34,602,130 class F notes at 'Csf';
-- $3,892,406 class G-1 notes at 'Dsf';
-- $5,226,701 class G-2 notes at 'Dsf'.
Classes A, B, C, D, E, and IO have been paid in full while classes
H-1 and H-2 have been reduced to zero due to realized losses.
Fitch previously withdrew the rating on the class IO notes.
MORGAN STANLEY 2004-RR: Fitch Affirms Rating on Two Note Classes
----------------------------------------------------------------
Fitch Ratings has affirmed two classes of notes issued by Morgan
Stanley 2004-RR (MS 2004-RR).
Since Fitch's last rating action in August 2011, there has been
$18 million in principal pay downs, resulting in the full
repayment of the class F-5 notes and $4.4 million in paydowns to
the class F-6 notes. Currently, approximately 24.1% of the
original F-6 balance remains outstanding.
Given the high concentration of the pool, Fitch conducted an
asset-by-asset analysis of the underlying transactions to estimate
recoveries while accounting for defeasance. Based on this
analysis, the class F-6 notes are affirmed at 'BBsf'. The class
F-7 notes are affirmed at 'Csf' as default continues to appear
inevitable; however, Fitch estimates strong recoveries.
The Positive Outlook on the class F-6 notes reflects Fitch's view
that the notes will pay in full in the near term.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. However, given the
portfolio's distressed nature, Fitch believes that the probability
of default for all classes of notes can be evaluated without using
the Structured Finance Portfolio Credit Model (SF PCM) to estimate
potential further losses from the non-defaulted portion of the
portfolio.
The certificates of MS 2004-RR, which closed June 17, 2004,
represent beneficial ownership interest in the trust, assets of
which are $31,079,425 of the class F certificates from Morgan
Stanley Capital I Inc., series 1997-RR (MS 1997-RR), which is
backed by CMBS B-pieces. The class F certificates are
collateralized by all or a portion of seven classes of fixed-rate
CMBS in five separate underlying transactions from the 1996 and
1997 vintages.
Fitch has affirmed the following classes:
-- $1,379,679 class F-6 at 'BBsf'; Outlook revised to Positive
from Stable;
-- $29,699,752 class F-7 at 'Csf'.
Classes F-1, F-2, F-3, F-4, and F-5 have been paid in full. Fitch
previously withdrew the rating on the class F-X notes.
MORGAN STANLEY 2007-TOP25: Fitch Junks Rating on Four Note Classes
------------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative five classes of Morgan Stanley Capital I Trust 2007-TOP25
due to continued deterioration of performance. In addition, Fitch
has affirmed the remaining 14 classes.
The downgrades reflect an increase in Fitch modeled losses across
the pool. Fitch modeled losses of 7.8% for the remaining pool;
modeled losses of the original pool are at 11.2%, including losses
already incurred to date. Fitch has identified 49 loans (33.8% of
pool) as Fitch Loans of Concern, including seven loans (2.1%) in
special servicing.
Retail loans comprise 39% of the total pool and make up the
largest percentage of Fitch Loans of Concern (23 loans; 18.7% of
pool; 48% of total retail balance). Further, three of the
specially serviced loans are secured by retail properties (1% of
pool; 2.5% of total retail balance).
As of the July 2012 distribution date, the pool's aggregate
principal balance has been reduced by 10.2% to $1.40 billion from
$1.55 billion at issuance, of which 6% was due to paydowns and
4.2% was due to realized losses. Interest shortfalls are
affecting classes F and P.
The largest loan in the pool (6.8%), a 443,521 square foot (sf)
retail center located in Mount Pleasant, SC, is the largest
contributor to modeled losses. As of the March 2012 rent roll,
the property was 93.2% occupied. For year-end (YE) 2011, the debt
service coverage ratio (DSCR), on a net operating income (NOI)
basis, was 1.31x. Nearly half of the total property square
footage has lease expiration prior to the loan's maturity in
December 2016.
The second largest contributor to modeled losses is a loan (5.1%)
secured by a 325,270 sf retail center in Pinellas Park, FL. As of
the March 2012 rent roll, the property was 98.8% occupied. For YE
2011, the DSCR, on a NOI basis, was 1.26x. Nearly half of the
total property square footage has lease expiration prior to the
loan's maturity in January 2017.
The third largest contributor to modeled losses is a loan (2.4%)
secured by a 167,477 sf retail center located in Kildeer, IL. As
of the March 2012 rent roll, the property was 96.6% occupied.
Occupancy has declined when compared to 100% at YE 2011, due to
one tenant downsizing its space at the property. Additionally,
the DSCR has been affected due to the loan being converted to
principal and interest from interest-only at YE 2011. For the
first three months of 2012, DSCR, on a NOI basis, was 0.97x
compared to 1.12x, 1.17x, and 1.67x at YE 2011, YE 2010, and at
issuance, respectively.
Fitch has downgraded and removed from Rating Watch Negative the
following classes, and assigned Rating Outlooks, as indicated:
-- $155.5 million class A-M to 'Asf' from 'AAAsf'; assigned
Stable Outlook;
-- $110.8 million class A-J to 'CCC' from 'BBB-sf'; RE 90%;
-- $27.2 million class B to 'CCCsf' from 'BBsf'; RE 0%;
-- $11.7 million class C to 'CCCsf' from 'Bsf'; RE 0%;
-- $25.3 million class D to 'CCsf' from 'B-sf'; RE 0%.
In addition, Fitch has affirmed the following classes, as
indicated:
-- $65.1 million class A-2 at 'AAAsf'; Outlook Stable';
-- $56.6 million class A-AB at 'AAAsf'; Outlook Stable';
-- $784.4 million class A-3 at 'AAAsf'; Outlook Stable';
-- $135.1 million class A-1A at 'AAAsf'; Outlook Stable';
-- $11.7 million class E at 'Csf'; RE 0%;
-- $13.1 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
Class A-1 has paid in full. Fitch has withdrawn the rating on the
interest-only class X.
NEUBERGER BERMAN XII: S&P Gives 'BB' Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Neuberger Berman CLO XII Ltd./Neuberger Berman CLO XII LLC 's
$357.85 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.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate with
the assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-12.65%.
-- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111724.pdf
RATINGS ASSIGNED
Neuberger Berman CLO XII Ltd./Neuberger Berman CLO XII LLC
Class Rating Amount (mil. $)
X AAA (sf) 2.00
A AAA (sf) 252.00
B AA (sf) 42.75
C (deferrable) A (sf) 27.10
D (deferrable) BBB (sf) 15.50
E (deferrable) BB (sf) 18.50
Subordinated notes NR 42.15
NR-Not rated.
NEWCASTLE CDO VIII: Moody's Raises Rating on Cl. I-B Notes to Ba3
-----------------------------------------------------------------
Moody's has upgraded the ratings of three classes and affirmed the
ratings of eight classes of Notes issued by Newcastle CDO VIII 1,
Limited and Newcastle CDO VIII 2, Limited. The upgrades are due to
greater than expected amortization of collateral and a decrease in
defaulted securities par amount since last review. Additionally,
the underlying collateral performance has been relatively stable
as evidenced by transition in Moody's weighted average rating
factor (WARF) and weighted average recovery rate (WARR) 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 and collateralized loan obligation (CRE CDO CLO)
transactions.
Moody's rating action is as follows:
Cl. I-A, Upgraded to A3 (sf); previously on Sep 22, 2010
Downgraded to Baa2 (sf)
Cl. I-AR, Upgraded to A3 (sf); previously on Sep 22, 2010
Downgraded to Baa2 (sf)
Cl. I-B, Upgraded to Ba3 (sf); previously on Sep 22, 2010
Downgraded to B3 (sf)
Cl. II, Affirmed at Caa1 (sf); previously on Sep 22, 2010
Downgraded to Caa1 (sf)
Cl. III, Affirmed at Caa3 (sf); previously on Sep 22, 2010
Downgraded to Caa3 (sf)
Cl. V, Affirmed at Ca (sf); previously on Sep 22, 2010 Downgraded
to Ca (sf)
Cl. VIII, Affirmed at C (sf); previously on Sep 22, 2010
Downgraded to C (sf)
Cl. IX-FL, Affirmed at C (sf); previously on Sep 22, 2010
Downgraded to C (sf)
Cl. IX-FX, Affirmed at C (sf); previously on Sep 22, 2010
Downgraded to C (sf)
Cl. X, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded
to C (sf)
Cl. XII, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded
to C (sf)
Ratings Rationale
Newcastle CDO VIII 1, Limited and Newcastle CDO VIII 2, Limited is
a static (the reinvestment period ended in November 2011) cash CRE
CDO transaction backed by a portfolio of commercial mortgage
backed securities (CMBS) (15.8% of the pool balance),
collateralized debt obligations (CDOs) (18.4%), asset backed
securities (ABS) (8.3%), rake bonds (0.9%), A-Notes and whole
loans (10.9%), B-Notes (5.6%), and mezzanine loans (40.1%). As of
the July 18, 2012 Trustee report, the aggregate Note balance of
the transaction, including preferred shares, has decreased to
$836.2 million from $983.9 million at issuance, due to the
combination of full or partial junior notes cancellations of Class
IV, VI, VII, X and XI Notes and amortization of collateral with
the paydowns directed to the Class I-A and I-AR Notes.
Per Moody's special comment, "Junior CDO Note Cancellations Should
Concern Senior Noteholders in Structured Transactions," dated June
14, 2010, there is a concern that the cancellation of junior notes
can lead to a diversion of cash flow away from the senior notes.
During the current review, holding all key parameters static, the
cancellations of the Class IV, VI, VII, X and XI Notes in the
subject transaction did not result in higher expected losses and
longer weighted average lives on the senior Notes, while having
the opposite effect on mezzanine and junior Notes to cause, in and
of itself, a downgrade or upgrade of any classes of Notes.
There are three assets with a par balance of $26.2 million (2.9%
of the current pool balance) that are considered defaulted
securities as of the July 18, 2012 Trustee report, compared to
five defaulted securities totaling $56.5 million par amount at
last review. Two of these assets (80.9% of the defaulted balance)
are CMBS and one asset (19.1%) is an ABS. There have been no
realized losses to the deal to date, and Moody's does expect
significant losses to occur from these defaulted securities once
they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), 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 assessments for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 4,982 compared to 4,632 at last review. The
current distribution of Moody's rated collateral and assessments
for non-Moody's rated collateral is as follows: Aaa-Aa3 (1.8%
compared to 1.9% at last review), A1-A3 (1.7% compared to 1.7% at
last review), Baa1-Baa3 (15.1% compared to 14.7% at last review),
Ba1-Ba3 (8.3% compared to 3.5% at last review), B1-B3 (21.1%
compared to 25.4% at last review), and Caa1-C (52.0% compared to
52.8% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 3.5
years, same as at last review. The current WAL reflects the static
nature of the current pool and assumptions about extensions.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
15.4% compared to 18.0% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 15.0% compared to 8.3% at last review.
The increase in MAC is due to the increased credit diversity
within the collateral pool.
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) v3.2.1.2, 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
15.4% to 5.4% or up to 25.4% would result in average rating
movement on the rated tranches of 0 to 4 notches downward and 0 to
6 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
NORTHERN LIGHTS III: S&P Gives 'BB-' Rating on Series 2012-1 Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 'BB-' rating to
Northern Lights III B.V.'s $1 billion notes series 2012-1 due in
2019.
"The rating depends on the underlying collateral's credit quality.
The transaction structure is intended to mirror the underlying
collateral's credit risk in the form of a participation interest
in a loan to the Republic of Angola (BB-/Stable). Our 'BB-' rating
on the notes is the same as our long-term sovereign credit rating
on the Republic of Angola. The transaction is also exposed to the
'A+/Neg' counterparty rating on Deutsche Bank A.G. in its role as
the bank account provider for the transaction," S&P said.
"Our 'BB-/Stable' foreign currency sovereign credit rating on the
Republic of Angola mainly reflects its position as Africa's third-
largest economy (after South Africa and Nigeria), with a nominal
GDP estimated at about US$90 billion in 2011. The rating on the
Republic of Angola balances the country's robust fiscal and
external balances with its lack of diversification and heavy
reliance on the oil sector, its lack of institutional quality and
transparency, and its vast development needs. Strong oil prices in
2011 ensured that the Republic of Angola's fiscal and current
account balances continued to remain in surplus. We expect that
relatively high oil and gas prices as well as some increase in oil
and gas production should support the economy through 2015," S&P
said.
"We believe our rating on the Republic of Angola is constrained by
weak (although improving) institutions, a low level of development
outside the oil sector, political succession risk, and underlying
political tensions," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111777.pdf
OPTION ONE 2007-6: Moody's Cuts Rating on Cl. II-A-1 Debt to 'B1'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches, upgraded the rating of one tranche, and confirmed the
ratings of two tranches from four deals issued by Option One
trusts. The collateral backing the transactions are subprime
residential mortgages.
Complete rating actions are as follows:
Issuer: Option One Mortgage Loan Trust 2005-3
Cl. M-2, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Issuer: Option One Mortgage Loan Trust 2005-4
Cl. A-1, Downgraded to Aa2 (sf); previously on Aug 6, 2010
Downgraded to Aa1 (sf)
Cl. M-1, Confirmed at B1 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: Option One Mortgage Loan Trust 2007-3
Cl. II-A-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2007-6
Cl. II-A-1, Downgraded to B1 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades in the rating action are
a result of improving performance and/or structural features
resulting in lower expected losses for certain bonds than
previously anticipated.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications As a result of an extension of the Home
Affordable Modification Program (HAMP) to 2013 and an increased
use of private modifications, Moody's is extending its previous
view that loan modifications will only occur through the end of
2012. It is now assuming that the loan modifications will continue
at current levels until the end of 2013.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R)(SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The primary sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's
forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's
expects housing prices to remain stable through the remainder of
2012 before gradually rising towards the end of 2013. Performance
of RMBS continues to remain highly dependent on servicer activity
such as modification-related principal forgiveness and interest
rate reductions. Any change resulting from servicing transfers or
other policy or regulatory change can also impact the performance
of these transactions.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF294433
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
PITTSBURG REDV'T: Fitch Lowers Rating on $144-Mil. TABS to 'BB-'
----------------------------------------------------------------
Fitch Ratings has downgraded Pittsburg Redevelopment Agency,
California's (the agency) subordinate tax allocation bonds (TABs)
as follows:
-- $144.2 million subordinate non-housing TABs to 'BB-' from
'BB+'.
The Rating Outlook is Negative.
In addition, Fitch has placed the agency's senior TABs, rated 'A',
on Rating Watch Negative:
-- $129 million senior non-housing TABs.
The 'BBB', Rating Watch Negative on the housing TABs remains
unchanged.
SECURITY
The senior non-housing TABs are secured by all tax revenues
allocable to the RDA collected within the sole project area, minus
the 20% housing set-aside, and a county administrative fee. The
subordinate non-housing TABs are secured by all taxes allocated to
the RDA, a general bond reserve (additive to standard debt service
reserve fund), and payments from swap contracts, minus senior debt
service payments, the 20% housing set-aside, and the county
administrative fee. The housing TABs are secured by a first lien
on the 20% housing set-aside revenues.
KEY RATING DRIVERS
DISCONTINUATION OF CITY LOAN SPARKS DEBT SERVICE RESERVE FUND
DRAW: The subordinate bonds' downgrade reflects the city's
decision not to provide cash flow loans, resulting in a draw on
the senior non-housing TABs' debt service reserve fund (DSRF),
announced in an Aug. 9, 2012 material event notice. Further,
management expects this to result in the depletion of the
subordinate TABs' LOC-required supplemental DSRF by 2013.
WEAK COVERAGE; DIMINISHED CUSHION: The downgrade further reflects
Fitch's expectation that the TABs' LOC-required supplemental DSRF
will be depleted, providing a much lower financial cushion to deal
with inadequate subordinate debt service coverage and concerns
over parity TABs' (not Fitch-rated) variable rate structure.
ASSESSED VALUATION PRESSURES PERSIST: The Negative Outlook largely
reflects Fitch's concern that continued tax base contraction over
the near term could bring coverage levels even lower, to a level
inconsistent with the 'BB-' rating.
POTENTIAL SENIOR DSRF REPLENISHMENT: The senior TABs' Rating Watch
Negative largely reflects Fitch's concern over the draw on the
DSRF. Fitch expects the DSRF to be replenished in January as the
indenture clearly lays out the mechanism for DSRF replenishment,
capacity exists on the ROPs for replenishment and management has
stated its intent to replenish from January 2013 increment.
HOUSING BONDS NOT AFFECTED: Management has confirmed that there
will be no draw on the housing TABs' DSRF related to the cessation
of cash flow loans as sufficient cash exists in the housing fund
to permanently close the related cash flow gap. Coverage on these
bonds remains adequate.
WHAT COULD TRIGGER A RATING ACTION ON THE 'BB-' RATING ON
SUBORDINATE NON-HOUSING BONDS
-- COVERAGE DECLINES: Material AV declines exceeding Fitch's
range of expectations and/or triggers associated with the
agency's swap and LOC agreements exposing the agency to
higher interest costs, could lower debt service coverage to a
level inconsistent with the 'BB-' rating category.
WHAT COULD TRIGGER A RATING ACTION ON THE 'A' RATING ON SENIOR
NON-HOUSING BONDS
-- DSRF REPLENISHMENT ISSUES: An inability or unwillingness of
the agency to replenish the senior non-housing TABs' DSRF
would result in a downgrade.
CREDIT PROFILE
The agency historically has paid for debt service using cash
advances from the city's investment pool, and later has reimbursed
the pool with tax increment. City Council was notified recently
that the AB 1X 26 cash flow loan repayment process treats
repayment of these loans as subordinate to subordinate pass-
through payments for which there may be insufficient future tax
increment to fully pay. As a result, the city stopped providing
cash flow loans for payment of the agency's TABs, resulting in a
draw of $10 million from the senior non-housing TABs' $14.4
million DSRF on Aug. 1 to pay a scheduled debt service payment.
On Aug. 8, the agency replenished $1.2 million of the reserve . A
subordinate non-housing TAB debt service payment is due in
September, for which the agency anticipates drawing $13.9 million
from a $17.1 million LOC-required reserve. The LOC-required
reserve is in addition to the TABs' indenture-required DSRF sized
at $21.5 million.
City management expects the TABs' reserve to be fully replenished
in January and for the cash flow gap to be permanently cured due
to the senior TABs' strong maximum annual debt service (MADS)
coverage which Fitch estimates at 2.6 times (x) in fiscal 2013.
If the replenishment occurs as anticipated Fitch would likely
remove the senior TABs' Rating Watch Negative. However, Fitch
remains concerned regarding the agency's response to the
vulnerable statutory environment caused by AB 1X 26 and AB 1484,
particularly in light of its recent decision to discontinue cash
flow loans.
Management is projecting that the subordinate TABs' LOC-required
supplemental reserve will be fully depleted by September 2013
leaving just the TABs' indenture-required DSRF. The LOC-required
reserve contains no replenishment provision and Fitch projects
all-in MADS coverage in fiscal 2013 at just 0.98x. Fitch's
coverage calculation does not include interest earnings, loan
repayment revenues, supplemental assessment revenues, or any
potential surplus housing revenues that may be available for debt
service. The subordinate TABs' two-notch downgrade reflects
the anticipated materially lower financial cushion that would
be provided solely by the indenture-required DSRF given
insufficient MADS coverage levels, the potential for swap and LOC
complications, and four consecutive years of tax base contraction
caused by the distressed local housing market.
PPLUS TRUST: Moody's Confirms 'B3' Rating on $42.5MM SPR-1 Certs.
-----------------------------------------------------------------
Moody's Investors Service has confirmed the rating of the
following certificates issued by PPLUS Trust Series SPR-1:
U.S $42,515,000 PPLUS Trust Series SPR-1 7.00% Trust Certificates,
Confirmed at B3; previously on November 7, 2011 Downgraded to B3
and Remained On Review for Possible Downgrade
Rating Rationale
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of $43,297,000 6.875% Notes due 2028 issued by Sprint
Capital Corporation which was confirmed at B3 on August 9, 2012.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the rating is a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
SANTANDER DRIVE 2012-5: Moody's Rates $34.7MM Class E Notes 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Santander Drive Auto Receivables Trust 2012-5
(SDART 2012-5). This is the fifth public subprime transaction of
the year for Santander Consumer USA Inc. (SCUSA).
The complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2012-5
$157,900,000, 0.33599%, Class A-1 Notes, rated P-1 (sf)
$340,000,000, 0.57%, Class A-2 Notes, rated Aaa (sf)
$174,200,000, 0.83%, Class A-3 Notes, rated Aaa (sf)
$124,580,000, 1.56%, Class B Notes, rated Aa1 (sf)
$139,060,000, 2.70%, Class C Notes, rated A1 (sf)
$89,800,000, 3.30%, Class D Notes, rated Baa2 (sf)
$34,760,000, 4.69%, Class E Notes, rated Ba1 (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 SCUSA 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.
Moody's median cumulative net loss expectation for the SDART 2012-
5 pool is 14.5% and the Aaa level is 48.0%. The loss expectation
was based on an analysis of SCUSA'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 a Low/Medium
assessment for Governance due to the presence of the investment
grade rated parent, Banco Santander (Baa2, rating under review for
possible downgrade /P-2, rating under review for possible
downgrade). In addition, the securitization documents include a
provision that requires the appointment of a back-up servicer in
the event that the rating on Banco Santander is downgraded below
Baa3.
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 19.5%, 26.0% or
29.5%, the initial model output for the Class A notes might change
from Aaa to Aa1, A1, and Baa1, respectively. If the net loss used
in determining the initial rating were changed to 15.5%, 19.5% or
22.5%, the initial model output for the Class B notes might change
from Aa1 to Aa2, A2, and Baa2, respectively. If the net loss used
in determining the initial rating were changed to 14.75%, 17.0% or
20.75%, the initial model output for the Class C notes might
change from A1 to A2, Baa2, and Ba2, respectively. If the net loss
used in determining the initial rating were changed to 14.75%,
17.5% or 20.0%, the initial model output for the Class D notes
might change from Baa2 to Baa3, Ba3, and B3 respectively. If the
net loss used in determining the initial rating were changed to
14.75%, 17% or 18.25%, the initial model output for the Class E
notes might change from Ba1 to Ba2, B2, and
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.
SANTANDER DRIVE 2012-5: S&P Gives 'BB+' Rating on Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Santander Drive Auto Receivables Trust 2012-5's $1,060.30 million
automobile receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect S&P's view of:
- The availability of 50.52%, 43.91%, 35.63%, 30.07%, and 26.62%
of credit support for the class A, B, C, D, and E notes,
respectively, based on stress cash flow scenarios (including
excess spread), which provide coverage of more than 3.5x,
3.0x, 2.3x, 1.75x, and 1.6x our 13.00%-14.00% expected
cumulative net loss.
- The timely interest and principal payments made under stress
cash flow modeling scenarios appropriate to the assigned
ratings.
- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A, B,
and C notes will remain within one rating category of the
assigned ratings during the first year, and its ratings on the
class D and E notes will remain within two rating categories
of the assigned ratings, which is within the outer bounds of
its credit stability criteria.
- The originator/servicer's history in the subprime/specialty
auto finance business.
- S&P's analysis of six years of static pool data on Santander
Consumer USA Inc.'s lending programs.
- The transaction's payment/credit enhancement and legal
structures.
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
Santander Drive Auto Receivables Trust 2012-5
Class Rating Type Interest Amount
rate (mil. $)
A-1 A-1+ (sf) Senior Fixed 157.90
A-2 AAA (sf) Senior Fixed 340.00
A-3 AAA (sf) Senior Fixed 174.20
B AA (sf) Subordinate Fixed 124.58
C A (sf) Subordinate Fixed 139.06
D BBB (sf) Subordinate Fixed 89.80
E BB+ (sf) Subordinate Fixed 34.76
SATURNS 2007-1: Moody's Cuts Ratings on Callable Units to 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the
following certificates issued by Structured Asset Trust Unit
Repackagings (SATURNS) Series 2007-1:
U.S. $54,500,000 of 7.625% Callable Units, Downgraded to Ba3;
previously on April 15, 2009 Downgraded to Ba1
U.S. $3,690,000 Initial Notional Amortizing Balance of Interest-
Only Class B Callable Units, Downgraded to Ba3; previously on
April 15, 2009 Downgraded to Ba1
Ratings Rationale
The transaction is a structured note whose ratings change with the
rating of the Underlying Securities. The rating actions are a
result of the change of the rating of J.C. Penney Corporation,
Inc. 7.625% Debentures due March 1, 2097, which was downgraded to
Ba3 from Ba1 on August 10, 2012.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the rating is a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
SILVERLEAF FINANCE VI: S&P Affirms 'BB+' Rating on Class G Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed all of its ratings on
Silverleaf Finance VI LLC's series 2008-A, and Silverleaf Finance
VIII LLC's series 2010-B vacation timeshare loan-backed notes.
"The affirmations of the 2008-A series' seven outstanding ratings
reflect our opinion that the available credit enhancement from
overcollateralization, reserve account, and excess spread is
sufficient at the current ratings. The securitization's
performance has been in accordance with our original expectations
and has amortized down to a 13.1% pool factor in the 51 months
since issuance," S&P said.
"Silverleaf Finance VI LLC's aggregate loan balance was
approximately $18.4 million as of the July pay period. The
outstanding note balance for all classes is $15.8 million.
Currently, there is greater than 14% overcollateralization, and
$4.025 million in a general reserve account. This represents
approximately 24% of the outstanding loan balance. These two
enhancement features, combined with subordination provides 90%
enhancement for the 'AAA' senior class. There is a reserve account
floor of the greater of 7.5% of outstanding loan balance or 3% of
original loan balance, so the reserve account will not drop below
$4.025 million, which is approximately 22% of outstanding loan
balance. In the event a cash accumulation event occurs, the
general reserve account required balance increases to 20% of the
outstanding loan balance," S&P said.
"The affirmations of the 2010-B series' two outstanding ratings
reflects our opinion that the available credit enhancement from
overcollateralization, reserve account, and excess spread is
sufficient at the current ratings. Taking into account the
securitization's slightly faster amortization, the performance has
still been in accordance with our original expectations. The notes
have amortized down to a 44.7% pool factor in the 20 months since
issuance," S&P said.
"Silverleaf Finance VIII LLC's aggregate loan balance was
approximately $58.4 million as of the July pay period. The
outstanding note balance for all classes is $47.6 million.
Currently there is 18.5% overcollateralization, and $1.262 million
in a general reserve account. The outstanding classes in both
securitizations contain adequate levels of credit enhancement to
withstand the commensurate levels of cash flow stresses," S&P
said.
"Standard & Poor's will continue to review whether, in its view,
the rating assigned to the notes remains consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Silverleaf Finance VI LLC - Series 2008-A
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB+ (sf)
E BBB (sf)
F BBB- (sf)
G BB+ (sf)
Silverleaf Finance VIII LLC - Series 2010-B
Class Rating
A A (sf)
B BBB (sf)
SPECIALITY UNDERWRITING: Moody's Lifts M-2 Tranche Rating to 'Ca'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on 13 tranches
and confirmed the ratings on 7 tranches from eight subprime RMBS
transactions issued by SURF. The collateral backing these
transactions are subprime residential mortgage loans.
Complete rating actions are as follows:
Issuer: Speciality Underwriting and Residential Finance 2005-AB3
Cl. A-1A, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. A-2B, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. A-2C, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: Specialty Underwriting and Residential Finance Series
2005-AB1
Cl. A-1C, Upgraded to A1 (sf); previously on May 30, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to Ba2 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Specialty Underwriting and Residential Finance Series
2005-AB2
Cl. A-1C, Upgraded to A3 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. A-1D, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to Ba3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Caa3 (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Confirmed at C (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Specialty Underwriting and Residential Finance Series
2005-BC4
Cl. A-1A, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. A-2B, Upgraded to A1 (sf); previously on May 30, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-2C, Upgraded to Ba2 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: Specialty Underwriting and Residential Finance Series
2006-AB1
Cl. A-3, Upgraded to A2 (sf); previously on May 30, 2012 Baa2 (sf)
Placed Under Review for Possible Upgrade
Issuer: Specialty Underwriting and Residential Finance Series
2006-BC3
Cl. A-1, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. A-2B, Upgraded to Baa2 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2005-BC1
Cl. M-3, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2005-BC2
Cl. M-2, Confirmed at A3 (sf); previously on May 30, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades in the rating action are
a result of improving performance and/or structural features
resulting in lower expected losses for certain bonds than
previously anticipated.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications As a result of an extension of the Home
Affordable Modification Program (HAMP) to 2013 and an increased
use of private modifications, Moody's is extending its previous
view that loan modifications will only occur through the end of
2012. It is now assuming that the loan modifications will continue
at current levels until the end of 2013.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The above 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 sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's
forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's
expects housing prices to remain stable through the remainder of
2012 before gradually rising towards the end of 2013. Performance
of RMBS continues to remain highly dependent on servicer activity
such as modification-related principal forgiveness and interest
rate reductions. Any change resulting from servicing transfers or
other policy or regulatory change can also impact the performance
of these transactions .
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF294456
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
SPRINT CAPITAL 2003-17: Moody's Confirms B3 Rating on A-1 Certs.
----------------------------------------------------------------
Moody's Investors Service has confirmed the rating of the
following certificates issued by Corporate Backed Trust
Certificates, Sprint Capital Note-Backed Series 2003-17:
US $25,000,000 Principal Amount of 7.00% Class A-1 Certificates
due 2028, Confirmed at B3; previously on November 7, 2011
Downgraded to B3 and Remained On Review for Possible Downgrade
Ratings Rationale
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the confirmation of
the rating of $25,455,000 6.875% Notes due 2028 issued by Sprint
Capital Corporation which was confirmed at B3 on August 9, 2012.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the rating is a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
SPRINT CAPITAL 2004-2: Moody's Confirms 'B3' Rating on STRATS
-------------------------------------------------------------
Moody's Investors Service has confirmed the rating of the
following certificates issued by Structured Repackaged Asset-
Backed Trust Securities ("STRATS") Trust for Sprint Capital
Corporation Securities, Series 2004-2:
U.S. $38,000,000 6.500% STRATS, Series 2004-2, Class A-1
Certificates, Confirmed at B3; previously on November 7, 2011
Downgraded to B3 and Remained On Review for Possible Downgrade
Ratings Rationale
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of $38,000,000 6.875% Notes due 2028 issued by Sprint
Capital Corporation which was confirmed at B3 on August 9, 2012.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the rating is a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
SYMPHONY CLO IV: Moody's Raises Rating on Class D Notes From Ba2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Symphony CLO VI, Ltd.:
U.S.$24,800,000 Class A-2 Senior Secured Floating Rate Notes due
2019, Upgraded to Aaa (sf); previously on Sep 9, 2011 Upgraded to
Aa3 (sf);
U.S.$23,100,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2019, Upgraded to A1 (sf); previously on Sep 9, 2011
Upgraded to A3 (sf);
U.S.$8,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2019, Upgraded to Baa1 (sf); previously on Sep 9, 2011
Upgraded to Baa3 (sf);
U.S.$14,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2019, Upgraded to Baa3 (sf); previously on Sep 9, 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 October 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 September 2011. Moody's also notes that the
transaction's reported collateral quality and
overcollateralization ratio are stable since the last rating
action.
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 $403 million,
defaulted par of $4.7 million, a weighted average default
probability of 18.1% (implying a WARF of 3008), a weighted average
recovery rate upon default of 52.1%, and a diversity score of 51.
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.
Symphony CLO VI Ltd., issued in August 2008, 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 a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 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% (2406)
Class A-1: 0
Class A-2: 0
Class B: +2
Class C: +3
Class D: +2
Moody's Adjusted WARF + 20% (3610)
Class A-1: 0
Class A-2: -2
Class B: -2
Class C: -1
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 upcoming speculative-grade debt maturities, 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) Deleveraging: The main source of uncertainty in this
transaction 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.
SYMPHONY CLO IX: S&P Affirms 'BB' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Symphony CLO IX L.P./Symphony CLO IX LLC's $559.75 million
floating-rate notes following the transaction's effective date as
of June 8, 2012.
"Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The 'effective date' for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an 'effective
date rating affirmation')," S&P said.
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Symphony CLO IX L.P./Symphony CLO IX LLC
Class Rating Amount
(mil. $)
X AAA (sf) 5.50
A AAA (sf) 377.25
B AA (sf) 75.00
C (deferrable) A (sf) 43.50
D (deferrable) BBB (sf) 30.75
E (deferrable) BB (sf) 27.75
L.P. certificates NR 64.00
NR-Not rated.
SYMPHONY CLO X: S&P Gives 'BB' Rating on Class E Deferrable Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Symphony CLO X Ltd./Symphony CLO X LLC's $374.75 million floating-
rate notes.
"The transaction is a cash flow collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans," S&P said.
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 collateral manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-12.65%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111749.pdf
RATINGS ASSIGNED
Symphony CLO X Ltd./Symphony CLO X LLC
Class Rating Amount (mil. $)
X AAA (sf) 3.25
A AAA (sf) 260.00
B (deferrable) AA (sf) 36.00
C (deferrable) A (sf) 40.00
D (deferrable) BBB (sf) 19.00
E (deferrable) BB (sf) 16.50
Subordinated notes NR 43.00
NR-Not rated.
* Fitch Cuts Ratings on 11 Bonds on 6 CRE CDOs Transactions to D
----------------------------------------------------------------
Fitch Ratings has downgraded 11 bonds in six commercial real
estate collateralized debt obligations (CRE CDOs) transactions to
'D', as the bonds have incurred a principal write-down. The bonds
were all previously rated 'C', which indicates that Fitch expected
a default. Additionally, Fitch has withdrawn the ratings on 17
classes from one CRE CDO.
The action is limited to just the bonds with write-downs. The
remaining bonds in these transactions have not been analyzed as
part of this review. Fitch has downgraded the bonds to 'D' as
part of the ongoing surveillance process and will continue to
monitor these transactions for additional defaults.
A copy of the ratings is available at the Fitch.com site at:
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=686610
* Moody's Takes Actions on RMBS Issued by ABSC and Credit Suisse
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on one
tranche, upgraded the ratings on eight tranches and confirmed the
ratings on twelve tranches from ten subprime RMBS transactions
issued by ABSC and Credit Suisse. The collateral backing these
transactions are subprime residential mortgage loans.
Complete rating actions are as follows:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE4
Cl. A1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba1 (sf)
Placed Under Review for Possible Upgrade
Cl. A1A, Upgraded to Ba2 (sf); previously on May 30, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. A2, Upgraded to Ba1 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. A5, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. A6, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
AEG 2006-HE1
Cl. A1, Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2 (sf)
Placed Under Review for Possible Upgrade
Cl. A4, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
NC 2005-HE8
A6, Confirmed at Baa2 (sf); previously on May 30, 2012 Baa2 (sf)
Placed Under Review for Possible Upgrade
M1, Upgraded to B1 (sf); previously on May 30, 2012 B3 (sf) Placed
Under Review for Possible Upgrade
M2, Confirmed at C (sf); previously on May 30, 2012 C (sf) Placed
Under Review for Possible Upgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan
Trust, Series AMQ 2007-HE2
Cl. A2, Downgraded to Caa2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan
Trust, Series RFC 2007-HE1
Cl. A1A, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. A1B, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Home Equity Asset Trust 2005-7
Cl. 2-A-4, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Home Equity Asset Trust 2006-1
Cl. M-1, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Issuer: CSFB Home Equity Asset Trust 2006-3
Cl. 1-A-1, Confirmed at B3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-3, Confirmed at A1 (sf); previously on May 30, 2012 A1
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Home Equity Asset Trust 2006-6
Cl. 2-A-2, Upgraded to A2 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Home Equity Asset Trust 2006-8
Cl. 2-A-2, Upgraded to Ba1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades/downgrades in the rating
action are a result of improving/deteriorating performance and/or
structural features resulting in lower/higher expected losses for
certain bonds than previously anticipated.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications As a result of an extension of the Home
Affordable Modification Program (HAMP) to 2013 and an increased
use of private modifications, Moody's is extending its previous
view that loan modifications will only occur through the end of
2012. It is now assuming that the loan modifications will continue
at current levels until the end of 2013.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.2% in June 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF294613
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
* S&P Lowers Ratings on 7 Classes From 2 U.S. CMBS Transactions
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of commercial mortgage pass-through certificates from two
U.S. commercial mortgage-backed securities (CMBS) transactions due
to current and potential interest shortfalls.
S&P lowered its ratings on three of these classes to 'D (sf)'
because it expects the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The three classes that S&P
downgraded to 'D (sf)' have had accumulated interest shortfalls
outstanding between five and seven months. The recurring interest
shortfalls for the respective certificates are primarily due to
one or more of these factors:
- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
- Special servicing fees; and
- Interest rate reductions or deferrals resulting from loan
modifications.
"Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. We also
considered special servicing fees that are likely, in our view, to
cause recurring interest shortfalls," S&P said.
"The servicer implements ARAs and resulting ASER amounts in
accordance with each respective transaction's terms. Typically,
these terms call for the automatic implementation of an ARA equal
to 25% of the stated principal balance of a loan when a loan is 60
days past due and an appraisal or other valuation is not available
within a specified timeframe. We primarily considered ASER amounts
based on ARAs calculated from MAI appraisals when deciding which
classes from the affected transactions to downgrade to 'D (sf)'.
This is because ARAs based on a principal balance haircut is
highly subject to change, or even reversal, once the special
servicer obtains the MAI appraisals," S&P said.
"We detail the seven downgraded classes from the two U.S. CMBS
transactions," S&P said.
Credit Suisse First Boston Mortgage Securities Corp.
Series 2005-C4
"We lowered our ratings on the class F, G, and H certificates from
Credit Suisse First Boston Mortgage Securities Corp. Series 2005-
C4. We downgraded class H to 'D (sf)' to reflect accumulated
interest shortfalls outstanding for seven months, primarily from
ASER amounts ($41,336) related to the three ($26.0 million; 2.8%)
loans that are currently with the special servicer, C-III Asset
Management LLC (C-III), special servicing fees ($13,410), and
interest shortfalls due to an interest rate modification ($9,518)
that is expected to be ongoing. We lowered our ratings on classes
F and G due to reduced liquidity support available to these
classes and the potential for these classes to experience interest
shortfalls in the future. As of the July 17, 2012, trustee
remittance report, ARAs totaling $9.9 million were in effect for
the three specially serviced loans. The reported net monthly
interest shortfalls totaled $71,387 and affected all of the
classes subordinate to and including class H," S&P said.
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP8
"We lowered our ratings on the class, K, L, M, and N certificates
from Bear Stearns Commercial Mortgage Securities Inc. 2002-TOP8.
We lowered our ratings on the class M and N certificates to 'D
(sf)' to reflect accumulated interest shortfalls outstanding for
five months primarily due to ASER amounts ($36,829) related to
three ($15.4 million; 6.1%) of the nine ($50.4 million; 20.1%)
assets that are currently with the special servicer, C-III,
special servicing fees ($8,570), a one-time workout fee of $39,736
related to the disposition of the Hartwick Building loan, and a
one-time servicer expense of $16,340. We lowered our ratings on
classes K and L due to reduced liquidity support available to
these classes and the potential for these classes to experience
interest shortfalls in the future related to the specially
serviced assets. As of the July 16, 2012, trustee remittance
report, ARAs totaling $7.5 million were in effect for four of the
nine specially serviced assets. The total reported monthly net
ASER amount was $36,829, which included an ASER recovery of $2,375
related to the 39300 Country Club Drive loan. The reported monthly
interest shortfalls totaled $101,475 and have affected all of the
classes subordinate to and including class J," 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 2005-C4
Reported
Rating Credit Interest shortfalls
Class To From enhcmt(%) Current Accumulated
F CCC+(sf) B+ (sf) 3.68 0 0
G CCC-(sf) CCC+(sf) 2.23 0 0
H D (sf) CCC-(sf) 0.41 56,238 319,489
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP8
Commercial mortgage pass-through certificates
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
K CCC+ (sf) BB- (sf) 5.22 21,055 21,055
L CCC- (sf) B (sf) 3.96 15,790 15,790
M D (sf) CCC+ (sf) 2.70 15,795 64,228
N D (sf) CCC (sf) 1.86 10,525 53,154
* S&P Lowers Ratings on 4 Classes from 3 U.S. CMBS Transactions
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from
three U.S. commercial mortgage-backed securities (CMBS)
transactions due to current and potential interest shortfalls.
S&P lowered its ratings on three of these classes to 'D (sf)'
because it expects the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The three classes that S&P
downgraded to 'D (sf)' have had accumulated interest shortfalls
outstanding for seven months. The recurring interest shortfalls
for the respective certificates are primarily due to one or more
of these factors:
- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
- Special servicing fees:
- Shortfalls due to rate modifications; and
- Interest not being advanced due to a nonrecoverability
determination by the master servicer.
"Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. We also
considered special servicing fees that are likely, in our view, to
cause recurring interest shortfalls," S&P said.
"The servicer implements ARAs and resulting ASER amounts in
accordance with each respective transaction's terms. Typically,
these terms call for the automatic implementation of an ARA equal
to 25% of the stated principal balance of a loan when a loan is 60
days past due and an appraisal or other valuation is not available
within a specified timeframe. We primarily considered ASER amounts
based on ARAs calculated from MAI appraisals when deciding which
classes from the affected transactions to downgrade to 'D (sf)'.
This is because ARAs based on a principal balance haircut is
highly subject to change, or even reversal, once the special
servicer obtains the MAI appraisals," S&P said.
"We detail the four downgraded classes from the three U.S. CMBS
transactions," S&P said.
LB-UBS Commercial Mortgage Trust 2007-C1
"We lowered our rating to 'D (sf)' on the class H certificate from
LB-UBS Commercial Mortgage Trust 2007-C1 due to accumulated
interest shortfalls outstanding for seven months, primarily from
ASER amounts ($176,030.51) related to three ($73.8 million; 2.3%)
of the nine loans ($169.5 million; 5.2%) that are currently with
the special servicer, LNR Partners LLC (LNR), special servicing
fees ($95,251), and shortfalls due to interest rate modifications
($291,271). We expect these accumulated interest shortfalls to
remain outstanding for the foreseeable future. As of the July 17,
2012, trustee remittance report, an ARA of $40.8 million was in
effect for five of the specially serviced loans. The reported net
ASER amount was $138,872, which reflected a one-time $37,158 ASER
recovery. The reported net monthly interest shortfalls totaled
$548,039 and affected all bonds subordinate to and including the
class H certificates," S&P said.
Wachovia Bank Commercial Mortgage Trust Series 2006-C28
"We lowered our rating to 'D (sf)' on the class G certificate from
Wachovia Bank Commercial Mortgage Trust's series 2006-C28 due to
accumulated interest shortfalls outstanding for seven months,
primarily due to ASER amounts ($656,421) related to 28 ($472.0
million; 14.6%) of the 32 ($689.0 million; 21.2%) assets that are
currently with the special servicer, CWCapital Asset Management
LLC., special servicing fees ($110,780), and interest not being
advanced due to a nonrecoverability determination for the Gateway
Center loan by the master servicer ($130,645). As of the July 17,
2012, trustee remittance report, ARAs totaling $258.0 million were
in effect for 30 of the 32 specially serviced assets. The total
reported monthly ASER amount was $656,421 which reflected an
$87,737 ASER recovery from a liquidated specially serviced asset
and an ASER recovery of $107,381 from the Four Seasons Resort And
Club -Dallas, TX, which is a specially serviced asset. The
reported monthly interest shortfalls totaled $999,089 and affected
all of the bonds subordinate to and including the class F
certificates," S&P said.
Wachovia Bank Commercial Mortgage Trust Series 2007-C30
"We lowered our ratings on the class C and D certificates from
Wachovia Bank Commercial Mortgage Trust's series 2006-C28. We
lowered our ratings on the class D certificate to 'D (sf)' to
reflect accumulated interest shortfalls outstanding for seven
months, primarily due to ASER amounts ($2,147,739) related to 16
($1.9 billion; 26.9%) of the 35 assets ($2.4 billion; 33.9%)
that are currently with the special servicer, CWCapital Asset
Management LLC., shortfalls due to rate modifications ($789,028),
and special servicing fees ($497,574). We lowered our ratings on
class C to reflect the interest shortfall the class experienced in
July and the class' potential to experience interest shortfalls in
the future related to the specially serviced assets. As of the
July 17, 2012, trustee remittance report, ARAs totaling $521.3
million were in effect for 25 of the 35 specially serviced assets.
The reported monthly interest shortfalls totaled $ 3,467,981 and
affected all bonds subordinate to and including the class C
certificates," 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
LB-UBS Commercial Mortgage Trust 2007-C1
Commercial mortgage pass-through certificates series 2007-C1
Reported
Rating Credit Interest shortfalls
Class To From enhcmt(%) Current Accumulated
H D (sf) CCC- (sf) 2.81 101,464 562,244
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-C28
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
G D (sf) CCC- (sf) 5.05 200,686 556,430
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C30
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
C CCC- (sf) B- (sf) 10.22 143,493 143,493
D D (sf) CCC- (sf) 9.24 317,710 936,857
* S&P Puts Ratings on 3,364 RMBS Transactions on CreditWatch
------------------------------------------------------------
Standard & Poor's Ratings Services initiated a series of
CreditWatch placements following the implementation of its revised
criteria for surveilling U.S. residential mortgage-backed
securities (RMBS) backed by pre-2009 collateral. The CreditWatch
actions affect 16,872 ratings from 3,364 U.S. RMBS transactions
with a par amount of $253.95 billion. The CreditWatch actions only
affected classes rated 'B- (sf)' and higher.
In total, S&P placed:
-- its ratings on 11,844 classes from 2,505 RMBS
transactions, totaling approximately $187.72 billion in
current par amount, on CreditWatch with negative implications.
-- its ratings on 4,197 classes from 1,941 U.S. RMBS
transactions, totaling approximately $59.92 billion in current
par amount, on CreditWatch developing; and
-- its ratings on 831 classes from 450 U.S. RMBS
transactions, totaling approximately $16.31 billion in current
par amount, on CreditWatch with positive implications.
The ratings affect pre-2009 U.S. RMBS transactions backed
primarily by first-lien prime, subprime, alternative-A (Alt-A),
and negative amortization (Neg-am) collateral, including high
loan-to-value (LTV), scratch and dent, and lot loans, which are
grouped within the collateral types below according to their
respective treatments.
The complete CreditWatch list is available in an Excel download at
https://www.globalcreditportal.com/ratingsdirect/viewPDF.do?rand=3
UzCD5I1MN&id=9756&from=Research
"We initiated the CreditWatch placements following the
implementation of our recently revised criteria for surveilling
pre-2009 RMBS, as detailed in 'Methodology And Assumptions: U.S.
RMBS Surveillance Credit and Cash Flow Analysis For Pre-2009
Originations,' published Aug. 9, 2012," S&P said.
"In total, the 16,872 affected classes have an outstanding par
amount of $253.95 billion, and represents approximately 25%, by
both the number of classes and par amount, of Standard & Poor's
total rated U.S. RMBS universe," S&P said.
"Our preliminary analysis indicates that most collateral types
will show a move toward lower ratings under our revised criteria.
Therefore, CreditWatch negative constitutes approximately 70% of
the total CreditWatch actions, while CreditWatch positive actions
account for just under 5% of the total CreditWatch actions," S&P
said.
"We have outlined the CreditWatch breakdown by product type. The
list is arranged by the number of classes and by percentages
within each product type," S&P said.
CREDITWATCH BREAKDOWN
No. Of Classes
Credit Watch Negative Developing Positive Total
Prime Jumbo
Pre-2005 5,090 898 61 6,049
Post-2004 550 520 208 1,278
Alt-A
Pre-2005 2,321 330 58 2,709
Post-2004 409 293 94 796
Neg-Am 241 81 11 333
Subprime
Pre-2005 1,829 1,076 120 3,025
Post-2004 1,404 999 279 2,682
Total 11,844 4,197 831 16,872
Percentages
CreditWatch Negative Developing Positive
Prime Jumbo
Pre-2005 84.15% 14.84% 1.01%
Post-2004 43.04% 40.69% 16.28%
Alt-A
Pre-2005 85.68% 12.18% 2.14%
Post-2004 51.38% 36.81% 11.81%
Neg-Am 72.37% 24.32% 3.30%
Subprime
Pre-2005 60.46% 35.57% 3.97%
Post-2004 52.35% 37.25% 10.40%
Total 70.20% 24.87% 4.93%
"Standard & Poor's rated prime portfolio currently comprises
16,478 classes from 1,264 transactions with a total outstanding
par amount of approximately $211.02 billion: we placed our ratings
on 7,327 of these classes on CreditWatch, which represents
approximately 44.47% of the rated prime universe," S&P said.
Standard & Poor's rated Alt-A and Neg-am portfolio currently
comprises 24,619 classes from 1,714 transactions with a total
outstanding par amount of approximately $424.87 billion: we placed
our ratings on 3,838 of these classes on CreditWatch, which
represents approximately 15.59% of this rated portfolio," S&P
said.
"Standard & Poor's rated subprime portfolio currently comprises
20,957 classes from 2,326 transactions with a total outstanding
par amount of approximately $339.81 billion: we placed our ratings
on 5,707 of these classes on CreditWatch, which represents
approximately 27.23% of the rated subprime portfolio," S&P said.
CREDITWATCH NEGATIVE PLACEMENTS
"We placed our ratings on CreditWatch negative in cases where our
preliminary analysis indicates the likelihood that we will lower
the affected ratings under our revised criteria. In certain cases,
this reflects higher projected losses than what was previously
projected. However, we believe most of the anticipated downgrades
will keep classes within three notches of their current ratings.
The CreditWatch negative placements include all 'AAA (sf)' rated
classes as our preliminary analysis indicates that most of these
ratings are likely to be lowered due to increased projected losses
and structural mechanics associated with our tail risk criteria,"
S&P said.
"We have placed some ratings on CreditWatch negative without
considering the hedges that may support a higher rating. When we
resolve the CreditWatch placements, we will consider the hedges in
accordance with our counterparty criteria," S&P said.
For the prime transactions, the following aspects of the revised
criteria had the greatest impact regarding potential downward
movements:
The application of a 'AA+ (sf)' cap on ratings from those
transactions that do not benefit from a credit enhancement
floor or an equivalent functional mechanism;
An increase in the loss multiples for higher investment-grade
ratings;
Increased roll rate assumptions for certain delinquent loans
that capture the likelihood of such loans defaulting, and the
treatment of current loans that are classified as
"reperforming";
The application of the tail risk criteria for transaction
structures with fewer than 100 loans; and
The application of liquidation curves that reflect extended
liquidation timelines.
For Alt-A, Neg-am, and subprime transactions, these aspects of the
revised criteria had the greatest impact regarding potential
downward movements:
An increase in the loss multiples for higher investment grade
ratings;
The treatment of "reperforming" loans in conjunction with
recidivism (re-default) rates, as these transactions generally
have a large number of modified loans;
Increased roll rate assumptions for certain delinquency
categories;
The projected default frequencies associated with those loans
that have high loan-to-value ratios; and
Additional cash flow stresses, including the incorporation of:
a high prepayment stress scenario, high and low interest rate
paths, and servicer stop-advancing stresses.
CREDITWATCH POSITIVE PLACEMENTS
"We placed our ratings on CreditWatch positive in cases where our
preliminary analysis indicates the likelihood that we will raise
the affected ratings under our revised criteria. Approximately 48%
of the CreditWatch positive actions affect classes from subprime
deals, approximately 32% affect classes from prime transactions,
and approximately 20% affect classes from Alt-A transactions. Of
the ratings that are being placed on CreditWatch positive, 62% are
currently rated in the 'B (sf)' and 'BB (sf)' categories," S&P
said.
These factors had the greatest impact regarding potential upward
movements:
- Higher payment priority bonds within structures that have
shorter average lives based on S&P's prepay and loss
assumptions;
- Transactions that have exhibited a decrease in projected
losses; and
- Transactions with overcollateralization in which the excess
interest has adequately absorbed losses as they occurred, thus
preventing losses from eroding hard dollar credit support.
CREDITWATCH DEVELOPING PLACEMENTS
"We placed our ratings on CreditWatch developing in situations
where we may ultimately raise, lower, or affirm a rating. Our
CreditWatch developing actions were based on these factors," S&P
said:
"Our preliminary analysis indicates that the ratings are
approximately the same as the current rating, but may move
slightly either up or down," S&P said.
"Our preliminary analysis indicates an upward movement from
the current rating, but acknowledges that mitigating factors
exist that may temper this movement (i.e., tail risk, unusual
transaction features)," S&P said.
Ratings where additional analysis is needed to determine the
ultimate rating movement.
Transactions that have exhibited a volatile trend in projected
losses in recent distribution dates that may result in an
upward or downward movement.
Bond-insured or guaranteed classes, as the underlying rating
on the class may result in the long-term ratings to be raised,
lowered, or affirmed.
"Transactions with the highest rated class having a rating of less
than 'B- (sf)' were not included in this CreditWatch placement
review; however, we may place any 'CCC (sf)' or 'CC (sf)' rating
from these transactions on CreditWatch positive if material credit
improvement is anticipated," S&P said.
"All of the CreditWatch actions reflect the latest information
available to Standard & Poor's. We may update the CreditWatch
placements in the future based on further analysis or receipt of
new information," S&P said.
"We intend to apply the updated criteria to resolve the
CreditWatch placements within the next six months. To the extent
that RMBS ratings change, the ratings on other related securities
(such as re-REMICs) may be affected. In these cases, appropriate
CreditWatch placements will follow," 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
*********
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.
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