/raid1/www/Hosts/bankrupt/TCR_Public/121104.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, November 4, 2012, Vol. 16, No. 307
Headlines
AIRPLANES PASS-THROUGH: Moody's Cuts Rating on A-9 Certs. to Caa3
AMERICAN AIRLINES: Moody's Confirms 'B1' Rating on B Tranche
AMMC CLO VI: S&P Raises Rating on Class D Notes to 'BB+'
BLACK DIAMOND 2005-2: Moody's Hikes Rating on D Notes From 'Ba1'
BLACKROCK SERIES II: S&P Affirms 'BB+' Ratings on 2 Note Classes
BEAR STEARNS 2007-PWR16: Moody's Cuts Ratings on 3 Certs. to 'C'
BURR RIDGE: Moody's Raises Rating on Class E Notes to 'Ba1'
COMM 2006-FL12: Moody's Cuts Rating on Cl. ES3 Certs. to 'Caa3'
COMM 2012-CCRE4: Moody's Assigns '(P)B2' Rating to Cl. F Certs.
DORMITORY AUTHORITY: Fitch Holds 'BB+' Rating on $256MM Bonds
EDUCATION LOANS: Moody's Reviews 'B2' Ratings for Downgrade
GS MORTGAGE: Moody's Affirms 'B2' Rating on Class F Notes
GUGGENHEIM PRIVATE: Fitch Assigns Low-B Ratings on 2 Note Classes
LB-UBS 2006-C4: Moody's Cuts Ratings on 2 Tranches to 'C'
MERRILL LYNCH 2005-A6: Moody's Ups Rating on One Tranche to Caa1
NOMURA ASSET 2007-S2: S&P Raises Rating on Class A Debt From 'D'
NORTHSTAR 2012-1: Moody's Assigns '(P)B2' Rating to Cl. F Certs.
OMI TRUST 2001-C: S&P Cuts Rating on Class A-1 Certificates to 'D'
OZLM FUNDING II: S&P Rates $26.8-Mil. Class D Def. Notes 'BB'
PASADENA CDO I: Moody's Lifts Rating on US$387MM A Notes From Ba1
SCHOONER TRUST 2007-8: Fitch Puts 'BB' Rating on $2.5-Mil. Certs
SEQUOIA MORTGAGE 2012-5: Fitch Puts 'BB' Rating on $2.5-Mil. Certs
WELLS FARGO 2012-C9: Fitch Puts Low-B Ratings on Two Class Notes
* Fitch Lowers Rating on Various Distressed RMBS Bonds to 'Dsf'
* Moody's Takes Actions on $658-Mil. Manufactured Housing Loans
* S&P Puts Ratings on 2,847 RMBS Re-REMIC Classes on Watch
* S&P Puts Ratings on 342 Tranches From 75 CLOs, CDOs on Watch Pos
* S&P Raises Ratings on 12 Classes From 3 CMBS Transactions
* S&P Lowers Ratings on 340 Classes of Certificates to 'D'
*********
AIRPLANES PASS-THROUGH: Moody's Cuts Rating on A-9 Certs. to Caa3
-----------------------------------------------------------------
Moody's Investors Service has downgraded the Class A-9
certificates from Airplanes Pass Through Trust, Series 2001
Refinancing Trust from Caa2 (sf) to Caa3 (sf). The complete rating
action is as follows:
Issuer: Airplanes Pass Through Trust, Series 2001 Refinancing
Trust
Subclass A-9, Downgraded to Caa3 (sf); previously on Aug 8, 2012
Downgraded to Caa2 (sf) and Remained On Review for Possible
Downgrade
Ratings Rationale
The rating action is driven by the potential for decreased
principal cashflows available to repay noteholders due to the
judgement and orders to pay arising out of litigation between
Airplanes Holdings Limited, a subsidiary of the issuer Airplanes
Limited, and Transbrasil, a prior lessee, in the Brazilian court
system.
On June 28, 2012, the board of directors of Airplanes Limited and
controlling trustees of Airplanes U.S. Trust increased the
required liquidity reserve by way of the Maintenance Reserve
Amount from $45 million to $110 million pending a final outcome
concerning this litigation. The litigation pertains to attempts by
the deal's servicer, GE Capital Aviation Services Limited, to
collect on outstanding leases and promissory notes. A judgment was
rendered by the Brazilian courts where Airplanes Holdings Limited,
as lessor, was ordered to pay legal fees, court costs, interest,
monetary adjustments for inflation, damages and twice the amount
of the promissory notes. This judgement is being appealed. The
increase in the liquidity reserve is meant to enable Airplanes
Holdings Limited to have sufficient funds available to pay the
necessary amounts from this judgment. The increase in the
Maintenance Reserve Amount for this purpose ranks senior to
principal on the Class A-9 notes. Therefore, all lease revenue
that would have been otherwise used to amortize the Class A-9
principal is being used to build the liquidity reserve to the new
Maintenance Reserve Amount.
A significant cash distribution for this litigation would increase
the loss that the Class A-9 certificates will likely experience.
In addition to this litigation, the current portfolio of aircraft
backing the certificates consists of old-vintage aircraft, a
segment which has experienced accelerated declines in demand and
lease rates as a result of the global recession. Moody's expects
the decline in lease rates to continue in the future and the
number of aircraft dispositions from the pool to increase.
Parameter sensitivities: Moody's analyzed an additional scenario
by stressing principal cashflow, which is among the key metrics,
to determine the potential ratings impact. Moody's assumed that
the associated stress would reduce cashflow available for
noteholders by an additional 10%. In concert with other factors,
this decline in principal cashflow could result in an additional
one notch in the rating downgrade.
Principal Methodology
The principal methodology used in this rating was Moody's approach
To Pooled Aircraft-Backed Securitization, published in March 1999.
AMERICAN AIRLINES: Moody's Confirms 'B1' Rating on B Tranche
------------------------------------------------------------
Moody's Investors Service confirmed the Baa3 ratings assigned to
the A-tranches of the Enhanced Equipment Trust Certificates
("EETCs") of American Airlines, Inc. ("American", not rated):
Series 2011-1 ("2011-1"); and Series 2009-1 and Series 2011-2
(together, the "To-Be-Refinanced EETCs"). Moody's also confirmed
the B1 rating assigned to the B tranche of 2011-1. The outlook is
stable. The action resolves the review for downgrade initiated on
November 29, 2011 when American filed for bankruptcy under Chapter
11.
Rating Rationale
On October 9, 2012, American filed a motion with the U.S.
Bankruptcy Court in the Southern District of New York seeking the
court's approval to repay prior to maturity the To-Be-Refinanced
EETCs as well as another aircraft financing referred to as 2009-2,
which is not an EETC but whose aircraft collateral are subject to
the provisions of Section 1110, and to issue a new EETC, 2012-1,
the proceeds of which would fund the repayment of the 2009-1,
2009-2 and 2011-2 series. American proposes to fully repay
principal and accrued interest but takes the position that a make-
whole premium is not due based on its interpretation of Sections
3.03 and 4.02 of the equipment note indentures of the respective
financings. The new EETC, initially only an A-tranche,
contemplates up to $1.5 billion of new Certificates due in nine
years from issuance. The 75 aircraft that currently serve as
collateral for the to-be-refinanced obligations would serve as
collateral for the new EETC.
The refinancing plan that American detailed in the Motion is an
opportunistic action by American to significantly lower its cost
of funds for financing 75 aircraft that are important to its
current and post-emergence operations. Moody's ratings for these
certificates reflect the operational importance of the aircraft
and perceived strong collateral coverage.
Holders of the certificates are likely to dispute the proposed
lack of a make-whole premium. Moody's rating confirmation does not
reflect a view on whether or not a make-whole premium is due as
this is a technical legal matter that will be settled either by
the courts or via negotiations with the EETC Certificateholders.
Moody's rating incorporates a view that American is able to pay
the make-whole premiums if the court determines that this is
required under the financing documents. Moody's also notes that
the proposed refinancing can't proceed unless the court agrees to
release the collateral claim of the current holders. American's
ability to pay is indicated by its holdings of about $4.2 billion
of unrestricted cash at September 30, 2012.
If the refinancing transaction does not proceed, the certificates
will continue to benefit from a strong collateral pool with
aircraft that are of continuing high priority among American's
mainline fleet. In the event that the refinancing proceeds,
holders will receive, at a minimum, scheduled interest and the par
value of the certificates. The confirmation of the A-tranche
ratings at Baa3 relies on the essentiality of the aircraft that
comprise the respective collateral of the To-Be-Refinanced EETCs
to American's current and future route network; Moody's estimate
of about 50% equity cushion in each of the transactions, before
claims for administrative costs, including for repossession and
remarketing of aircraft or of the liquidity provider; and the
enhancing features such as the liquidity facilities and the cross-
default and cross-collateralization of the equipment notes within
each financing.
The confirmation of the Baa3 ratings assigned to the A-tranche of
2011-1 likewise considers the importance of the aircraft
collateral of this transaction to the company's operations and
Moody's estimate of an about 45% equity cushion. The 2011-1 EETC
finances thirty aircraft including seven B777-200ERs, about 15% of
its B777-200ER fleet, which support the company's international,
long-haul operations and 15 B737-800s, the centerpiece of the
company's post-reorganization domestic fleet along with Airbus
A320 family aircraft scheduled to begin delivering in 2013.
The rating confirmations also consider loan-to-value ratios that
provide good cushions in the event that American does not complete
the refinancing detailed in the Motion, or if, pursuant to its
rights under the Bankruptcy Code, American was to subsequently and
unexpectedly disaffirm its obligations on one or more of these
rated EETC financings (an "1110(c) election"). A debtor retains
the ability to make subsequent changes to its original elections
under Section 1110, up until the time its plan of reorganization
is confirmed. Under such a scenario, a respective liquidity
facility sized to fund the next three semi-annual interest
payments would be drawn, the Trustee would take possession of the
aircraft, and begin the process of selling or leasing the aircraft
to cover the outstanding amount or meet the scheduled cash flows
of the affected EETC. Liquidity facilities are an important
feature underpinning Moody's ratings of EETCs because they defer,
if not help prevent, a default on the Certificates when funding of
interest payments ceases due to a non-payment of scheduled
interest by the airline obligor, including under a Section 1110(c)
election scenario.
The stable outlook reflects Moody's anticipation that American
will continue to service its obligations on each of the EETCs that
remain outstanding during and after the conclusion of its Chapter
11 case. A change by American of any of its prior Section 1110(a)
elections to an 1110(b) or 1110(c) election could lead to a
downgrade of the ratings of the effected financing(s). With its
Section 1110(a) elections made before February 2012, American
affirmed its obligations under the EETC financings, signaling its
need to continue to operate the aircraft serving as collateral for
the respective financings. The ratings could also be lowered if
there was a meaningful decline in the market values of any of the
following Boeing aircraft models: B737-800, B757-200, B767-300ER
or B777-200ER that led to loan-to-value ratios in the 60% range.
Any changes in the status or terms of the liquidity facilities
that call in to question the provider's ability to fund could also
cause Moody's' to lower its ratings of the Certificates.
The principal methodology used in rating American was the Enhanced
Equipment Trust And Equipment Trust Certificates Industry
Methodology published in December 2010.
AMR Corporation, based in Fort Worth, Texas, and most of its
subsidiaries including American Airlines, Inc. filed for
bankruptcy on November 29, 2011. American Airlines, American Eagle
and the AmericanConnection(R) carriers serve approximately 260
airports in more than 50 countries and territories with, on
average, more than 3,500 daily flights.
AMMC CLO VI: S&P Raises Rating on Class D Notes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1-B, A-2, B, C, and D notes from AMMC CLO VI Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
American Money Management Corp. "In addition, we affirmed our
ratings on the class A-1-A and A-1-R notes," S&P said.
"The upgrades reflect paydowns to the senior notes and
improvements in the credit quality of the underlying collateral
since our last action on Jan. 31, 2012. The affirmed ratings
reflect our belief that the credit support available is
commensurate with the current rating level," S&P said.
"Since the last upgrade in January 2012, the senior notes have
paid down about $109.58 million. The class A-1LA, A-1-R, and A-2
notes have paid down to 62.90%, 62.90%, and 70.32%%, respectively,
of their original rated balance. Per the transaction documents,
the A-1 and A-2 notes pay pro rata, however, between the A-1 notes
the A-1-B note is junior to the A-1-A and A-1-R notes. As such,
the A-1-B notes will get paid their principal only after the A-1-A
and A-1-R are completely paid down. The interest component on the
A-1 and A-2 notes is paid pro rata," S&P said.
As a result of the paydowns to the senior notes, the senior
overcollateralization (O/C) ratio, which is calculated at the
class B level, has increased more than 7%.
"According to the Oct. 2, 2012, trustee report, the transaction
held $15.45 million in 'CCC' rated collateral, down from $22.19
million noted in the Dec. 7, 2011, trustee report, which we used
for our rating actions in January 2012. When calculating the O/C
ratios, the trustee haircuts a portion of the 'CCC' rated
collateral that exceeds the threshold of 7.5% of the total
collateral as specified in the transaction documents. This
threshold has not been breached since the date of the last rating
action. Currently, the transaction is holding the same number of
defaulted assets totaling $4.07 million as at the time of the last
rating action," 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
AMMC CLO VI Ltd.
Rating
Class To From
A-1-A AAA (sf) AAA (sf)
A-1-B AAA (sf) AA+ (sf)/Watch Pos
A-1-R AAA (sf) AAA (sf)
A-2 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A+ (sf)/Watch Pos
C A+ (sf) BBB+ (sf)/Watch Pos
D BB+ (sf) B+ (sf)/Watch Pos
BLACK DIAMOND 2005-2: Moody's Hikes Rating on D Notes From 'Ba1'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Black Diamond CLO 2005-2:
U.S. $75,000,000 Class B Floating Rate Notes due January 2018,
Upgraded to Aaa (sf); previously on July 11, 2011 Upgraded to Aa2
(sf);
U.S. $70,000,000 Class C Floating Rate Notes due January 2018,
Upgraded to Aa2 (sf); previously on July 11, 2011 Upgraded to A2
(sf);
U.S. $67,000,000 Class D Floating Rate Notes due January 2018,
Upgraded to Baa3 (sf); previously on July 11, 2011 Upgraded to Ba1
(sf);
U.S. $45,000,000 Class I Combination Notes due January 2018
(current rated balance of $9,857,549), Upgraded to Aaa (sf);
previously on July 11, 2011 Upgraded to Aa3 (sf);
U.S. $5,000,000 Class II Combination Notes due January 2018
(current rated balance of $2,829,969), Upgraded to Aaa (sf);
previously on July 11, 2011 Upgraded to Aa3 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in July 2011. Moody's notes that the Class A
Notes have been paid down by approximately 21% or $157.4 million
since the last rating action. Based on the latest trustee report
dated August 27, 2012, the Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 134.5%, 121.9%,
111.9% and 107.3%, respectively, versus June 2011 levels of 128.1,
117.3% 108.5% and 104.4%, respectively. Moody's also notes that
the deal has benefited from an improvement in the credit quality
of the underlying portfolio since the last rating action in July
2011. Based on the August trustee report, the weighted average
rating factor is currently 2580 compared to 2841 in June 2011.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the August 2012 trustee
report, reference securities that mature after the maturity date
of the notes currently make up approximately 7.44% of the
underlying reference portfolio as compared to 10.9% in June 2011.
These investments potentially expose the notes to market risk in
the event of liquidation at the time of the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $809.7 million,
defaulted par of $50.6 million, a weighted average default
probability of 16.87% (implying a WARF of 2583), a weighted
average recovery rate upon default of 49.37%, 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.
Black Diamond CLO 2005-2, issued in October of 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004.
Moody's modeled the transaction using 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% (2066)
Class A: 0
Class B: 0
Class C: +2
Class D: +3
Class E1: +1
Class E2: +1
Class I Combination Note: 0
Class II Combination Note: 0
Moody's Adjusted WARF + 20% (3100)
Class A: 0
Class B: 0
Class C: -2
Class D: -1
Class E1: 0
Class E2: 0
Class I Combination Note: -1
Class II Combination Note: -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 continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
BLACKROCK SERIES II: S&P Affirms 'BB+' Ratings on 2 Note Classes
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of notes from BlackRock Senior Income Series II, a
collateralized loan obligation (CLO) transaction backed by
corporate loans. "We removed the ratings from CreditWatch with
positive implications, where we placed them on July 17, 2012. At
the same time, we affirmed our ratings on four other classes from
the transaction and removed two of them from CreditWatch with
positive implications," S&P said.
"This transaction is currently in its amortization phase since the
reinvestment period ended in May 2011. 's upgrades reflect the
principal pay downs to the class A-1 and A-2 notes since the
February 2012 rating actions. Due to this and other factors,
overcollateralization (O/C) ratios increased for the class A/B, C,
and D notes," S&P said.
CAPITAL STRUCTURE
Current Prior Current Prior
action action action action
notional notional OC (%) OC (%)
Date 10/2012 2/2012 10/2012 2/2012
Cl A-1 158.31 226.81 134.66 125.40
Cl A-2 90.05 118.81 134.66 125.40
Cl B 16.60 16.60 134.66 125.40
Cl C 38.90 38.90 117.42 113.24
Cl D-1 23.90 23.90 107.55 105.88
Cl D-2 4.00 4.00 107.55 105.88
The affirmations reflect credit support commensurate with the
current rating levels.
"We note that the transaction has exposure to long-dated assets
(i.e., assets maturing after the stated maturity of the CLO). Our
analysis accounted for the potential market value and/or
settlement related risk arising from the potential liquidation of
the remaining securities on the legal final maturity date of the
transaction," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
BlackRock Senior Income Series II
Rating
Class To From
A-1 AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf)/Watch Pos
C A+ (sf) BBB+ (sf)/Watch Pos
D-1 BB+ (sf) BB+ (sf)/Watch Pos
D-2 BB+ (sf) BB+ (sf)/Watch Pos
BEAR STEARNS 2007-PWR16: Moody's Cuts Ratings on 3 Certs. to 'C'
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of ten classed
and affirmed ten classes of Bear Stearns Commercial Mortgage
Securities Trust Commercial Mortgage Pass-Through Certificates,
Series 2007-PWR16 as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Jul 6, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Jul 6, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Jul 6, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jul 6, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 6, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Downgraded to A2 (sf); previously on Dec 17, 2010
Downgraded to Aa1 (sf)
Cl. A-J, Downgraded to B1 (sf); previously on Dec 17, 2010
Downgraded to Baa3 (sf)
Cl. B, Downgraded to Caa1 (sf); previously on Dec 17, 2010
Downgraded to B1 (sf)
Cl. C, Downgraded to Caa2 (sf); previously on Dec 17, 2010
Downgraded to B3 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Dec 17, 2010
Downgraded to Caa1 (sf)
Cl. E, Downgraded to Ca (sf); previously on Dec 17, 2010
Downgraded to Caa2 (sf)
Cl. F, Downgraded to Ca (sf); previously on Dec 17, 2010
Downgraded to Caa3 (sf)
Cl. G, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded
to Ca (sf)
Cl. H, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded
to Ca (sf)
Cl. J, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded
to Ca (sf)
Cl. K, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale
The downgrades are due to higher than expected realized and
anticipated losses from specially serviced and troubled loans.
The affirmations of the pooled classes are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings. The
affirmation of the IO Class, Class X, is consistent with the
credit performance of its referenced classes and is thus affirmed.
Moody's rating action reflects a base expected loss of 11.1% of
the current balance. At last full review, Moody's base expected
loss was 10.0%. Moody's provides a current list of base expected
losses for conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver1.0
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 28 compared to 32 at Moody's prior full review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 3, 2011.
Deal Performance
As of the October 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 17% to $2.76
billion from $3.31 billion at securitization. The Certificates are
collateralized by 223 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans representing
43% of the pool.
Eighty-three loans, representing 39% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of its ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Eighteen loans have been liquidated from the pool since
securitization, resulting in an aggregate $74.9 million loss (54%
loss severity on average). Currently 14 loans, representing 10% of
the pool, are in special servicing. The master servicer has
recognized an aggregate $81.6 million appraisal reduction for the
specially serviced loans. Moody's has estimated an aggregate
$117.2 million loss (43% expected loss on average) for all of the
specially serviced loans.
Moody's has assumed a high default probability for 49 poorly
performing loans representing 34% of the pool and has estimated a
$141.8 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2011 operating results for 97%
of the performing pool. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 105% compared to 109% at
last full review. Moody's net cash flow reflects a weighted
average haircut of 12% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.3%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.31X and 1.01X, respectively, compared to
1.30X and 0.97X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing loans represent 28% of the pool balance.
The largest loan is the 32 Sixth Avenue Loan ($318.1 million --
11.5%), which represents a 89% pari passu interest in a $357.8
million first mortgage loan. The loan is secured by an office and
telecommunications building totaling 1.1 million square feet (SF)
located in Lower Manhattan's Tribeca District. The largest tenants
are Qwest Communications Corporation (15% of the Net Rentable Area
(NRA); lease expiration August 2020) and AMFM Operating, Inc. (11%
of the NRA; lease expiration September 2022). The property was 98%
leased as of December 2011 compared to 97% at last review. The
loan matures in April 2017. Moody's LTV and stressed DSCR are 107%
and 0.89X, respectively, compared to 108% and 0.87X at last full
review.
The second largest loan is the Beacon D.C. & Seattle Pool Loan
($305.9 million -- 11.1% of the total pool) which represents a 18%
pari-passu interest in a $1.7 billion (originally $2.7 billion)
first mortgage loan spread across six CMBS deals. After the
releases of eight properties with applicable loan pay-downs, the
loan is currently secured by 12 mortgaged (originally 17 mortgaged
properties at securitization) office properties as well as a
pledge of excess cash flow from one property (originally three
cash flow pledged properties at securitization). The properties
are located in Seattle/Bellevue Washington, northern Virginia, and
Washington, D.C, currently totaling 7.3 million SF. Overall, the
portfolio is 82% leased compared to 84% at last review. This loan
had been in special servicing but was modified in December 2010
and was returned to the master servicer in May 2012. The loan
modification includes a five-year extension, a coupon reduction
along with an unpaid interest accrual feature and a waiver of
yield maintenance to facilitate property sales. The borrower,
Beacon Capital Partners, is actively marketing other properties
for sale. Moody's LTV and stressed DSCR are 135% and 0.71X,
respectively, compared to 146% and 0.66X at last full review.
The third largest loan is The Mall at Prince Georges Loan
($150.0 million -- 5.4%), which is secured by a 920,801 SF
regional mall located in Hyattsville, the drop in occupancy,
property performance has improved slightly due to increase in
rental revenue and reimbursements. The loan is interest-only
throughout its entire 10-year term maturing in June 2017. Moody's
LTV and stressed DSCR are 139% and 0.66X, respectively, compared
to 149% and 0.62X at last full review.
BURR RIDGE: Moody's Raises Rating on Class E Notes to 'Ba1'
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Burr Ridge CLO Plus Ltd.:
U.S.$18,000,000 Class B Mezzanine Floating Rate Notes Due 2023,
Upgraded to Aaa (sf), previously on August 22, 2011 Upgraded to
Aa1 (sf);
U.S.$33,000,000 Class C Deferrable Mezzanine Floating Rate Notes
Due 2023, Upgraded to A2 (sf), previously on August 22, 2011
Upgraded to Baa1 (sf);
U.S.$7,500,000 Class D Deferrable Mezzanine Floating Rate Notes
Due 2023, Upgraded to Baa3 (sf), previously on August 22, 2011
Upgraded to Ba1 (sf);
U.S.$6,500,000 Class E Deferrable Mezzanine Floating Rate Notes
Due 2023, Upgraded to Ba1 (sf), previously on August 22, 2011
Upgraded to Ba2.
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 March 2013. 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 buffer
relative to certain covenant requirements. In particular, the deal
is assumed to benefit from lower WARF and higher Diversity, coupon
and spread levels compared to the levels assumed at the last
rating action in August 2011. Moody's modeled a WARF of 2481
compared to 2678 and a weighted average spread of 3.83% compared
to 2.52% at the time of the last rating action. 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 $280.0 million,
defaulted par of $4.7 million, a weighted average default
probability of 17.93% (implying a WARF of 2481), a weighted
average recovery rate upon default of 49.17% and a diversity score
of 86. 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.
Burr Ridge CLO Plus Ltd., issued in December 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% (1985)
Class A-1R: 0
Class A-1D: 0
Class A-1T: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (2977)
Class A-1R: 0
Class A-1D: 0
Class A-1T: 0
Class B: 0
Class C: -2
Class D: -1
Class E: -2
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.
COMM 2006-FL12: Moody's Cuts Rating on Cl. ES3 Certs. to 'Caa3'
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two pooled
notional multi-bond classes and three non-pooled (or rake)
classes, downgraded the ratings of two notional single-bond
classes, two notional multi-bond classes and four rake classes and
affirmed 27 classes of COMM 2006-FL12 Commercial Pass-Through
Certificates as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Dec 1, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at A1 (sf); previously on Mar 17, 2011
Downgraded to A1 (sf)
Cl. B, Affirmed at A3 (sf); previously on Mar 17, 2011 Downgraded
to A3 (sf)
Cl. C, Affirmed at Baa2 (sf); previously on Mar 17, 2011
Downgraded to Baa2 (sf)
Cl. D, Affirmed at Ba1 (sf); previously on Mar 17, 2011 Downgraded
to Ba1 (sf)
Cl. E, Affirmed at Ba2 (sf); previously on Mar 17, 2011 Downgraded
to Ba2 (sf)
Cl. F, Affirmed at B1 (sf); previously on Mar 17, 2011 Downgraded
to B1 (sf)
Cl. G, Affirmed at B3 (sf); previously on Mar 17, 2011 Downgraded
to B3 (sf)
Cl. X-2, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. X-3-BC, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to B1 (sf)
Cl. X-5-BC, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to B1 (sf)
Cl. X-3-DB, Upgraded to Ba2 (sf); previously on Feb 22, 2012
Downgraded to B2 (sf)
Cl. X-5-DB, Upgraded to Ba2 (sf); previously on Feb 22, 2012
Downgraded to B2 (sf)
Cl. X-3-SG, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to B2 (sf)
Cl. X-5-SG, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to B2 (sf)
Cl. CN1, Affirmed at Baa3 (sf); previously on Dec 9, 2011 Upgraded
to Baa3 (sf)
Cl. CN2, Affirmed at Ba1 (sf); previously on Dec 9, 2011 Upgraded
to Ba1 (sf)
Cl. CN3, Affirmed at Ba2 (sf); previously on Dec 9, 2011 Upgraded
to Ba2 (sf)
Cl. KR1, Affirmed at B3 (sf); previously on Mar 17, 2011
Downgraded to B3 (sf)
Cl. KR3, Affirmed at Caa3 (sf); previously on Mar 17, 2011
Downgraded to Caa3 (sf)
Cl. IP1, Upgraded to Baa2 (sf); previously on Mar 17, 2011
Downgraded to Ba3 (sf)
Cl. IP2, Upgraded to Baa3 (sf); previously on Mar 17, 2011
Downgraded to B1 (sf)
Cl. IP3, Upgraded to Ba1 (sf); previously on Mar 17, 2011
Downgraded to B2 (sf)
Cl. FSH1, Affirmed at Caa1 (sf); previously on Mar 18, 2010
Downgraded to Caa1 (sf)
Cl. FSH2, Affirmed at Caa2 (sf); previously on Mar 18, 2010
Downgraded to Caa2 (sf)
Cl. FSH3, Affirmed at Caa3 (sf); previously on Mar 18, 2010
Downgraded to Caa3 (sf)
Cl. AN3, Downgraded to Caa2 (sf); previously on Mar 17, 2011
Downgraded to B3 (sf)
Cl. FG1, Affirmed at Baa3 (sf); previously on Dec 9, 2011 Upgraded
to Baa3 (sf)
Cl. FG2, Affirmed at Ba2 (sf); previously on Dec 9, 2011 Upgraded
to Ba2 (sf)
Cl. FG3, Affirmed at Ba3 (sf); previously on Dec 9, 2011 Upgraded
to Ba3 (sf)
Cl. FG4, Affirmed at B2 (sf); previously on Dec 9, 2011 Upgraded
to B2 (sf)
Cl. FG5, Affirmed at B3 (sf); previously on Dec 9, 2011 Upgraded
to B3 (sf)
Cl. LS1, Affirmed at Caa1 (sf); previously on Mar 17, 2011
Downgraded to Caa1 (sf)
Cl. LS2, Affirmed at Caa2 (sf); previously on Mar 17, 2011
Downgraded to Caa2 (sf)
Cl. LS3, Affirmed at Caa3 (sf); previously on Mar 17, 2011
Downgraded to Caa3 (sf)
Cl. TC1, Affirmed at Ba2 (sf); previously on Dec 9, 2011 Upgraded
to Ba2 (sf)
Cl. TC2, Affirmed at Ba3 (sf); previously on Dec 9, 2011 Upgraded
to Ba3 (sf)
Cl. ES1, Downgraded to Caa1 (sf); previously on Mar 18, 2010
Downgraded to B2 (sf)
Cl. ES2, Downgraded to Caa2 (sf); previously on Mar 18, 2010
Downgraded to B3 (sf)
Cl. ES3, Downgraded to Caa3 (sf); previously on Mar 18, 2010
Downgraded to Caa1 (sf)
Ratings Rationale
The upgrades of notional Class X-3DB and Class X-5DB and rake
Classes IP-1, IP-2 and IP-3 are due to the improved performance of
the Independence Plaza loan. The downgrades of notional single-
bond Class X-3BC and Class X-5BC and rake class AN-3 are due to
the decline in performance of the Albertsons Portfolio loan that
is real estate owned (REO). The downgrades of notional multi-bond
Classes X-3SG and X-5SG are due to the declines in performance of
two loans, the Legacy SoCal Portfolio loan and the Embassy Suites
Lake Buena Vista loan. The downgrades of rake Classes ES1, ES2 and
ES3 are due to the decline in performance of the Embassy Suites
Lake Buena Vista loan. The affirmations of nine pooled classes are
due to key parameters, including Moody's loan to value (LTV)
ratio, remaining within acceptable ranges and 18 rake classes due
to stable asset performance.
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. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000 and "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.4. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations. The model
includes the CMBS IO calculator ver1.1, which uses the following
inputs to calculate the proposed IO rating based on the published
methodology: original and current bond ratings and assessments;
original and current bond balances grossed up for losses for all
bonds the IO(s) reference(s) within the transaction; and IO type
corresponding to an IO type as defined in the published
methodology. The calculator then returns a calculated IO rating
based on both a target and mid-point. For example, a target rating
basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint
rating basis for a Baa3 (sf) rating is 775 (i.e. the simple
average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating
factor of 940). If the calculated IO rating factor is 700, the
CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1
(sf) IO indication for consideration by the rating committee.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated December 9, 2011.
Deal Performance
As of the October 15, 2012 Payment Date, the transaction's
certificate balance has decreased by approximately 55% to $1.4
billion from $3.0 billion at securitization due to the full payoff
of four loans in the pool (the Blackstone/CarrAmerica/CAR
Portfolio loan, the Algonquin Hotel loan, the MSREF Hotel
Portfolio loan and the Strategic Hotel & Resorts Portfolio loan),
the liquidation of three loans (the Superstition Springs loan, the
Legacy Bayside loan and the Hotel del Coronado loan) and the
discounted payoff of the Charleston Marriott loan. Additionally,
the pool balance has decreased due to payment of release premiums
and/or pay downs from loan modifications from six loans (the
Kerzner International Portfolio loan, the Blackstone/CarrAmerica
National Portfolio loan, the Four Seasons Hualalai loan, the
Albertsons Portfolio loan, the Avenue at Tower City loan and the
Ft. Lauderdale Grande loan). The certificates are currently
collateralized by nine floating rate loans ranging in size from 1%
to 44% of the pool. Hotel properties account for 62% of the pooled
balance followed by multifamily (17%), office (14%) and anchored
retail (7%).
The pool has experienced $15.7 million in losses due to the
liquidation of the Legacy Bayside loan and Superstition Springs
loan and the special servicer workout fee related to the Hotel del
Coronado loan.
Moody's weighed average pooled LTV ratio is 72% compared to 76% at
last review. Moody's pooled stressed DSCR is 1.65X, compared to
1.39% at last review.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. Large
loan transactions generally have a Herf of less than 20. The pool
has a Herf of 4, the same as at securitization.
There are currently six loans in special servicing representing
87% of the pooled balance, including one REO loan, the Albertsons
Portfolio loan (6%).
The largest loan is the Kerzner International Portfolio loan
($482.2 million -- 44% of the pooled balance), a 50% portion of a
pari passu split loan structure that is securitized in CSFB 2006-
TFL2. There is also $145.2 million of non-pooled, or rake, trust
debt (Classes KR1, KR2 and KR3) and a $1.0 billion non-trust
junior secured loan component. The loan is secured by
substantially all of the borrower's real estate assets located on
Paradise Island, Bahamas, including the Atlantis Hotel and the One
& Only Ocean Club Hotel and golf course (106 keys, located one
mile from the Atlantis), a marina and vacant and improved land.
The resort features the largest casino and ballroom in the
Caribbean and water-themed attractions, including the world's
largest open-air marine habitat. The loan is also supported by a
pledge of management agreements and fees relating to the
properties, Harborside timeshare units, and the Residences at
Atlantis and Ocean Club condos. Revenue per available room
(RevPAR), calculated by multiplying the average daily rate by the
occupancy rate, for the trailing 12-month period ending June 2012
was $210 at the Atlantis and $812 at the One & Only Ocean Club. A
comparison of room revenue for the year-to-date period ending June
30, 2012 with the same period in the prior year indicates a 7%
increase. Total revenue increased 14% during the same period,
including a 20% increase in casino revenue that accounted for 16%
of total revenue, and gross operating profit increased by 22%.
The trust debt has decreased 12% since securitization to $627.4
million from $715.0 million and total debt has decreased to $2.3
billion from $2.8 billion at securitization. The loan was
transferred to special servicing in January 2012 due to the loan
not being paid in full by the extended maturity date of November
21, 2011. On November 1, 2011 the loan was paid down by $100
million from funds in the Excess Cash Reserve Fund in
consideration of a short term extension. A cash trap is in place
whereby excess cash flow after debt service is held by the
servicer and applied to replenish reserves after which excess
funds will be applied to pay down the loan balance.
In April 2012 Brookfield Asset Management assumed the mortgage
debt and took over 100% of the equity in the properties in
exchange for the elimination of its $175.4 million B-4-B
Participation and a $10 million principal repayment of the senior
participation. Kerzner continues to manage the properties for a
fee. The loan has been extended to September 2014.
A concern is additional competition from the $3.4 billion Baha Mar
resort complex that broke ground in March 2011 on Nassau's Cable
Beach. Baha Mar is a single-phase project backed by the Chinese
government that is scheduled to open in late 2014. The resort will
feature four hotels with a total of approximately 2,250 rooms, a
golf course, convention center, a casino that is to be the largest
in the Caribbean and a 10-acre Eco Water Park. In overall size and
amenities it is expected to be very similar to the Atlantis. The
project is expected to be future competition for the Atlantis and
complicate the re-financing of the current debt. Moody's credit
assessment for the pooled debt is Ba3, the same as last review.
Moody's is affirming the ratings of the rake certificates due to
the de-leveraging and the expectation of additional future de-
leveraging resulting from the in-place cash management agreement.
The Independence Plaza Loan ($189.6 million -- 17%) is secured by
a 1,322 unit rental apartment complex located in the Tribeca
neighborhood of New York City. There is also $23.0 million of non-
pooled trust debt (Classes IP1, IP2 and IP3) and a $160.0 million
non-trust junior secured component and $150.0 million in mezzanine
debt. In addition to the residential units, the property contains
74,915 square feet of commercial space and a 230,000 square foot
parking garage. The largest commercial tenants include the New
York City Board of Education (18,600 square feet, lease expiration
in 2015) and Shopwell Supermarket (21,862 square feet, lease
expiration in 2013). As of August 2012 the complex was
approximately 97% leased. Net operating income for full year 2011
increased 14% over 2010.
Independence Plaza exited the Mitchell-Lama Housing Program, a
form of housing subsidy in the state of New York, in 2004 but
continued to receive J-51 tax breaks for two years while rents
were raised at the complex by deregulating stabilized apartments.
In August 2010 a state Supreme Court judge reversed the state's
Department of Housing and Community Renewal's earlier decision and
ruled that rents had been illegally destabilized after taxes at
Independence Plaza were reduced from a J-51 tax abatement.
Approximately 34% of the total residential units in Independence
Plaza are not subject to rent stabilization. Moody's had
downgraded the rake classes at last review due to the court
ruling. In April 2012 a New York State appeals court reversed the
previous decision and ruled that the units at Independence Plaza
had been destabilized lawfully. Moody's is upgrading the rake
classes due to improved property performance and the Appellate
Court decision that reduced the threat of rent rollbacks.
The loan was transferred to special servicing in April 2011 and
was modified in August 2011 with an extension of the maturity date
to August 9, 2013 and a $26.5 million pay down of the A-note.
Additionally, a cash flow sweep has been established with all
excess cash flow swept to reduce the A-Note. Moody's credit
assessment is Baa1, compared to Ba2 at last review.
The Four Seasons Hualalai loan ($151.6 million -- 14%) is secured
by leasehold interests in a luxury resort located on the Kona-
Kohala Coast on Hawaii's Big Island. There is also $24.3 million
of non-pooled trust debt (Classes FSH1, FSH2 and FSH3) and a
$131.2 million non-trust junior secured component. Loan collateral
includes a 243 room luxury resort hotel operated by Four Seasons
Hotel Limited that has amenities typical of luxury resort hotels,
including two golf courses and resort club operations. The
collateral also includes a residential land component with the
potential to build more than 510 residential units. The loan has
paid down approximately 13% since securitization (unchanged from
Moody's previous review) from the sale of land parcels. At
securitization, a 115-key expansion to the hotel was expected to
commence in 2008. Due to the economic downturn, the expansion
plans were abandoned and instead the hotel underwent a major
renovation that included converting 20 existing hotel rooms into
suites. Revenue per available room (RevPAR) improved by 47% to
$771 for the year-to-date period ending August 2012 from $527 in
the same period in the previous year. Hotel operations were
interrupted for part of 2011 due to damage from the Japanese
earthquake induced tsunami. Hawaii's tourism industry, which had
been hurt by the economic recession and a decline in Japanese
tourism due to the earthquake in Japan, has seen significant
improvement over the past several months. The loan was transferred
to special servicing in June 2012 as a result of the loan not
being paid off by the June 2012 maturity date. Moody's credit
assessment for the pooled debt is B1, the same as last review.
The Blackstone /Carr America National Portfolio loan ($104.2
million -- 9%) is the 52.5% portion of a pari passu split loan
structure that is securitized in BALL 2006-BIX1 (40%) and CGCMS
2006-FL2 (7.5%). There is also $13.9 million of non-pooled, or
rake, trust debt (Classes CN1, CN2 and CN3). Total outstanding
mortgage debt is $357.1 million, including a $132.2 million non-
trust subordinate interest. There is also $128.9 million of
outstanding mezzanine debt. The loan is secured by 18 office and
research and development (R&D) properties. Fifteen properties
containing approximately 3.8 million square feet are subject to
first mortgage liens. The borrower's joint venture interests in
three properties are secured by pledges of refinance and sale
proceeds. The outstanding trust balance has decreased by 85% since
securitization from the payment of loan collateral release
premiums. At securitization the loan was secured by 73 properties.
The remaining portfolio has geographic concentration in
California's Silicon Valley with 12 properties representing 98% of
the mortgage collateral by net rentable area (NRA) located in
North San Jose (8 properties), Santa Clara (1 property), Sunnyvale
(1 property), Palo Alto (1 property) and Menlo Park (1 property).
The other three properties are located in Dallas, Los Angeles and
Seattle.
The loan was transferred to special servicing on February 1, 2011
due to imminent maturity default. The final fully-extended
maturity date is in August 2013.
As of April 2012, the loan collateral secured by first mortgage
liens had a weighted average occupancy rate of 88%, compared to
79% at Moody's last review and 89% at securitization. Moody's
credit assessment for the pooled debt is Baa2, the same as last
review.
The Albertsons Portfolio loan ($67.0 million -- 6%) was
transferred to special servicing in August 2011 due to immanent
maturity default. There is also $15.2 million in non-pooled trust
debt (Classes (AN1, AN2 and AN3) and a $29.6 million non-trust
junior secured component. The loan is collateralized by 45 retail
properties leased to grocery stores containing a total of 2.1
million square feet. Twenty-three locations are leased to
Albertsons with the remainder leased to Southern Family Markets,
Ralph's, Food 4 Less, Save Mart and others. At securitization the
portfolio contained 50 properties containing 2.4 million square
feet. The loan has paid down 29% since securitization from
proceeds from property sales. The borrower agreed to a deed-in-
lieu of foreclosure and the properties are now REO. Albertsons'
senior unsecured rating is Caa1; negative outlook.. The portfolio
was 87% leased as of October 2012, the same as at last review. The
portfolio has significant rollover risk with leases accounting for
23% of total net rentable area expiring through 2013 and 32%
through 2015. Moody's credit assessment is B2 compared to B1 at
last review.
The Embassy Suites Lake Buena Vista Loan ($22.2 million -- 2%) is
secured by a 334 room hotel facility located in Orlando, Florida.
RevPAR was $82 for the trailing 12-month period ending August
2012, unchanged from the previous year. The hotel has suffered
from a large supply of hotels in the rate sensitive Orlando
market. The loan was transferred to special servicing in October
2011 and is currently in a forbearance period through the November
2013 maturity date. A cash flow sweep is being applied to the A-
Note balance. There is also a non-pooled trust component totaling
$4.7 million consisting of rake Classes ES1, ES2 and ES3 and non-
trust subordinate debt in the amount of $15.0 million. Moody's
current credit assessment is Caa1 compared to Ba3 at last review.
COMM 2012-CCRE4: Moody's Assigns '(P)B2' Rating to Cl. F Certs.
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
twelve classes of CMBS securities, issued by COMM 2012-CCRE4,
Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE4.
Cl. A-1, Assigned (P) Aaa (sf)
Cl. A-2, Assigned (P) Aaa (sf)
Cl. A-3, Assigned (P) Aaa (sf)
Cl. A-SB, Assigned (P) Aaa (sf)
Cl. X-A, Assigned (P) Aaa (sf)
Cl. A-M, Assigned (P) Aaa (sf)
Cl. B, Assigned (P) Aa3 (sf)
Cl. C, Assigned (P) A3 (sf)
Cl. D, Assigned (P) Baa3 (sf)
Cl. E, Assigned (P) Ba2 (sf)
Cl. X-B, Assigned (P) Ba3 (sf)
Cl. F, Assigned (P) B2 (sf)
Ratings Rationale
The Certificates are collateralized by 48 fixed rate loans secured
by 152 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR; and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.85X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.13X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 94.4% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio (inclusive of subordinated debt and debt-like preferred
equity) of 98.0% is also considered when analyzing various stress
scenarios for the rated debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level (includes cross
collateralized and cross defaulted loans) Herfindahl Index is
20.7. The transaction's loan level diversity is in line with
Herfindahl scores found in most multi-borrower transactions issued
since 2009. With respect to property level diversity, the pool's
property level Herfindahl Index is 24.0. The transaction's
property diversity profile is in line with the indices calculated
in most multi-borrower transactions issued since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-M to mitigate the potential increased
severity to class A-M.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.3, which is higher
than the indices calculated in most multi-borrower transactions
since 2009.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating Structured Finance Interest-
Only Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.61
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship, and diversity. Moody's
analysis also uses the CMBS IO calculator ver_1.1, which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, and 23%, the model-indicated rating for the currently
rated Aaa Super Senior class would be Aaa, Aaa, and Aa1,
respectively; for the most junior Aaa rated class A-M would be
Aa1, Aa2, and A1, respectively. Parameter Sensitivities are not
intended to measure how the rating of the security might migrate
over time; rather they are designed to provide a quantitative
calculation of how the initial rating might change if key input
parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
DORMITORY AUTHORITY: Fitch Holds 'BB+' Rating on $256MM Bonds
-------------------------------------------------------------
Fitch Ratings has affirmed the 'BB+' rating on the approximately
$256 million of Dormitory Authority of the State of New York,
Orange Regional Medical Center (ORMC) Project, revenue bonds
series 2008.
The Rating Outlook is Stable.
SECURITY
The bonds are secured by a revenues pledge and a mortgage.
KEY RATING DRIVERS
REALIZING BENEFITS OF NEW FACILITY: ORMC successfully transitioned
into its new replacement facility in August 2011, and the much
improved operating EBITDA margin, 10.2% through the six-month
interim period ended June 30, 2012, is an indication of improved
operating efficiency of the new facility.
OPERATING LOSSES PERSIST NEAR TERM: However, given the increase in
depreciation and interest expense from the new facility, ORMC
budgeted a $7.7 million loss from operations for fiscal 2012 and
Fitch expects that operating losses are likely to continue in the
near term. However, operating EBITDA margins are expected to
remain solid.
ELEVATED DEBT BURDEN: Owing to the cost of the new facility,
ORMC's debt burden is very high and one of the main factors of its
below investment grade rating. Maximum annual debt service (MADS)
coverage by EBITDA was at 1.7 times (x) for the six months ended
June 30, 2012, and MADS is a very high 6.3% of revenues, as
compared to the below investment grade median of 2.7%.
INVESTING IN PROGRAMS: As a response to both softening inpatient
volumes and in an effort to further stem outmigration for
services, management is investing in a number of programs which
are expected to bolster volumes and generate revenues. These
include a newly opened Level II NICU, filing Certificate of Need
(CON) applications for an open heart program and for Level II
trauma designation and establishing a separate pediatric emergency
department.
WEAK LIQUIDITY: Days cash on hand (DCOH) have been maintained at
73 days for the last 18 months, close to the below investment
grade median of 75 DCOH, but both the 2.9x cushion ratio and cash
to debt at 25% are significantly below the non-investment grade
medians.
WHAT COULD TRIGGER A RATING ACTION
FAILURE TO SUSTAIN SOLID CASH FLOW: Given its high debt burden, it
is imperative that ORMC maintains the solid operating cash flow
exhibited through the fiscal 2012 year to date period. The
inability to sustain cash flow would likely result in negative
rating pressure.
SECURITY
Debt payments are secured by a gross receipts pledge and a
mortgage pledge.
CREDIT PROFILE
ORMC ended fiscal 2011 (year end Dec. 31) with an operating loss
of $4.5 million, translating to a negative operating margin of
1.3% and operating EBITDA margin of 5.7%. The operating loss was
in a large part related to the need to still operate the two
hospitals before the completion of the new facility in August
2011, as well as a number of one-time expenses associated with the
move to the new hospital and the staff training and adjustment to
a new facility.
However, based on the six-month interim period ended June 30,
2012, ORMC is beginning to realize the benefits of increased
operating efficiency with the move to the new facility. While
ORMC reported operating loss of $3 million for the 2012 interim
period, partially driven by increased depreciation expense, equal
to a negative operating margin of 1.6%, operating EBITDA margin
was a robust 10.2%, comparing favorably even to the 'BBB' rating
median of 8.3%. ORMC budgeted to end fiscal 2012 with operating
loss of $7.7 million, but expects to end with a lower loss based
on $3 million prior year settlement which had not been budgeted
for. ORMC's fiscal 2012 budgeted operating EBITDA is $38.7
million (11% operating EBITDA margin).
Despite decline in discharges of 2.9% in 2011 and 8.5% for the
interim period, management reports that overall market share is
stable. Volumes were initially slower as physicians and staff had
to become accustomed to the new facility, but census is slowly
building up. Some of the decline in discharges was impacted by
increasing observations days, which the hospital only began
tracking in January of this year. Management is focused on
revenues generation and is proceeding with developing several new
programs, which should be accretive to profitability, but may,
such as in the case of the open heart program, take some time
before becoming operational.
Market share for the primary and secondary service area combined,
was reported at 38.2% for 2011, double that of ORMC's nearest
competitor, St. Luke's Cornwall Hospital with a 19.1% share.
Crystal Run Healthcare (Crystal Run), a 185 physician strong
multispecialty clinic located in close proximity to ORMC, is a
source of 35% of all inpatient admissions to the hospital and
refers its patients primarily to ORMC. ORMC recruits physicians
with the assistance of Crystal Run and is contracting to staff its
pediatric emergency department with pediatric subspecialists from
Crystal Run.
ORMC has a relatively heavy debt burden, which Fitch would expect
to moderate over time. MADS EBITDA coverage, based on $23.3
million MADS, was 0.8x in fiscal 2011 and is reported at 1.7x
through the six months ended June 30, 2012. Debt service coverage
calculated under ORMC's bond document requirements was 1.6x in
fiscal 2011. Fitch uses MADS number of $23.3 million which
includes, in addition to ORMC's series 2008 bond debt service,
several loans and capitalized leases, which have a short
amortization structure. Starting with fiscal 2015, MADS declines
to $20.2 million. The debt profile is 100% fixed rate, which is
appropriate for the rating level.
The Stable Outlook is based on Fitch's expectation that the new
facility will enable ORMC to continue to realize improved
efficiency, which together with programmatic investment, will
result in sustained strong operating cash flow. The relatively
modest capital needs should, together with higher profitability,
results in improved liquidity over time. However, given its high
debt burden, the failure to sustain the strong cash flow exhibited
in fiscal 2012 would likely result in downward rating pressure.
Upward rating movement is limited until there is significant
improvement in debt ratios and liquidity.
ORMC operates a new 374-bed facility, located in Wallkill, NY,
approximately 65 miles northwest of New York City. Total revenue
in fiscal 2011 was $344 million. ORMC covenants to provide annual
audited information within 150 days of fiscal year end and
unaudited quarterly statements within 45 days of quarter end for
the first three quarters and within 60 days of the end of the
fourth quarter.
EDUCATION LOANS: Moody's Reviews 'B2' Ratings for Downgrade
-----------------------------------------------------------
Moody's Investors Service has placed under review for downgrade
the rating of seven classes of senior notes issued by Education
Loans Incorporated, 1999 indenture. The underlying collateral
consists of approximately 52% of student loans originated under
the Federal Family Education Loan Program (FFELP), which are
guaranteed by the U.S. government for a minimum of 97% of
defaulted principal and accrued interest, and approximately 48% of
private student loans. Student Loan Finance Corporation (SLFC) is
the administrator and servicer of the transaction.
Ratings Rationale
The review is prompted by the performance deterioration of the
private student loans as well as the erosion of credit support
available to the transaction as a result of significant excess
spread compression. As of the August 2012 reporting date cash in
the reserve accounts comprised approximately 19% of the total
collateral balance. The relatively low rate of return on the cash
in combination with high interest rates on the auction-rate
securities, put the transaction in the negative carry position,
i.e., the interest earned on the assets does not sufficiently
cover the interest due on the notes plus fees. Consequently, the
total parity (i.e., the ratio of total assets to total
liabilities) has decreased to 84.2% as of 31 August, 2012, from
87.4% a year earlier. The senior parity (i.e., the ratio of total
assets to total senior outstanding notes) has also declined to
86.3% from 88.4% during the same 12-month period. Collateral
performance has been weak. During the latest three-month reporting
period ending in August 2012, the 90+ day delinquencies as a
percent of loans in active repayment have increased to 2.5% from
1.7%.
During the review period Moody's will project life-time collateral
losses on the private loan pool and conduct cash flow analysis as
to evaluate whether available credit enhancement is sufficient to
protect the noteholders against collateral losses.
Primary sources of uncertainty are the weak economic environment
and the high unemployment rate, which adversely impacts the
income-generating ability of the borrowers. Lower income levels
will effectively force increasing amounts of borrowers into
delinquency and default across all loan types.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. Private Student Loan-Backed Securities", published in
January 2010, and "Moody's Approach to Rating Securities Backed by
FFELP Student Loans", published in April 2012.
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.
The complete rating actions are as follows:
Issuer: Education Loans Incorporated (1999 Indenture)
Ser. 1999-1 Class 1A, B2 (sf) Placed Under Review for Possible
Downgrade; previously on Nov 3, 2011 Downgraded to B2 (sf)
Ser. 2001-1 Class 1A, B2 (sf) Placed Under Review for Possible
Downgrade; previously on Nov 3, 2011 Downgraded to B2 (sf)
Ser. 2001-1 Class 1B, B2 (sf) Placed Under Review for Possible
Downgrade; previously on Nov 3, 2011 Downgraded to B2 (sf)
Ser. 2002-1 Class 1A, B2 (sf) Placed Under Review for Possible
Downgrade; previously on Nov 3, 2011 Downgraded to B2 (sf)
Ser. 2002-1 Class 1B, B2 (sf) Placed Under Review for Possible
Downgrade; previously on Nov 3, 2011 Downgraded to B2 (sf)
Ser. 2003-1B, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 3, 2011 Downgraded to B2 (sf)
Ser. 2003-1C, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 3, 2011 Downgraded to B2 (sf)
GS MORTGAGE: Moody's Affirms 'B2' Rating on Class F Notes
---------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes of
GS Mortgage Securities Trust, Commercial Mortgage Pass-Through
Certificates, Series 2010-C2 as follows:
Cl. A-1, Affirmed at Aaa (sf); previously on Dec 30, 2010
Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on Dec 30, 2010
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Dec 30, 2010 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed at A2 (sf); previously on Dec 30, 2010 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed at Baa3 (sf); previously on Dec 30, 2010
Definitive Rating Assigned Baa3 (sf)
Cl. E, Affirmed at Ba2 (sf); previously on Dec 30, 2010 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed at B2 (sf); previously on Dec 30, 2010 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed at Aaa (sf); previously on Dec 30, 2010
Definitive Rating Assigned Aaa (sf)
Cl. X-B, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings. The rating of the IO
Classes, Class X-A and X-B, are consistent with the credit
performance of their respective referenced classes and thus are
affirmed
Moody's rating action reflects a base expected loss of 2.1% of the
current balance. At last review, Moody's cumulative base expected
loss was 1.9%. Moody's provides a current list of base losses for
conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit assessments; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type as defined in the
published methodology. The calculator then returns a calculated IO
rating based on both a target and mid-point. For example, a target
rating basis for a Baa3 (sf) rating is a 610 rating factor. The
midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the
simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf)
rating factor of 940). If the calculated IO rating factor is 700,
the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and
Ba1 (sf) IO indication for consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 24 compared to 25 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 17, 2011.
Deal Performance
As of the October 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $861 million
from $876 million at securitization. The Certificates are
collateralized by 43 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans representing 52% of
the pool. The pool contains six loans with investment grade credit
assessments, representing 16% of the pool.
Three loans, representing 5% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Moody's was provided with full year 2011 operating results for
100% of the pool's loans. Excluding loans with a credit
assessment, Moody's weighted average LTV is 92%, the same as
Moody's prior review. Moody's net cash flow reflects a weighted
average haircut of 14.4% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.6%.
Excluding loans with a credit assessment, Moody's actual and
stressed DSCRs are 1.57X and 1.17X, respectively, compared to
1.60X and 1.18X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit assessment is the Cole Portfolio I
Loan ($31.5 million -- 3.7% of the pool balance), which is secured
by a fee interest in 20 single tenant properties located across 13
states. The portfolio consists of 17 retail properties, two
industrial properties and one ground leased parcel that is
improved with a retail building. In aggregate, the portfolio
contains approximately 555,095 square feet (SF) that was 100%
leased as of June 2012. Moody's credit assessment and stressed
DSCR are Baa3 and 1.49X, respectively, the same as last review.
The second largest loan with a credit assessment is the Cole
Portfolio II Loan ($30.0 million -- 3.5%), which is secured by a
fee interest in 14 single tenant properties and one multi-tenant
industrial property located across 11 states. In aggregate, the
portfolio contains approximately 331,521 SF and was 100% leased as
of June 2012. Moody's credit assessment and stressed DSCR are Baa3
and 1.51X, respectively, the same as last review.
The third largest loan with a credit assessment is the Payless and
Brown Industrial Portfolio Loan ($28.2 million -- 3.3%), which is
secured by two single tenant industrial properties. The Payless
Distribution Center represents the larger of the two properties,
and totals approximately 801,651 SF of the Northbrook Industrial
Park in Brookville, Ohio. The property was built in 2008 and has
32' ceiling heights, three grade drive-in doors 76 dock high
doors, and approximately 24,853 SF of office space. The remainder
of the collateral is represented by the Brown Shoe Distribution
Center, a 351,723 SF warehouse/distribution building located in
Lebec, California within the Tenjon Industrial Complex. The
property was built in 2008 and has 32' ceiling heights, a single
grade drive-in door, 38 exterior docks with levelers, and
approximately 11,869 SF of office space. Moody's credit assesment
and stressed DSCR are Baa2 and 1.72X, respectively, the same as
last review.
The fourth largest loan with a credit assessment is the ARC Credit
Portfolio 2 Loan ($19.6 million -- 2.3%), which is secured by 10
single tenant retail properties located across five states. In
aggregate, the portfolio contains approximately 116,107 SF that
was 100% leased as of June 2012. All of the properties are
occupied by investment grade tenants. Moody's credit assessment
and stressed DSCR are A3 and 1.60X, respectively, compared to A3
and 1.64X at last review.
The fifth largest loan with a credit assessment is the Washington
Group Plaza Loan ($19.0 million -- 2.2%), which is secured by an
office park consisting of four buildings located in Boise, Idaho.
In aggregate, the buildings contain approximately 556,083 SF and
was 92% leased as of June 2012 compared to 91% at last review. The
largest tenant is URS (35% of the NRA; lease expiration December
2015). Moody's credit assessment and stressed DSCR are Baa2 and
1.70X, respectively, compared to Baa2 and 1.68X at last review.
The sixth largest loan with a credit assessment is the Ruxton
Towers Loan ($12.1 million -- 1.4%), which is secured by a 16-
story apartment building containing 208 units and built in 1927.
The property is located in the Upper West Side of Manhattan, NY.
The property was 99.5% leased as of June 2012 compared to 95% at
last review. Moody's credit assessment and stressed DSCR are Aa3
and 1.68X, respectively, compared to Aa3 and 1.51X at last review.
The top three conduit loans represent 25% of the pool. The largest
conduit loan is the 52 Broadway Loan ($88.0 million -- 10.2%),
which is secured by a 19-story, 399,935 SF, Class B office
building located in downtown Manhattan, New York. The property was
constructed in 1982 and renovated in 2002 at a cost of $4.5
million ($11.25 PSF). The United Federation of Teachers has
occupied the entire building since the 2002 renovation. They are
currently operating under a long term net lease expiring in August
2034. Moody's LTV and stressed DSCR are 110% and 0.92X,
respectively, compared to 110% and 0.93X at last review.
The second largest conduit loan is the Cleveland Office Portfolio
Loan ($63.5 million -- 7.4%), which is secured by two separate
office properties located at the intersection of East 9th Street
and St Clair Avenue NE in downtown Cleveland, Ohio. One Cleveland
Center is a 34-story, Class A high-rise office building containing
approximately 543,728 SF. The building was constructed in 1983 and
renovated in 2009. The Penton Media Building is a 20-story, Class
A high-rise office building containing approximately 600,291 SF.
The building was constructed in 1974 and has never undergone a
major renovation. Both properties offer attached parking garages
and ground floor retail. In total, the portfolio was 74% leased as
of July 2012 compared to 79% at securitization. Moody's LTV and
stressed DSCR are 92% and 1.15X, respectively, compared to 91% and
1.16X at last review.
The third largest conduit loan is the Station Square Loan ($60.5
million -- 7.0%), which is secured by a 669,982 SF mixed use
property located in Pittsburgh, Pennsylvania. The property is
comprised of five buildings containing 449,384 SF of office space
and 220,308 SF of retail space, two open-air parking lots offering
approximately 2,500 spaces, a covered parking garage offering
1,210 spaces, docks leased to the Gateway Clipper Fleet, marina
slips, an outdoor amphitheater leased to a third party operator,
and land under a gas stations owned by a third party operator. The
age of the improvements vary, with the oldest structure built in
1897 and the newest structure built in 2001. Moody's LTV and
stressed DSCR are 93% and 1.11X, respectively, compared to 94% and
1.10X at last review.
GUGGENHEIM PRIVATE: Fitch Assigns Low-B Ratings on 2 Note Classes
-----------------------------------------------------------------
Fitch Ratings assigned the following ratings to Guggenheim Private
Debt Fund Note Issuer, LLC (Guggenheim PDFNI) on Oct. 26, 2012:
-- $44,999,995 class A notes, series A-2, 'Asf'; Outlook Stable;
-- $7,499,995 class B notes, series B-2, 'BBBsf'; Outlook
Stable;
-- $9,249,995 class C notes, series C-2, 'BBsf'; Outlook Stable;
-- $6,249,996 class D notes, series D-2, 'Bsf'; Outlook Stable.
Additionally, Fitch affirmed the ratings on the following classes
of notes on Oct. 26, 2012:
-- $292,499,994 class A notes, series A-1, at 'Asf'; Outlook
Stable;
-- $48,749,993 class B notes, series B-1, at 'BBBsf'; Outlook
Stable;
-- $60,124,994 class C notes, series C-1, at 'BBsf'; Outlook
Stable;
-- $40,624,994 class D notes, series D-1, at 'Bsf'; Outlook
Stable.
Guggenheim PDFNI (the issuer) is a collateralized loan obligation
(CLO) transaction that closed and had its first funding date in
July 2012 and is managed by Guggenheim Partners Investment
Management, LLC (GPIM). Fitch assigned ratings to the new notes
issued commensurate with the second funding that occurred on Oct.
26, 2012 and also affirmed its ratings on the notes that were
issued pursuant to the first funding in July. For additional
information on this transaction see Fitch's press release 'Fitch
Rates Guggenheim Private Debt Fund Note Issuer, LLC' dated July
12, 2012 and available at www.fitchratings.com.
Pursuant to the second funding date, the issuer has drawn an
additional $100 million of cash from investors and has issued a
commensurate $100 million of new notes, each designated as 'series
2', including approximately $32 million of first-loss notes that
are not rated by Fitch. The notes were issued in the same
proportion as the initial capital structure, as was contemplated
at the transaction's closing. All notes from 'series 1' and
'series 2' are cross-collateralized by the entire collateral
portfolio, which currently consists of approximately $689 million
of broadly syndicated loans and private debt investments (PDIs) as
well as approximately $71.7 million of cash.
In conjunction with the second funding date Fitch analyzed the
current portfolio characteristics, as represented to Fitch by
GPIM, as well as analyzing a 'Fitch-Stressed' portfolio that
accounted for many of the worst-case portfolio concentrations
permitted by the indenture. Fitch's cash flow modeling analysis
of both portfolios indicated that each class of notes performs in
line with the ratings assigned or affirmed, as applicable. Fitch
therefore assigned the ratings to the 'series 2' notes as
indicated above.
Fitch has affirmed the existing 'series 1' notes due to the
analysis described above as well as the stable performance of the
transaction thus far. The Oct. 3, 2012 trustee report indicated
that all collateral quality tests, concentration limitations, and
coverage tests were in compliance. All rated notes received their
full interest and commitment fees at the first payment date on
Oct. 15, 2012. Also on this payment date, approximately $5.9
million of excess spread was redirected to the principal
collection account for investment in future collateral, increasing
the degree of collateral coverage for the notes.
After the second funding date the issuer will have issued a total
of $750 million of notes and maintain $202 million of additional
commitments from investors, which are expected to be drawn on one
or more future funding dates.
LB-UBS 2006-C4: Moody's Cuts Ratings on 2 Tranches to 'C'
---------------------------------------------------------
Moody's Investors Service upgraded the ratings of two rake
classes, downgraded ten classes and affirmed 13 classes of LBUBS
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2006-C4 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Jun 29, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Jun 29, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Dec 17, 2010
Confirmed at Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Dec 17, 2010
Confirmed at Aaa (sf)
Cl. A-M, Downgraded to A2 (sf); previously on Dec 17, 2010
Downgraded to Aa3 (sf)
Cl. A-J, Downgraded to Ba2 (sf); previously on Dec 17, 2010
Downgraded to Baa2 (sf)
Cl. B, Downgraded to Ba3 (sf); previously on Dec 17, 2010
Downgraded to Baa3 (sf)
Cl. C, Downgraded to B3 (sf); previously on Dec 17, 2010
Downgraded to Ba2 (sf)
Cl. D, Downgraded to Caa1 (sf); previously on Dec 17, 2010
Downgraded to B1 (sf)
Cl. E, Downgraded to Caa2 (sf); previously on Dec 17, 2010
Downgraded to B3 (sf)
Cl. F, Downgraded to Caa3 (sf); previously on Dec 17, 2010
Downgraded to Caa1 (sf)
Cl. G, Downgraded to Ca (sf); previously on Dec 17, 2010
Downgraded to Caa2 (sf)
Cl. H, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded
to Ca (sf)
Cl. J, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded
to Ca (sf)
Cl. K, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Cl. HAF-5, Affirmed at Ba2 (sf); previously on Dec 17, 2010
Confirmed at Ba2 (sf)
Cl. HAF-6, Affirmed at Ba3 (sf); previously on Dec 17, 2010
Confirmed at Ba3 (sf)
Cl. HAF-7, Affirmed at B2 (sf); previously on Dec 17, 2010
Downgraded to B2 (sf)
Cl. HAF-8, Affirmed at Caa1 (sf); previously on Dec 17, 2010
Downgraded to Caa1 (sf)
Cl. HAF-9, Upgraded to Caa2 (sf); previously on Dec 17, 2010
Downgraded to Ca (sf)
Cl. HAF-10, Upgraded to Caa3 (sf); previously on Dec 17, 2010
Downgraded to C (sf)
Rating Rationale
The upgrades of two non-pooled, or rake classes, are due to higher
credit support largely resulting from the paydown of one of the
loans supporting the rake classes. The rake classes were
originally supported by B-notes associated with the 70 Hudson
Street Loan, the Fountains of Miramar Loan and the AMLI North
Dallas Loan. The AMLI Loan was liquidated in September 2012 with a
9% loss to the B-note, which was a lower severity than Moody's
projected at its previous review. The affirmations of four rake
classes are due to sufficient credit support for the current
ratings.
The downgrades are due to higher than expected realized and
anticipated losses from specially serviced and troubled loans.
The affirmations of eight pooled classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
pooled classes are sufficient to maintain their current ratings.
The rating of the IO Class, Class X, is consistent with the credit
performance of its referenced classes and thus is affirmed.
Moody's rating action reflects a cumulative base expected loss of
11% of the current balance. At last review, Moody's cumulative
base expected loss was 9%. Moody's provides a current list of base
losses for conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012 and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver 1.1,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 18 compared to 19 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated October 27, 2011.
Deal Performance
As of the October 17, 2012 distribution date, the transaction's
pooled aggregate certificate balance has decreased by 16% to $1.66
billion from $1.99 billion at securitization. The Certificates are
collateralized by 124 mortgage loans ranging in size from less
than 1% to 16% of the pool, with the top ten loans representing
59% of the pool. The pool contains two loan with investment grade
credit assessments, representing 5% of the pool.
Nineteen loans, representing 39% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Fourteen loans have been liquidated from the pool, resulting in a
realized loss of $31.5 million (52.7% loss severity). Currently 19
loans, representing 13% of the pool, are in special servicing. The
largest loan in special servicing is the Rivergate Plaza Loan
($58.5 million -- 3.5% of the pool), which is secured by two
office buildings totaling 302,058 square feet (SF) and located in
Miami, Florida. The loan was transferred to special servicing in
September 2009 due to payment default, foreclosed in July 2010 and
is currently real estate owned (REO). The second largest loan in
special servicing is the Belmont at Cowan Place Loan ($32.8
million -- 2% of the pool), which is secured by a 300-unit
multifamily property located in Fredericksburg, Virginia. The loan
was transferred to special servicing in July 2009 and became REO
in December 2009.
The remaining 17 loans in special servicing are secured by a mix
of property types. Moody's has estimated an aggregate $116 million
loss (55% expected loss on average) for all of the specially
serviced loans.
Moody's has assumed a high default probability for 11 poorly
performing loans representing 6% of the pool and has estimated an
aggregate $21 million loss (19% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2011 operating results for 97%
of the pool. Excluding special serviced, troubled loans and loans
with credit assessments, Moody's weighted average LTV is 108%
compared to 98% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 17% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.0%.
Excluding special serviced, troubled loans and loans with credit
assessments, Moody's actual and stressed DSCRs are 1.27X and
0.94X, respectively, compared to 1.38X and 1.03X at last review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The largest loan with a credit assessment is the 70 Hudson Street
Loan ($71.5 million -- 4.3% of the pool), which is secured by a
409,272 SF Class A office building located in Jersey City, New
Jersey. The property is also encumbered by a $46.7 million B-note,
which is a junior non-pooled component that is a part of the
collateral for the multi-loan HAF class rake bonds. The property
is 100% leased to Barclay's Capital through January 2016. The
lease expires three months prior to the loan maturity date.
Financial performance has improved due to a rent bump in 2012.
Despite the positive NOI growth, Moody's is concerned about
potential refinance risk at loan maturity in 2016. A negative
adjustment was taken to reflect this risk and is reflected in the
Moody's Net Cash Flow. Moody's credit assessment and stressed DSCR
are A3 and 1.43X, respectively, compared to A2 and 1.56X at last
review.
The second loan with a credit assessment is the Fountains of
Miramar Loan ($12.3 million -- 0.7% of the pool), which is secured
by a 139,380 SF anchored retail center located in Miramar,
Florida. The property is also encumbered by a $11.7 million B-
note, which is a junior non-pooled component that is a part of the
collateral for the multi-loan HAF class rake bonds. The property
is 100% leased as of June 2012 compared to 97% at the prior
review. Performance has remained stable on this loan. The loan has
a credit assessment of A3 and stressed DSCR of 1.66X,
respectively, compared to A3 and 1.73X at last review.
The top three performing conduit loans represent 35.6% of the pool
balance. The largest conduit loan is the One Federal Street Loan
($262 million -- 15.0% of the pool), which is secured by an 1.1
million SF Class A office tower located in the Financial District
of Boston, Massachusetts. The property is also encumbered by a
$111.5 million mezzanine loan, which is interest only and
coterminous with the A-note's maturity. The property is still
largely vacant due to the lease expirations of Bank of America and
State Street Bank in late 2010 and early 2011, which accounted for
37% of the NRA. The current occupancy is 66% as of June 2012,
compared to 64% at last review. The servicer has noted several
prospective tenants looking to lease the vacanct space at the
property in 2013 and 2014. Moody's analysis incorporates a
positive benefit for the quality of the asset and potential new
leasing. The loan is interest-only throughout the term and matures
in June 2016. Moody's LTV and stressed DSCR are 103% and 0.89X,
respectively, compared to 78% and 1.18X at last review.
The second largest loan is the One New York Plaza Loan ($85.5
million -- 11.2% of the pool), which is secured by a 50% pari-
passu interest in a $371.7 million loan. The loan is secured by a
2.4 million SF Class A office property located in Lower Manhattan.
The property's largest tenant is now Morgan Stanley (57% of net
rentable area; lease expiration December 2029) after the bank
renegotiated its lease and subleased 800,000 SF which was formerly
leased to Wachovia. The property was 82% leased as of June 2012
compared to 73% at last review The property still has not fully
recovered from 2010 when Goldman Sachs vacated 559,000 square feet
(23% of the NRA) at its lease expiration. After Goldman Sachs
vacated, occupancy declined to 73% and NOI dropped by an estimated
$28.5 million. Moody's LTV and stressed DSCR are 95% and 0.97X,
respectively, compared to 71% and 1.30X at last review.
The third largest loan is the 215 Fremont Street Loan ($141.4
million -- 8.5% of the pool), which is secured by a 373,470 SF
Class A office building located in the Financial District of San
Francisco, California. Charles Schwab leases the entire building
as its headquarters (Moody's senior unsecured rating of A2, stable
outlook) through 2024. The loan is interest-only for the entire
term and matures in May 2016, eight years prior to the lease
expiration. Moody's LTV and stressed DSCR are 126% and 0.73X,
respectively, compared to 119% and 0.73X at last review.
MERRILL LYNCH 2005-A6: Moody's Ups Rating on One Tranche to Caa1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
and confirmed the ratings of two tranches from Merrill Lynch
Mortgage Investors Trust 2005-A6 transaction. The collateral
backing these deals primarily consists of first-lien, fixed and
adjustable-rate Alt-A residential mortgages.
Complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A6
Cl. I-A-1, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-2, Upgraded to B3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-3, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-4, Confirmed at C (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of the
underlying Alt-A pools and reflect Moody's updated loss
expectations on the pools.
The rating actions also reflect a change in the analysis of how
losses are allocated between class A certificates. The prospectus
supplement allows for Realized Losses incurred after subordinate
classes are depleted, to be allocated to class A certificates,
with classes I-A-2 and II-A-4 acting as support classes for I-A-1
and II-A-1, II-A-2, II-A-3 respectively. However, the Pooling and
Servicing Agreement (PSA) does not have corresponding language to
allocate Realized Losses to these bonds after subordinate
depletion. Moody's previously considered the loss allocation rules
as defined in the prospectus supplement. However, Wells Fargo has
confirmed that they are following the loss allocation rules as
described in the PSA.
In addition, the actions reflect a correction in the modeling of
the sequential trigger event for Group I-A certificates, and in
the allocation of principal to Group II-A certificates after
subordinate depletion. Moody's has adjusted the ratings
accordingly.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications and 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
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 1.8 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 7.8% in September 2012. Moody's forecasts a
further drop to 7.5% by 2014. 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_SF304381
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/viewresearchdoc.aspx?docid=PBS_SF191874
NOMURA ASSET 2007-S2: S&P Raises Rating on Class A Debt From 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on class A
from Nomura Asset Acceptance Corp. Alternative Loan Trust Series
2007-S2 to 'AA- (sf)' from 'D (sf)'.
"We based the upgrade on the novation of the bond insurance policy
on this class to Assured Guaranty Municipal Corp. ('AA-' financial
strength rating) from Syncora Guarantee Inc. ('NR'). The rating on
a bond insured class is the higher of (i) the rating on the
insurance provider, Assured Guaranty Municipal Corp. (AA-) and
(ii) the rating on the class without the benefit of the bond
insurance. This transaction is backed by closed-end second-lien
mortgage loans," 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
NORTHSTAR 2012-1: Moody's Assigns '(P)B2' Rating to Cl. F Certs.
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
eight classes of CMBS securities, issued by NorthStar 2012-1
Commercial Mortgage Pass-Through Certificates.
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa2 (sf)
Cl. C, Assigned (P)A2 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. X-WAC, Assigned (P)A2 (sf)
Cl. X-LF, Assigned (P)B1 (sf)
Cl. E, Assigned (P)Ba2 (sf)
Cl. F, Assigned (P)B2 (sf)
Rating Rationale
The Certificates are collateralized by fourteen floating rate
loans secured by nineteen properties. The ratings are based on the
collateral and the structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The pooled Trust loan balance of $351.4 million represents a
Moody's LTV ratio of 125.3%. The Moody's LTV ratio for the pool is
the highest level observed by Moody's in CMBS 2.0. Moody's also
considers subordinate financing outside of the Trust when
assigning ratings. There are two loans structured with junior
mortgage participations and one loan structured with a mezzanine
loan. Inclusive of these subordinate notes, the total debt amount
increases to $395.0 million and represents a Moody's Total LTV of
138.7%.
The Moody's Actual Trust DSCR is 1.27x. The Moody's Total Trust
stressed DSCR at a 9.25% constant is 0.81X and Moody's total debt
stressed DSCR (inclusive of mezzanine debt) is 0.73X. The Moody's
Actual Trust DSCR is the lowest level Moody's has calculated since
2009.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level Herfindahl score is
8.5. The score is lower than Herfindahl scores represented by
large loan, multi-borrower transactions previously rated by
Moody's. With respect to property level diversity, the pool's
property level Herfindahl score is 8.8. The transaction's property
diversity profile is consistent with most previously rated large
loan multi-borrower transactions.
Moody's grades properties on a scale of 1 to 5 (best to worst) and
considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 2.6, which is higher than other
deals rated by Moody's since 2009.
The methodologies used in this rating were "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000, and "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.4. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's analysis also uses the CMBS IO calculator ver1.0, which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
The V Score for this transaction is assessed as Medium, the same
as the V score assigned to the U.S. Large Loan CMBS sector. This
reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 4%, 15%, or 25%, the model-indicated rating for the currently
rated Aaa class would be Aa1; A1; and Baa1. Parameter
Sensitivities are not intended to measure how the rating of the
security might migrate over time; rather they are designed to
provide a quantitative calculation of how the initial rating might
change if key input parameters used in the initial rating process
differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
OMI TRUST 2001-C: S&P Cuts Rating on Class A-1 Certificates to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-1 certificates issued by OMI Trust 2001-C to 'D (sf)' from 'CC
(sf)'.
The downgrade of the class A-1 certificates reflects the
nonpayment of full principal to investors by October 2012, the
certificates' stated final maturity date. Standard & Poor's
ratings reflect the probability of payment of full and timely
interest each month and full principal by the certificates'
stated final maturity date.
"Due to cumulative net losses that have been higher than initially
expected, the transaction is not generating enough collections
each month to pay the complete scheduled principal amount due to
all outstanding class A certificates as per the transaction
documents. As such, all class A certificates have accumulated an
unpaid principal shortfall. According to the transaction
documents, the payment waterfall specifies that prior to the
normal sequential principal payment distribution, any unpaid
principal shortfall amount is to be paid pro rata amongst all the
class A certificates that are still outstanding. Accordingly, the
class A-1 certificates have been receiving an amount that is equal
to their pro rata share of available monthly collections," S&P
said.
"As of the Oct. 15, 2012, distribution date, the class A-1
certificates had an outstanding balance of approximately $2.04
million and they were not paid in full by their legal final
maturity date of October 2012," S&P said.
OZLM FUNDING II: S&P Rates $26.8-Mil. Class D Def. Notes 'BB'
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to OZLM
Funding II Ltd./OZLM Funding II LLC's $498.50 million floating-
rate notes.
The transaction is a cash flow collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
"The ratings reflect our 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," S&P said.
"The transaction's legal structure, which is expected to be
bankruptcy remote. The diversified collateral portfolio, which
consists primarily of broadly syndicated speculative-grade senior
secured term loans. The asset manager's experienced management
team. Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using our
cash flow analysis and assumptions commensurate with the assigned
ratings under various interest-rate scenarios, including LIBOR
ranging from 0.34%-12.65%. 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," S&P said.
Standard & Poor's 17g 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/999.pdf
Ratings List
Ratings Assigned
OZLM Funding II Ltd./OZLM Funding II LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 336.50
A-2 AA (sf) 62.90
B (deferrable) A (sf) 45.80
C (deferrable) BBB (sf) 26.50
D (deferrable) BB (sf) 26.80
Subordinated notes NR 61.60
NR - Not rated.
PASADENA CDO I: Moody's Lifts Rating on US$387MM A Notes From Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of the following
notes issued by Pasadena CDO I Ltd.:
U.S. $387,000,000 Class A Floating Rate Notes (current outstanding
balance of $ 27,025,820), Upgraded to Aa2 (sf); previously on
September 25, 2009 Downgraded to Ba1 (sf).
Ratings Rationale
According to Moody's, the rating action taken on the notes is
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratio since
the rating action in September 2009. Moody's notes that the Class
A Notes have been paid down by approximately 82%, or $120 million
since the last rating action. Based on the latest trustee report
dated September 30, 2012, the Class A overcollateralization ratio
is reported at 286.5%, versus July 2009 level of 148.1%.
Additionally, the hedge notional has been decreasing substantially
since the last rating action. This is a benefit for the deal in
the current interest rate environment due to a large basket of
fixed-rate assets and only floating-rate liabilities.
In May 2012, $18.6 million of underlying securities which were
rated below investment grade were called at par. On the payment
date of June 20, 2012, the Class A Notes were paid down by
approximately 43%, or $25 million.
Pasadena CDO I Ltd., issued in June 2002, is a collateralized debt
obligation backed primarily by a portfolio of RMBS and other types
of asset-backed securities ("ABS") originated from 1997 to 2005.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.8 to model the loss distribution for SF CDOs. Within this
framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values.
Together, the simulated defaults and recoveries across each of the
Monte Carlo scenarios define the loss distribution for the
reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model . The cash flow model takes into account the following:
collateral cash flows, the transaction covenants, the priority of
payments (waterfall) for interest and principal proceeds received
from portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
Moody's notes that in arriving at its ratings of SF CDOs, there
exist a number of sources of uncertainty, operating both on a
macro level and on a transaction-specific level. Primary sources
of assumption uncertainty are the extent of the slowdown in growth
in the current macroeconomic environment and the residential real
estate property markets. Among the uncertainties in the
residential real estate property market are those surrounding
future housing prices, pace of residential mortgage foreclosures,
loan modification and refinancing, unemployment rate and interest
rates.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are shown in terms
of the number of notches' difference versus the current model
output, where a positive difference corresponds to lower expected
loss, assuming that all other factors are held equal:
Moody's below investment-grade assets notched up by 2 rating
notches (WARF of 419):
Class A: 0
Class B: 0
Class C: 0
Moody's below investment-grade assets notched down by 2 rating
notches (WARF of 1014)
Class A: 0
Class B: 0
Class C: 0
SCHOONER TRUST 2007-8: Fitch Puts 'BB' Rating on $2.5-Mil. Certs
----------------------------------------------------------------
DBRS has confirmed the ratings of all 15 classes of Schooner Trust
Commercial Mortgage Pass-Through Certificates, Series 2007-8 as
follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-J at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (sf)
-- Class H at BB (low) (sf)
-- Class J at B (high) (sf)
-- Class K at B (sf)
-- Class L at B (low) (sf)
-- Class XP at AAA (sf)
-- Class XC at AAA (sf)
All trends are Stable.
The rating confirmations reflect the increased credit enhancement
from a collateral reduction of approximately 18.36% since
issuance. As of the October 2012 remittance report, 14 loans have
paid out of the pool since issuance, leaving 54 loans remaining in
the transaction. The weighted-average debt service coverage ratio
(DSCR) and weighted-average debt yield remain stable at 1.47 times
(x) and 62.3%, respectively.
There are currently three loans on the servicer's watchlist,
representing 4.37% of the pool balance. These loans remain
current, but are reporting performance issues and have been placed
on the servicer's watchlist. Two of these loans are highlighted
below.
The Royal Bank Building loan (Prospectus ID#12) is secured by a
75,000 sf Class A office building located in the Uptown district
of New Westminster, British Columbia. The loan has been on the
servicer's watchlist since May 2011 for having taxes in arrears
owed to the City of New Westminster. According to the servicer,
the borrower is making arrangements to have all outstanding taxes
paid and will contact the servicer when the plan is in place.
According to the May 2012 servicer site inspection, the property's
occupancy rate improved to 97% compared to 68% at YE2011. While
the YE2011 DSCR declined to 0.78x compared to 0.96x at YE2010, it
does not take into account the rental revenue that is generated by
the new tenant at the property. According to the May 2012
servicer site inspection, the property remains in Good condition.
DBRS will continue to closely monitor the tax issue.
The Days Inn Dartmouth loan (Prospectus ID#33) is secured by a
142-key limited service hotel in Dartmouth, Nova Scotia. The loan
has been on the servicer's watchlist since November 2010 because
of a low DSCR, which is a result of a declining occupancy rate and
RevPAR. Performance at the property has declined since YE2008
when the DSCR was 1.67x and the occupancy rate was 50%. The
YE2011 DSCR was 0.04x and the occupancy rate was 36%, with the
average daily rate (ADR) and RevPAR of $85.18 and $30.82,
respectively. There has not been any change in performance over
the past year as YE2011 figures are in line with YE2010 figures.
Additionally, the June 2012 servicer site inspection rated the
property in Below Average condition as there were two down rooms,
minor fire code violations and various cosmetic deficiencies. As
a result, the servicer released funds from the furniture, fixtures
and equipment (FF&E) reserve to replace mattresses, bedding and
televisions. Despite the poor performance over the past three
years, the loan has remained current. The borrower recently
entered into a new management agreement with Hurst Hospitality
Inc., which manages three other economy hotels in Nova Scotia and
New Brunswick.
As part of its review, DBRS analyzed the largest 15 loans in the
pool, the three loans on the servicer's watchlist and the shadow-
rated loan, which comprise approximately 70.54% of the current
pool balance.
SEQUOIA MORTGAGE 2012-5: Fitch Puts 'BB' Rating on $2.5-Mil. Certs
------------------------------------------------------------------
Fitch Ratings assigns the following ratings to Sequoia Mortgage
Trust 2012-5, mortgage pass-through certificates, series 2012-5
(SEMT 2012-5):
-- $296,954,000 class A certificates 'AAAsf'; Outlook Stable;
-- $296,954,000 notional class A-IO certificates 'AAAsf';
Outlook Stable;
-- $8,488,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $5,286,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $3,684,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $2,563,000 class B-4 certificates 'BBsf'; Outlook Stable.
The 'AAAsf' rating on the senior certificates reflects the 7.30%
subordination provided by the 2.65% class B-1, 1.65% class B-2,
1.15% class B-3, 0.80% non-offered class B-4 and 1.05% non-offered
class B-5. The class B-5 is not rated by Fitch.
Fitch's ratings reflect the high quality of the underlying
collateral, the strong historical performance of the highest
contributing originator to the aggregate pool (First Republic
Bank, 24.46%), the clear capital structure and the high percentage
of loans reviewed by third party underwriters. In addition, Wells
Fargo Bank, N.A. will act as the master servicer and Christiana
Trust will act as the Trustee for the transaction. For federal
income tax purposes, elections will be made to treat the trust as
one or more real estate mortgage investment conduits (REMICs).
SEMT 2012-5 will be Redwood Residential Acquisition Corporation's
fifth transaction of prime residential mortgages in 2012. The
certificates are supported by a pool of prime mortgage loans, with
100% fixed rate mortgages (FRMs). The loans are predominantly
fully amortizing; however, 4.9% have a 10-year interest-only (IO)
period. The aggregate pool included loans originated by First
Republic Bank (24.5%), PrimeLending (17%), Flagstar Bank, F.S.B.
(9.3%), and Cornerstone Mortgage (6.1%). The remainder of the
mortgage loans (43.1%) was originated by various mortgage lending
institutions, each of which contributed less than 5% to the
transaction.
As of the cut-off date, the aggregate pool consisted of 390 loans
with a total balance of $320,339,050, an average balance of
$821,382, a weighted average original combined loan-to-value ratio
(CLTV) of 68.4%, and a weighted average coupon (WAC) of 4.2%.
Rate/term and cash out refinances account for 45.7% and 8.4% of
the loans, respectively. The weighted average original FICO
credit score of the pool is 770. Owner-occupied properties
comprise 94.3% of the loans. The states that represent the
largest geographic concentration are California (44%), Texas
(13.4%) and Washington (5.8%).
Additional detail on the transaction is described in the new issue
report 'Sequoia Mortgage Trust 2012-5'.
WELLS FARGO 2012-C9: Fitch Puts Low-B Ratings on Two Class Notes
----------------------------------------------------------------
Fitch Ratings has assigned the following ratings to Wells Fargo
Bank, N.A. WFRBS Commercial Mortgage Trust 2012-C9 commercial
mortgage pass-through certificates:
-- $86,171,000 class A-1 'AAAsf'; Outlook Stable;
-- $110,387,000 class A-2 'AAAsf'; Outlook Stable;
-- $444,199,000 class A-3 'AAAsf'; Outlook Stable;
-- $96,213,000 class A-SB 'AAAsf'; Outlook Stable;
-- $93,437,000 class A-S 'AAAsf'; Outlook Stable;
-- $830,407,000*a class X-A 'AAAsf'; Outlook Stable;
-- $101,334,000*a class X-B 'A-sf'; Outlook Stable;
-- $64,485,000 class B 'AA-sf'; Outlook Stable;
-- $36,849,000 class C 'A-sf'; Outlook Stable;
-- $42,112,000a class D 'BBB-sf'; Outlook Stable;
-- $21,057,000a class E 'BBsf'; Outlook Stable;
-- $19,740,000a class F 'Bsf'; Outlook Stable.
* Notional amount and interest only.
a Privately placed pursuant to Rule 144A.
Fitch does not rate the $38,165,081 class G.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 73 loans secured by 100 commercial
properties having an aggregate principal balance of approximately
$1.05 billion as of the cutoff date. The loans were contributed
to the trust by Wells Fargo Bank, National Association; The Royal
Bank of Scotland plc; Liberty Island Group I, LLC; C-III
Commercial Mortgage LLC and Basis Real Estate Capital II, LLC.
A detailed description of Fitch's rating analysis including key
rating drivers, stresses, rating sensitivity, analysis, model,
criteria application and data adequacy is available in Fitch's
presale report dated Oct. 10, 2012.
* Fitch Lowers Rating on Various Distressed RMBS Bonds to 'Dsf'
---------------------------------------------------------------
Fitch Ratings has downgraded 309 distressed bonds in 135 U.S. RMBS
transactions to 'Dsf'. The downgrades indicate that the bonds have
incurred a principal write-down. Of the bonds downgraded to
'Dsf', all classes were previously rated 'Csf' or 'CCsf'. All
ratings below 'Bsf' indicate a default is expected.
As part of this review, the Recovery Estimates of the defaulted
bonds were not revised. Additionally, the review only focused on
the bonds which defaulted and did not include any other bonds in
the affected transactions.
Of the 309 classes affected by these downgrades, 174 are Prime, 93
are Alt-A, and 33 are Subprime. The remaining transaction types
are other sectors. The majority of the bonds (60.2%) have a
Recovery Estimate of 50%-90%, which indicates that the bonds will
recover 50%-90% of the current outstanding balance, while 18.8%
have a Recovery Estimate of 0%.
A spreadsheet detailing Fitch's rating actions can be found at
'www.fitchratings.com' by performing a title search for 'Fitch
Downgrades 309 Distressed Bonds to 'Dsf' in 135 U.S. RMBS
Transactions'. These actions were reviewed by a committee of
Fitch analysts. The spreadsheet provides the contact information
for the performance analyst.
The spreadsheet also details Fitch's assignment of Recovery
Estimates (REs) to the transactions. The Recovery Estimate scale
is based upon the expected relative recovery characteristics of an
obligation. For structured finance, Recovery Estimates are
designed to estimate recoveries on a forward-looking basis.
* Moody's Takes Actions on $658-Mil. Manufactured Housing Loans
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of ten
tranches and upgraded the ratings of 27 tranches from 24
transactions, backed by manufactured housing loans, and issued
between 1995 and 2002.
Ratings Rationale
The actions are a result of the recent performance of manufactured
housing loans backed pools and reflect Moody's updated loss
expectations on the pools.
The rating action consists of a number of upgrades and downgrades.
The upgrades are primarily due to the build-up in credit
enhancement due to sequential pay structures and non-amortizing
subordinate bonds. The downgrades are a result of deteriorating
performance in certain transactions and structural features
resulting in higher expected losses for certain bonds than
previously anticipated. Performance has remained generally stable
from Moody's last review.
The actions correct the ratings of Class II A-2 from GreenPoint
Credit Manufactured Housing Contract Trust Pass-Through
Certificates, Series 2001-2, and Class A-2 from GreenPoint
Manufactured Housing Contract Trust 1999-2, GreenPoint
Manufactured Housing Contract Trust 1999-4, and GreenPoint
Manufactured Housing Contract Trust 2000-2. Due to an internal
administrative error, too much credit was given to excess spread
when these bonds were last reviewed in November 2011. The excess
spread has now been corrected, and the rating action reflects this
change.
To estimate losses, Moody's first forecasted losses on the loans
that had a payment deferral based on 65% re-default rates and 85%
severity assumptions. Secondly, losses were projected on the
remaining loans that have not had any payment deferral based on
Moody's annual conditional prepayment rates (CPR), annual constant
default rates (CDR), and 85% severity assumptions.
The CPR rate is derived from the average of actual CPR observed
over the last six months. The CDR rate is based on pipeline
defaults derived from days-aged delinquencies and Moody's
assumptions for default based on days delinquent or REO (15% for
30 days delinquent loans, 30% for 60 days delinquent loans, 90%
for more than 90 days delinquent loans, and 100% for loans in
REO). Moody's has further assumed that both CDR and CPR will
remain constant over the life of each deal. A sudden reversal in
the existing trend of projected prepayments, defaults and losses
is not anticipated for these deals as they are well seasoned.
The losses from loans that had a deferral and those from the
remaining loans based on the CPR-CDR approach are weighed to
calculate the total projected loss for the deal.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Residential Mortgage-Backed Securities"
published in December 2008.
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 September 2011 to 7.8% in September 2012. Moody's
forecasts a further drop to 7.5% by 2014. Moody's expects house
prices to drop another 1% from their 4Q2011 levels before
gradually rising towards the end of 2013. Performance of
manufactured housing 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.
Rating Actions
To assess the rating implications Moody's calculated a deal
specific loss projection and compared it to the tranches' credit
enhancement from subordination; excess spread; and reserve account
and third-party support (if any) and the timing of principal
repayment. The actions for bonds rated Aaa, Aa, A, and Baa
considered where full expected principal repayment exceeds 5, 7,
10, and 10 years respectively because of uncertainty of cash flows
and losses.
Moody's adjusts the methodologies noted above for bonds that
financial guarantors insure.
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 results, 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.
Complete rating actions are as follows:
Issuer: Deutsche Financial Capital Securitization LLC, Series
1998-1
Class A-2, Upgraded to A2 (sf); previously on Apr 8, 2004
Downgraded to Baa1 (sf)
Class A-3, Upgraded to A2 (sf); previously on Apr 8, 2004
Downgraded to Baa1 (sf)
Class A-4, Upgraded to A2 (sf); previously on Apr 8, 2004
Downgraded to Baa1 (sf)
Class A-5, Upgraded to A2 (sf); previously on Apr 8, 2004
Downgraded to Baa1 (sf)
Class A-6, Upgraded to A2 (sf); previously on Apr 8, 2004
Downgraded to Baa1 (sf)
Class A-7, Upgraded to A2 (sf); previously on Apr 8, 2004
Downgraded to Baa1 (sf)
Issuer: IndyMac Manufactured Housing Contract P-T Certificates,
Series, 1998-1
A-3, Upgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded
to Ca (sf)
A-4, Upgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded
to Ca (sf)
A-5, Upgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded
to Ca (sf)
Issuer: Signal Securitization Corp. MH Contract Pass-Through Ctfs
Series 1998-2
Class A, Upgraded to B1 (sf); previously on Mar 30, 2009
Downgraded to Caa3 (sf)
Issuer: Associates Manufactured Housing Pass-Through Certificates
1996-2
B-1, Upgraded to Baa2 (sf); previously on Dec 16, 2004 Downgraded
to Ba2 (sf)
Issuer: BankAmerica MH Contract Series 1996-1
B-1, Upgraded to Caa3 (sf); previously on Oct 5, 2004 Downgraded
to Ca (sf)
Issuer: BankAmerica Manufactured Housing Contract Trust II Series
1997-1
M, Upgraded to Baa1 (sf); previously on Nov 22, 2011 Upgraded to
Ba1 (sf)
B-1, Upgraded to Caa3 (sf); previously on Oct 5, 2004 Downgraded
to Ca (sf)
Issuer: BankAmerica MH Contract 1998-2
B-1, Upgraded to B3 (sf); previously on Oct 5, 2004 Downgraded to
Ca (sf)
Issuer: BankAmerica MH Contract, Series 1998-1
B-1, Upgraded to Ba1 (sf); previously on Oct 5, 2004 Downgraded to
Caa2 (sf)
Issuer: Bombardier Capital Mortgage Securitization Corporation
1998-A
M, Upgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded to
Ca (sf)
Issuer: CSFB ABS Trust Manufactured Housing Pass-Through
Certificates 2001-MH29
Cl. M-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010
Downgraded to Ca (sf)
Issuer: Green Tree Series 1995-3
B-1, Upgraded to Baa1 (sf); previously on Aug 2, 2006 Downgraded
to Ba2 (sf)
Issuer: GreenPoint Credit Manufactured Housing Contract Trust
Pass-Through Certificates, Series 2001-2
Cl. II A-2, Downgraded to Baa3 (sf); previously on Apr 10, 2009
Upgraded to A2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: GreenPoint Manufactured Housing Contract Trust 1999-2
A-2, Downgraded to B3 (sf); previously on Dec 21, 2010 Downgraded
to B2 (sf)
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)
Issuer: Greenpoint Manufactured Housing Contract Trust 1999-4
Cl. A-2, Downgraded to B3 (sf); previously on Apr 10, 2009
Upgraded to B1 (sf)
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)
Issuer: GreenPoint Manufactured Housing Contract Trust 2000-2
Cl. A-2, Downgraded to B3 (sf); previously on Apr 10, 2009
Upgraded to B2 (sf)
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)
Issuer: Madison Avenue Manufactured Housing Contract Trust 2002-A
Cl. M-2, Upgraded to Baa1 (sf); previously on Dec 15, 2011
Upgraded to Baa3 (sf)
Cl. B-2, Upgraded to Ca (sf); previously on Oct 22, 2004
Downgraded to C (sf)
Cl. B-1, Upgraded to Caa1 (sf); previously on Oct 22, 2004
Downgraded to C (sf)
Issuer: MERIT Securities Corporation Collateralized Bonds, Series
12
1-M1, Upgraded to Caa3 (sf); previously on May 13, 2004 Downgraded
to Ca (sf)
Issuer: Oakwood Mortgage Investors, Inc., Series 1998-C
A, Upgraded to Baa1 (sf); previously on Dec 21, 2004 Downgraded to
Baa3 (sf)
Issuer: Signal Securitization Corp. 1997-3
Class B, Upgraded to Ba2 (sf); previously on Oct 29, 2004
Downgraded to Caa1 (sf)
Issuer: UCFC Funding Corporation Series 1998-1
A-3, Upgraded to Baa1 (sf); previously on Sep 28, 2004 Downgraded
to Baa3 (sf)
Issuer: Vanderbilt Mortgage and Finance Senior/Subordinate Pass-
Through Certificates, Series 2002-B
Cl. A-5, Downgraded to Ba1 (sf); previously on Jan 27, 2012
Confirmed at A1 (sf)
Cl. M-1, Downgraded to Ba3 (sf); previously on Jan 27, 2012
Confirmed at Baa2 (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc. 2000A
Cl. IA-5, Downgraded to A3 (sf); previously on Feb 29, 2000
Assigned Aa3 (sf)
Cl. IM-1, Downgraded to Ba1 (sf); previously on Jan 27, 2012
Confirmed at A2 (sf)
Cl. IIB-2, Upgraded to A1 (sf); previously on Feb 29, 2000
Assigned Baa2 (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc. Series 1999-C
IA-5, Downgraded to Ba1 (sf); previously on Jan 27, 2012
Downgraded to A3 (sf)
IM-1, Downgraded to Ba3 (sf); previously on Jan 27, 2012
Downgraded to Ba1 (sf)
A list of these actions including CUSIP identifiers, updated
estimated pool losses, and sensitivity analysis may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF304439
* S&P Puts Ratings on 2,847 RMBS Re-REMIC Classes on Watch
----------------------------------------------------------
Standard & Poor's Ratings Services initiated 2,847 CreditWatch
placements following the implementation of its recently revised
criteria for the surveillance of pre-2009 residential mortgage-
backed securities RMBS transactions and subsequent CreditWatch
actions on pre-2009 U.S. RMBS classes. The CreditWatch actions
affect 2,847 ratings from 205 U.S. RMBS resecuritized real estate
mortgage investment conduit (re-REMIC) transactions with a par
amount of $46.65 billion. In total, we," S&P said:
Placed its ratings on 2,775 classes from 203 U.S. RMBS re-
REMICs, totaling approximately $45.12 billion in current par
amount, on CreditWatch with negative implications; and
Placed its ratings on 72 classes from 25 U.S. RMBS re-REMICs,
totaling approximately $1.53 billion in current par amount, on
CreditWatch developing.
"In total, the 2,847 affected classes represent approximately
70.9%, by par amount, and 77.4%, by the number of classes, of
Standard & Poor's total universe of U.S. RMBS re-REMIC rated
classes. In addition, the CreditWatch placements only affect those
classes rated 'B- (sf)'," S&P said.
The complete list of rating actions is available for free at:
http://bankrupt.com/misc/S&P_ReREMIC_10_26_12.pdf
"The CreditWatch placements for the underlying RMBS classes
followed the implementation of our recently revised criteria for
the surveillance of pre-2009 RMBS," S&P said.
"Our preliminary analysis related to the CreditWatch placements
affecting the pre-2009 RMBS classes indicate that most of the
collateral types would show a move toward lower ratings under our
revised criteria, and approximately 70% of these classes were
placed on CreditWatch negative. The junior-most class, the class
with the least amount of current credit enhancement, in a re-REMIC
have credit risks that are, at best, the same as the underlying
classes, while the subordination or other structural features of
the re-REMIC transaction, such as sequential principal or interest
allocation, may benefit the senior re-REMIC classes and result in
lower credit risk than the underlying classes. However, due to the
increased losses at all rating categories under our revised
criteria, the percentage of junior and senior re-REMIC classes
placed on CreditWatch negative was virtually the same. We placed
our ratings on approximately 98.1% of the junior classes on
CreditWatch negative, compared with approximately 97.4% of the
senior classes," S&P said.
"We have outlined the re-REMIC CreditWatch breakdown by class
type. The list is arranged by the number of classes and by
percentages within each class type," S&P said.
CREDITWATCH BREAKDOWN
No. Of Classes
Implication
CreditWatch Negative Developing Total
Senior class 2,523 67 2,590
Junior class 252 5 257
Total 2,775 72 2,847
Percentages (%)
Implication
CreditWatch Negative Developing Total
Senior class 97.4 2.6 100.0
Junior class 98.1 1.9 100.0
Total 97.5 2.5 100.0
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 we previously
projected for the underlying securities. The CreditWatch negative
placements herein include all 'AAA (sf)' rated classes because our
preliminary analysis indicates that we will likely lower most of
these ratings because of increased projected losses and structural
mechanics such as implied write-downs or pro rata principal
allocations. In addition, we will evaluate re-REMIC classes whose
coupons are limited by an available funds cap (instead of having
coupons that are based on the weighted average coupons of the
underlying securities) without the benefit of the available funds
cap," S&P said.
With regard to the re-REMIC transactions, S&P considered these
factors in placing ratings on CreditWatch negative:
A negative CreditWatch placement affecting an underlying
security, which has negative implications for the most junior
class in the re-REMIC. The negative CreditWatch placements
affecting the underlying securities reflect the factors that
led to negative CreditWatch placements on the underlying
securities, refer to "16,872 Ratings From 3,364 U.S. RMBS Pre-
2009 Transactions Put On CreditWatch; Revised Surveillance
Criteria Cited," published Aug. 15, 2012;
For more senior classes, we considered our increased projected
losses commensurate with the rating of the re-REMIC class, the
current credit support, and the size of the subordinate
classes; and
The presence of, or ability for, implied write-downs or
interest shortfalls for the underlying securities increases
the risk that the full coupon in the underlying securities
will not be paid, which, in turn, increases the risk that the
re-REMIC classes will not receive their full interest payment,
without regard to the available funds cap, if applicable.
CREDITWATCH DEVELOPING PLACEMENTS
S&P placed its ratings on CreditWatch developing in situations
where it may ultimately raise, lower, or affirm a rating. S&P's
CreditWatch developing actions were based on a CreditWatch
developing placement affecting an underlying security, and it
expects the re-REMIC to exhibit the same level of stability. For
more information on the factors that led to CreditWatch developing
actions on the underlying securities, refer to '16,872 Ratings
From 3,364 U.S. RMBS Pre-2009 Transactions Put On CreditWatch;
Revised Surveillance Criteria Cited,' published Aug. 15, 2012.
S&P plans to conduct additional analysis to determine the
appropriate rating movement.
All of the CreditWatch actions reflect the latest information
available to Standard & Poor's. The ratings agency may initiate
other CreditWatch actions in the future based on further analysis
or receipt of new information.
"At the time of our Aug. 15, 2012, RMBS CreditWatch actions, we
stated that we intended to resolve the CreditWatch placements
within six months. We intend to resolve the RMBS re-REMICs
CreditWatch placements as we resolve the CreditWatch placements on
the underlying RMBS transactions," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011,"
S&P said.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
* S&P Puts Ratings on 342 Tranches From 75 CLOs, CDOs on Watch Pos
------------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 342
tranches from 75 U.S. collateralized loan obligation (CLO) and
corporate collateralized debt obligation (CDO) transactions on
CreditWatch with positive implications.
The affected tranches are from CLO and CDO transactions backed by
securities issued by corporate obligors. These tranches had an
original issuance amount of $18.92 billion.
"The CreditWatch positive placements continue to stem from
improved credit and structural factors. U.S. CLOs continue to have
modest exposure to distressed speculative-grade obligors. Of the
10 obligors that defaulted during the third quarter, U.S. CLOs had
exposure to only five of the names. The overall exposure U.S. CLOs
have to defaulted names for the year 2012 was just over 40 basis
points," S&P said.
"Structural factors have also helped as deals exit their
reinvestment period and continue to pay down leading to increased
coverage ratios and credit support that could potentially result
in upgrades. Fifty-six of the 75 transactions with tranches placed
on CreditWatch are already in their amortization phase," S&P said.
"We will resolve the CreditWatch placements after we complete a
comprehensive cash flow analysis and committee review for each of
the affected transactions. We expect to resolve these CreditWatch
placements within 90 days. We will continue to monitor the CDO
transactions we rate and take rating actions, including
CreditWatch placements, as we deem appropriate," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS PLACED ON CREDITWATCH POSITIVE
ACAS Business Loan Trust 2006-1
Rating
Class To From
C CCC+ (sf)/Watch Pos CCC+ (sf)
ACAS Business Loan Trust 2007-1
Rating
Class To From
C B- (sf)/Watch Pos B- (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
Airlie CLO 2006-I Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
AMMC CLO V Ltd
Rating
Class To From
A-1-B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C A- (sf)/Watch Pos A- (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Apidos CDO II
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
D B+ (sf)/Watch Pos B+ (sf)
Ares X CLO Ltd
Rating
Class To From
C-1 AA- (sf)/Watch Pos AA- (sf)
C-2 AA- (sf)/Watch Pos AA- (sf)
D-1 B+ (sf)/Watch Pos B+ (sf)
D-2 B+ (sf)/Watch Pos B+ (sf)
Ares XX CLO Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3b AA+ (sf)/Watch Pos AA+ (sf)
A-4 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
D BB (sf)/Watch Pos BB (sf)
Babson CLO Ltd 2005-II
Rating
Class To From
A-2 AA- (sf)/Watch Pos AA- (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C-1 BB+ (sf)/Watch Pos BB+ (sf)
C-2 BB+ (sf)/Watch Pos BB+ (sf)
D-1 B+ (sf)/Watch Pos B+ (sf)
D-2 B+ (sf)/Watch Pos B+ (sf)
Babson CLO Ltd 2007-I
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA (sf)/Watch Pos AA (sf)
B-1 A+ (sf)/Watch Pos A+ (sf)
B-2 A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D-1 BB+ (sf)/Watch Pos BB+ (sf)
D-2 BB+ (sf)/Watch Pos BB+ (sf)
Bacchus (U.S.) 2006-1 Ltd
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Baker Street Funding CLO 2005-1 Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C A (sf)/Watch Pos A (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Belhurst CLO Ltd
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C(dfrble) BBB+ (sf)/Watch Pos BBB+ (sf)
D(dfrble) BBB (sf)/Watch Pos BBB (sf)
E(dfrble) B+ (sf)/Watch Pos B+ (sf)
BlueMountain CLO II, Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Brentwood CLO Ltd
Rating
Class To From
A-1A AA+ (sf)/Watch Pos AA+ (sf)
A-1B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B BBB (sf)/Watch Pos BBB (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D BB- (sf)/Watch Pos BB- (sf)
Bridgeport CLO II Ltd
Rating
Class To From
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
Canyon Capital CLO 2006-1 Ltd
Rating
Class To From
A1 AA+ (sf)/Watch Pos AA+ (sf)
A2 AA+ (sf)/Watch Pos AA+ (sf)
B AA+ (sf)/Watch Pos AA+ (sf)
C A (sf)/Watch Pos A (sf)
D BBB (sf)/Watch Pos BBB (sf)
E B+ (sf)/Watch Pos B+ (sf)
Carlyle Arnage CLO Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-1LA AA+ (sf)/Watch Pos AA+ (sf)
A-1LB AA+ (sf)/Watch Pos AA+ (sf)
A-2L A+ (sf)/Watch Pos A+ (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
B-1L BB+ (sf)/Watch Pos BB+ (sf)
B-2L B+ (sf)/Watch Pos B+ (sf)
Carlyle Modena CLO Ltd
Rating
Class To From
B revolvi AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
Carlyle Vantage CLO Ltd
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C AA- (sf)/Watch Pos AA- (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
Cavalry CLO I Ltd
Rating
Class To From
A-2 AA (sf)/Watch Pos AA (sf)
B-1 A (sf)/Watch Pos A (sf)
B-2 A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
D BB (sf)/Watch Pos BB (sf)
Cent CDO 10 Limited
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB (sf)/Watch Pos BB (sf)
E B+ (sf)/Watch Pos B+ (sf)
Cent CDO XI Limited
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
Claris III Ltd.
Rating
Class To From
Tranche 1 AA (sf)/Watch Pos AA (sf)
Tranche 2 A+ (sf)/Watch Pos A+ (sf)
Cornerstone CLO Ltd.
Rating
Class To From
A-1--J AA+ (sf)/Watch Pos AA+ (sf)
A-1-S AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
B A- (sf)/Watch Pos A- (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
Del Mar CLO I Ltd
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Denali Capital CLO V Ltd
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D ryden VIII-Leveraged Loan CDO 2005
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C AA- (sf)/Watch Pos AA- (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
Duane Street CLO 1, Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
Eaton Vance CDO IX Ltd
Rating
Class To From
A-1B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
Flagship CLO III
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Founders Grove CLO Ltd
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Four Corners CLO II Ltd
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A- (sf)/Watch Pos A- (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Foxe Basin CLO 2003, Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
Franklin CLO IV, Ltd.
Rating
Class To From
D B+ (sf)/Watch Pos B+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Fraser Sullivan CLO I Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D-1 B+ (sf)/Watch Pos B+ (sf)
D-2 B+ (sf)/Watch Pos B+ (sf)
Gale Force 1 CLO Ltd
Rating
Class To From
B1 AA+ (sf)/Watch Pos AA+ (sf)
B2 AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D1 BBB+ (sf)/Watch Pos BBB+ (sf)
D2 BBB+ (sf)/Watch Pos BBB+ (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
Gallatin CLO II 2005-1 Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-2L AA (sf)/Watch Pos AA (sf)
A-3L A+ (sf)/Watch Pos A+ (sf)
B-1L BBB (sf)/Watch Pos BBB (sf)
B-2L BB (sf)/Watch Pos BB (sf)
Golub Capital Loan Trust 2005-1
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
GSC Partners CDO Fund V, Limited
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C-1 BBB (sf)/Watch Pos BBB (sf)
C-2 BBB (sf)/Watch Pos BBB (sf)
GSC Partners CDO Fund VI, Limited
Rating
Class To From
B A (sf)/Watch Pos A (sf)
C-1 BBB (sf)/Watch Pos BBB (sf)
C-2 BBB (sf)/Watch Pos BBB (sf)
Gulf Stream-Sextant CLO 2006-1, Ltd.
Rating
Class To From
A-1-B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C A- (sf)/Watch Pos A- (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Harch CLO II Limited
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C A- (sf)/Watch Pos A- (sf)
Hewett's Island CLO I-R, Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Hewett's Island CLO IV, Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C A- (sf)/Watch Pos A- (sf)
D-1 BBB- (sf)/Watch Pos BBB- (sf)
D-2 BBB- (sf)/Watch Pos BBB- (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Hewett's Island CLO VI Ltd.
Rating
Class To From
A-R AA+ (sf)/Watch Pos AA+ (sf)
A-T AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Hudson Canyon Funding II Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A- (sf)/Watch Pos A- (sf)
C BBB (sf)/Watch Pos BBB (sf)
Katonah IX CLO Ltd
Rating
Class To From
A-2L A+ (sf)/Watch Pos A+ (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
B-1L BB+ (sf)/Watch Pos BB+ (sf)
B-2L CCC+ (sf)/Watch Pos CCC+ (sf)
Katonah V, Ltd
Rating
Class To From
B-1 BBB- (sf)/Watch Pos BBB- (sf)
B-2 BBB- (sf)/Watch Pos BBB- (sf)
C CCC- (sf)/Watch Pos CCC- (sf)
Katonah VII CLO Ltd
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Katonah VIII CLO Limited
Rating
Class To From
B AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Kennecott Funding Ltd
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2A AA+ (sf)/Watch Pos AA+ (sf)
A-2B AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D-1 BB- (sf)/Watch Pos BB- (sf)
D-2 BB- (sf)/Watch Pos BB- (sf)
Landmark V CDO Ltd
Rating
Class To From
A-2L AA+ (sf)/Watch Pos AA+ (sf)
A-3L A+ (sf)/Watch Pos A+ (sf)
B-1L BBB- (sf)/Watch Pos BBB- (sf)
B-2L CCC+ (sf)/Watch Pos CCC+ (sf)
MT Wilson CLO Ltd
Rating
Class To From
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Mt. Wilson CLO II, Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Navigator CDO 2003 Ltd
Rating
Class To From
C-1 A (sf)/Watch Pos A (sf)
C-2 A (sf)/Watch Pos A (sf)
D B+ (sf)/Watch Pos B+ (sf)
Ocean Trails CLO II
Rating
Class To From
A-1 Voting AA+ (sf)/Watch Pos AA+ (sf)
A-1NonVote AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
A-3 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
OFSI Fund III, Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E-1 CCC- (sf)/Watch Pos CCC- (sf)
E-2 CCC- (sf)/Watch Pos CCC- (sf)
Olympic CLO I Ltd.
Rating
Class To From
A-3L AA+ (sf)/Watch Pos AA+ (sf)
B-1L BB- (sf)/Watch Pos BB- (sf)
B-2L CCC- (sf)/Watch Pos CCC- (sf)
Osprey CDO 2006-1 Ltd
Rating
Class To From
A-1LA AA+ (sf)/Watch Pos AA+ (sf)
A-1LB AA- (sf)/Watch Pos AA- (sf)
A-2L A- (sf)/Watch Pos A- (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
B-1L BBB- (sf)/Watch Pos BBB- (sf)
B-2L BB+ (sf)/Watch Pos BB+ (sf)
Phoenix CLO III, Ltd
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Premium Loan Trust I Ltd
Rating
Class To From
B B (sf)/Watch Pos B (sf)
Rockwall CDO Ltd.
Rating
Class To From
A-1LA A+ (sf)/Watch Pos A+ (sf)
A-1LB BBB+ (sf)/Watch Pos BBB+ (sf)
A-2L BBB- (sf)/Watch Pos BBB- (sf)
A-3L BB+ (sf)/Watch Pos BB+ (sf)
A-4L BB+ (sf)/Watch Pos BB+ (sf)
B-1L B- (sf)/Watch Pos B- (sf)
Sands Point Funding Ltd
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 LossTh AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C Deferrab BBB+ (sf)/Watch Pos BBB+ (sf)
D Deferrab BB+ (sf)/Watch Pos BB+ (sf)
Schiller Park CLO Ltd.
Rating
Class To From
A-1-B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A- (sf)/Watch Pos A- (sf)
D BBB (sf)/Watch Pos BBB (sf)
Stone Tower CLO III Ltd
Rating
Class To From
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C-1 BBB- (sf)/Watch Pos BBB- (sf)
C-2 BBB- (sf)/Watch Pos BBB- (sf)
D-1 B+ (sf)/Watch Pos B+ (sf)
D-2 B+ (sf)/Watch Pos B+ (sf)
Stone Tower CLO IV, Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C-1 BB+ (sf)/Watch Pos BB+ (sf)
C-2 BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Stone Tower CLO VI Ltd
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2a AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
A-3 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Stratford CLO Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Summit Lake CLO, Ltd.
Rating
Class To From
A-1LB AA+ (sf)/Watch Pos AA+ (sf)
A-1LR AA+ (sf)/Watch Pos AA+ (sf)
A-2L AA (sf)/Watch Pos AA (sf)
A-3L A (sf)/Watch Pos A (sf)
B-1L BBB (sf)/Watch Pos BBB (sf)
B-2L B+ (sf)/Watch Pos B+ (sf)
Symphony CLO IV Ltd
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BBB- (sf)/Watch Pos BBB- (sf)
Symphony CLO V Ltd
Rating
Class To From
A-1 A+ (sf)/Watch Pos A+ (sf)
A-2 A (sf)/Watch Pos A (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
Veritas CLO II Ltd
Rating
Class To From
A-1R AA+ (sf)/Watch Pos AA+ (sf)
A-1T AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BBB- (sf)/Watch Pos BBB- (sf)
E BB- (sf)/Watch Pos BB- (sf)
Victoria Falls CLO Ltd.
Rating
Class To From
A-1B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B-1 AA (sf)/Watch Pos AA (sf)
B-2 AA (sf)/Watch Pos AA (sf)
C Def BBB+ (sf)/Watch Pos BBB+ (sf)
D Def CCC- (sf)/Watch Pos CCC- (sf)
Westwood CDO I Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
B A- (sf)/Watch Pos A- (sf)
C-1 BB+ (sf)/Watch Pos BB+ (sf)
C-2 BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Whitney CLO I Ltd.
Rating
Class To From
A-3L AA (sf)/Watch Pos AA (sf)
B-1LA BBB+ (sf)/Watch Pos BBB+ (sf)
B-1LB B+ (sf)/Watch Pos B+ (sf)
* S&P Raises Ratings on 12 Classes From 3 CMBS Transactions
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 12
classes from three commercial mortgage-backed securities (CMBS)
transactions. "Eight of the 12 upgrade classes were from TIAA
2007-C4, and we removed two of these ratings from CreditWatch with
negative implications. We raised our rating on class A-J from TIAA
2007-C4 to 'AAA (sf)'. Concurrently, we lowered our ratings on 17
other classes from the four transactions and removed 12 of them
CreditWatch with negative implications. Finally, we affirmed our
ratings on two other classes from one CMBS transaction and removed
them from CreditWatch with negative implications. The CreditWatch
resolutions are related to our Sept. 5, 2012, CreditWatch
placements," S&P said.
"The upgrades reflect Standard & Poor's expected available credit
enhancement for the affected tranches, which we believe is greater
than our most recent estimate of necessary credit enhancement for
the most recent rating levels. The upgrades also reflect our views
regarding the current and future performance of the collateral
supporting the respective transactions. Material increases in cash
flow for a significant portion of the deal collateral, primarily
based on year-end 2011 financials, also drove our upgrades on TIAA
2007-C4," S&P said.
"The downgrades reflect our expected available credit enhancement
for the affected tranches, which we believe is less than our most
recent estimate of necessary credit enhancement for the most
recent rating levels. The downgrades also reflect our views
regarding the current and future performance of the collateral
supporting the respective transactions," S&P said.
"The affirmations reflect our expected available credit
enhancement for the affected tranches, which we believe will
remain consistent with the most recent estimate of necessary
credit enhancement for the current rating levels. The affirmed
ratings also acknowledge our expectations regarding the current
and future performance of the collateral supporting the respective
transactions," S&P said.
"The rating actions follow a detailed review of the performance of
the collateral supporting the relevant securities and transaction
structures. This review was similar to the review we conducted
before placing 744 U.S. and Canadian CMBS ratings on CreditWatch
following the release of our updated ratings criteria for these
transactions, but was more detailed with respect to collateral and
transaction performance," 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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
ML-CFC Commercial Mortgage Trust 2007-9
Commercial mortgage pass-through certificates
Class To From Credit enhancement (%)
A-J B- (sf) B+ (sf)/Watch Neg 10.38
A-JA B- (sf) B+ (sf)/Watch Neg 10.38
B CCC (sf) B (sf)/Watch Neg 9.07
C CCC (sf) B (sf)/Watch Neg 8.20
D CCC- (sf) B- (sf) 7.04
E CCC- (sf) CCC+ (sf) 6.03
LB-UBS Commercial Mortgage Trust 2007-C7
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-3 AA- (sf) A (sf) 30.22
A-1A AA- (sf) A (sf) 30.22
AM BBB- (sf) BBB- (sf)/Watch Neg 18.55
AJ B (sf) B (sf)/Watch Neg 8.62
Morgan Stanley Capital I Trust 2007-IQ16
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-1A AA+ (sf) A+ (sf) 30.53
A-4 AA+ (sf) A+ (sf) 30.53
A-J B (sf) BB- (sf)/Watch Neg 10.72
A-JFL B (sf) BB- (sf)/Watch Neg 10.72
A-JA B (sf) BB- (sf)/Watch Neg 10.72
B B- (sf) B+ (sf)/Watch Neg 9.87
C B- (sf) B+ (sf)/Watch Neg 8.74
D B- (sf) B (sf)/Watch Neg 8.03
E CCC (sf) B (sf)/Watch Neg 6.33
F CCC (sf) B- (sf) 5.77
G CCC- (sf) CCC+ (sf) 4.21
H CCC- (sf) CCC (sf) 3.08
TIAA Seasoned Commercial Trust 2007-C4
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-J AAA (sf) A+ (sf) 15.72
B AA+ (sf) A (sf) 14.84
C AA (sf) BBB+ (sf) 12.43
D AA- (sf) BBB (sf) 10.89
E A+ (sf) BBB- (sf) 10.45
F A- (sf) BB+ (sf) 9.13
G BBB- (sf) BB (sf)/Watch Neg 7.38
H BB (sf) BB- (sf)/ Watch Neg 6.28
J B- (sf) B (sf)/ Watch Neg 4.30
* S&P Lowers Ratings on 340 Classes of Certificates to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 340 classes of mortgage pass-through certificates from 197 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2008.
The complete ratings list is available for free at:
http://bankrupt.com/misc/S&P_RMBS_10_29_12.pdf
"The downgrades reflect our assessment of the impact that
principal write-downs had on the affected classes during recent
remittance periods. Prior to the rating actions, we rated all the
lowered classes in this review 'CCC (sf)' or 'CC (sf)'," S&P said.
Approximately 65.30% of the defaulted classes were from
transactions backed by Alternative-A (Alt-A) or prime jumbo
mortgage loan collateral. The 340 defaulted classes consist of:
123 classes from Alt-A transactions (36.18% of all defaults);
99 from prime jumbo transactions (29.12%);
69 from subprime transactions (20.29%);
38 from RMBS negative amortization transactions (11.18%);
Three from reperforming transactions;
Two from document deficit transaction;
Two from RMBS Federal Housing Administration/Veterans Affairs
transaction;
Two from resecuritized real estate mortgage investment conduit
(re-REMIC) transaction;
and
Two from RMBS small balance commercial transactions.
A combination of subordination, excess spread, and
overcollateralization (where applicable) provide credit
enhancement for all of the transactions in this review.
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and it will
adjust its ratings as it considers appropriate in accordance with
its criteria.
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
*********
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, Carmel
Paderog, Meriam Fernandez, 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.
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