/raid1/www/Hosts/bankrupt/TCR_Public/121216.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, December 16, 2012, Vol. 16, No. 349
Headlines
ACE SECURITIES 2003-MH1: S&P Affirms 'BB+' Rating on B-1 Certs
AMAC CDO I: S&P Affirms 'CCC-' Ratings on Four Debt Classes
AMERIQUEST MORTGAGE: Moody's Raises Cl. M-2 Debt Rating From 'Ba3'
BABSON CLO 2005-II: S&P Hikes Ratings on 2 Note Classes to 'BB-'
BABSON CLO 2006-I: S&P Affirms 'BB+' Rating on Class E Notes
BANC OF AMERICA 2007-4: Fitch Keeps 'C' Rating on 2 Cert. Classes
BEAR STEARNS 2004-PWR4: Moody's Cuts on 2 CMBS Ratings to 'C'
BRIDGEPORT CLO: S&P Affirms 'BB' Rating on Class D Notes
CARLYLE GLOBAL 2012-4: S&P Assigns 'BB' Rating on Class E Notes
CASCADE FUNDING I: Winddown Cues Fitch to Cut Note Ratings to 'D'
CD 2005-CD1: Moody's Affirms 'C' Ratings on Five Cert. Classes
COMM 2012-CCRE5: Moody's Assigns '(P)B2' Rating to Cl. G Certs.
COUNTRYWIDE COMM'L: Moody's Cuts Ratings on 2 Cert. Classes to 'C'
CPS AUTO 2012-D: Moody's Assigns '(P)B2' Rating to Class E Notes
CPS AUTO 2012-D: S&P Assigns Prelim. 'B+' Rating on Class E Notes
CREDIT SUISSE 2004-MCW1: S&P Cuts Rating on Class M9 Certs to 'D'
CT CDO III: Fitch Affirms Rating on 13 Note Classes
DORAL CLO III: S&P Gives Prelim. 'BB' Rating on Class D Notes
DRYDEN XXIII: S&P Affirms 'B' Rating on Class E Deferrable Notes
DRYDEN XXV: S&P Rates Class E Deferrable Notes 'BB'
EVANGELICAL HOMES: Fitch Rates Series 2012 Bonds 'BB+'
GE CAPITAL 2002-2: Moody's Cuts Rating on Cl. X-1 Certs. to Caa2
GE COMMERCIAL 2005-1: Fitch Puts 'D' Rating on Six Cert. Classes
GLOBAL LEVERAGED: Moody's Lifts Rating on Cl. I Notes to 'B2'
GMAC COMMERCIAL 1999-C2: Moody's Hikes Rating on J Certs. to Ba1
GMAC COMMERCIAL 2002-C1: Moody's Cuts Class M Secs. Rating to 'C'
GMAC COMMERCIAL 2003-C3: S&P Hikes S-AFR4 Certs. Rating From 'BB+'
GS COMMERCIAL 2012-GCJ9: Moody's Rates Class F Certificates 'B2'
GS MORTGAGE II 2005-ROCK: S&P Cuts Rating on Class J Certs to BB+
GSAA HOME 2005-12: Moody's Corrects AF-3W Cert. Rating to 'Caa1'
IMPAC 2005-4: Moody's Cuts Rating on Class 2-B-2 Tranche to 'B2'
JP MORGAN 2004-C3: Moody's Affirms 'C' Ratings on 5 CMBS Classes
JP MORGAN 2006-FL1: Moody's Cuts Rating on Cl. L Certs. to 'C'
JP MORGAN 2012-LC9: S&P Gives Prelim BB- Rating on Class G Certs.
JP MORGAN 2012-PHH: S&P Gives 'BB+' Rating on Class E Certificates
KVK CLO 2012-2: S&P Assigns Prelim. 'BB' Rating on Class E Notes
LATITUDE CLO I: Moody's Hikes Rating on Class D Notes to 'B3'
LB COMMERCIAL 1999-C1: Moody's Cuts Rating on H Certs. to 'Caa3'
LOCAL INSIGHT 2007-1: S&P Withdraws 'CCC+' Rating on Class A-1
LUTHERAN SOCIAL: Fitch Affirms 'BB+' Rating on Revenue Bonds
MARATHON CLO II: Moody's Hikes Rating on Class C Notes From 'Ba1'
MERRILL LYNCH 2005-LC1: Moody's Affirms 'C' Rating on Cl. L Certs.
ML-CFC 2006-4: S&P Cuts Rating on Class AJ-FX Certificates to 'B'
MORGAN STANLEY I 2005-RR6: S&P Cuts Ratings on 2 CMBS Classes to D
NEUBERGER BERMAN XIII: S&P Gives Prelim B+ Rating on Cl. F Notes
NOMURA CDO 2007-2: S&P Cuts Ratings on 8 Debt Classes to 'D'
NORTHWOODS CAPITAL IX: S&P Gives Prelim. 'BB-' Rating on E Notes
PRUDENTIAL MORTGAGE 2001-C1: Fitch Cuts Rating on 3 Note Classes
RFC CDO 2007-1: S&P Lowers Ratings on 10 Classes to 'D'
SALISBURY INT'L 2005-8: S&P Withdraws CCC- Rating on Class A Debt
SAN GABRIEL CLO I: S&P Raises Rating on Class B-2L Notes to 'BB'
SANTANDER DRIVE 2012-A: Moody's Rates $23MM Class E Notes 'Ba1'
SANTANDER DRIVE 2012-A: S&P Gives 'BB+' Rating on Class E Notes
STRIPS III: Moody's Cuts Rating on Class M Notes to 'Caa3'
THL CREDIT 2012-1: S&P Gives Prelim 'BB-' Rating on Class E Notes
UBS COMMERCIAL 2007-FL1: Moody's Ups Rating on Cl. J Certs. to B3
WAMU MORTGAGE 2002-AR2: Moody's Cuts Rating on B-3 Tranche to Caa2
WESTCHESTER CLO: S&P Affirms 'CCC-' Rating on Class E Debt
* Fitch Rates 2 Subprime RMBS Classes at 'Bsf'
* Moody's Says Global Securitization Performance Stable in 2013
* Moody's Says US Auto ABS Credit Quality to Marginally Decline
* Moody's Says Quality of New US RMBS Marginally Weaker
* Moody's Says U.S. CMBS Liquidated Loan Loss Severity Up in 3Q
* Moody's Takes ABCP Rating Actions for Week Ending Dec. 10
* S&P Takes Various Rating Actions on 68 Classes From 5 CMBS Deals
* S&P Takes Various Rating Actions on 19 Classes From 3 CMBS Deals
* S&P Takes Rating Actions on 13 CPS-Related Auto Loan ABS
* S&P Takes Various Rating Actions on 37 Classes From 4 CMBS Deals
* S&P Takes Various Rating Actions on 61 Classes From 5 CMBS Deals
* S&P Raises Ratings on 17 Classes From 3 US CMBS Transactions
* S&P Withdraws Ratings on 3,637 Classes From 861 RMBS Deals
* S&P Withdraws Ratings on 72 Classes From 31 US CMBS Transactions
*********
ACE SECURITIES 2003-MH1: S&P Affirms 'BB+' Rating on B-1 Certs
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-4, M-1, M-2, and B-1 certificates from Ace Securities
Corp. Manufactured Housing Trust Asset-Backed Certificates Series
2003-MH1. The collateral supporting the certificates consists of
fixed-rate loans backed by manufactured housing installment sale
contracts and installment loan agreements.
"The affirmed ratings on the certificates reflect our view that
the total credit support as a percent of the amortizing pool
balance, compared with our expected remaining losses, is adequate
for each of the affirmed ratings. In addition, the affirmations
reflect the transaction's collateral performance to date, our
views regarding future collateral performance, and the structure
of the transaction. Furthermore, our analysis incorporated
secondary credit factors such as credit stability, payment
priorities under various scenarios, and sector- and issuer-
specific analysis," S&P said.
"As of the November 2012 distribution date for the trustee report,
the transaction had a pool factor of 37.61% and a cumulative net
loss rate of 14.04%. The transaction continues to perform worse
than initially expected, and we increased our lifetime cumulative
net loss expectation to 23.5% from 23% at the time of our last
review in 2010. The current pool has these delinquency balances:
0.89% is 60-plus-days delinquent and 0.61% is 90-plus-days
delinquent," S&P said.
"While the current payment structure is pro rata, the transaction
documents stipulate that it would change to sequential if the
transaction breaches any of its principal distribution test
triggers at any point. The transaction has three principal
distribution test triggers: trigger delinquency percentage;
12-month realized loss ratio; and cumulative realized loss
percentage. The transaction has not breached any of the triggers.
In light of current performance and our expectations regarding
future performance, we do not expect the transaction to breach
either the trigger delinquency percentage or the 12-month realized
loss ratio. However, given our current expected loss, we believe
it will eventually breach the cumulative realized loss percentage
trigger and, as such, we factored this expectation into our
analysis," S&P said.
"We will continue to monitor the performance of the transaction to
consider whether the credit enhancement remains sufficient, in our
view, to cover our revised cumulative net loss expectations under
our stress scenarios for each rating," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
RATINGS AFFIRMED
Ace Securities Corp. Manufactured Housing Trust Asset-Backed
Certificates 2003-MH1
Class Rating
A-4 AA+ (sf)
M-1 A+ (sf)
M-2 BBB+ (sf)
B-1 BB+ (sf)
AMAC CDO I: S&P Affirms 'CCC-' Ratings on Four Debt Classes
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on eight
classes from AMAC CDO Funding I (AMAC CDO), a commercial real
estate collateralized debt obligation (CRE CDO) transaction, and
removed them from CreditWatch with negative implications.
"The affirmations reflect our analysis of the transaction's
liability structure and the credit characteristics of the
underlying collateral using our criteria or rating global CDOs
backed by pooled structured finance (SF) assets," S&P said.
"Our CDO of SF criteria include revisions to our assumptions on
correlations, recovery rates, and default patterns and timings of
the collateral. Specifically, correlations on commercial real
estate assets increased to 70%. The criteria also include
supplemental stress tests (largest obligor default test and
largest industry default test) in our analysis," S&P said.
"According to the Nov. 19, 2012, trustee report, the transaction's
collateral totaled $320.2 million. The transaction's liabilities
totaled $349.5 million, which includes $6.1 million of capitalized
interest shortfalls on classes D and below. The liabilities are
down from $400 million at issuance. The transaction's current
asset pool included," S&P said:
31 whole or senior-participation loans ($304.8 million,
95.2%); and
Four subordinate-interest loans ($15.4 million, 4.8%).
There were no impaired assets in the trustee report.
"We applied asset specific recovery rates in our analysis of the
performing loans ($320.2 million, 100%) using our criteria and
property evaluation methodology for U.S. and Canadian CMBS and our
CMBS global property evaluation methodology, both published Sept.
5, 2012. We also considered qualitative factors such as the near-
term maturities of the loans, refinancing prospects, and loans
modifications," S&P said.
According to the Nov. 19, 2012, trustee report, the deal is
passing the class A/B and class C overcollateralization (O/C)
coverage tests and failing the class D/E O/C coverage tests. It is
passing all interest coverage tests.
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 it determines 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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH
AMAC CDO Funding I
Rating
Class To From
A-1 BB+ (sf) BB+ (sf)/Watch Neg
A-2 B+ (sf) B+ (sf)/Watch Neg
B B (sf) B (sf)/Watch Neg
C CCC+ (sf) CCC+ (sf)/Watch Neg
D-1 CCC- (sf) CCC- (sf)/Watch Neg
D-2 CCC- (sf) CCC- (sf)/Watch Neg
E CCC- (sf) CCC- (sf)/Watch Neg
F CCC- (sf) CCC- (sf)/Watch Neg
AMERIQUEST MORTGAGE: Moody's Raises Cl. M-2 Debt Rating From 'Ba3'
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one
tranche, and upgraded two tranches from various financial
institutions, backed by Subprime loans.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R) (SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (11% for all vintages
2004 and prior). The baseline rates are higher than the average
rate of new delinquencies for larger pools for the respective
vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. In addition, if
current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The primary sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.0% in September 2011 to 7.9% in November 2012.
Moody's expects unemployment to stay between 7.5% to 8.5% in 2013.
Moody's expects housing prices to remain stable through the
remainder of 2012 before gradually rising towards the end of 2013.
Performance of RMBS continues to remain highly dependent on
servicer activity such as modification-related principal
forgiveness and interest rate reductions. Any change resulting
from servicing transfers or other policy or regulatory change can
also impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc., Ser 2003-6
Cl. M-2, Upgraded to Baa2 (sf); previously on Mar 29, 2011
Downgraded to Ba3 (sf)
Issuer: WMC Mortgage Loan Pass-Through Certificates, Series 1997-2
M-1, Downgraded to A1 (sf); previously on Dec 24, 2003 Confirmed
at Aa2 (sf)
B, Upgraded to Baa3 (sf); previously on Dec 24, 2003 Downgraded to
B1 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF309751
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
BABSON CLO 2005-II: S&P Hikes Ratings on 2 Note Classes to 'BB-'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, C-1, C-2, D-1, and D-2 notes from Babson CLO Ltd.
2005-II, a U.S. collateralized loan obligation (CLO) transaction
managed by Babson Capital Management LLC. "At the same time, we
removed the class A-2, B, C-1, C-2, D-1, and D-2 notes from
CreditWatch with positive implications, where we placed them on
Oct. 29, 2012," S&P said.
"The upgrades reflect paydowns to the class A-1 notes and a
subsequent improvement in the credit enhancement and
overcollateralization (O/C) available to support the notes since
December 2010, when we upgraded the class A-1, A-2, D-1, and D-2
notes. Since that time, the transaction has paid down the class A-
1 notes by approximately $38.44 million, reducing their
outstanding note balance to 87.54% of their original balance," S&P
said.
The upgrades also reflect an improvement in the O/C coverage
ratios, driven up predominantly by the pay downs available to
support the notes since S&P's December 2010 rating actions. The
trustee reported the following O/C ratios in the November 2012
monthly report::
The class A O/C ratio was 124.82%, compared with a reported
ratio of 121.46% in November 2010;
The class B O/C ratio was 116.14%, compared with a reported
ratio of 113.78% in November 2010;
The class C O/C ratio was 108.85%, compared with a reported
ratio of 107.25% in November 2010; and
The class D O/C ratio was 105.31%, compared with a reported
ratio of 104.05% in November 2010.
"The upgrades also reflect an improvement in the performance of
the transaction's underlying asset portfolio since the time of the
last action. As of the November 2012 trustee report, the
transaction had $10.73 million of assets from obligors rated in
the 'CCC' category. This was down from the $21.63 million we
referenced for our December 2010 rating actions," S&P said.
"The transaction exited its reinvestment period earlier this year,
so we expect it to continue to pay down the senior notes going
forward," 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," 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
Babson CLO Ltd. 2005-II
Rating
Class To From
A-1 AAA (sf) AA+ (sf)
A-2 AA+ (sf) AA- (sf)/Watch Pos
B A+ (sf) BBB+ (sf)/Watch Pos
C-1 BBB- (sf) BB+ (sf)/Watch Pos
C-2 BBB- (sf) BB+ (sf)/Watch Pos
D-1 BB- (sf) B+ (sf)/Watch Pos
D-2 BB- (sf) B+ (sf)/Watch Pos
TRANSACTION INFORMATION
Issuer: Babson CLO Ltd 2005-II
Coissuer: Babson CLO Inc. 2005-II
Collateral manager: Babson Capital Management LLC
Underwriter: Citigroup Global Markets Inc.
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CDO
BABSON CLO 2006-I: S&P Affirms 'BB+' Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from Babson CLO Ltd. 2006-I, a U.S. collateralized
loan obligation (CLO) transaction managed by Babson Capital
Management LLC. "At the same time, we affirmed our ratings on
the class A-1, A-2, A-2B, A-3, D, and E notes," S&P said.
"We affirmed our ratings on the class A-1, A-2, A-2B, A-3, D, and
E notes to reflect the credit support available at the current
rating levels," S&P said.
"The upgrades mainly reflect paydowns to the class A-1 notes.
Subsequently, the credit enhancement available to support the
notes improved since December 2010, when we upgraded all of the
notes except the 'AAA (sf)' rated class A-1 notes. Since that
time, the transaction has paid down the class A-1, A-2, and
A-2B notes by a total of $72.78 million, reducing their
outstanding note balances to 75.50%, 79.68%, and 79.68% of their
original balances at issuance, respectfully," S&P said.
"The upgrades also reflect an improvement in the
overcollateralization (O/C) available to support the notes,
primarily due to the aforementioned paydowns. The trustee reported
these O/C ratios in the November 2012 monthly report:
The class A/B O/C ratio was 124.42%, compared with a reported
ratio of 120.09% in November 2010;
The class C/D O/C ratio was 109.87%, compared with a reported
ratio of 108.07% in November 2010; and
The class E O/C ratio was 106.88%, compared with a reported
ratio of 105.54% in November 2010.
The transaction exited its reinvestment period in November of this
year.
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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Babson CLO Ltd. 2006-I
Rating
Class To From
A-1 AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf)
A-2B AAA (sf) AAA (sf)
A-3 AAA (sf) AAA (sf)
B AA+ (sf) AA (sf)
C A+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf)
E BB+ (sf) BB+ (sf)
TRANSACTION INFORMATION
Issuer: Babson CLO Ltd 2006-I
Coissuer: Babson CLO Inc. 2006-I
Collateral manager: Babson Capital Management LLC
Underwriter: Morgan Stanley & Co. LLC
Trustee: State Street Bank and Trust Co., Boston, MA
Transaction type: Cash flow CDO
BANC OF AMERICA 2007-4: Fitch Keeps 'C' Rating on 2 Cert. Classes
-----------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 20 classes of Banc
of America Commercial Mortgage Trust, series 2007-4 (BACM 2007-4).
The downgrade to class A-M reflects an increase in Fitch modeled
losses across the pool attributed to specially serviced loans as
well as loans in the top 15 with continued underperformance.
Fitch modeled losses of 13.3% of the remaining pool; modeled
losses are 15.1% of the original pool, including losses realized
to date. The Negative Outlook reflects the overall high leverage
on loans in the top 15, the possibility for further performance
deterioration on loans in the top 15, and the high percentage of
Fitch Loans of Concern in the pool. Additionally, approximately
9% of the pool has a binary risk associated with single tenancy.
Fitch has designated 43 loans (35.2%) as Fitch Loans of Concern,
which includes nine specially serviced loans (14%). The specially
serviced loans include two real-estate owned assets (REO; 1.4%),
three loans in foreclosure (0.8%), three loans greater than 90
days delinquent (1.1%); and the largest cross-collateralized and
cross-defaulted loan that is performing under modified terms
(10.7%).
As of the November 2012 distribution date, the pool's aggregate
principal balance has been reduced by 11.8% to $1.969 billion from
$2.232 billion at issuance, of which 8.4% was due to paydowns and
3.4% was due to realized losses. Cumulative interest shortfalls
totaling $4.5 million are currently impacting classes H through N
and class S.
The largest contributors to modeled losses are three cross
collateralized and cross defaulted interest-only loans (10.7% of
the pool) secured by a portfolio of five office properties
totaling 1.2 million square feet located in the Sacramento
metropolitan area (one located in Sacramento and four in
Roseville). These loans were transferred to special servicing in
May 2011 due to imminent default.
The loans were modified in July 2012. The modification granted a
two-year maturity extension until May 2014 and a $27 million
principal paydown on the C Portfolio portion; modified release
provisions within the loan agreement; waived prepayment; and
implemented a hard lockbox to trap all excess cash flow, amongst
other terms.
Portfolio performance continues to decline. The year-end (YE)
2011 net operating income (NOI) declined 11.5% when compared to YE
2010 NOI, which has already declined 9.8% when compared to YE 2009
(total NOI decline between YE 2011 and YE 2009 was 20.1%). As of
June 2012, the weighted average portfolio occupancy was 70%, a
significant decline from the 92% reported at issuance. The
largest property carries the portfolio with 90.3% occupancy, while
the remaining four properties have occupancies ranging from 29.2%
to 74.1%. According to REIS and as of third quarter 2012, the
Downtown and Roseville submarkets of Sacramento reported market
vacancies of 14.6% and 28.2%, respectively.
The next largest contributor to modeled losses is a partial
interest-only loan (5.4%) secured by a 231,512 square foot (sf)
office property located in La Jolla, CA. The property was not
stabilized when underwritten at issuance. Underwritten base rents
were based upon stabilized rents and not in-place rents. Although
the June 2012 occupancy has improved to 93% when compared to June
2011 occupancy of 80%, the debt service coverage (DSCR), based
upon a net operating income (NOI) basis, remained low at 0.35
times (x) for the trailing 12 month (TTM) period ended June 30,
2012. This represents an improvement from the 0.07x reported for
the TTM ended June 30, 2011, but still a significant decline from
the 1.29x reported at issuance. Approximately 59.9% of the total
property square footage rolls before the end of 2017, the year the
loan matures. The property is located in the La Jolla submarket
of San Diego, which reported a market vacancy of 14.4% according
to REIS as of third quarter 2012. Although the property is
underperforming, the loan remains current. The borrower has
continued to cover debt service shortfalls out of pocket.
The third largest contributor to modeled losses is an interest-
only loan (3.3%) secured by a 256,670 sf office property located
in Scottsdale, AZ. As of September 2012, property occupancy was
93.6%, representing an improvement from the 84% and 87% reported
at YE 2011 and YE 2010, respectively. Multiple new leases were
signed throughout 2011, which helped to booster occupancy.
Although occupancy has improved, the YE 2011 DSCR, on a NOI basis,
remained low at 0.89x, compared to 1.10x and 1.50x reported at YE
2010 and at issuance, respectively. Approximately 81.1% of the
total property square footage rolls before the end of 2017, the
year the loan matures. The property is located in the Scottsdale
submarket of Phoenix, which reported a market vacancy of 27.8%
according to REIS as of third quarter 2012.
Fitch has downgraded the following class:
-- $223.1 million class A-M to 'Asf' from 'AAsf'; Outlook
Negative.
Fitch has affirmed the following classes, as indicated:
-- $204.6 million class A-1A at 'AAAsf'; Outlook Stable;
-- $281.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $71.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $817.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $178.5 million class A-J at 'CCCsf'; RE 65%;
-- $22.3 million class B at 'CCCsf'; RE 0%;
-- $19.5 million class C at 'CCCsf'; RE 0%;
-- $22.3 million class D at 'CCCsf'; RE 0%;
-- $22.3 million class E at 'CCsf'; RE 0%;
-- $13.9 million class F at 'CCsf'; RE 0%;
-- $16.7 million class G at 'CCsf'; RE 0%;
-- $27.9 million class H at 'CCsf'; RE 0%;
-- $22.3 million class J at 'Csf'; RE 0%;
-- $19.5 million class K at 'Csf'; RE 0%;
-- $5.2 million class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
Classes A-1 and A-2 have paid in full. Fitch does not rate class
S.
BEAR STEARNS 2004-PWR4: Moody's Cuts on 2 CMBS Ratings to 'C'
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of seven classes
and affirmed eight classes of Bear Stearns Commercial Mortgage
Securities Trust, Commercial Mortgage Pass-Through Certificates,
Series 2004-PWR4 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Jul 21, 2004 Assigned
Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed at Aa3 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned Aa3 (sf)
Cl. D, Affirmed at A2 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned A2 (sf)
Cl. E, Affirmed at A3 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned A3 (sf)
Cl. F, Affirmed at Baa1 (sf); previously on Jul 21, 2004
Definitive Rating Assigned Baa1 (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Jul 21, 2004
Definitive Rating Assigned Baa2 (sf)
Cl. H, Downgraded to Ba1 (sf); previously on Jul 21, 2004
Definitive Rating Assigned Baa3 (sf)
Cl. J, Downgraded to Ba3 (sf); previously on Jul 21, 2004
Definitive Rating Assigned Ba1 (sf)
Cl. K, Downgraded to B1 (sf); previously on Jul 21, 2004
Definitive Rating Assigned Ba2 (sf)
Cl. L, Downgraded to Caa1 (sf); previously on Jan 28, 2011
Downgraded to B2 (sf)
Cl. M, Downgraded to Caa3 (sf); previously on Jan 28, 2011
Downgraded to Caa1 (sf)
Cl. N, Downgraded to C (sf); previously on Jan 28, 2011 Downgraded
to Caa3 (sf)
Cl. P, Downgraded to C (sf); previously on Jan 28, 2011 Downgraded
to Ca (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 losses
from loans in special servicing.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings. 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 base expected loss of 2.1% of the
current balance, the same as last review. Realized losses have
increased from 0.3% of the original balance to 1.1% since the
prior review due to the liquidation of one loan in November 2012
that resulted in a $7.4 million loss. 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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
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 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 18 compared to 15 at Moody's prior review. The
Herf increased from last review due to the payoff of the Shell
Plaza Loan, which represented 16% of the pool at last review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 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 January 6, 2012.
DEAL PERFORMANCE
As of the December 11, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 33% to $638 million
from $955 million at securitization. The Certificates are
collateralized by 67 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten non-defeased loans
representing 51% of the pool. Nine loans, representing 17% of the
pool, have defeased and are secured by U.S. Government securities.
The pool contains one loan with an investment grade credit
assessment, representing 13% of the pool. The Shell Plaza Loan,
which had a Aaa credit assessment at Moody's prior review, paid
off in August 2012.
Twenty-two loans, representing 26% 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.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $10.5 million (60% loss severity on
average). Two loans, representing 1% of the pool, are in special
servicing and Moody's assumed a high default probability for two
additional poorly performing loans representing 3% of the pool.
Moody's has estimated an aggregate $4.6 million loss for specially
serviced and troubled loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 95% and 79%, respectively, of the pool's
non-specially serviced and non-defeased loans. Excluding troubled
and non-performing specially serviced loans, Moody's weighted
average LTV is 89% compared to 90% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 15%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.4%.
Excluding troubled and non-performing special serviced loans,
Moody's actual and stressed DSCRs are 1.33X and 1.23X,
respectively, compared to 1.37X and 1.23X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The loan with a credit assessment is the GIC Office Portfolio Loan
($80.7 million -- 12.7% of the pool), which is a pari-passu
interest in a $666 million first mortgage loan. The loan is
secured by a portfolio of 12 office properties located in seven
states and totaling 6.4 million square feet (SF). The largest
geographic concentrations are Illinois (39%), Pennsylvania (17%)
and California (12%). The portfolio was 87% leased as of March
2012, compared to 85% at last review. The portfolio is also
encumbered by a $119 million B Note. The loan had a 60-month
interest only period, but is now amortizing. The loan matures in
January 2014. Moody's credit assessment and stressed DSCR are Baa3
and 1.45X, respectively, compared Baa3 and 1.47X at last review.
The top three performing conduit loans represent 18% of the pool.
The largest loan is the 40 Landsdowne Street Loan ($47.1 million -
- 7.4% of the pool), which is secured by a 215,000 SF Class A
office/biotechnology building located in an industrial park near
the main campus of the Massachusetts Institute of Technology in
Cambridge, Massachusetts. The property is 100% leased to
Millennium Pharmaceuticals, Inc. through July 2020. The property's
performance has been stable, however, Moody's analysis
incorporates a stressed cash flow due to Moody's concerns about
the property's single-tenant occupancy. The loan is benefitting
from amortization and matures in April 2014. Moody's LTV and
stressed DSCR are 76% and 1.41X, respectively, compared to 79% and
1.36X, at last review.
The second largest loan is the One North State Street Loan ($38.1
million -- 6.0% of the pool), which is secured by a 170,000 SF
retail condominium unit situated in a 675,000 SF mixed use
property located in downtown Chicago, Illinois. The property was
essentially 100% leased as of September 2012, essentially the same
as at last review. Major tenants include TJ Maxx (41% of the NRA;
lease expiration July 2024) and Burlington Coat Factory (35% of
the NRA; lease expiration February 2023). Burlington Coat Factory
occupies the space formerly leased to Filene's basement, which
declared bankruptcy in November 2011 and vacated its space at year
end. Due to the newly signed leases and contractual rent bumps
that occurred in 2012, Moody's expects an improvement in property
performance. Moody's LTV and stressed DSCR 80% and 1.28X,
respectively, compared to 104% and 1.04X at last review.
The third largest loan is the Alexandria East Coast Portfolio Loan
($32.3 million -- 5.1% of the pool), which is secured by four
office buildings located in Massachusetts, Pennsylvania and
California. At securitization the loan was secured by five
properties; however, in May 2012 a 66,000 SF property located in
San Diego, California was substituted for two properties with a
combined 43,000 SF located in Plymouth Meeting, Pennsylvania.
Based on the substitution the portfolio now totals approximately
229,000 SF and the occupancy increased to 86% leased as of June
2012 compared to 33% leased at last review. Due to the
substitution and recent leasing activity, the portfolio
performance is expected to improve. Moody's LTV and stressed DSCR
80% and 1.36X, respectively, compared to 101% and 1.09X at last
review.
BRIDGEPORT CLO: S&P Affirms 'BB' Rating on Class D Notes
--------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
A-2 note from Bridgeport CLO Ltd., a collateralized loan
obligation (CLO) transaction that is managed by CIFC Asset
Management LLC. "At the same time, we affirmed our current ratings
on the other four classes of notes," S&P said.
"We last took rating action on this transaction in December 2010,
where we upgraded the B and D notes to their original ratings.
This transaction is still in the reinvestment phase until July
2013. As of the November 2012 trustee report, the balance of
defaulted assets has decreased to $5.0 million from $10.9 million
in October of 2010 and the balance of 'CCC' rated assets dropped
to $17.2 million from $51.8 million. The class A
overcollateralization ratio increased to 120.69% from 118.87%,
while the class A interest coverage ratio rose to 886.58% from
569.20%. There is a significant balance of assets with LIBOR floor
base rates, which can provide additional credit given a low
interest rate environment," 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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Bridgeport CLO Ltd.
Rating
Class To From
A-1 AA+ (sf) AA+ (sf)
A-2 AA (sf) AA- (sf)
B A (sf) A (sf)
C BBB- (sf) BBB- (sf)
D BB (sf) BB (sf)
CARLYLE GLOBAL 2012-4: S&P Assigns 'BB' Rating on Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Carlyle
Global Market Strategies CLO 2012-4 Ltd./Carlyle Global Market
Strategies CLO 2012-4 LLC's $558.7 million fixed- and floating-
rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread) and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which primarily consists
of broadly syndicated speculative-grade senior secured term
loans.
The collateral manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-11.41%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's interest diversion test, a failure of which
will lead to the reclassification of excess interest proceeds
that are available prior to paying uncapped administrative
expenses and fees; subordinated hedge termination payments;
collateral manager incentive fees; and subordinated note
payments to principal proceeds for the purchase of additional
collateral assets during the reinvestment period and to reduce
the balance of the rated notes outstanding, sequentially,
after the reinvestment period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The 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
RATINGS ASSIGNED
Carlyle Global Market Strategies CLO 2012-4 Ltd./Carlyle Global
Market Strategies CLO 2012-4 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 377.500
B-1 AA (sf) 60.500
B-2 AA (sf) 20.000
C (deferrable) A (sf) 46.900
D (deferrable) BBB (sf) 27.800
E (deferrable) BB (sf) 26.000
Subordinated notes NR 61.547
NR - Not rated.
CASCADE FUNDING I: Winddown Cues Fitch to Cut Note Ratings to 'D'
-----------------------------------------------------------------
Fitch Ratings has affirmed one, downgraded two, and subsequently
withdrawn the ratings on all classes of notes issued by Cascade
Funding CDO I, Ltd./Inc. (Cascade Funding I) as follows:
-- $13,531,784 class A-1 downgraded to 'Dsf' from 'Csf' and
withdrawn;
-- $46,000,000 class A-2 affirmed at 'Dsf' and withdrawn;
-- $7,173,737 class C downgraded to 'Dsf' from 'Csf' and
withdrawn.
Cascade Funding I entered an event of default in December 2008 and
its maturity was accelerated in January 2009. On Sept. 5, 2012,
the trustee was directed by the requisite majority of the
aggregate outstanding amount of each class and the hedge
counterparty to liquidate the portfolio.
The final distribution occurred on Nov. 15, 2012. The trustee
report showed that the proceeds available for distribution were
insufficient to pay the class A-1 notes in full. Consequently,
there were no available funds to make any payments on any other
classes of notes.
Cascade Funding I was a managed cash flow structured finance (SF)
collateralized debt obligation (CDO) invested in residential
mortgage-backed securities and SF CDOs.
CD 2005-CD1: Moody's Affirms 'C' Ratings on Five Cert. Classes
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 22 CMBS classes
of CD 2005-CD1 Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2005-CD1 as follows:
Cl. A-2FL, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-2FX, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at A3 (sf); previously on Dec 17, 2010
Downgraded to A3 (sf)
Cl. B, Affirmed at Baa1 (sf); previously on Dec 17, 2010
Downgraded to Baa1 (sf)
Cl. C, Affirmed at Baa3 (sf); previously on Dec 17, 2010
Downgraded to Baa3 (sf)
Cl. D, Affirmed at Ba1 (sf); previously on Dec 17, 2010
Downgraded to Ba1 (sf)
Cl. E, Affirmed at Ba3 (sf); previously on Dec 17, 2010
Downgraded to Ba3 (sf)
Cl. F, Affirmed at B3 (sf); previously on Dec 17, 2010
Downgraded to B3 (sf)
Cl. G, Affirmed at Caa2 (sf); previously on Dec 17, 2010
Downgraded to Caa2 (sf)
Cl. H, Affirmed at Ca (sf); previously on Dec 17, 2010
Downgraded to Ca (sf)
Cl. J, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (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 Jan 6, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. OCS, Affirmed at Baa3 (sf); previously on Jan 13, 2006
Definitive Rating Assigned Baa3 (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 Class OCS is tied to the One Court Square loan and
is affirmed due to the stable performance of this loan.
The rating of the IO Class, Class X, is consistent with the credit
performance of the referenced classes and thus is affirmed.
Moody's rating action reflects a base expected loss of
approximately 6% of the current deal balance, essentially
unchanged since Moody's last review. Moody's provides a current
list of base losses for conduit and fusion CMBS transactions on
moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
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 pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit 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 underlying rating
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 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 ver1.1
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 42 compared to a Herf of 46 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 December 9, 2011.
Deal Performance
As of the November 19, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 17% to $3.21
billion from $3.89 billion at securitization. The Certificates are
collateralized by 202 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 37%
of the pool. The pool includes three loans with investment-grade
credit assessments, representing 12% of the pool. Nine loans,
representing approximately 2% of the pool, are defeased and are
collateralized by U.S. Government securities.
Fourty-two loans, representing 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Seventeen loans have liquidated from the pool, resulting in an
aggregate realized loss of $62 million (27% average loan loss
severity). Currently, 19 loans, representing 6% of the pool, are
in special servicing. The largest specially serviced loan is the
Goodwin Square Loan ($33 million -- 1% of the pool), which is
secured by a 331,000 square foot, 30-story, office property with
an attached 124-room hotel building located in downtown Hartford,
Connecticut. The office portion of the property, built in 1989,
was 48% leased as of October 2012. The hotel, housed in a five-
story, late-19th Century structure, is currently closed. Following
default by the borrower, the servicer foreclosed and took title to
the property in July 2012. Cushman and Wakefield has been
appointed property manager and leasing agent, and is engaged in a
"value add" lease-up strategy for the property on behalf of the
servicer. Leasing interest in the property is reportedly strong.
The remaining 18 specially serviced loans are secured by a mix of
commercial, retail, hotel, and manufactured housing property
types. Moody's estimates an aggregate $100 million loss (50%
expected loss severity overall) for all specially serviced loans.
Moody's has assumed a high default probability for 18 poorly-
performing loans representing 8% of the pool. Moody's analysis
attributes to these troubled loans an aggregate $47 million loss
(19% expected loss severity based on a 51% probability default).
Moody's was provided with full-year 2011 and partial year 2012
operating results for 99% and 41% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 94% compared to 100% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 11.3% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.1%
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.49X and 1.09X, respectively, compared to
1.41X and 1.02X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit assessment is the One Court Square
-- Citibank Loan ($290 million -- 9% of the pool). The loan is
secured by a 1.4 million square foot, 50-story office tower
located in Long Island City, New York. The signature property is
located in the westernmost section of the New York City borough of
Queens, across the East River from Midtown Manhattan. The building
is fully occupied by Citibank, N.A. (Moody's Long Term Rating A3,
negative outlook) under a lease with a scheduled expiration date
of May 1, 2020. Citibank has negotiated a lease modification with
temporary rent reduction in exchange for waiving its lease
termination options. As a result, Citibank now has no lease
termination options through the end of its lease in 2020. The
property is also encumbered by a $25 million B-note, which is held
inside the trust, and which secures the non-pooled, Class OCS
certificate. The property changed hands in a July 2012 sale for
$481 million in which the new buyer assumed the $315 million of
the in-place securitized debt. Moody's value calculation is based
on a dark/lit analysis and considers the higher rents that
Citibank will pay, effective in 2014. The higher rents plus the
waiver of early lease termination options currently offsets the
deterioration in credit quality of the tenant (Citibank carried a
Aa1 rating at securitization). Moody's credit assessment and
stressed DSCR are Baa2 and 1.12X, respectively, compared to Baa2
and 1.03X at last review.
The second-largest loan with a credit assessment is the 100 East
Pratt Street Loan ($105 million -- 3% of the pool), which is
secured by a 656,000 square foot Class A office property located
in downtown Baltimore, Maryland. The property was 98% leased as of
December 2011 compared to 96% the prior year. One of the largest
tenants, Merrill Lynch, recently signed a lease renewal through
February 2018. Moody's current credit assessment and stressed DSCR
are Baa3 and 1.32X, respectively, compared to Baa3 and 1.29X at
last review.
The third loan with a credit assessment is the 220 East 67th
Street Loan ($2.3 million - 0.1% of the pool), which is secured by
a 114-unit residential cooperative located in the Upper East Side
section of New York City. Moody's current credit assessment is Aaa
and >4.00X, the same as at last review.
The top three performing conduit loans represent 15% of the pool.
The largest loan is the Yahoo! Center Loan ($250 million -- 8% of
the pool), which is secured by a six-building 1.1 million square
foot office property located in Santa Monica, California. The
property was 90% leased in June 2012 compared to 91% at Moody's
last review. The lead tenants are Rubin Postaer (187,000 SF; 17%
of property NRA), Yahoo, Inc. (137,000 SF; 13% of property NRA),
and Home Box Office (128,000 SF; 12% of property NRA). Moody's
current LTV and stressed DSCR are 79% and 1.16X, respectively,
compared to 89% and 1.81X at last review.
The second-largest loan is the Maine Mall Loan ($129 million -- 4%
of the pool). The loan is secured by a single-story regional mall
in Portland, Maine. The mall anchors are Macy's, Sears, and
JCPenney. The loan sponsor is General Growth Properties, Inc. Loan
maturity was extended to December 2016 as part of a 2010
modification. The property is on the master servicer's watchlist
for low DSCR, though performance has recently improved. Mall
inline occupancy was 93% at year-end 2011 reporting, up from 90%
the prior year. Leasing activity has been positive. New leases
include the retailer J.Crew, which recently opened a 5,000 square-
foot store at the mall. Moody's current LTV and stressed DSCR are
77% and 1.23X, respectively, compared to 92% and 1.03X at last
review.
The third-largest loan is the TPMC Portfolio Loan ($100 million --
3% of the pool), which is secured by two 18-story office towers
totaling 697,000 square feet located in the South Main / Medical
Center office submarket of Houston, Texas. Occupancy was 96% as of
June 2012, unchanged since Moody's last review. The property is
home to the popular Edwards Grand Palace Stadium 24 movie complex.
The largest office tenants, General Electric, Net IQ, and
UnitedHealth Group Incorporated (f.k.a. United Healthcare), each
have leases scheduled to expire between July 2014 and February
2015. Together the top three tenants occupy approximately 39% of
property NRA. Moody's analysis considers this medium-term lease
rollover risk, which is nearly concurrent with loan maturity in
May 2015. Moody's current LTV and stressed DSCR are 88% and 1.17X
respectively, compared to 89% and 1.16X at last review.
COMM 2012-CCRE5: Moody's Assigns '(P)B2' Rating to Cl. G Certs.
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
fifteen classes of CMBS securities, issued by COMM 2012-CCRE5,
Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE5.
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-SB, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. X-A*, Assigned (P)Aaa (sf)
Cl. X-B*, Assigned (P)Aa2 (sf)
Cl. A-M**, Assigned (P)Aaa (sf)
Cl. B**, Assigned (P)Aa2 (sf)
Cl. PEZ**, Assigned (P)Aa3 (sf)
Cl. C**, Assigned (P)A2 (sf)
Cl. D, Assigned (P)Baa1 (sf)
Cl. E, Assigned (P)Baa3 (sf)
Cl. F, Assigned (P)Ba2 (sf)
Cl. G, Assigned (P)B2 (sf)
* Reflects Interest Only Classes
** Reflects Exchangeable Classes
RATINGS RATIONALE
The Certificates are collateralized by 63 fixed rate loans secured
by 98 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR; and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.68X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.08X 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 100.1% 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
29.2. 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 30.0. 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 2.10, which is higher
than the indices calculated in most multi-borrower transactions
since 2009.
In terms of waterfall structure, the transaction contains a unique
group of exchangeable certificates. Classes A-M((P) Aaa (sf)), B
((P) Aa2 (sf)) and C ((P) A2 (sf)) may be exchanged for Class PEZ
((P) Aa3 (sf)) certificates and Class PEZ may be exchanged for the
Classes A-M, B and C. The PEZ certificates will be entitled to
receive the sum of interest distributable on the Classes A-M, B
and C certificates that are exchanged for such PEZ certificates.
The initial certificate balance of the Class PEZ certificates is
equal to the aggregate of the initial certificate balances of the
Class A-M, B and C and represent the maximum certificate balance
of the PEZ certificates that may be issued in an exchange.
Moody's considers the probability of certificate default as well
as the estimated severity of loss when assigning a rating. As a
thick vertical tranche, Class PEZ has the default characteristics
of the lowest rated component certificate ((P) A2 (sf)), but a
very high estimated recovery rate if a default occurs given the
certificate's thickness. The higher estimated recovery rate
resulted in a provisional Aa3 (sf) rating, a rating higher than
the lowest provisionally rated component certificate.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.61
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.
COUNTRYWIDE COMM'L: Moody's Cuts Ratings on 2 Cert. Classes to 'C'
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings of six classes
and affirmed one class of Countrywide Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2007-MF1 as
follows:
Cl. A, Downgraded to B2 (sf); previously on Jan 20, 2012
Downgraded to Ba2 (sf)
Cl. B, Downgraded to Caa1 (sf); previously on Jan 20, 2012
Downgraded to B1 (sf)
Cl. C, Downgraded to Caa2 (sf); previously on Jan 20, 2012
Downgraded to B2 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Jan 20, 2012
Downgraded to B3 (sf)
Cl. E, Downgraded to C (sf); previously on Jan 20, 2012 Downgraded
to Caa2 (sf)
Cl. F, Downgraded to C (sf); previously on Jan 20, 2012 Downgraded
to Ca (sf)
Cl. G, Affirmed at C (sf); previously on Jan 20, 2012 Downgraded
to C (sf)
RATINGS RATIONALE
The downgrades are due to realized and anticipated losses from
specially serviced and troubled loans and concerns about increased
interest shortfalls.
This transaction is classified as a small balance CMBS
transaction. Small balance transactions, which represent less than
1% of the Moody's rated conduit/fusion universe, have generally
experienced higher defaults and losses than traditional conduit
and fusion transactions.
Moody's rating action reflects a base expected loss of 8.8% of the
current balance compared to 8.4% at last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "CMBS: Moody's Approach to Small Loan Transactions" published
in December 2004.
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 assessment in
the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 57 compared to 59 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output. The rating
action is a result of Moody's on-going surveillance of commercial
mortgage backed securities (CMBS) transactions. Moody's monitors
transactions on a monthly basis through a review utilizing MOST(R)
(Moody's Surveillance Trends) Reports and a proprietary program
that highlights significant credit changes that have occurred in
the last month as well as cumulative changes since the last full
transaction review. On a periodic basis, Moody's also performs a
full transaction review that involves a rating committee and a
press release. Moody's prior transaction review is summarized in a
press release dated January 20, 2012.
DEAL PERFORMANCE
As of the November 15th, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 39% to $388.2
million from $639.9 million at securitization. The Certificates
are collateralized by 146 mortgage loans ranging in size from less
than 1% to 6% of the pool, with the top ten loans representing 36%
of the pool.
Thirty-five loans are on the master servicer's watchlist,
representing approximately 20% of the pool. 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.
Twenty-five loans have been liquidated since securitization, which
have generated an aggregate loss of $40.6 million (54% average
loss severity). Currently, there are six loans in special
servicing, representing approximately 10% of the pool balance.
Moody's estimates an aggregate loss of $18.8 million (52% expected
loss on average) for all of the loans in specially servicing.
Moody's has assumed a high default probability for 14 poorly
performing loans, representing 6% of the pool ,and has estimated a
$6.1 million loss (25% expected loss based on a 50% probability
default) from these troubled loan.
Based on the most recent remittance statement, Classes E through H
have experienced cumulative interest shortfalls totaling $1.1
million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal subordinate entitlement reductions (ASERs),
reimbursement of advances for loans declared non-recoverable and
extraordinary trust expenses
Excluding specially serviced loans, Moody's was provided with full
year 2011 and partial year 2012 operating results for 87% and 64%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average loan to value (LTV) ratio is 100%
compared to 104% at Moody's prior review. Moody's net cash flow
(NCF) reflects a weighted average haircut of 10% to the most
recently available net operating income.
Excluding specially serviced and troubled loans, Moody's actual
and stressed conduit debt service coverage ratio (DSCR) is 1.19X
and 0.97X, respectively, compared to 1.16X and 0.93X at last
review. Moody's actual DSCR is based on Moody's net cash flow and
the loans actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
CPS AUTO 2012-D: Moody's Assigns '(P)B2' Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by CPS Auto Receivables Trust 2012-D. This is
the fourth senior/subordinated transaction of the year for
Consumer Portfolio Services, Inc. (CPS).
The complete rating actions are as follows:
Issuer: CPS Auto Receivables Trust 2012-D
Class A Notes, rated (P) A2 (sf);
Class B Notes, rated (P) A2 (sf);
Class C Notes, rated (P) Baa2(sf);
Class D Notes, rated (P) Ba2 (sf);
Class E Notes, rated (P) B2 (sf);
Ratings Rationale
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, the experience and expertise of CPS as
servicer, and the backup servicing arrangement with Aa3-rated
Wells Fargo Bank, N.A.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. Auto Loan-Backed Securities," published in
May 2011.
Moody's median cumulative net loss expectation for the underlying
pool is 13.0%. The loss expectation was based on an analysis of
CPS' portfolio vintage performance as well as performance of past
securitizations, and current expectations for future economic
conditions.
The Assumption Volatility Score for this transaction is
Medium/High versus a Medium for the sector. This is driven by the
Medium/High assessment for Governance due to the unrated
sponsor/servicer.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 23%, 27% or 30%,
the initial model output for the Class A notes might change from
A2 to A3, Baa3, and Ba3, respectively. If the net loss used in
determining the initial rating were changed to 18.0%, 18.5% or
22%, the initial model output for the Class B notes might change
from A2 to Ba1, Ba2, and B3, respectively. If the net loss used in
determining the initial rating were changed to 14.5%, 16%, or 18%,
the initial model output for the Class C notes might change from
Baa2 to Ba1, Ba2, and B2, respectively. If the net loss used in
determining the initial rating were changed to 14%,16% or 17%, the
initial model output for the Class D notes might change from Ba2
to B1, B3 and determining the initial rating were changed to 14.5%,16% or 18%,
the initial model output for the Class E notes might change from
B2 to
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.
CPS AUTO 2012-D: S&P Assigns Prelim. 'B+' Rating on Class E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to CPS Auto Receivables Trust 2012-D's $160 million asset-
backed notes series 2012-D.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Dec. 7,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 40.1%, 34.5%, 30.6%, 21.3%,
and 20.7% of credit support for the class A, B, C, D, and E
notes based on stressed cash flow scenarios (including excess
spread). "These credit support levels provide coverage of
2.8x, 2.3x, 1.75x, 1.5x, and 1.2x our 12.50-13.00% expected
cumulative net loss range for the class A, B, C, D ,and E
notes," S&P said.
-- The expectation that, under a moderate stress scenario of
1.75x S&P's expected net loss level, the ratings on the class
A notes will not decline by more than one rating category
during the first year, and the ratings on the class B and C
notes will not decline by more than two categories during the
first year, all else being equal. This is consistent with
S&P's credit stability criteria, which outlines the outer
bound of credit deterioration equal to a one-category
downgrade within the first year for 'AA' rated securities as
well as a two-category downgrade within the first year for
'A', 'BBB', and 'BB' rated securities.
-- The credit enhancement underlying each of the preliminary
rated notes, which is in the form of subordination,
overcollateralization, a reserve account, and excess spread
for the class A, B, C, D and E notes.
-- The timely interest and principal payments made to the
preliminary rated notes under S&P's stressed cash flow
modeling scenarios, which we believe are appropriate for the
assigned preliminary ratings.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The transaction's payment and credit enhancement structures,
which include performance triggers.
-- The transaction's legal structure.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The 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
PRELIMINARY RATINGS ASSIGNED
CPS Auto Receivables Trust 2012-D
Class Rating Type Interest Amount
rate(i) (mil. $)
A AA- (sf) Senior Fixed 122.400
B A (sf) Subordinate Fixed 14.400
C BBB (sf) Subordinate Fixed 9.600
D BB (sf) Subordinate Fixed 8.000
E B+ (sf) Subordinate Fixed 5.600
(i) The actual coupons of these tranches will be determined on the
pricing date.
CREDIT SUISSE 2004-MCW1: S&P Cuts Rating on Class M9 Certs to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Credit
Suisse International's US$5 million Park Place Securities Inc.'s
asset-backed pass through certificates series 2004-MCW1 class M9
to 'D' from 'CC'.
"Our rating on the transaction is based on the lower of (i) the
rating on the underlying security; Park Place Securities, Inc.
series 2004-MCW1's class M-9 certificates due Oct.25, 2034 ('D
(sf)') and (ii) the rating on the issuer, Credit Suisse
International ('A+/Negative/A-1')," S&P said.
"The rating action reflects the Nov. 16, 2012, lowering of our
rating on the underlying security to 'D (sf)' from 'CC (sf)'. We
may take subsequent rating actions on these transactions due to
changes in our rating assigned to the underlying security," S&P
said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
CT CDO III: Fitch Affirms Rating on 13 Note Classes
---------------------------------------------------
Fitch Ratings has affirmed 13 classes issued by CT CDO III
Ltd./Corp. The rating actions are a result of de-leveraging of
the capital structure.
Since Fitch's last rating action in January 2012, approximately 6%
of the underlying collateral has been upgraded. Currently, 36.3%
of the portfolio has a Fitch derived rating below investment grade
and 20.8% has a rating in the 'CCC' category and below. Over this
period, the class A-2 notes have received $52.6 million for a
total of $62.1 million in pay downs since issuance.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Additionally, a deterministic analysis was performed
where the recovery estimate on the distressed collateral was
modeled in accordance with the principal waterfall. An asset by
asset analysis was then performed for the remaining assets to
determine the collateral coverage for the remaining liabilities.
The class A-2 through N notes have been affirmed at their current
ratings given that their balances are covered with equal or better
rated collateral.
The Stable Outlook on the class A-2 reflects the credit quality of
the underlying collateral and the view that the transaction will
continue to delever. The Negative Outlook on the class B through
H notes reflects the risk of adverse selection as the portfolio
continues to amortize.
CT CDO III is a commercial mortgage backed securities (CMBS)
resecuritization that closed Aug. 4, 2005. The transaction is
collateralized by 15 CMBS assets from nine obligors from the 1997-
1999 vintages.
Fitch has affirmed the following classes:
-- $85,102,280 class A-2 notes at 'Asf'; Outlook Stable;
-- $29,007,000 class B notes at 'BBB+sf'; Outlook Negative;
-- $13,650,000 class C notes at 'BBBsf'; Outlook Negative;
-- $5,118,000 class D notes at 'BBB-sf'; Outlook Negative;
-- $6,825,000 class E notes at 'BB+sf'; Outlook Negative;
-- $6,825,000 class F notes at 'BB+sf'; Outlook Negative;
-- $9,811,000 class G notes at 'BBsf'; Outlook Negative;
-- $11,517,000 class H notes at 'Bsf'; Outlook Negative;
-- $6,825,000 class J notes at 'CCCsf';
-- $3,839,000 class K notes at 'CCCsf';
-- $5,118,000 class L notes at 'CCsf';
-- $5,545,000 class M notes at 'Csf';
-- $4,265,000 class N notes at 'Csf'.
DORAL CLO III: S&P Gives Prelim. 'BB' Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Doral CLO III Ltd./Doral CLO III Inc.'s $278.50 million
floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Dec. 11,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
"The preliminary ratings reflect our view of," S&P said:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
The collateral manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.31%-10.80%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
PRELIMINARY RATINGS ASSIGNED
Doral CLO III Ltd./Doral CLO III Inc.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 198.00
A-2 AA (sf) 31.50
B (deferrable) A (sf) 21.50
C (deferrable) BBB (sf) 13.00
D (deferrable) BB (sf) 14.50
Subordinated notes NR 32.30
NR - Not rated.
DRYDEN XXIII: S&P Affirms 'B' Rating on Class E Deferrable Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Dryden
XXIII Senior Loan Fund/Dryden XXIII Senior Loan Fund LLC $382
million floating-rate notes following the transaction's effective
date as of Aug. 16, 2012.
"Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The 'effective date' for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an 'effective
date rating affirmation')," S&P said.
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1166.pdf
RATINGS AFFIRMED
Dryden XXIII Senior Loan Fund/Dryden XXIII Senior Loan Fund LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.50
A-1 AAA (sf) 270.50
A-2a AA (sf) 19.75
A-2b AA (sf) 15.00
B (deferrable) A (sf) 28.75
C (deferrable) BBB (sf) 20.25
D (deferrable) BB (sf) 16.25
E (deferrable) B (sf) 9.00
DRYDEN XXV: S&P Rates Class E Deferrable Notes 'BB'
---------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Dryden
XXV Senior Loan Fund/Dryden XXV Senior Loan Fund LLC's $558.00
million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior-secured loans.
The ratings reflect S&P's view of:
The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes;
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and its cash flow structure,
which can withstand the default rate that Standard & Poor's
CDO Evaluator model projected, which Standard & Poor's
assessed using the assumptions and methods outlined in its
corporate collateralized debt obligation (CDO) criteria;
The transaction's legal structure, which is expected to be
bankruptcy remote;
The diversified collateral portfolio, which comprises
primarily broadly syndicated, speculative-grade, senior
secured term loans;
The asset manager's experienced management team;
Standard & Poor's projections regarding the timely payments of
interest and ultimate repayment of principal on the rated
notes, which it assessed using its cash flow analysis and
assumptions commensurate with the assigned ratings under
various interest rate scenarios, including LIBOR ranging from
0.31%-12.81%; and
The transaction's overcollateralization and interest coverage
tests, a failure of either of which will lead to the diversion
of interest and principal proceeds to reduce the balance of
the rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
RATINGS ASSIGNED
Dryden XXV Senior Loan Fund/Dryden XXV Senior Loan Fund LLC
Class Rating Amount
(mil. $)
A AAA (sf) 386.40
B-1 AA (sf) 46.00
B-2 AA (sf) 23.00
C (deferrable) A (sf) 48.00
D (deferrable) BBB (sf) 29.40
E (deferrable) BB (sf) 25.20
Subordinated notes NR 66.00
NR - Not rated.
EVANGELICAL HOMES: Fitch Rates Series 2012 Bonds 'BB+'
------------------------------------------------------
Fitch Ratings has assigned a 'BB+' rating to the following bonds
expected to be issued on behalf of Evangelical Homes of Michigan
(EHM):
-- $24,090,000 Michigan Strategic Fund limited obligation
revenue and refunding, series 2012
-- $10,585,000 Econ Dev Corp of the City of Saline (MI) limited
obligation revenue refunding bonds, series 2012
The proceeds of the series 2012 bonds will be used to refund EHM's
outstanding series 1997 and series 2008 variable rate bonds, pay
off a line of credit and swap termination loans, reimburse for
prior capital expenditures, finance future routine capital
expenditures, fund a debt service reserve fund and to pay costs of
issuance. The bonds are expected to price in late December via
negotiation.
The Rating Outlook is Stable.
Key Rating Drivers
IMPROVING OPERATING PROFITABILITY: Operating performance has
improved since 2010 due to effective strategic planning and cost
management, with net operating margin improving from 4.5% in
fiscal 2010 to 5.5% in fiscal 2012.
LIGHT DEBT BURDEN: EHM's light debt burden, with pro forma maximum
annual debt service (MADS) equal to 5.2% of revenue in fiscal
2012, allows for solid historical pro-forma debt service coverage
of 1.6x in 2012.
ADEQUATE LIQUIDITY METRICS: Overall, EHM's liquidity is sufficient
for the rating. Pro forma cushion ratio is solid at 6.3x at Sept.
30, 2012; however, cash to pro forma debt is light at 41.0%.
HIGH EXPOSURE TO SKILLED NURSING: Over 70% of EHM's total
consolidated revenues are generated from its skilled nursing
services, which Fitch believes makes EHM's operations inherently
more vulnerable to changes in reimbursement, as well as subject to
relatively higher rates of attrition than a continuing care
retirement community with a higher proportion of assistant and
independent living units.
CONSISTENTLY STRONG OCCUPANCY: Strong and consistent occupancy is
a key credit strength. EHM has maintained solid occupancy levels
with ILU, ALU and SNF occupancy averaging 90.3%, 88.9% and 95.3%,
respectively, since fiscal 2010.
Credit Profile
The 'BB+' rating is supported by EHM's improved operating
performance, light debt burden which allows for solid coverage,
mixed liquidity metrics and consistently strong occupancy. Credit
concerns include EHM's high exposure to skilled nursing which can
be more volatile relative to both ILU and ALU.
Operating performance improved in 2011 and 2012 due to effective
strategic planning and cost management which limited expense
growth to an average of 7.2% per year since fiscal 2010 against an
operating revenue increase of 8.2% per year. Operating ratio has
been stable at approximately 98% since fiscal 2010; however, net
operating margin improved from 4.5% to 5.5% in fiscal 2012.
Improved performance was due primarily to increased private payor
rates, the fill up of a memory support center which opened in
fiscal 2010, increased home care revenue and improved productivity
levels. Operating improvements were sustained in the five month
interim period ending Sept. 30, 2012 with net operating margin
equal to 5.2%.
EHM's light debt burden allows for solid coverage of debt service.
Pro forma MADS is expected to equal approximately $2.5 million and
was provided by the underwriter. Pro forma MADS coverage of 1.6x
in fiscal 2012 compares favorably to Fitch's 'BBB' category median
of 1.0%.
Liquidity metrics are mixed, but adequate for the rating category.
Unrestricted liquidity decreased from $16.7 million at April 30,
2011 to $15.5 million at Sept. 30, 2012 primarily due to capital
spending to complete the Redies Rehabilitation Center. Despite
the decrease, pro forma cushion ratio remains solid at 6.3x.
However, liquidity is relatively weak against operating expenses
with 114.6 days cash on hand at Sept. 30, 2012. Capital needs are
expected to be modest in the near to mid-term which should allow
for strengthened liquidity.
Post issuance, EHM will have approximately $37.8 million of long
term debt (including an operating line of credit) which equates to
a light 41.0% cash to debt and 72% adjusted pro forma debt to
capitalization. Upon closing, EMH will have 100% fixed rate
committed capital, which Fitch views positively.
EHM has maintained consistently strong occupancy levels. ILU, ALU
and SNF occupancy averaged 90.3%, 88.9% and 95.3% since fiscal
2010, respectively and equaled 93.0%, 94.5% and 95.0% at September
30, 2012. ALU occupancy decreased to 77.0% at April 30, 2011 due
to the addition of 34 memory care beds. The beds filled up
quickly and ALU occupancy rebounded to 95.2% at April 30, 2012.
Fitch's primary credit concern includes EHM's reliance on skilled
nursing services which accounted for approximately 74% of total
consolidated revenues in fiscal year 2012. Fitch believes EHM's
relatively high proportion of skilled nursing units to total units
make it inherently more vulnerable to Medicare and Medicaid
reimbursement changes, and to relatively higher rates of
attrition. At Sept. 30, 2012 EHM's payor mix in the SNFs was 43%
Medicare, 33% Medicaid and 24% private pay. Fitch notes that EHM
has made strategic moves to diversify its revenue stream via
products and services targeted to private pay clientele.
The Stable Outlook is based upon Fitch's expectation that
occupancy levels will be maintained and that operating performance
continues at current levels providing consistent debt service
coverage and modest liquidity growth.
Evangelical Homes of Michigan, headquartered in Detroit, provides
home support, senior housing, skilled healthcare, rehabilitation,
hospice care and memory support services from various locations
across the metro area. Total operating revenue equaled $46.1
million in fiscal 2012. Upon closing of the series 2012 bonds,
EHM will covenant to provide quarterly disclosure within 60 days
of each fiscal quarter end and annual disclosure within 120 days
of fiscal year-end. Disclosure is posted to the Municipal
Securities Rulemaking Board's EMMA website.
GE CAPITAL 2002-2: Moody's Cuts Rating on Cl. X-1 Certs. to Caa2
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of two classes and
downgraded one CMBS class of GE Capital Commercial Mortgage
Corporation, Commercial Mortgage Pass-Through Certificates, Series
2002-2 as follows:
Cl. N, Affirmed at B2 (sf); previously on Aug 15, 2002 Definitive
Rating Assigned B2 (sf)
Cl. O, Affirmed at Caa1 (sf); previously on Mar 1, 2006 Downgraded
to Caa1 (sf)
Cl. X-1, Downgraded to Caa2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
RATINGS RATIONALE
The affirmation of the principal classes is 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 IO Class, Class X-1, is downgraded due to significant pay
downs and a decline in credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 18.9% of
the current balance compared to 1.8% at last review. Although
Moody's base expected loss is higher on a percentage basis due to
significant payoffs since last review, it is actually lower on a
dollar basis - $5.7 million compared to $12.5 million at last
review. Moody's base plus realized losses totals 1.4% of the
original balance compared to 2.1% at last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000 and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying 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
underlying rating 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 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 ver1.1
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 6 compared to 29 at last review.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.5. 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 December 9, 2011.
DEAL PERFORMANCE
As of the November 13, 2012 distribution date, the transaction's
aggregate certificate balance has decreased 97% to $30.1 million
from $972 million at securitization. The Certificates are
collateralized by six mortgage loans ranging in size from 5% to
44% of the pool. No loans are defeased and there are no loans with
an investment grade credit assessment.
There is presently one loan, representing 44% of the pool, 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.
Four loans have been liquidated from the pool since
securitization, resulting in an aggregate $8.3 million loss (15%
loss severity on average). Currently four loans, representing 32%
of the pool, are in special servicing. Moody's estimates a 30%
overall expected loss from these loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 100% of the performing pool. Excluding
specially serviced loans, Moody's weighted average conduit LTV is
102% compared to 79% at last review. Moody's net cash flow
reflects a weighted average haircut of 10.0% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 8.25%.
Excluding specially serviced loans, Moody's actual and stressed
conduit DSCRs are 1.13X and 0.91X, respectively, compared to 1.36X
and 1.40X, respectively, at last full review. Moody's actual DSCR
is based on Moody's net cash flow (NCF) and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The top two performing conduit loans represent 68% of the pool
balance. The largest loan is the Sterling University Gables Loan
($13.3 million -- 44.0%), which is secured by the borrower's
interest in a 180-unit garden style apartment complex in
Murfreesboro, Tennessee. The property was 97% leased as of June
2012 compared to 98% at last review. The loan is on the servicer's
watchlist due to low DSCR. The loan matures in June 2013 and has
amortized 12% since securitization. Moody's LTV and stressed DSCR
are 116% and 0.77X, respectively, compared to 113% and 0.79X at
last review.
The second largest conduit loan is the Sterling University Court
Loan ($7.1 million -- 23.6%), which is secured by a 138-unit
multi-family property located in Lansing, Michigan. The complex
was 93% leased as of December 2011 compared to 94% at last review.
Moody's LTV and stressed DSCR are 77% and 1.17X, respectively,
compared to 62% and 1.45X at last full review.
GE COMMERCIAL 2005-1: Fitch Puts 'D' Rating on Six Cert. Classes
----------------------------------------------------------------
Fitch Ratings has downgraded four classes and removed seven
classes from Rating Watch Negative of GE Commercial Mortgage
Corporation (GECMC) commercial mortgage pass-through certificates
series 2005-C1.
Classes AJ through G were placed on Rating Watch Negative due to
interest shortfalls on the August 2012 payment date. The
shortfalls were the result of the liquidation of the Washington
Mutual Buildings loan, which also resulted in an approximately $46
million loss to the trust. While the interest shortfalls to
Classes AJ, and B were cured as of the November 2012 payment date,
Fitch believes that there is a possibility that interest
shortfalls could again affect these classes again prior to class
repayment. According to Fitch's global criteria for rating caps,
Fitch will not assign or maintain 'AAAsf' or 'AAsf' ratings for
notes that it believes have a high level of vulnerability to
interest shortfalls or deferrals, even if permitted under the
terms of the documents (for more information please see the full
report titled 'Criteria for Rating Caps in Global Structured
Finance Transactions', dated Aug. 2, 2012, at
www.fitchratings.com). Interest shortfalls are currently
impacting classes D through P.
The downgrades to classes F and G reflect an increase in both
actual and expected losses since Fitch's last review primarily due
to the August 2012 liquidation of the Washington Mutual Buildings
loan, as well as newly transferred assets and updated valuations
of properties currently in special servicing. Fitch modeled
losses of 2.8% of the remaining pool; expected losses on the
original pool balance total 5.8%, including losses already
incurred. The pool has experienced $69.8 million (4.2% of the
original pool balance) in realized losses to date. Fitch has
designated 21 loans (23.7%) as Fitch Loans of Concern, which
includes four specially serviced assets (5.6%).
As of the November 2012 distribution date, the pool's aggregate
principal balance has been reduced by 42.1% to $969 million from
$1.67 billion at issuance. Per the servicer reporting, nine loans
(9.2% of the pool) have defeased since issuance.
The largest contributor to Fitch-expected losses is the specially-
serviced Skytop Pavilion loan (1.4% of the pool), which is secured
by a 133,631 square foot (sf) grocery anchored retail center in
Cincinnati, OH. The property is anchored by Bigg's (51.3% net
rentable area [NRA]), a subsidiary of Supervalue Inc. (rated 'CCC'
by Fitch). The property has experienced cash flow issues since
second quarter 2011, primarily due to the vacancy of Gold's Gym
(previously 33.9% NRA). The July 2012 rent roll reported
occupancy at 65%. The year end (YE) December 2011 net operating
income (NOI) debt service coverage ratio (DSCR) reported at 1.05
times (x). The loan transferred to special servicing in May 2012
for payment default. The servicer is in discussions with the
borrower for potential workout scenarios.
The next largest contributor to Fitch-expected losses is a
62,177sf office building in Bay Shore, NY (0.6%). The property
has experienced cash flow issues from occupancy declines. The
loan transferred to special servicing in June 2011 for payment
default. The servicer-reported occupancy was 29% as of June 2012.
The borrower has recently been unresponsive to contact attempts by
the servicer. The servicer is currently pursuing foreclosure.
The third largest contributor to Fitch-expected losses is the
Lakeside Mall loan (8.6%), which is secured by the in-line space
and one of five anchors (Macy's Men's & Home) of a two-level 1.5
million SF regional mall located in Sterling Heights, MI within
the Detroit metropolitan statistical area (MSA). Additional non-
collateral anchors include Lord & Taylor and Sears. The servicer
reported the collateral occupancy at 75% as of December 2011. The
NOI DSCR reported at 1.25x YE December 2011, compared to 1.36x at
YE December 2010. The loan is sponsored by General Growth
Properties, and is current as of the November 2012 payment date.
Fitch downgrades and assigns Outlooks and Recovery Estimates (REs)
to the following classes as indicated:
-- $110.9 million class A-J to 'Asf' from 'AAAsf'; Outlook
Stable;
-- $41.9 million class B to 'Asf' from 'AAsf'; Outlook Stable;
-- $23 million class F to 'CCCsf' from 'BBsf'; RE 100%;
-- $14.6 million class G to 'CCsf' from 'B-sf'; RE 85%.
Fitch affirms and assigns or revises Rating Outlooks and REs as
indicated for the following classes:
-- $120.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $36.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $20.6 million class A-AB at 'AAAsf'; Outlook Stable;
-- $457.9 million class A-5 at 'AAAsf'; Outlook Stable;
-- $68.2 million class A-1A at 'AAAsf'; Outlook Stable
-- $16.7 million class C at 'Asf'; Outlook Stable;
-- $27.2 million class D at 'BBBsf'; Outlook Negative;
-- $14.6 million class E at 'BBB-sf'; Outlook Negative;
-- $16 million class H at 'Dsf'; RE 0%;
-- Class J at 'Dsf'; RE 0%;
-- Class K at 'Dsf'; RE 0%;
-- Class L at 'Dsf'; RE 0%;
-- Class M at 'Dsf'; RE 0%;
-- Class N at 'Dsf'; RE 0%;
-- Class O at 'Dsf'; RE 0%.
Classes A-J, B, C, D, E, F, and G have been removed from Rating
Watch Negative.
Classes J, K, L, M, N, and O have been reduced to zero due to
realized losses. The class A-1 and A-2 certificates have paid in
full. Fitch does not rate the class P certificates. Fitch
previously withdrew the ratings on the interest-only class X-P and
X-C certificates.
GLOBAL LEVERAGED: Moody's Lifts Rating on Cl. I Notes to 'B2'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Global Leveraged Capital Credit
Opportunity Fund I:
U.S.$39,000,000 Class B Second Priority Senior Notes Due 2018,
Upgraded to Aa1 (sf); previously on November 22, 2011 Upgraded to
Aa2 (sf);
U.S.$40,500,000 Class C Third Priority Subordinated Deferrable
Notes Due 2018, Upgraded to A2 (sf); previously on November 22,
2011 Upgraded to Baa1 (sf);
U.S.$23,750,000 Class D Fourth Priority Subordinated Deferrable
Notes Due 2018, Upgraded to Baa2 (sf); previously on November 22,
2011 Upgraded to Ba1 (sf);
U.S.$18,500,000 Class E-1 Fifth Priority Subordinated Deferrable
Notes Due 2018, Upgraded to Ba2 (sf); previously on November 22,
2011 Upgraded to Ba3 (sf);
U.S.$7,750,000 Class E-2 Fifth Priority Subordinated Deferrable
Notes Due 2018, Upgraded to Ba2 (sf); previously on November 22,
2011 Upgraded to Ba3 (sf);
U.S.$25,000,000 Class I Combination Notes Due 2018 (current rated
balance of $3,545,591), Upgraded to B2 (sf); previously on
November 22, 2011 Upgraded to Caa1 (sf).
Moody's has also downgraded the rating of the following notes:
SGD13,200,000 Class P-2 Principal Protected Notes Due 2018
(current rated balance of SGD10,929,943), Downgraded to Baa2 (sf);
previously on November 22, 2011 Upgraded to Baa1 (sf).
RATINGS RATIONALE
According to Moody's, the upgrades on the notes reflect the
benefit of the end of the deal's reinvestment period in October
2012. In consideration of the reinvestment restrictions applicable
during the amortization period, and therefore limited ability to
effect significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive buffer
relative to certain covenant requirements. In particular, the deal
is assumed to benefit from a lower WARF compared to the level
assumed at the last rating action in November 2011. Moody's
modeled a WARF of 3863 compared to 4071 at the time of the last
rating action. Additionally, the deal benefited from an
improvement in the weighted average recovery rate of the
collateral pool since the last rating action, to 46.19% from
43.56% based on Moody's calculation.
The overcollateralization ratios of the rated notes have also
improved since the rating action in November 2011. The Class A/B,
Class C, Class D and Class E overcollateralization ratios are
reported at 144.77%, 126.86%, 118.28% and 110.05%, respectively,
versus September 2011 levels of 141.70%, 124.27%, 115.90% and
107.88%%, respectively, and all related overcollateralization
tests are currently in compliance.
The downgrade on the Class P-2 notes reflects a change to Moody's
rating of the Class P-2 SGD Strip, which currently consists of
SGD11,000,000 in face value of a Singapore dollar denominated
stripped zero coupon bond due December 20, 2018, issued by Merrill
Lynch & Co., Inc. Moody's current senior unsecured rating of
Merrill Lynch & Co. is Baa2.
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 $417.6 million,
defaulted par of $35 million, a weighted average default
probability of 28.17% (implying a WARF of 3863), a weighted
average recovery rate upon default of 46.19%, and a diversity
score of 48. 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.
Global Leveraged Capital Credit Opportunity Fund I, issued in
December 2006, is a collateralized loan obligation backed
primarily by a portfolio of senior secured loans, with significant
exposure to middle-market 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.
For securities whose default probabilities are assessed through
credit estimates ("CEs"), Moody's applied additional default
probability stresses. Specifically, the default probability
stresses include (1) a one-notch equivalent downgrade assumed for
CEs updated between 12-15 months ago; and (2) assuming an
equivalent of Caa3 for CEs that were not updated within the last
15 months. Moody's notes that approximately 17.7% of the assets in
the collateral pool either do not have a CE or have a CE that has
not been updated for more than 15 months.
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% (3091)
Class A: 0
Class B: 0
Class C: +1
Class D: +2
Class E-1: +1
Class E-2: +1
Class I Combo: 0
Moody's Adjusted WARF + 20% (4636)
Class A: 0
Class B: -1
Class C: -2
Class D: -2
Class E-1: -1
Class E-2: -1
Class I Combo: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices. Moody's also performed sensitivity analyses to test the
ratings impact of assuming lower recoveries on the defaulted
assets.
3) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates. Moody's also conducted stress tests to assess
the collateral pool's concentration risk in obligors bearing a
credit estimate that constitute more than 3% of the collateral
pool.
4) The deal has a pay-fixed receive-floating interest rate swap
that is currently out of the money. If fixed rate assets prepay or
default, there would be a more substantial mismatch between the
swap notional and the amount of fixed assets. In such cases,
payments to hedge counterparties may consume a large portion or
all of the interest proceeds, leaving the transaction, even with
respect to the senior notes, with poor interest coverage. Payment
timing mismatches between assets and liabilities may cause
additional concerns. If the deal does not receive sufficient
projected principal proceeds on the payment date to supplement the
interest proceeds shortfall, a heightened risk of interest payment
default could occur. Similarly, if principal proceeds are used to
pay interest, there may ultimately be a risk of payment default on
the principal of the notes.
GMAC COMMERCIAL 1999-C2: Moody's Hikes Rating on J Certs. to Ba1
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed five classes of GMAC Commercial Mortgage Securities,
Inc., Commercial Mortgage Pass-Through Certificates, Series 1999-
C2 as follows:
Cl. F, Affirmed at Aaa (sf); previously on Jan 28, 2011 Upgraded
to Aaa (sf)
Cl. G, Affirmed at Aaa (sf); previously on Dec 9, 2011 Upgraded to
Aaa (sf)
Cl. H, Upgraded to Baa1 (sf); previously on Dec 9, 2011 Upgraded
to Baa2 (sf)
Cl. J, Upgraded to Ba1 (sf); previously on Dec 9, 2011 Upgraded to
Ba2 (sf)
Cl. K, Affirmed at Caa3 (sf); previously on Dec 9, 2011 Upgraded
to Caa3 (sf)
Cl. L, Affirmed at C (sf); previously on Mar 30, 2007 Downgraded
to C (sf)
Cl. X, Affirmed at B3 (sf); previously on Feb 22, 2012 Downgraded
to B3 (sf)
RATINGS RATIONALE
The upgrades are due to increased credit subordination levels and
overall stable pool performance. The pool has paid down 8% since
Moody's prior review.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR), the Herfindahl Index (Herf), and the WARF of CTL component
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings. The
rating of the IO Class, Class X, is consistent with the credit
performance of its respective referenced classes and thus is
affirmed.
Moody's rating action reflects a base expected loss of 7.0% of the
current balance, the same as last review. Moody's current base
expected loss plus cumulative realized losses is 2.2% of the
original balance, the same as last review. Moody's provides a
current list of base losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000 and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
In rating this transaction, Moody's used also its credit-tenant
lease ("CTL") financing methodology approach ("CTL" approach) .
Under Moody's CTL approach, the rating of a transaction's
certificates is primarily based on the senior unsecured debt
rating (or the corporate family rating) of the tenant, usually an
investment grade rated company, leasing the real estate collateral
supporting the bonds. This tenant's credit rating is the key
factor in determining the probability of default on the underlying
lease. The lease generally is "bondable", which means it is an
absolute net lease, yielding fixed rent paid to the trust through
a lock-box, sufficient under all circumstances to pay in full all
interest and principal of the loan. The leased property should be
owned by a bankruptcy-remote, special purpose borrower, which
grants a first lien mortgage and assignment of rents to the
securitization trust. The dark value of the collateral, which
assumes the property is vacant or "dark", is then examined to
determine a recovery rate upon a loan's default. Moody's also
considers the overall structure and legal integrity of the
transaction. For deals that include a pool of credit tenant loans,
Moody's currently uses a Gaussian copula model, incorporated in
its public CDO rating model CDOROMv2.8-8 to generate a portfolio
loss distribution to assess the ratings.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a 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 5, the same as at securitization.
In cases where the Herf falls below 20, Moody's employs also the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5. 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 December 9, 2011.
DEAL PERFORMANCE
As of the November 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $93.0
million from $974.5 million at securitization. The Certificates
are collateralized by 18 mortgage loans ranging in size from less
than 1% to 33% of the pool, with the top ten non-defeased loans
representing 92% of the pool. Seven loans, representing 78% of the
pool, are secured by credit tenant leases (CTLs). Seven loans,
representing 7% of the pool, have defeased and are secured by U.S.
Government securities.
One loan, representing 2% of the pool, is on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of its ongoing
monitoring of a transaction, Moody's reviews the watchlist to
assess which loans have material issues that could impact
performance.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $21.6 million (16% loss severity on
average).
There are no loans currently in special servicing.
Moody's was provided with full year 2011 and partial year 2012
operating results for 100% and 60%, respectively, of the pool,
excluding defeasance and CTL loans. The conduit portion of the
deal is composed of four loans. Moody's weighted average conduit
LTV is 51% compared to 52% at Moody's prior review. Moody's net
cash flow reflects a weighted average haircut of 16% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.49X and 2.6X,
respectively, compared to 1.49X and 2.41X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three conduit loans represent 12% of the outstanding pool
balance. The largest loan is the Bal Seal Engineering Loan ($5.5
million -- 5.9%), which is secured by a 125,000 square foot
industrial property located in Foothill Ranch, California. The
property is 100% leased to Bal Seal Engineering Company through
January 2019. Performance has been stable. Moody's LTV and
stressed DSCR are 36% and 3.03X, respectively, compared to 40% and
2.71X at last review.
The second largest loan is the Anchorage Business Park Loan ($3.8
million -- 4.1%), which is secured by a 189,000 square foot retail
center located in Anchorage, Alaska. The property was 93% leased
as of June 2012, compared to 98% at last review. Performance has
been stable. Moody's LTV and stressed DSCR are 32% and 3.34X,
respectively, compared to 33% and 3.16X at last review.
The third largest loan is the Dendrite Office Building Loan ($2.2
million -- 2.4%), which is secured by a 26,280 square foot office
complex located in Basking Ridge, New Jersey. The property was 76%
leased as of October 2012. Performance has declined due to lower
revenues. The loan is on the servicer's watchlist due to low DSCR
and occupancy. Moody's LTV and stressed DSCR are 115% and 0.94X,
respectively, compared to 85% and 1.27X at last review.
The CTL component includes seven loans ($72.8 million -- 78.3%)
secured by properties leased to six tenants under bondable leases.
The largest exposures are Ingram Micro Inc. (Moody's senior
unsecured rating Baa3, stable outlook; 61% of the CTL component),
CarMax (20% of the CTL component), and Costco Wholesale
Corporation (Moody's senior unsecured rating A1; stable outlook;
13% of the CTL component).
Credits representing approximately 80% of the CTL exposure are
publicly rated by Moody's. The bottom-dollar weighted average
rating factor (WARF) for the CTL component is 1,495 compared to
1,473 at last review. WARF is a measure of the overall quality of
a pool of diverse credits. The bottom-dollar WARF is a measure of
the default probability within the pool.
GMAC COMMERCIAL 2002-C1: Moody's Cuts Class M Secs. Rating to 'C'
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of two classes
and affirmed three classes of GMAC Commercial Mortgage Securities,
Inc., Series 2002-C1 as follows:
Cl. K, Affirmed at Caa1 (sf); previously on Jun 2, 2011
Downgraded to Caa1 (sf)
Cl. L, Affirmed at Caa3 (sf); previously on Dec 9, 2011
Downgraded to Caa3 (sf)
Cl. M, Downgraded to C (sf); previously on Sep 2, 2010
Downgraded to Ca (sf)
Cl. N, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded
to C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Ratings Rationale
The downgrade of the principal class is due primarily to the
accelerated timing of realized losses affecting the bottom of the
capital stack.
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 Class, Class X-1, is downgraded to reflect
the credit performance of its referenced classes.
Moody's rating action reflects a base expected loss of
approximately 32% of the current deal balance. At last review,
Moody's cumulative base expected loss was approximately 25%.
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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000 and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit 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 underlying rating
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 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 ver1.1
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 5 compared to a Herf of 14 at Moody's prior
review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 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 December 9, 2011.
Deal Performance
As of the November 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $22 million
from $710 million at securitization. The Certificates are
collateralized by 7 mortgage loans ranging in size from less than
6% to 30% of the pool. The pool contains no loans with investment
grade credit assessments and no defeased loans.
There are no loans on the master servicer's watchlist. Twenty-two
loans have liquidated from the pool, resulting in an aggregate
realized loss of $23.4 million (27% average loan loss severity).
Currently, four loans, representing 75% of the pool, are in
special servicing. The largest specially serviced loan is the
Blenheim Apartments Loan ($6 million -- 30% of the pool), which is
secured by a 156-unit, high-end, multifamily property located in
Houston, Texas. Property occupancy was 92% in March 2012 compared
to 93% at year-end 2010 reporting. Property-level performance has
been stable, with a slight recent uptick in performance from
higher rents. A modification was recently granted by the special
servicer to extend the loan maturity to January 2013 in order to
provide the loan sponsor additional time to arrange a loan payoff.
The second-largest loan in special servicing is the Barton Press
Loan ($4 million -- 20% of the pool). The loan is secured by a
vacant 192,000 square foot industrial property situated on a 9-
acre site located in West Orange, New Jersey. The property was
included in a recent municipal re-zoning from industrial to
residential use. Property improvements are in very poor condition
and will likely have to be razed to make way for future economic
use of the site. The loan transferred to special servicing in July
2011 due to imminent monetary default. The loan was included in a
November 2012 note sale, but failed to sell. The asset was deemed
non-recoverable by the master servicer in August 2012.
The third loan in special servicing is the Whispering Pines
Apartments Loan ($3 million -- 16% of the pool). The loan is
secured by a 207-unit multifamily property located in Colorado
Springs, Colorado, built in 1968. Property occupancy was 96% in
October 2012 compared to 95% at year-end 2011 and 92% at year-end
2010. The loan transferred to special servicing in November 2011
due to imminent maturity default. According to the servicer, the
loan sponsor has had trouble refinancing the property due to its
age. After rejecting several modification proposals, the special
servicer will likely pursue a foreclosure strategy.
Moody's estimates an aggregate $6 million loss (40% expected loss
severity overall) for all specially serviced loans.
Moody's was provided with full-year 2011 and partial year 2012
operating results for 100% of the three loans in performing pool.
Excluding specially-serviced loans, Moody's weighted average LTV
is 75% compared to 68% at last full review. Moody's net cash flow
reflects a weighted average haircut of 12.0% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 10.0%.
Excluding troubled loans, Moody's actual and stressed DSCRs are
0.94X and 1.51X, respectively, compared to 1.73X and 1.69X 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 25% of the pool. The
largest loan is the Safeway Gaithersburg Loan ($3 million -- 12%
of the pool), which is secured by a ground lease at the "Goshen
Oaks Center", a strip retail shopping center located in
Gaithersburg, Maryland. The property is 100% leased to Safeway
Inc. (Moody's senior unsecured rating Baa3, stable outlook)
through September 2029. The property has been 100% occupied since
securitization. Performance has been stable. The loan is fully-
amortizing. Moody's current LTV and stressed DSCR are 94% and
1.16X, respectively, compared to 98% and 1.11X at last review.
The second-largest loan is the Walgreen Oklahoma City Loan ($2
million -- 7% of the pool), which is secured by a 15,000 square
foot retail property located in Oklahoma City, Oklahoma. The
property is 100% leased to Walgreen Co. (Moody's senior unsecured
rating Baa1, negative outlook) under a triple-net lease through
December 2020. Performance has been stable. The loan is fully-
amortizing. Moody's current LTV and stressed DSCR are 62% and
1.75X, respectively, compared to 66% and 1.63X at last review.
The third-largest loan is the Walgreens Lafayette Loan ($1 million
-- 6% of the pool). The loan is secured by a 15,000 square foot
retail property located in downtown Lafayette, Louisiana. The
property is 100% leased to Walgreen Co. (Moody's senior unsecured
rating Baa1, negative outlook) under a triple-net lease through
December 2020. Performance has been stable. The loan is fully-
amortizing. Moody's current LTV and stressed DSCR are 56% and,
1.92X respectively, compared to 62% and 1.76X at last review.
GMAC COMMERCIAL 2003-C3: S&P Hikes S-AFR4 Certs. Rating From 'BB+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
S-AFR commercial mortgage pass-through certificates to 'AA+ (sf)'
from GMAC Commercial Mortgage Securities Inc.'s series 2003-C3, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
"The upgrades reflect the full defeasance of the collateral
securing the AFR/Bank of America Portfolio whole loan with U.S.
government obligations and application of our U.S. CMBS defeasance
criteria. The commercial real estate securing the AFR/Bank of
America Portfolio whole loan have been released from the
respective liens and substituted by defeasance collateral
consisting of U.S. government obligations. The class S-AFR raked
certificates currently derive 100% of their respective cash flows
from U.S. government obligations. Prior to the defeasance, the
class S-AFR raked certificates derived 100% of their cash flows
from the subordinate B note of the AFR/Bank of America Portfolio
whole loan. The whole loan was secured by a portfolio of 152
office properties, operations centers and retail bank branches
totaling 7.8 million sq. ft. in 19 U.S. states," 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
RATINGS RAISED
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2003-C3
Rating
Class To From
S-AFR1 AA+ (sf) A (sf)
S-AFR2 AA+ (sf) A- (sf)
S-AFR3 AA+ (sf) BBB+ (sf)
S-AFR4 AA+ (sf) BB+ (sf)
GS COMMERCIAL 2012-GCJ9: Moody's Rates Class F Certificates 'B2'
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to twelve classes
of CMBS securities, issued by GS Commercial Mortgage Trust 2012-
GCJ9, Commercial Mortgage Pass-Through Certificates, Series 2012-
GCJ9.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Definitive Rating Assigned Aaa (sf)
Cl. A-S, Definitive Rating Assigned Aaa (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Ba3 (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba2 (sf)
Cl. F, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
The Certificates are collateralized by 74 fixed rate loans secured
by 135 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 1.57X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.03X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 101.8% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio (inclusive of subordinated, mezzanine and debt-like
preferred equity financing) of 105.6% is also considered when
analyzing various stress scenarios for the rated debt.
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 2.10, which is lower
than the indices calculated in most multi-borrower transactions
since 2009. The low weighted average grade is indicative of the
strong market composition of the pool and the stability of the
cash flows underlying the assets.
The pool's small market percentage is 22.8%, which is in line than
other multi-borrower deals rated by Moody's since the financial
crisis and implies that the assets in the pool are generally in
major markets. Properties situated in major markets tend to
exhibit more cash flow and capitalization rate stability over time
compared to assets located in smaller or tertiary markets.
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
24.3. 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 29.2. 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-S to mitigate the potential increased
severity to class A-S.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.61
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 ver1.0, which references
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type corresponding to an IO type as defined in
the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, and 22%, the model-indicated rating for the currently
rated Aaa Super Senior class would be Aaa, Aaa, and Aa1,
respectively; for the most junior Aaa rated class A-S would be
Aa1, Aa2, and Aa3, 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.
GS MORTGAGE II 2005-ROCK: S&P Cuts Rating on Class J Certs to BB+
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
J trust pass-through certificates from GS Mortgage Securities
Corp. II's series 2005-ROCK, a U.S. commercial mortgage-backed
securities (CMBS) transaction, and removed it from CreditWatch
with negative implications. "At the same time, we affirmed our
ratings on 11 other classes and removed seven of them from
CreditWatch with negative implications, where we placed them on
Sept. 5, 2012," S&P said.
"The rating actions follow our analysis of the transaction using
our recently updated criteria for rating U.S. and Canadian CMBS
transactions, and the application of the criteria was the primary
driver of the rating actions. The analysis of stand-alone (single
borrower) transactions is predominantly a recovery-based approach
that assumes a loan default. Reflecting this approach, our
property-level analysis included a revaluation of a portfolio of
12 individual office/retail properties and plaza totaling 6.6
million sq. ft. in midtown Manhattan (Rockefeller Center). The
mortgage loan in the trust is secured by a first priority mortgage
(up to a maximum of $1.21 billion) on the fee and leasehold
interests of the borrower in Rockefeller Center and a first
priority pledge of all of the equity interests in the borrower.
Based on our analysis, we derived our sustainable net cash flow,
which we then divided by a capitalization rate of 6.25% to
determine our expected-case value. This yielded a loan-to-value
ratio of 42.1%," S&P said.
"We based the downgrade of class J to 'BB+ (sf)' on our recently
updated criteria for rating U.S. and Canadian CMBS transactions,
which applies a credit enhancement minimum equal to 1% of the
transaction or loan amount to address the potential for unexpected
trust expenses that may be incurred during the life of the loan or
transaction. These potential unexpected trust expenses may include
servicer fees, servicer advances, workout or corrected mortgage
fees, and potential trust legal fees," S&P said.
"The affirmed ratings on the principal and interest certificate
classes reflect subordination and liquidity support levels that
are consistent with the outstanding ratings. We tempered our
rating actions because the mortgage is recorded at $1.21 billion
and the maximum amount recoverable in a mortgage foreclosure
action may not be sufficient to repay the loan. Any amount over
$1.21 billion would be considered unsecured debt of the borrower.
Additionally, in connection with a foreclosure on the equity
pledge before a foreclosure on the mortgage, significant real
property transfer tax would be payable by the trust because the
resulting transfer would be treated as a transfer of property
under New York law," S&P said.
"We affirmed our 'AAA (sf)' rating on the class X-1 interest-only
(IO) certificates based on our current criteria," S&P said.
"We based our analysis, in part, on a review of the borrower's
operating statements for the collateral office/retail properties
for the nine months ended Sept. 30, 2012, year-end 2011 and 2010,
and the June 2012 rent rolls. The master servicer, Wells Fargo
Bank N.A., reported an overall occupancy of 94.1% as of June 30,
2012, and a debt service coverage of 2.23x for the same reporting
period," S&P said.
"As of the Dec. 3, 2012, trustee remittance report, the mortgage
loan has a trust and whole loan balance of $1.685 billion. In
addition, the equity interests in the borrower of the whole loan
secure a subordinate mezzanine loan totaling $320.0 million. The
mortgage loan is IO, pays interest based on 5.6435% per annum, and
matures on May 1, 2025," 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 LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
GS Mortgage Securities Corp. II
Trust pass-through certificates series 2005-ROCK
Rating
Class To From
J BB+ (sf) A- (sf)/Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
GS Mortgage Securities Corp. II
Trust pass-through certificates series 2005-ROCK
Rating
Class To From
A AAA (sf) AAA (sf)
A-FL AAA (sf) AAA (sf)
B AAA (sf) AAA (sf)
C-1 AAA (sf) AAA (sf)/Watch Neg
C-2 AAA (sf) AAA (sf)/Watch Neg
D AAA (sf) AAA (sf)/Watch Neg
E AA+ (sf) AA+ (sf)/Watch Neg
F AA (sf) AA (sf)/Watch Neg
G A+ (sf) A+ (sf)/Watch Neg
H A (sf) A (sf)/Watch Neg
X-1 AAA (sf) AAA (sf)
GSAA HOME 2005-12: Moody's Corrects AF-3W Cert. Rating to 'Caa1'
----------------------------------------------------------------
Moody's Investors Service has corrected the underlying rating for
Class AF-3W issued by GSAA Home Equity Trust Asset Backed
Certificates Series 2005-12 to Caa1 (sf) from Caa1 (sf) on review
for downgrade. The underlying rating for this tranche was placed
on review for downgrade on March 21, 2012 due to an internal
administrative error.
IMPAC 2005-4: Moody's Cuts Rating on Class 2-B-2 Tranche to 'B2'
----------------------------------------------------------------
Moody's Investors Service has downgraded 15 tranches from 4 RMBS
transactions issued by Impac. The collateral backing these deals
primarily consists of first-lien, Alt-A residential mortgages. The
actions impact approximately $101 million of RMBS issued from 2005
to 2006.
Complete rating actions are as follows:
Issuer: Impac CMB Trust Series 2005-2 Collateralized Asset-Backed
Bonds, Series 2005-2
Cl. 2-A-2, Downgraded to Aa2 (sf); previously on Mar 21, 2005
Assigned Aaa (sf)
Cl. 2-M-1, Downgraded to A1 (sf); previously on Mar 21, 2005
Assigned Aa2 (sf)
Cl. 2-M-2, Downgraded to Baa1 (sf); previously on Mar 21, 2005
Assigned A2 (sf)
Cl. 2-B, Downgraded to Ba2 (sf); previously on Mar 21, 2005
Assigned Baa2 (sf)
Issuer: Impac CMB Trust Series 2005-4 Collateralized Asset-Backed
Bonds, Series 2005-4
Cl. 2-A-2, Downgraded to Aa3 (sf); previously on May 31, 2005
Assigned Aaa (sf)
Cl. 2-M-1, Downgraded to A1 (sf); previously on May 31, 2005
Assigned Aa2 (sf)
Cl. 2-M-2, Downgraded to Baa1 (sf); previously on May 31, 2005
Assigned A2 (sf)
Cl. 2-B-1, Downgraded to Ba2 (sf); previously on May 31, 2005
Assigned Baa2 (sf)
Cl. 2-B-2, Downgraded to B2 (sf); previously on May 31, 2005
Assigned Baa3 (sf)
Issuer: Impac CMB Trust Series 2005-8
Cl. 2-B, Downgraded to Ba2 (sf); previously on Dec 20, 2005
Assigned Baa3 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2006-1
Cl. 2-A-2, Downgraded to Aa3 (sf); previously on Apr 13, 2006
Assigned Aaa (sf)
Cl. 2-M-1, Downgraded to A1 (sf); previously on Apr 13, 2006
Assigned Aa2 (sf)
Cl. 2-M-2, Downgraded to Baa1 (sf); previously on Apr 13, 2006
Assigned A2 (sf)
Cl. 2-M-3, Downgraded to Ba2 (sf); previously on Apr 13, 2006
Assigned Baa2 (sf)
Cl. 2-B, Downgraded to Ba3 (sf); previously on Apr 13, 2006
Assigned Baa3 (sf)
RATINGS RATIONALE
The actions result from a deterioration in performance of small
balance multi-family, adjustable rate mortgage loans pools
originated on or after 2005. In general, these pools have
historically had low delinquency pipelines mainly because of
strong borrowers and high loan modifications. However, recently
there has been an increase in loan modification in the form of
principal forgiveness which is attributing to the rise in the
cumulative losses of the pools. In some pools, the performance has
weakened slightly and recent liquidations resulted in higher loss
severities than what Moody's previously projected. The final
actions reflect Moody's updated loss expectations on these pools.
The downgrades are a result of deteriorating performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated.
Structural analysis for these transactions utilized a static
analysis. Total credit enhancement ("CE") for a bond, including
excess spread, subordination, and overcollateralization was
compared to expected losses on the mortgage pool(s) supporting
that bond. Credit enhancement from excess spread typically amounts
to annualized excess spread multiplied by the expected weighted
average life of the related bond, and is usually subject to a
haircut. The excess spread haircut takes into account future
modification activity such as interest rate reductions, as well as
potential interest rate movements.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for 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 pools with fewer than 100 loans, Moody's
first calculates an annualized delinquency rate based on vintage,
number of loans remaining in the pool and the level of current
delinquencies in the pool. For Alt-A pools, Moody's first applies
a baseline delinquency rate of 10% for 2005, 19% for 2006 and 21%
for 2007. Once the loan count in a pool falls below 76, this rate
of delinquency is increased by 1% for every loan fewer than 76.
For example, for a 2005 pool with 75 loans, the adjusted rate of
new delinquency is 10.1%. Further, to account for the actual rate
of delinquencies in a small pool, Moody's multiplies the rate
calculated above by a factor ranging from 0.20 to 2.0 for current
delinquencies that range from less than 2.5% to greater than 50%
respectively. Moody's then uses this final adjusted rate of new
delinquency to project delinquencies and losses for the remaining
life of the pool under the approach described in the methodology
publication.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered the volatility of the
projected losses and timeline of the expected defaults.
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 7.9% in October 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF309533
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
JP MORGAN 2004-C3: Moody's Affirms 'C' Ratings on 5 CMBS Classes
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 19 classes of JP
Morgan Chase Commercial Mortgage Securities Corp. Commercial
Mortgage Pass-Through Certificates, Series 2004-C3 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Dec 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Dec 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-5, Affirmed at Aaa (sf); previously on Dec 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Dec 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at Aa3 (sf); previously on Mar 18, 2010
Downgraded to Aa3 (sf)
Cl. B, Affirmed at Baa2 (sf); previously on Jan 27, 2012
Downgraded to Baa2 (sf)
Cl. C, Affirmed at Baa3 (sf); previously on Jan 27, 2012
Downgraded to Baa3 (sf)
Cl. D, Affirmed at Ba3 (sf); previously on Jan 27, 2012 Downgraded
to Ba3 (sf)
Cl. E, Affirmed at B2 (sf); previously on Jan 27, 2012 Downgraded
to B2 (sf)
Cl. F, Affirmed at B3 (sf); previously on Mar 18, 2010 Downgraded
to B3 (sf)
Cl. G, Affirmed at Caa2 (sf); previously on Mar 18, 2010
Downgraded to Caa2 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on Mar 18, 2010
Downgraded to Caa3 (sf)
Cl. J, Affirmed at Ca (sf); previously on Mar 18, 2010 Downgraded
to Ca (sf)
Cl. K, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded
to C (sf)
Cl. P, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded
to C (sf)
Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
RATINGS RATIONALE
The affirmations of the 18 principal bonds are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The rating of the IO Class, Class X-1, is consistent with the
credit performance of its referenced classes and thus is affirmed.
Moody's rating action reflects a base expected loss of 8.3% of the
current pooled balance, which is the same as at last review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000 and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 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 utilized the 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
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.
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 19 compared to 22 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.
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 January 27, 2012.
DEAL PERFORMANCE
As of the November 15, 2012 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 32% to $1.0
billion from $1.5 billion at securitization. The Certificates are
collateralized by 110 mortgage loans ranging in size from less
than 1% to 14% of the pool, with the top ten loans representing
46% of the pool. Eleven loans, representing 15% of the pool, have
been defeased and are collateralized with U.S. Government
Securities.
Thirty-seven loans, representing 31% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of its ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Twelve loans have been liquidated at a loss from the pool,
resulting in an aggregate realized loss of $29 million (65%
average loss severity). Six loans, representing 10% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Everest Portfolio Loan ($56 million -- 5.4% of the
pool), which was originally secured by five office/industrial
corporate parks totaling 676,000 square feet (SF). All of the
properties are located in Massachusetts. The loan was transferred
to special servicing in May 2009 for imminent default and all
properties became real estate owned (REO) by June 2012. One of the
corporate parks was sold, which generated $7 million of net sale
proceeds compared to an allocated loan amount at loan origination
of $17 million. The servicer has recognized a $36 million
appraisal reduction for the portfolio.
The servicer has recognized an aggregate $55 million appraisal
reduction for all of the specially serviced loans, while Moody's
has estimated a $50 million aggregate loss (49% average loss
severity).
Moody's has assumed a high default probability for 15 poorly
performing loans representing 14% of the pool and has estimated a
$22 million aggregate loss (15% expected loss based on a 54%
probability default) from these troubled loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 95% and 63% of the pool's non-defeased
loans, respectively. Moody's weighted average conduit LTV is 90%
compared to 99% at Moody's prior review. The conduit portion of
the pool excludes specially serviced, troubled and defeased loans.
Moody's net cash flow reflects a weighted average haircut of 11%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.47X and 1.15X,
respectively, compared to 1.43X and 1.05X 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 27% of the pool balance.
The largest loan is the DDR Portfolio Loan ($145 million -- 14.2%
of the pool), which consists of a portfolio of 13 crossed
collateralized and crossed defaulted loans secured by properties
located in New York (9 properties), Ohio (1), Georgia (1),
Tennessee (1) and Mississippi (1). The portfolio contains 1.6
million SF. The portfolio was 92% leased as of June 2012 compared
to 89% as of June 2011. Although the loan is interest only, it has
passed its November 2011 anticipated repayment date (ARD).
Consequently, excess portfolio cash flow is being used to pay down
the principal balance. The balance has been paid down by
approximately $4 million since last review. Moody's LTV and
stressed DSCR are 108% and 0.90X, respectively, compared to 110%
and 0.88X at last review.
The second largest loan is the 345 Park Avenue South Loan ($70
million -- 6.8% of the pool), which is secured by a 272,000 SF
office building located in Midtown Manhattan, New York. The
property is fully leased as of August 2012 compared to 97% as of
September 2011. The loan was previously on the watchlist because
the building's previous largest tenant vacated at its March 2011
lease expiration. Digitas, an existing tenant, expanded into the
vacated space and now leases approximately 90% of the building's
net rentable area (NRA) through November 2021. Moody's LTV and
stressed DSCR are 87% and 1.09X, respectively, compared to 96% and
0.99X at last review.
The third largest loan is the Crossroads Shopping Center Loan ($59
million -- 5.8% of the pool), which is secured by a 311,000 SF
retail center located in White Plains, New York. The property is
anchored by K-Mart. The loan remains on the watchlist as property
performance has not fully rebounded from the departure of A&P
Supermarket (12% of NRA) in September 2011. The property is 75%
leased as of September 2012 compared to 82% as of November 2011.
Only 5% of the leases expire in 2013. Moody's LTV and stressed
DSCR are 131% and 0.70X, respectively, compared to 127% and 0.72X
at last review.
JP MORGAN 2006-FL1: Moody's Cuts Rating on Cl. L Certs. to 'C'
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of five pooled
classes of J.P. Morgan Chase Commercial Mortgage Securities
Corporation, Commercial Mortgage Pass-Through Certificates, Series
2006-FL1. Moody's rating action is as follows:
Cl. G, Downgraded to Ba1 (sf); previously on Mar 2, 2011 Upgraded
to A3 (sf)
Cl. H, Downgraded to B3 (sf); previously on Jan 26, 2012
Downgraded to Ba2 (sf)
Cl. J, Downgraded to Caa3 (sf); previously on Jan 26, 2012
Downgraded to B2 (sf)
Cl. K, Downgraded to Ca (sf); previously on Mar 2, 2011 Downgraded
to Caa1 (sf)
Cl. L, Downgraded to C (sf); previously on Mar 2, 2011 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The downgrades of the classes were due to worse than anticipated
performance of one remaining loan in the pool and resulting lower
Moody's loan to value (LTV) ratio and Moody's stressed debt
service coverage ratio (DSCR).
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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.5. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated January 26, 2012.
DEAL PERFORMANCE
As of the November 15, 2012 Payment date, the transaction's
aggregate certificate balance has decreased by approximately 72%
to $72 million from $252 million at last review. The Cross Gate
Mall Loan paid off at maturity, and the pool is now collateralized
by one loan, the Independence Mall Loan. The trust has experienced
minimal losses and interest shortfalls since securitization. The
outstanding interest shortfalls total $42,012 and cumulative bond
loss totals $88,957. However, current outstanding advances for the
pool is total $720,520.
The Independence Mall Loan ($72 million -- 100% of the trust
balance) is secured by a 845,000 square foot regional mall located
in Kingston, Massachusetts. The mall is anchored by Target (2028
lease expiration), Sears (2015 lease expiration), Macy's, and
Regal Cinemas (under renovation/construction). The center was 69%
leased as of June 2012, down from 73% leased as of year-end 2011.
Total mall sales continues to decline from securitization, and all
mall shop sales as of trailing twelve month period ending June
2012 was $233 per square foot.
This floating rate loan amortizes on a 20 year schedule based on a
5.0% rate, and as a result, the principal balance has decreased
from $93 million at securitization. The final maturity date is
February 9, 2013, and the loan transferred to special servicing in
August 2012 for imminent payment default. The special servicer (C-
III Asset Management LLC) is in discussion with the borrower. The
loan's sponsors are Robert J. Congel and Riesling Associates
(controlled by Robert Congel and family trust).
The property's NOI for year-end 2011 was $7.5 million; however,
NOI for the first half of 2012 was $2.0 million compared to $3.8
million achieved during the same period in 2011. Moody's current
credit assessment is C, down from Caa3 at last review.
JP MORGAN 2012-LC9: S&P Gives Prelim BB- Rating on Class G Certs.
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust
2012-LC9's $1.07 billion commercial mortgage pass-through
certificates series 2012-LC9.
The note issuance is a commercial mortgage-backed securities
transaction backed by 45 commercial mortgage loans with an
aggregate principal balance of $1,071.9 million, secured by the
fee interest in 79 properties across 25 states.
The preliminary ratings are based on information as of Dec. 10,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
"The preliminary ratings reflect the credit support provided by
the transaction structure, our view of the underlying collateral's
economics, the trustee-provided liquidity, the collateral pool's
relative diversity, and our overall qualitative assessment of the
transaction. Standard & Poor's determined that the collateral pool
has, on a weighted average basis, debt service coverage of 1.66x
and beginning and ending loan-to-value ratios of 82.0% and 73.3%,
respectively, based on Standard & Poor's values," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1166.pdf
PRELIMINARY RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9
Class(i) Rating Amount
(mil. $)
A-1 AAA (sf) 42,171,000
A-2 AAA (sf) 163,562,000
A-3 AAA (sf) 54,126,000
A-4 AAA (sf) 100,000,000
A-5 AAA (sf) 320,108,000
A-SB AAA (sf) 70,393,000
X-A AAA (sf) 836,116,000(iii)
X-B(ii) A+ (sf) 93,795,000(iii)
A-S(ii) AAA (sf) 85,756,000
B(ii) AA (sf) 54,937,000
C(ii) A+ (sf) 38,858,000
EC(ii) A+ (sf) 179,551,000
D(ii) A- (sf) 20,099,000
E(ii) BBB (sf) 40,198,000
F(ii) BB+ (sf) 21,438,000
G(ii) BB- (sf) 21,439,000
NR(ii) NR 38,858,167
(i) The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Non-offered certificates.
(iii)Notional balance.
NR - Not rated.
JP MORGAN 2012-PHH: S&P Gives 'BB+' Rating on Class E Certificates
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to J.P.
Morgan Chase Commercial Mortgage Securities Trust's $175.0 million
commercial mortgage pass-through certificates, series 2012-PHH.
The note issuance is a two-year, floating-rate commercial mortgage
loan totaling $175.0 million, secured by the fee interest in the
1,639 guest room Palmer House Hilton hotel in Chicago, Ill.
"The ratings are based on information as of Nov. 29, 2012.
The ratings reflect our view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the
transaction's structure. We determined that the loan has a
beginning and ending loan-to-value (LTV) ratio of 61.1%, based on
our value of the property backing the transaction," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-PHH
Class Rating Amount
(mil. $)(i)
A AAA (sf) $83,000,000
X-CP A (sf) $131,600,000(ii)
X-EXT A (sf) $131,600,000(ii)
B AA (sf) $24,300,000
C A (sf) $24,300,000
D BBB- (sf) $35,300,000
E BB+ (sf) $8,100,000
R NR N/A
(i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities
Act of 1933.
(ii)Notional balance. The notional amount of the X-CP and X-EXT
certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the
class A, B, and C certificates.
NR - Not rated.
N/A - Not applicable.
KVK CLO 2012-2: S&P Assigns Prelim. 'BB' Rating on Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to KVK CLO 2012-2 Ltd./KVK CLO 2012-2 LLC's $369.0 million
floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
senior secured loans.
The preliminary ratings are based on information as of Dec. 12,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of senior secured term loans.
The designated successor collateral manager's experienced
management team.
"Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.33%-12.53%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's interest diversion test, a failure of which
during the reinvestment period will lead to the
reclassification of excess interest proceeds that are
available prior to paying incentive management fees,
subordinated note payments and uncapped administrative
expenses to principal proceeds for the purchase of collateral
assets or, at the collateral manager's discretion, to reduce
the balance of the rated notes outstanding sequentially.
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
PRELIMINARY RATINGS ASSIGNED
KVK CLO 2012-2 Ltd./KVK CLO 2012-2 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 254.00
B AA (sf) 49.00
C (deferrable) A (sf) 29.20
D (deferrable) BBB (sf) 19.20
E (deferrable) BB (sf) 17.60
Subordinated notes NR 44.00
NR - Not rated.
LATITUDE CLO I: Moody's Hikes Rating on Class D Notes to 'B3'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Latitude CLO I Ltd.:
U.S.$45,000,000 Class A-2 Senior Secured Floating Rate Notes Due
December 15, 2017, Upgraded to Aaa (sf); previously on August 31,
2011 Upgraded to Aa1 (sf)
U.S.$23,000,000 Class B-1 Second Priority Deferrable Floating Rate
Notes Due December 15, 2017, Upgraded to A3 (sf); previously on
August 31, 2011 Upgraded to Baa2 (sf)
U.S.$2,000,000 Class B-2 Second Priority Deferrable Fixed Rate
Notes Due December 15, 2017, Upgraded to A3 (sf); previously on
August 31, 2011 Upgraded to Baa2 (sf)
U.S.$13,300,000 Class C Third Priority Deferrable Floating Rate
Notes Due December 15, 2017, Upgraded to Ba2 (sf); previously on
August 31, 2011 Upgraded to Ba3 (sf)
U.S.$9,500,000 Class D Fourth Priority Deferrable Floating Rate
Notes Due December 15, 2017, Upgraded to B3 (sf); previously on
August 31, 2011 Upgraded to Caa1 (sf)
Ratings Rationale
According to Moody's, the rating actions taken on the notes
reflect the benefit of the short period of time remaining before
the end of the deal's reinvestment period in December 2012. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive buffer
relative to certain covenant requirements. In particular, the deal
is assumed to benefit from higher spread levels compared to the
levels assumed at the last rating action in August 2011. Moody's
modeled a spread of 3.37% compared to 2.90% at the time of the
last rating action. Moody's also notes that the transaction's
reported collateral quality and overcollateralization ratio are
stable since the last rating action.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on Moody's calculations,
securities that mature after the maturity date of the notes
currently make up approximately 10.75% of the underlying
portfolio. These investments potentially expose the notes to
market risk in the event of liquidation at the time of the notes'
maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $238.7 million,
defaulted par of $17 million, a weighted average default
probability of 16.03% (implying a WARF of 2684), a weighted
average recovery rate upon default of 50.45% and a diversity score
of 55. Moody's generally analyzes deals in their reinvestment
period by assuming the worse of reported and covenanted values for
all collateral quality tests. However, in this case given the
limited time remaining in the deal's reinvestment period, Moody's
analysis reflects the benefit of assuming a higher likelihood that
the collateral pool characteristics will continue to maintain a
positive buffer relative to certain covenant requirements, as seen
in the actual collateral quality measurements. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Latitude CLO I Ltd., issued in December 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using 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% (2147)
Class A-1: 0
Class A-2: 0
Class B-1: +3
Class B-2: +3
Class C: +1
Class D: +2
Moody's Adjusted WARF + 20% (3221)
Class A-1: 0
Class A-2: -1
Class B-1: -1
Class B-2: -1
Class C: -1
Class D: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
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.
LB COMMERCIAL 1999-C1: Moody's Cuts Rating on H Certs. to 'Caa3'
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of two classes
and affirmed four classes of LB Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 1999-C1 as
follows:
Cl. E, Affirmed at Aaa (sf); previously on Oct 28, 2010 Upgraded
to Aaa (sf)
Cl. F, Affirmed at A2 (sf); previously on May 20, 2011 Upgraded to
A2 (sf)
Cl. G, Downgraded to B1 (sf); previously on Jun 10, 1999
Definitive Rating Assigned Ba2 (sf)
Cl. H, Downgraded to Caa3 (sf); previously on Oct 28, 2010
Downgraded to Caa2 (sf)
Cl. J, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The downgrades are due to higher realized and anticipated losses
from specially serviced loans and concerns about potential
increases in interest shortfalls.
The affirmations are due to credit enhancement provided by
defeasance and overall stable performance of the Credit Tenant
Lease (CTL) and conduit components, as reflected in key
parameters, including the Weighted Average Rating Factor (WARF),
Moody's loan to value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf). Based on
Moody's current base expected loss, the credit enhancement levels
for the affirmed classes are sufficient to maintain their current
ratings. The rating of the IO Class, Class X, is consistent with
the credit performance of its referenced classes and thus is
affirmed.
Moody's rating action reflects a base expected loss of 21.6% of
the current balance compared to 18.1% at last full review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000 and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
In rating this transaction, Moody's also used its credit-tenant
lease (CTL) financing methodology approach (CTL approach). Under
Moody's CTL approach, the rating of the CTL component is primarily
based on the senior unsecured debt rating (or the corporate family
rating) of the tenant, usually an investment grade rated company,
leasing the real estate collateral supporting the bonds. This
tenant's credit rating is the key factor in determining the
probability of default on the underlying lease. The lease
generally is "bondable", which means it is an absolute net lease,
yielding fixed rent paid to the trust through a lock-box,
sufficient under all circumstances to pay in full all interest and
principal of the loan. The leased property should be owned by a
bankruptcy-remote, special purpose borrower, which grants a first
lien mortgage and assignment of rents to the securitization trust.
The dark value of the collateral, which assumes the property is
vacant or "dark", is then examined to determine a recovery rate
upon a loan's default. Moody's also considers the overall
structure and legal integrity of the transaction. For deals that
include a pool of credit tenant loans, Moody's currently uses a
Gaussian copula model, incorporated in its public CDO rating model
CDOROMv2.8-8 to generate a portfolio loss distribution to assess
the ratings.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a 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 5, the same as at prior full review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 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 December 15, 2011.
DEAL PERFORMANCE
As of the November 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $82.5
million from $1.58 billion at securitization. The Certificates are
collateralized by 28 mortgage loans ranging in size from less than
1% to 22% of the pool, with the top ten loans representing 71% of
the pool. Four loans, representing 29% of the pool, have defeased
and are collateralized with U.S. Government securities. The pool
contains a Credit Tenant Lease (CTL) component that represents 22%
of the pool.
Three loans, representing 4% 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.
Twenty-eight loans have been liquidated from the pool since
securitization, resulting in an aggregate $27.47 million loss (29%
loss severity on average). Currently four loans, representing 35%
of the pool, are in special servicing. The master servicer has
recognized an aggregate $8.9 million appraisal reduction for the
specially serviced loans. The largest exposure in special
servicing is the Wal-Mart Portfolio Loans ($16.6 million -- 20.2%
of the pool), which consists of two cross-collateralized and cross
defaulted loans secured by 13 retails centers located in the
Midwest that are shadow anchored by Wal-Mart or Sam's Club. The
loans transferred to special servicing in April 2010 due to
imminent monetary default after the portfolio experienced a
decrease in occupancy. As of April 2011, the collateral was 64%
leased, compared to 86% in September 2009. The special servicer is
pursuing foreclosure after a potential loan modification fell
though.
The remaining two specially serviced loans are also secured by
retail properties. The master servicer has recognized an aggregate
$8.9 million appraisal reduction for the specially serviced loans.
Moody's has estimated an aggregate loss of $13.5 million (46%
expected loss on average) for all of the specially serviced loans.
Moody's was provided with full year 2011 operating results for
100% of the performing pool, excluding the CTL and defeased loan
components. Excluding specially serviced loans, Moody's weighted
average LTV is 73% compared to 76% at last full review. The
conduit component represents 14% of the pool. 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 10.0%.
Excluding specially serviced loans, Moody's actual and stressed
DSCRs are 1.20X and 1.55X, respectively, compared to 1.21X and
1.53X 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 is the Kohl's Shopping Center Loan ($4.9 million
-- 6.0% of the pool), which is secured by a 101,964 square foot
(SF) retail center located in suburban Knoxville, Tennessee. The
property was 100% leased as of September 2011, the same as at the
prior review. Kohl's Department Store leases 86% of the net
rentable area (NRA) through February 2019. Moody's LTV and
stressed DSCR are 73% and 1.41X, respectively, compared to 80% and
1.29X at last review.
The CTL component includes 14 loans secured by properties leased
under bondable leases. Moody's provides public ratings for 73% of
the CTL component and an internal credit assessment on the
remainder of the loans. The largest exposures include Rite Aid
Corp. (51% of the CTL component, Moody's senior unsecured rating
Caa2 -- stable outlook) and CVS/Caremark (23% of the CTL
component; Moody's senior unsecured rating Baa2 -- positive
outlook). The bottom dollar WARF of the CTL component is 3977
compared to 3949 at last review.
LOCAL INSIGHT 2007-1: S&P Withdraws 'CCC+' Rating on Class A-1
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of notes from Local Insight Media Finance LLC's series
2007-1 and 2008-1. "At the same time, we withdrew our ratings on
the two class A-1 variable funding notes (VFNs) from the same
transactions. We also affirmed our rating on the class B notes
from series 2008-1," S&P said.
"The downgrades reflect declines in revenue collections, mostly
due to the directory publishing sector's weakening performance.
These transactions receive their cash flow from the revenue
generated from publishing directories in three of Local Insight
Media's markets: Cincinnati, Alaska, and Hawaii. Local Insight
Media publishes Yellow Pages directories, both in print and on
the Internet, and is also involved in related Web sites, search
engines, marketing, video, contracts, intellectual property, and
associated rights/contracts," S&P said.
"We have observed that these Local Insight Media whole-business
securitizations have experienced generally declining revenue
collections in all three markets for several years. The reduction
in cash flows has reached the level where the interest reserve
account is being utilized to make full interest payments. Although
the deal has been in rapid amortization, there has not been enough
cash flow to pay down principal since December 2011. The interest
reserve account has dropped to $5.27 million from its initial
balance of $11.99 million. In the event the outstanding series
continue to receive the same level of cash flows and expenses
remain where they are, the deals will completely empty the reserve
account in the next three quarters, resulting in an interest
shortfall," S&P said.
"We withdrew our ratings on the two class A-1 VFNs because no
draws have been taken on the notes and, as a rapid amortization
event is ongoing, none are permitted," S&P said.
"As of the Oct. 23, 2012, quarterly servicer report, $498,405,793
of the class A-2 notes from series 2007-1, $183,844,497 of the
class A-2 notes from series 2008-1, and 109,416,692 of the
subordinated class B notes from series 2008-1 were outstanding,"
S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
RATING ACTIONS
Local Insight Media Finance LLC
$672.6 million fixed-rate senior and subordinated notes series
2007-1
Rating
Class To From
A-1 NR CCC+ (sf)
A-2 CC (sf) CCC+ (sf)
Local Insight Media Finance LLC
$313.4 million Local Insight Media Finance series 2008-1
Rating
Class To From
A-1 NR CCC+ (sf)
A-2 CC (sf) CCC+ (sf)
RATING AFFIRMED
Local Insight Media Finance LLC
$313.4 million Local Insight Media Finance series 2008-1
Class Rating
B CC (sf)
LUTHERAN SOCIAL: Fitch Affirms 'BB+' Rating on Revenue Bonds
------------------------------------------------------------
Fitch Ratings affirms the rating on approximately $17 million of
Illinois Finance Authority's revenue bonds issued on behalf of
Lutheran Social Services of Illinois (LSSI; the institution) at
'BB+'.
The Rating Outlook is revised to Negative.
Security
The bonds are secured by the unrestricted receivables of the
obligated group, backed by a fully funded debt service reserve
fund and features historical annual debt service coverage (DSCR)
covenant of 1.1 times (x).
KEY RATING DRIVERS
OUTLOOK REVISION: The Negative Outlook reflects LSSI's weakened
performance for two consecutive years, violation of the DSCR in
fiscal 2012, and continued challenges in providing services given
the state's budget cuts and low reimbursement rates.
RATING AFFIRMED: The rating reflects solid demand and essentiality
of services provided by LSSI, an extensive operating history and
liquidity and operational support provided by the non-obligated
Cornerstone Foundation (CF; the foundation).
LIMITED LIQUIDTY: LSSI's recurring reliance on balance sheet
resources including CF funds, to offset operating pressures has
reduced unrestricted cash and investments at both entities to a
five-year low in fiscal 2012.
VOLATILITY IN STATE FUNDING: Exacerbating high reliance on
government funding (over 75%) is the state's (IL; Fitch rated 'A',
Outlook Stable) practice of deferring vendor payments to manage
operating deficits.
WHAT COULD CAUSE A RATING ACTION
CONTINUED OPERATIONAL CHALLENGES: Further declines in operating
performance and drawdown of liquid resources coupled with a lack
of improvement in the DSCR in the coming year could pressure the
rating.
CREDIT PROFILE
OPERATING DEFICITS; DSCR NOT MET
LSSI's operating performance declined for two consecutive years
due to a combination of funding cuts and expense increases in
certain program lines. Fiscal 2012 operations yielded a negative
3% margin, declining from fiscal 2010 and 2011 margins of 3% and
0.3%, respectively. Consequently, DSCR declined to 0.19x. While
not an event of default, pursuant to the trust indenture, LSSI has
retained a consultant who is expected to recommend steps to
achieve fiscal balance in the coming months. The consultant will
evaluate the sufficiency of rates and charges levied by the LSSI
for break-even operations. Fitch does not anticipate marked
improvement in performance this fiscal year, given that rates and
contracts are negotiated on an annual basis.
LSSI derives over 75% of its revenues from governmental sources.
These revenues have been delayed due to payment deferral measures
that the state undertook to manage its accounts payable backlog.
While LSSI has worked to align revenue with expenses, state
program cuts and forecasted shortfalls in appropriated funds are
expected to pressure operations for fiscal 2013. The uncertainty
associated with timing of current state receivables and
expectation that services provided in this year will experience
similar delays is reflected in the Negative Outlook.
ESSENTIAL SERVICE PROVIDER
Utilization statistics for LSSI are growing; people served by the
various programs for LSSI grew from about 100,000 in fiscal 2011
to 108,735 in fiscal 2012. While contract rates remain
insufficient to cover costs and payment deferral challenges
abound, LSSI's core mission of service is relatively insulated due
primarily to its extensive history in providing state mandated
social services.
FOUNDATION SUPPORTS OPERATING VIABILITY
LSSI has traditionally relied upon CF resources to support
operations via an endowment grant of five percent of assets and
also drawn supplemental monies for capital purposes. While the
foundation is not obligated on the debt, it exists solely to
support LSSI's mission and is viewed as an additional source of
liquidity.
LSSI liquidity has declined markedly, from over $5 million in
fiscal 2008 to less than $3 million in fiscal 2012. LSSI can
access up to $6.5 million of CF funds at any given time.
Consequently the rating reflects LSSI access to CF assets. As of
fiscal year end (FYE) 2012 LSSI and CF had unrestricted cash and
investments (available funds) totaling $15 million which
constituted 15.3% of operating expenses and 82.4% of long-term
debt. The investment allocation for both LSSI and CF are similar
with 30% domestic equity, 40% fixed income, 12% alternative
investments and the remainder invested in international equity.
Fitch considers the investment allocations for LSSI and CF
moderately conservative which should limit volatility in the
combined financial cushion that supports the obligated group's
rating.
MANAGEABLE DEBT BURDEN
LSSI's debt burden remains manageable at 1.5% of unrestricted
operating revenue. Approximately $17 million in debt remains
outstanding and MADS ($1.43 million) occurs in 2017. Fitch
calculated current debt service including annual payments made on
LSSI's line of credit which produced a debt burden of 2.4%, still
manageable for LSSI. LSSI's $3.36 million line of credit was
partially utilized ($672k) as of fiscal 2012 and covers certain
operating costs as state agency payments are delayed. Fitch notes
positively that there are no near term debt plans for LSSI aside
from costs related to general maintenance and facility
improvements.
LSSI, headquartered in Des Plaines, IL is a large, not for profit
residential and social services provider. Total revenues of the
obligated group was approximately $95 million in fiscal 2012.
LSSI's operational viability and bond rating is hinged on support
provided by its non-obligated foundation subsidiary, CF. LSSI
disclosure practices are standard.
MARATHON CLO II: Moody's Hikes Rating on Class C Notes From 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Marathon CLO II Ltd:
US$273,000,000 CLASS A-1b Floating Rate Senior Secured Notes, Due
2019 (current outstanding balance of $180,929,568.13), Upgraded to
Aaa (sf); previously on July 15, 2011 Upgraded to Aa1 (sf)
US$12,500,000 Class A-2 Floating Rate Senior Secured Notes, Due
2019, Upgraded to Aaa (sf); previously on July 15, 2011 Upgraded
to A1 (sf)
US$22,000,000 Class B Floating Rate Senior Deferrable Interest
Secured Notes, Due 2019, Upgraded to A1 (sf); previously on July
15, 2011 Upgraded to A3 (sf)
US$22,500,000 Class C Floating Rate Senior Deferrable Interest
Secured Notes, Due 2019, Upgraded to Baa3 (sf); previously on July
15, 2011 Upgraded to Ba1 (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-1
Notes have been paid down by approximately 30% or $88 million
since the last rating action. Based on the latest trustee report
dated November 9, 2012, the Class A, Class B, Class C and Class D
overcollateralization ratios are reported at 134.4%, 122.18%,
111.79% and 106.82% respectively, versus June 2011 levels of
124.30%, 116.01%, 108.61% and 104.95% respectively.
Notwithstanding benefits of the deleveraging, Moody's notes that
the credit quality of the underlying portfolio has deteriorated
since the last rating action. Based on the November 2012 trustee
report, the weighted average rating factor is currently 3038
compared to 2891 in June 2011.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $297.8 million,
defaulted par of $3.8 million, a weighted average default
probability of 23.93% (implying a WARF of 3398) a weighted average
recovery rate upon default of 48.39%, and a diversity score of 37.
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.
Marathon CLO II Ltd., issued on December 22, 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using 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% (2718)
Class A-1b: 0
Class A-2: 0
Class B: +1
Class C: +1
Class D: +1
Moody's Adjusted WARF + 20% (4078)
Class A-1b: 0
Class A-2: -1
Class B: -1
Class C: -1
Class D: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will 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.
MERRILL LYNCH 2005-LC1: Moody's Affirms 'C' Rating on Cl. L Certs.
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 19 classes of
Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2005-LC1as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3FL, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4FC, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. AM, Affirmed at Aaa (sf); previously on Jan 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. AJ, Affirmed at Aa2 (sf); previously on May 5, 2010 Downgraded
to Aa2 (sf)
Cl. B, Affirmed at A3 (sf); previously on Dec 15, 2011 Downgraded
to A3 (sf)
Cl. C, Affirmed at Baa1 (sf); previously on Dec 15, 2011
Downgraded to Baa1 (sf)
Cl. D, Affirmed at Baa3 (sf); previously on Dec 15, 2011
Downgraded to Baa3 (sf)
Cl. E, Affirmed at Ba1 (sf); previously on Dec 15, 2011 Downgraded
to Ba1 (sf)
Cl. F, Affirmed at B1 (sf); previously on Dec 15, 2011 Downgraded
to B1 (sf)
Cl. G, Affirmed at B3 (sf); previously on Dec 15, 2011 Downgraded
to B3 (sf)
Cl. H, Affirmed at Caa2 (sf); previously on Dec 15, 2011
Downgraded to Caa2 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on Dec 15, 2011
Downgraded to Caa3 (sf)
Cl. K, Affirmed at Ca (sf); previously on Dec 15, 2011 Downgraded
to Ca (sf)
Cl. L, Affirmed at C (sf); previously on Dec 15, 2011 Downgraded
to C (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
RATINGS RATIONALE
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The rating of the IO Class, 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
4.9% of the current balance. At last full review, Moody's
cumulative base expected loss was 5.1%. 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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
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 ver1.1
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 37 compared to 34 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 December 15, 2011.
DEAL PERFORMANCE
As of the November 13, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 17% to $1.10
billion from $1.55 billion at securitization. The Certificates are
collateralized by 121 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten loans representing
39% of the pool. Four loans, representing 2% of the pool, have
defeased and are collateralized with U.S. Government securities.
Twenty-three loans, representing 15% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of its ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Thirteen loans have been liquidated from the pool since
securitization, resulting in an aggregate $32.1 million loss (63%
loss severity on average). Currently six loans, representing 4% of
the pool, are in special servicing. The master servicer has
recognized an aggregate $17.5 million appraisal reduction for the
specially serviced loans. Moody's has estimated an aggregate loss
of $18.7 million (45% expected loss on average) for all of the
specially serviced loans.
Moody's has assumed a high default probability for 18 poorly
performing loans representing 10% of the pool and has estimated a
$16.7 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 98%
of the performing pool. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 94% compared to 101% at
last full review. Moody's net cash flow reflects a weighted
average haircut of 10% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.1%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.43X and 1.09X, respectively, compared to
1.31X 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 top three loans represent 20% of the pool. The largest loan is
the Colonial Mall Bel Air Loan ($115.6 million -- 11% of the
pool), which is secured by the borrower's interest in a 1.3
million square foot (SF) regional mall located in Mobile, Alabama.
The mall is anchored by Sears, Dillard's, JC Penny, Belk and
Target. The property has maintained a high and stable occupancy as
the entire mall is 96% leased as of September 2012, which is
essentially the same as at last review. Property performance has
improved due to rent steps and a reduction in operating expenses.
Moody's current LTV and stressed DSCR are 96% and 1.01X,
respectively, compared to 103% and 0.95X at last review.
The second largest loan is the CNL-Cirrus MOB Portfolio Loan
($56.1 million -- 5.1% of the pool), which is secured by seven
medical office buildings and one surgical center. Six of the
properties are located in Dallas, Texas and two are located in
Oklahoma City, Oklahoma. The portfolio totals 338,000 SF and was
79% leased as of December 2011 compared to 75% at last review.
Despite the increase in occupancy, property performance has
declined due to new tenants signing leases at lower rents. The
loan benefits from amortization, which began in November 2010.
Moody's LTV and stressed DSCR are 118% and 0.91X, respectively,
compared to 116% and 0.93X at last review.
The third largest conduit loan is the Colonial Mall Greenville
Loan ($42.2 million -- 3.8% of the pool), which is secured by the
borrower's interest in a 450,000 SF Class B regional mall located
in Greenville, North Carolina. As of September 2012, the total
mall occupancy was 83%, the same as at last review. The mall is
anchored by Belk, Belk Ladies and JC Penny. Property performance
has improved due to higher rents. Moody's LTV and stressed DSCR
are 125% and 0.80X, respectively, compared to 141% and 0.71X at
last review.
ML-CFC 2006-4: S&P Cuts Rating on Class AJ-FX Certificates to 'B'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
AJ-FX commercial mortgage pass-through certificates from ML-CFC
Commercial Mortgage Trust 2006-4, a U.S. commercial mortgage-
backed securities (CMBS) transaction, and removed it from
CreditWatch with negative implications. "Concurrently, we affirmed
our ratings on two other classes from the same transaction. The
CreditWatch resolutions are related to CreditWatch placements that
we initiated on Sept. 5, 2012, and follow the CreditWatch
resolutions resolved on Nov. 20, 2012," S&P said.
"The downgrade reflects our expected available credit enhancement
for the affected tranche, which we believe is less than our most
recent estimate of necessary credit enhancement for the most
recent rating levels. The downgrade also reflects our views
regarding the current and future performance of the collateral
supporting the transaction," S&P said.
"The affirmation of the class A-2FX certificates reflects 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 rating also acknowledges our expectations
regarding the current and future performance of the collateral
supporting the respective transaction," S&P said.
"The affirmation of the class A-2FL certificates to 'A (sf)'
reflects our application of our counterparty criteria for
structured finance transactions. Floating-rate interest payments
to the classes are partially dependent upon the performance of the
interest rate swap counterparty, Merrill Lynch & Co. Inc. (A-/A-
2). We affirmed the rating on class A-2FL to 'A (sf)', which is
one notch above our rating on the counterparty based primarily on
our understanding that the derivative obligation contains a
counterparty replacement framework," S&P said.
"Our rating actions also 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1166.pdf
RATING AND CREDITWATCH ACTIONS
ML-CFC Commercial Mortgage Trust 2006-4
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-2FL A(sf) A(sf) 34.09
A-2FX AAA(sf) AAA(sf) 34.09
AJ-FX B(sf) B+(sf)/Watch Neg 9.82
MORGAN STANLEY I 2005-RR6: S&P Cuts Ratings on 2 CMBS Classes to D
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of commercial mortgage-backed securities (CMBS) pass-
through certificates from Morgan Stanley Capital I Inc.'s series
2005-RR6 (MSC 2005-RR6), a U.S. CMBS resecuritized real estate
mortgage investment conduit (re-REMIC) transaction.
"The downgrades to classes C and D reflect our analysis following
interest shortfalls to the transaction. We also considered the
potential for additional classes to experience interest shortfalls
in the future," S&P said.
"According to the Nov. 26, 2012, trustee report, cumulative
interest shortfalls to the transaction totaled $4.6 million
affecting class C and the classes subordinate to it. The interest
shortfalls were the result of interest shortfalls on 11 of the
underlying CMBS transactions primarily due to the master
servicer's recovery of prior advances, appraisal subordinate
entitlement reductions (ASERs), servicers' nonrecoverability
determinations for advances, and special servicing fees. We
lowered our ratings on classes C and D to 'D (sf)' due to interest
shortfalls that we expect will continue for the foreseeable
future. If the interest shortfalls to MSC 2005-RR6 continue, we
will evaluate the shortfalls and may take further rating actions
as we determine appropriate," S&P said.
According to the Nov. 26, 2012, trustee report, 47 CMBS classes
($195.2 million, 100%) from 30 distinct transactions issued
between 1997 and 2005 collateralize MSC 2005-RR6.
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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
Morgan Stanley Capital I Inc.
Commercial mortgage-backed securities pass-through certificates
series 2005-RR6
Rating
Class To From
C D (sf) CCC- (sf)
D D (sf) CCC- (sf)
NEUBERGER BERMAN XIII: S&P Gives Prelim B+ Rating on Cl. F Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Neuberger Berman CLO XIII Ltd./Neuberger Berman CLO
XIII LLC's $374.3 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Dec. 10,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The asset manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.31%-11.41%.
-- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1166.pdf
PRELIMINARY RATINGS ASSIGNED
Neuberger Berman CLO XIII Ltd./Neuberger Berman CLO XIII LLC
Class Rating Amount (mil. $)
A AAA (sf) 253.4
B AA (sf) 53.6
C (deferrable) A (sf) 24.5
D (deferrable) BBB (sf) 15.3
E (deferrable) BB (sf) 20.1
F (deferrable) B+ (sf) 7.4
Subordinated notes NR 40.7
NR - Not rated.
NOMURA CDO 2007-2: S&P Cuts Ratings on 8 Debt Classes to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes from Nomura CRE CDO 2007-2 Ltd. (Nomura 2007-2), a
commercial real estate collateralized debt obligation (CRE CDO)
transaction, and removed them from CreditWatch with negative
implications. "At the same time, we affirmed our ratings on six
additional classes from the same transaction and removed them from
CreditWatch with negative implications," S&P said.
"The downgrades and affirmations reflect our analysis of the
transaction's liability structure and the credit characteristics
of the underlying collateral using our criteria for rating global
CDOs backed by pooled structured finance (SF) assets. We also
considered the amount of defaulted assets in the transaction and
their expected recoveries in our analysis. We lowered our rating
on class A-2 to reflect the results of the largest obligor default
test, part of the supplemental stress test. The largest obligor
default test assesses the ability of a rated CDO of pooled
structured finance liability tranche to withstand the default of a
minimum number of the largest credit or obligor exposures within
an asset pool, factoring in the underlying assets' credit
quality," S&P said.
"Our CDO of SF criteria include revisions to our assumptions on
correlations, recovery rates, and default patterns and timings of
the collateral. Specifically, correlations on commercial real
estate assets increased to 70%. The criteria also include
supplemental stress tests (largest obligor default test and
largest industry default test) in our analysis," S&P said.
According to the Oct. 31, 2012, trustee report, the transaction's
collateral totaled $836.0 million, which includes $83.7 million in
cash and $6.4 million in future funding obligations. The
transaction's liabilities totaled $936.4 million, which includes
$14.7 million of capitalized interest shortfalls on classes D and
below. The liabilities are down from $950 million at issuance.
The transaction's current asset pool included:
29 whole or senior-participation loans ($528.3 million,
63.2%);
Seven commercial mortgage-backed securities (CMBS) tranches
($95.5 million, 11.4%);
Four subordinate-interest loans ($91.1 million, 10.9%);
Six CRE CDO tranches ($37.4 million, 4.5%); and
Cash ($83.7 million, 10.0%).
The trustee report noted 12 defaulted assets, consisting of seven
loans ($199.0 million, 23.8%) and five CMBS and CRE CDO tranches
($65.5 million, 7.8%). The defaulted loans are:
600 B Street whole loan ($72.2 million, 8.6%);
Beacon DC & Seattle Portfolio subordinate-interest loan ($56.0
million, 6.7%);
University Square whole loan ($25.2 million, 3.0%);
The Stadium Towers subordinate-interest loan ($16.8 million,
2.0%);
The Aloha Beach Resort whole loan ($13.6 million, 1.6%);
The Lembi Multifamily Portfolio whole loan ($9.1 million,
1.1%); and
The 500 Larkin B8A whole loan ($6.1 million, 0.7%).
Standard & Poor's estimated a 30.1% weighted average asset-
specific recovery rate for the defaulted loans. "We based the
recovery rates on information from the collateral manager, special
servicer, and third-party data providers," S&P said.
"We applied asset specific recovery rates in our analysis of the
26 performing loans ($420.3 million, 50.3%) using our criteria and
property evaluation methodology for U.S. and Canadian CMBS and our
CMBS global property evaluation methodology, both published Sept.
5, 2012. We also considered qualitative factors such as the near-
term maturities of the loans, refinancing prospects, and loans
modifications," S&P said.
According to the Oct. 31, 2012, trustee report, the deal is
failing all overcollateralization coverage tests and passing all
interest coverage tests.
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 it determines 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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED AND REMOVED FROM CREDITWATCH
Nomura CRE CDO 2007-2 Ltd.
Rating
Class To From
A-2 CCC+ (sf) B (sf)/Watch Neg
B CCC- (sf) CCC (sf)/Watch Neg
G D (sf) CCC- (sf)/Watch Neg
H D (sf) CCC- (sf)/Watch Neg
J D (sf) CCC- (sf)/Watch Neg
K D (sf) CCC- (sf)/Watch Neg
L D (sf) CCC- (sf)/Watch Neg
M D (sf) CCC- (sf)/Watch Neg
N D (sf) CCC- (sf)/Watch Neg
O D (sf) CCC- (sf)/Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH
Nomura CRE CDO 2007-2 Ltd.
Rating
Class To From
A-1 B+ (sf) B+/Watch Neg
A-1R B+ (sf) B+/Watch Neg
C CCC- (sf) CCC- (sf)/Watch Neg
D CCC- (sf) CCC- (sf)/Watch Neg
E CCC- (sf) CCC- (sf)/Watch Neg
F CCC- (sf) CCC- (sf)/Watch Neg
NORTHWOODS CAPITAL IX: S&P Gives Prelim. 'BB-' Rating on E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Northwoods Capital IX Ltd./Northwoods Capital IX LLC's
$560.00 million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Dec. 11,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
"The preliminary ratings reflect our view of," S&P said:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread) and cash flow structure, which can
withstand the default rate projected by Standard & Poor's CDO
Evaluator model, as assessed by Standard & Poor's using the
assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior-secured term
loans.
The portfolio manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.31%-12.53%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification up to 50%
of excess interest proceeds that are available prior to paying
uncapped administrative expenses and fees, subordinated hedge
termination payments and portfolio manager incentive fees.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
PRELIMINARY RATINGS ASSIGNED
Northwoods Capital IX Ltd./Northwoods Capital IX LLC
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A AAA (sf) 375.00
B-1 AA (sf) 38.00
B-2 AA (sf) 25.00
C-1 (deferrable) A (sf) 49.00
C-2 (deferrable) A (sf) 8.00
D (deferrable) BBB (sf) 30.00
E (deferrable) BB- (sf) 30.00
Subordinated notes NR 65.50
NR - Not rated.
PRUDENTIAL MORTGAGE 2001-C1: Fitch Cuts Rating on 3 Note Classes
----------------------------------------------------------------
Fitch Ratings has downgraded three, affirmed two, and placed three
classes of Prudential Mortgage Capital Funding ROCK commercial
mortgage pass-through certificates, series 2001-C1 on Rating Watch
Negative.
The Negative Ratings Watch reflects concerns surrounding
litigation on the largest loan within the transaction. The
borrower and tenant filed a lawsuit in August 2012 seeking
declaratory judgment to allow the termination of the tenant's
lease. Litigation is pending while the loan remains current.
While Fitch expects the most senior classes to be recover full
principal, there is a concern that interest shortfalls may affect
any one of these classes prior to repayment, additionally, six
(86.3%) of the remaining 11 loans are currently in special
servicing.
Fitch modeled losses of 27.9% of the remaining pool; expected
losses on the original pool balance total 3.8%, including losses
already incurred. The pool has experienced $14.7 million (1.6% of
the original pool balance) in realized losses to date.
As of the November 2012 distribution date, the pool's aggregate
principal balance has been reduced by 92% to $72.3 million from
$908.2 million at issuance. Interest shortfalls are currently
affecting classes J through O.
The largest contributor to expected losses is a 146,340 square
foot (sf) office property (22.1% of the pool) located in Columbus,
OH. The loan transferred to the special servicer for a second
time in April 2012. The special servicer is working to close a
deed in lieu.
The next largest contributor to expected losses is the specially-
serviced 188,547 sf office property located in Cleveland, OH
(10.5% of the pool). The loan transferred to the special servicer
in January 2011 after failing to refinance or extend the loan
prior to maturity. Additionally, the buildings largest tenant,
Cuyahoga County, has recently given notice of early lease
termination. The special servicer is actively pursuing
foreclosure.
Fitch downgrades the following classes:
-- $22.7 million class J notes to 'Bsf' from 'BBB-sf'; Outlook
Negative;
-- $6.8 million class K notes to 'CCCsf' from 'BBsf'; RE 65%;
-- $4.5 million class L notes to 'CCsf' from 'Bsf'; RE 0%.
Fitch affirms the following classes:
-- $9.1 million class M notes at 'Csf'; RE 0%'.
-- $1.2 million class N notes at 'Dsf'; RE 0%.
Fitch has placed the following classes on Rating Watch Negative as
indicated:
-- $0.7 million class F notes 'AAAsf';
-- $13.6 million class G notes 'AAAsf';
-- $13.6 million class H notes 'Asf'.
Fitch does not rate class O. Classes A-1, A-2, B, C, D, E, and X-1
have paid in full. Fitch previously withdrew the rating on the
interest-only class X-2 certificates.
RFC CDO 2007-1: S&P Lowers Ratings on 10 Classes to 'D'
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes from RFC CDO 2007-1 Ltd. (RFC 2007-1), formerly known as
CBRE Realty Finance CDO 2007-1, a commercial real estate
collateralized debt obligation (CRE CDO) transaction, and removed
them from CreditWatch with negative implications. "At the same
time, we affirmed our ratings on four additional classes from the
same transaction and removed them from CreditWatch with negative
implications," S&P said.
"The downgrades and affirmations reflect our analysis of the
transaction's liability structure and the credit characteristics
of the underlying collateral using our criteria for rating global
CDOs backed by pooled structured finance (SF) assets. We also
considered the amount of defaulted assets in the transaction and
their expected recoveries in our analysis," S&P said.
"Our CDO of SF criteria include revisions to our assumptions on
correlations, recovery rates, and default patterns and timings of
the collateral. Specifically, correlations on commercial real
estate assets increased to 70%. The criteria also include
supplemental stress tests (largest obligor default test and
largest industry default test) in our analysis," S&P said.
"We lowered our ratings on classes B through L to 'D (sf)' from
'CCC- (sf)' based on our expectation that the classes will be
unlikely to be repaid in full," S&P said.
According to the Oct. 31, 2012, trustee report, the transaction's
collateral totaled $410.9 million, and the transaction's
liabilities totaled $669.3 million, which includes capitalized
interest of $14.4 million on classes C and below. The liabilities
are down from $1.0 billion at issuance. The transaction's current
asset pool included:
35 CBMS tranches ($169.8 million, 41.3% of the collateral
pool);
Seven whole loans and senior interest loans ($142.7 million,
34.7%);
Seven subordinate-interest loans ($93.5 million, 22.7%); and
Cash ($4.9 million, 1.2%).
The trustee report noted nine defaulted loans ($158.3 million,
38.5%) and three credit risk loans ($39.4 million, 9.6%)in the
pool, as well as 24 defaulted securities ($114.9 million, 28.0%).
The five largest defaulted loan assets are:
The Albany Office first mortgage loan ($31.1 million, 7.6%);
The Country Club Apartments first mortgage loan ($28.3
million, 6.9%);
The Greenbriar Apartments first mortgage loan ($24.7 million,
6.0%);
The 504 Advantage Way first mortgage loan ($22.0 million,
5.4%); and
The Office at Polaris first mortgage loan ($15.4 million,
3.7%).
The remaining seven defaulted or credit risk loan assets consist
of two first mortgage loans and five subordinate interest loans
($76.2 million, 18.6%).
Standard & Poor's estimated a 43.9% weighted average asset-
specific recovery rate for the defaulted and credit risk loans.
"We based the recovery rates on information from the collateral
manager, special servicer, and third-party data providers," S&P
said.
"We applied asset specific recovery rates in our analysis of the
two performing loans ($38.5 million, 9.4%) using our criteria and
property evaluation methodology for U.S. and Canadian CMBS and our
CMBS global property evaluation methodology, both published Sept.
5, 2012. We also considered qualitative factors such as the near-
term maturities of the loans, refinancing prospects, and loans
modifications," S&P said.
According to the Oct. 31, 2012, trustee report, the deal is
failing all overcollateralization coverage tests and interest
coverage tests.
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 it determines 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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED AND REMOVED FROM CREDITWATCH
RFC CDO 2007-1 Ltd.
Collateralized debt obligations
Rating
Class To From
B D (sf) CCC- (sf)/Watch Neg
C D (sf) CCC- (sf)/Watch Neg
D D (sf) CCC- (sf)/Watch Neg
E D (sf) CCC- (sf)/Watch Neg
F D (sf) CCC- (sf)/Watch Neg
G D (sf) CCC- (sf)/Watch Neg
H D (sf) CCC- (sf)/Watch Neg
J D (sf) CCC- (sf)/Watch Neg
K D (sf) CCC- (sf)/Watch Neg
L D (sf) CCC- (sf)/Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH
RFC CDO 2007-1 Ltd.
Collateralized debt obligations
Rating
Class To From
A-1 B- (sf) B- (sf)/Watch Neg
A-1R B- (sf) B- (sf)/Watch Neg
A-2 CCC- (sf) CCC- (sf)/Watch Neg
A-2R CCC- (sf) CCC- (sf)/Watch Neg
SALISBURY INT'L 2005-8: S&P Withdraws CCC- Rating on Class A Debt
-----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
tranche from Credit Default Swap - US$225 mil Swap Risk Rating -
"Paoli" Ref No. 64451, a corporate-backed synthetic collateralized
debt obligation (CDO) transactions and the class A notes from
Salisbury International Investments Ltd.'s series 2005-08, a
synthetic CDO transaction referencing commercial mortgage-backed
securities.
The rating withdrawal on Salisbury International Investments Ltd.,
Series 2005-8's class A notes reflects a notice of termination of
the transaction. The withdrawal of the rating on the credit
default swap is due to lack of sufficient information to maintain
S&P's current rating.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Salisbury International Investments Ltd.
Series 2005-08
Rating
Class To From
A NR CCC- (sf)
Credit Default Swap
US$225 mil Swap Risk Rating - "Paoli" Ref No. 64451
Rating
Class To From
Tranche NR BBB+srp (sf)/Watch Pos
SAN GABRIEL CLO I: S&P Raises Rating on Class B-2L Notes to 'BB'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2L, A-3L, B-1L, and B-2L notes from San Gabriel CLO I Ltd., a
U.S. collateralized loan obligation (CLO) managed by Apidos
Capital Management LLC. "In addition, we affirmed our ratings on
the class A-1L and A-1LV notes," S&P said.
"The upgrades reflect improvement in the credit quality of the
underlying assets since our January 2011 rating actions. The
affirmed ratings reflect our belief that the credit support
available is commensurate with the current rating levels," S&P
said.
"The rating actions follow our review of the transaction's
performance using data from the trustee report dated Nov. 1,
2012," S&P: said.
"According to the November 2012, trustee report, the transaction
held $5.34 million in defaulted assets, down from $9.93 million
noted in the Dec. 1, 2010, trustee report, which we used for our
January 2011 rating actions," S&P said.
"The amount of 'CCC' rated collateral held in the transaction's
asset portfolio also declined since the time of our last rating
action. According to the November 2012, trustee report, the
transaction held $9.40 million in 'CCC' rated collateral, down
from $17.56 million noted in the December 2010 trustee report.
When calculating the overcollateralization (O/C) ratios, the
trustee haircuts a portion of the 'CCC' rated collateral that
exceeds the threshold specified in the transaction documents. This
threshold has not breached in the time since our last rating
action. The current level of 'CCC' rated collateral quoted in the
November 2012 trustee report totaled 2.27% of the total
collateral, with a threshold of 7.50%," S&P said.
"Also, the collateral balance -- designated by a combination of
principal proceeds and total par value of the collateral pool --
backing the rated liabilities has increased $0.61 million since
December 2010. The increased collateral balance improved the
credit support available to the rated notes, and potentially
increases the available interest proceeds that the underlying
collateral generates," S&P said.
"Over the same time period, the transaction's senior class A,
class A, class B-1L, and class B-2L O/C ratio tests have improved.
In addition, the transaction has seen the weighted average spread
of the underlying collateral increase by 1.68%," S&P said.
Standard & Poor's notes that the transaction is currently passing
its additional collateral deposit requirement test -- which is
similar to the class B-2L O/C ratio, but measured at a higher
level than the class B-2L O/C test, in the interest section of the
waterfall. The transaction is structured such that if it fails
this test during the reinvestment period, which is scheduled to
end September 2013, an amount -- equal to the lesser of the
available interest proceeds and the amount necessary to cure the
test--will be split. Sixty five percent of this amount may be used
by the collateral manager to reinvest into additional collateral.
The remaining 35.00% will be used to pay down the class B-2L
notes. Further, the transaction is structured such that if it
fails this test after the reinvestment period, the 65.00% portion
will be used to pay the notes sequentially, while the 35.00%
portion will continue to pay the class B-2L notes. According to
the November 2012 trustee report, the additional collateral
requirement test result was 103.99%, compared with a required
minimum of 101.50%.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults, and recoveries upon
default, under various interest rate and macroeconomic scenarios.
In addition, our analysis considered the transaction's ability to
pay timely interest and/or ultimate principal to each of the rated
tranches. The results of the cash flow analysis demonstrated, in
our view, that all of the rated outstanding classes have adequate
credit enhancement available at the rating levels associated with
this 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.
CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON
December 2010 November 2012
Class Notional(mil.$) Notional(mil.$)
A-1L 268.50 268.50
A-1LV 39.34 39.34
A-2L 25.00 25.00
A-3L 29.00 29.00
B-1L 15.00 15.00
B-2L 16.50 16.14
Weighted Average Margin 3.13% 4.81%
Senior Class A OC 121.89% 122.78%
Class A OC 112.12% 112.94%
Class B-1L OC 107.66% 108.44%
Class B-2L OC 103.14% 103.99%
Interest Cov. Test 3.01% 4.10%
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
San Gabriel CLO I Ltd.
Rating
Class To From
A-1L AA+ (sf) AA+ (sf)
A-1LV AA+ (sf) AA+ (sf)
A-2L AA (sf) A+ (sf)
A-3L A (sf) BBB+ (sf)
B-1L BBB (sf) BB+ (sf)
B-2L BB (sf) CCC+ (sf)
SANTANDER DRIVE 2012-A: Moody's Rates $23MM Class E Notes 'Ba1'
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes to be issued by Santander Drive Auto Receivables Trust 2012-
A (SDART 2012-A). This is the first private and seventh subprime
transaction of the year for Santander Consumer USA Inc. (SCUSA).
The complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2012-A
$123,000,000, 0.25%, Cl. A-1, Assigned P-1 (sf)
$216,000,000, 0.55%, Cl. A-2, Assigned Aaa (sf)
$127,670,000, 0.65%, Cl. A-3, Assigned Aaa (sf)
$77,120,000, 1.21%, Cl. B, Assigned Aa1 (sf)
$94,920,000, 1.78%, Cl. C, Assigned A1 (sf)
$61,290,000, 2.46%, Cl. D, Assigned Baa2 (sf)
$23,730,000, 3.40%, Cl. E, Assigned Ba1 (sf)
Ratings Rationale
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SCUSA as
servicer.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. Auto Loan-Backed Securities," published in
May 2011.
Moody's median cumulative net loss expectation for the 2012-A pool
is 15.0% and the Aaa level is 48.0%. The loss expectation was
based on an analysis of SCUSA's portfolio vintage performance as
well as performance of past securitizations, and current
expectations for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium
versus a Medium for the sector. This is driven by the a Low/Medium
assessment for Governance due to the presence of the investment
grade rated parent, Banco Santander (Baa2/P-2). In addition, the
securitization documents include a provision that requires the
appointment of a back-up servicer in the event that the rating on
Banco Santander is downgraded below Baa3.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 20.00%, 26.00% or
29.00%, the initial model output for the Class A notes might
change from Aaa to Aa1, A1, and Baa1, respectively. If the net
loss used in determining the initial rating were changed to
15.50%, 19.50% or 22.5%, the initial model output for the Class B
notes might change from Aa1 to Aa2, A2, and Baa2, respectively. If
the net loss used in determining the initial rating were changed
to 15.30%, 17.35% or 21.00%, the initial model output for the
Class C notes might change from A1 to A2, Baa2, and Ba2,
respectively. If the net loss used in determining the initial
rating were changed to 15.20%, 18.00% or 20.50%, the initial model
output for the Class D notes might change from Baa2 to Baa3, Ba3,
and B3 respectively. If the net loss used in determining the
initial rating were changed to 15.10%, 17.00% or 17.50%, the
initial model output for the Class E notes might change from Ba1
to Ba2, B2, and
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
SANTANDER DRIVE 2012-A: S&P Gives 'BB+' Rating on Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Santander Drive Auto Receivables Trust 2012-A's $723.73 million
automobile receivables-backed notes.
The note issuance is an asset-backed securitization backed by
subprime auto loan receivables.
The ratings reflect S&P's view of:
-- The availability of 49.96%, 44.02%, 35.61%, 30.29%, and 26.87%
of credit support for the class A, B, C, D, and E notes based
on stress cash flow scenarios (including excess spread), which
provide coverage of more than 3.5x, 3.0x, 2.3x, 1.75x, and
1.6x S&P's 13.25%-14.25% expected cumulative net loss.
-- The timely interest and principal payments made under stress
cash flow modeling scenarios appropriate to the assigned
ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A, B,
and C notes will remain within one rating category of the
assigned ratings during the first year, and its ratings on the
class D and E notes will remain within two rating categories
of the assigned ratings, which is within the outer bounds of
its credit stability criteria.
-- The originator/servicer's history in the subprime/specialty
auto finance business.
-- S&P's analysis of six years of static pool data on Santander
Consumer USA Inc.'s lending programs.
-- The transaction's payment/credit enhancement and legal
structures.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS ASSIGNED
Santander Drive Auto Receivables Trust 2012-A
Class Rating Amount (mil. $)
A-1 A-1+ (sf) 123.00
A-2 AAA (sf) 216.00
A-3 AAA (sf) 127.67
B AA (sf) 77.12
C A (sf) 94.92
D BBB (sf) 61.29
E BB+ (sf) 23.73
STRIPS III: Moody's Cuts Rating on Class M Notes to 'Caa3'
----------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
Notes and downgraded one class of notes issued by STRIPs III
Ltd./STRIPs III Corp. Master Trust, Series 2003-1. The downgrade
is due to reduced collateral cashflows outpacing the amortization
of the outstanding notes. Moody's expects the cashflows from the
underlying IOs to be insufficient to pay in full the remaining
interest and principal due to the senior most class of the
transaction. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation and collateralized loan obligation (CRE CDO and Re-
Remic) transactions.
Moody's rating action is as follows:
Cl. M, Downgraded to Caa3 (sf); previously on Dec 28, 2011
Downgraded to B3 (sf)
Cl. N, Affirmed at Ca (sf); previously on Dec 28, 2011
Downgraded to Ca (sf)
RATINGS RATIONALE
STRIPs III Ltd./STRIPs III Corp. Master Trust, Series 2003-1 is a
static resecuritization transaction backed by a portfolio of eight
interest only (IO) certificates from eight CMBS transactions and
one grantor trust certificates secured by a portion of the
interest payments from a CMBS transaction issued from 1999 through
2002. As of the November 26, 2012 Trustee report, the aggregate
Note balance of the transaction has decreased to $6.1 million from
$465.2 million at issuance, with the paydown from excess interest
directed to the rated notes in a senior-sequential manner after
payments are made to the stated coupons on each outstanding rated
tranche.
Within the resecuritization pool, the identified weighted average
life is 2.2 years assuming a 0%/0% constant default and prepayment
rate (CDR/CPR).
Changes in any one or combination of key parameters may have have
rating implications on certain classes of rated notes. However, in
many instances, a change in assumptions of any one key parameter
may be offset by a change in one or more of the other key
parameters. Cash flows to the underlying IO Certificates are
particularly sensitive to changes in recovery rate assumptions for
the underlying CMBS transactions.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The methodological approach used in these ratings is as follows:
Moody's applied ratings-specific cash flow scenarios assuming
different loss timing, recovery and prepayment assumptions on the
underlying pool of mortgages that are the collateral for the
underlying CMBS transaction through Structured Finance
Workstation(R) (SFW), the cash flow model developed by Moody's
Wall Street Analytics. The analysis incorporates performance
variances across the different pools and the structural features
of the transaction including priorities of payment distribution
among the different tranches, tranche average life, current
tranche balance and future cash flows under expected and stressed
scenarios. In each scenario, cash flows and losses from the
underlying collateral were analyzed applying different stresses at
each rating level. The resulting ratings specific stressed cash
flows were then input into the structure of the resecuritization
to determine expected losses for each class. The expected losses
were then compared to the idealized expected loss for each class
to gauge the appropriateness of the existing rating. The stressed
assumptions considered, among other factors, the underlying
transaction's collateral attributes, past and current performance,
and Moody's current negative performance outlook for commercial
real estate.
The other methodology used in this rating was "Moody's Approach to
Rating Repackaged Securities" published in April 2010.
THL CREDIT 2012-1: S&P Gives Prelim 'BB-' Rating on Class E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to THL Credit Wind River 2012-1 CLO Ltd./THL Credit Wind
River 2012-1 CLO LLC's $460.5 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Dec. 11,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes;
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria;
The transaction's legal structure, which is expected to be
bankruptcy remote;
The diversified collateral portfolio, which consists primarily
of broadly syndicated, speculative-grade, senior secured term
loans;
The asset manager's experienced management team;
"The timely interest and ultimate principal payments on the
preliminary rated notes, which we assessed using our cash flow
analysis and assumptions commensurate with the assigned
preliminary ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34% to 12.26%," S&P said;
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding; and
The transaction's interest reinvestment test, a failure of
which during the reinvestment period would lead to the
reclassification of excess interest proceeds that are
available prior to paying subordinated management fees,
uncapped administrative expenses, and subordinated note
payments into principal proceeds for the purchase of
collateral assets.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
PRELIMINARY RATINGS ASSIGNED
THL Credit Wind River 2012-1 CLO Ltd./THL Credit Wind River 2012-1
CLO LLC
Class Rating Amount
(mil. $)
A AAA (sf) 303.0
B-1 AA (sf) 56.0
B-2 AA (sf) 10.0
C-1 (deferrable) A (sf) 34.5
C-2 (deferrable) A (sf) 5.0
D (deferrable) BBB (sf) 26.0
E (deferrable) BB- (sf) 26.0
Combination BBB+ (sf) 13.0(ii)
notes(i) (deferrable)
Subordinated note A NR 10.6
Subordinated note B NR 42.5
(i) The combination notes principal reflects $5 million of class
C-1 note principal and $8 million of class D note principal.
(ii) Each component (the class C-1 and class D note components)
is included in (and is not in addition to) the respective
principal amount of the class C-1 and D notes described.
NR - Not rated.
UBS COMMERCIAL 2007-FL1: Moody's Ups Rating on Cl. J Certs. to B3
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of nine classes and
affirmed four classes of UBS Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2007-FL1 as follows:
Cl. A-2, Upgraded to Aaa (sf); previously on Jun 15, 2012 Upgraded
to A1 (sf)
Cl. B, Upgraded to Aa3 (sf); previously on Jun 15, 2012 Upgraded
to Baa1 (sf)
Cl. C, Upgraded to A2 (sf); previously on Jun 15, 2012 Upgraded to
Baa3 (sf)
Cl. D, Upgraded to Baa1 (sf); previously on Jun 15, 2012 Upgraded
to Ba1 (sf)
Cl. E, Upgraded to Baa2 (sf); previously on Jun 15, 2012 Upgraded
to Ba2 (sf)
Cl. F, Upgraded to Ba1 (sf); previously on Jun 15, 2012 Upgraded
to Ba3 (sf)
Cl. G, Upgraded to Ba3 (sf); previously on Jun 15, 2012 Upgraded
to B2 (sf)
Cl. H, Upgraded to B1 (sf); previously on Jun 15, 2012 Upgraded to
B3 (sf)
Cl. J, Upgraded to B3 (sf); previously on Jun 15, 2012 Upgraded to
Caa1 (sf)
Cl. K, Affirmed at Caa3 (sf); previously on Jun 15, 2012 Upgraded
to Caa3 (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Cl. O-MD, Affirmed at B1 (sf); previously on Dec 2, 2010
Downgraded to B1 (sf)
Cl. O-WC, Affirmed at Caa2 (sf); previously on Dec 2, 2010
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The upgrades are due to loan payoffs resulting in an increase of
credit support. The affirmations of the principal classes are due
to key parameters, including Moody's loan to value (LTV) ratio and
Moody's stressed debt service coverage ratio (DSCR) remaining
within acceptable ranges. The IO Class, Class X, is consistent
with the credit quality of its referenced classes and thus is
affirmed.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
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 8.5. 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
incorporates 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 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
Remittance Statements. On a periodic basis, Moody's also performs
a full transaction review that involves a rating committee and a
press release. Moody's prior transaction review is summarized in a
press release dated June 15, 2012.
DEAL PERFORMANCE
As of the November 15, 2012 Payment Date, the transaction's
aggregate certificate balance decreased by approximately 41% from
last review to $494 million due to the payoff of four loans. The
Certificates are collateralized by eight floating rate whole loans
and senior interests in whole loans. The loans range in size from
3% to 31% of the pooled balance, with the top three loans
representing approximately 63% of the pooled balance. The pool's
Herfindahl Index is 6.
Moody's weighted average pooled trust LTV ratio is 94% compared to
96% at last review. Moody's weighted average stressed DSCR for the
pooled trust is at 1.26X.
Cumulative pool bond loss totals $4,368,166 and affects pooled
Class L. Interest shortfalls total $13,694 and affect rake classes
O-MD and O-WC. In addition, as of the November 2012 payment date,
outstanding servicing advances total $1,632,342 in mainly in
connection with the smallest loan in the pool, Rex Corp NJ/Long
Island Land Loan, currently REO. Moody's credit assessment for
this loan is C, same as last review.
There are currently six loans totaling 73% of pooled balance in
special servicing. However, the Maui Prince Resort loan (now
called Makena Beach & Golf Resort) and Marriott Washington, DC
loan (combined totaling 41% of pooled balance) have been modified.
The Marriott Washington, DC Loan ($51 million; 11% of pooled
balance plus $1.7 million of rake bond) is the fifth largest loan
in the pool and the third largest loan that is currently in
special servicing. The loan was modified and extended with final
maturity date of August 2015. Moody's credit assessment for this
loan is Ba3, same as last review. Three loans (MSREF Luxury Resort
Portfolio, Hilton Long Beach and Fort Lauderdale Renaissance) are
still in negotiations with the borrowers. The Rex Corp NJ/Long
Island Land Loan is REO.
The largest loan in the pool is secured by a fee interest in the
Maui Prince Resort Loan ($150 million; 31% of pooled balance plus
$30 million in three non-pooled, or rake bonds) remains in special
servicing. The hotel is now called the now called Makena Beach &
Golf Resort. According to the special servicer (CW Capital Asset
Management), the borrower requested that the loan remain in
special servicing until further notice. As of October 2012, $11
million has been spent and room renovations were completed in
November 2011.
The loan is secured by fee simple interest in Maui Prince Resort
(310 guestrooms), two 18-hole golf course and 1,200 acres of
undeveloped land located in Makena, Haiwaii on Maui. The loan was
transferred to special servicing in June 2009. The rake investor
assumed the A note and converted its interest in the rake, or non-
pooled bonds to equity as part of the assumption. The A note
received a principal pay-down of $12.5 million, and loan maturity
has been extended by three years (July 9, 2013) with two one-year
extension options. There is a B-note totaling $20 million outside
of the trust.
Hawaii's lodging market, and notably Oahu, is performing extremely
well. The Oahu market achieves the second highest Revenue per
Available Room (RevPAR) after New York City, according to Smith
Travel Research. Hawaii caters to both international and domestic
demand, and has seen a strong surge in demand from Japan, China
and Korea markets. Maui caters to higher percentage of domestic
lodging demand, and increase in performance has not been as
pronounced as those on Oahu.
Moody's did not rate the three rake bonds associated with this
loan (Classes M-MP, N-MP and O-MP). Moody's current credit
assessment for this loan is B3, same as at last review.
The second largest loan in the pool is secured by fee and
leasehold interests in MSREF Luxury Resort Portfolio Loan ($82
million; 17% of the pooled balance). The loan transferred to
special servicing in May 2012 due to the borrower's inability to
secure financing upon maturity. The loan is secured by three full-
service resort hotels. Two of the properties, JW Marriott Grand
Lakes and the Ritz-Carlton Grand Lakes, are located in Orlando,
Florida on the same 325 acre grounds and represent 57% of the loan
by allocated balance. The third property, the JW Marriott Desert
Ridge is located in Phoenix, Arizona and represents 43% of the
loan by allocated balance. Total net cash flow from the portfolio
was $55.8 million for the trailing twelve months ending August
2012 compared to approximately $33 million for year-end 2011.
There is additional debt in the form pari passu ($463 million)
non-trust debt included in in BALL 2007-BMB1 and MS 2007-XLF9
transactions, non-trust junior component and mezzanine debt
outside the trust. The borrower is in the process of discussing a
modification and extension. Moody's current credit assessment for
this loan is Caa3, same as at last review.
The third largest loan, the in 2600 -- 2800 Colorado Avenue Loan
($75 million; 15% of the pooled balance), is secured by a fee
interest an office building located in Santa Monica, California.
The 306,000-square feet office building has Viacom International
Inc. leasing over 42% of NRA through the end of 2016, and
Lionsgate Entertainment Inc leasing another 42% of NRA through
August 2015. The loan has a final maturity date of July 9, 2014.
There is an additional debt in the form of non-trust junior
component and mezzanine debt outside the trust. Net cash flow for
year-end 2011 was $9.2 million and NCF for the first three months
of 2012 was $2.6 million. Moody's current credit assessment for
this loan is B2, same as at last review.
WAMU MORTGAGE 2002-AR2: Moody's Cuts Rating on B-3 Tranche to Caa2
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches from one RMBS transaction issued by Washington Mutual.
The collateral backing the deal primarily consists of first-lien,
adjustable-rate Prime Jumbo residential mortgages. The actions
impact approximately $72 million of RMBS issued from 2002.
Complete rating actions are as follows:
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2002-AR2
Cl. A, Downgraded to Baa1 (sf); previously on Apr 20, 2011
Downgraded to Aa3 (sf)
Cl. B-1, Downgraded to Ba3 (sf); previously on Apr 20, 2011
Downgraded to Baa2 (sf)
Cl. B-2, Downgraded to Caa1 (sf); previously on Apr 20, 2011
Downgraded to Ba3 (sf)
Cl. B-3, Downgraded to Caa2 (sf); previously on Apr 20, 2011
Downgraded to B3 (sf)
RATINGS RATIONALE
The downgrades are a result of deteriorating performance of the
pools and structural features resulting in higher expected losses
for the bonds than previously anticipated.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012. The methodology used in rating
Interest-Only Securities was "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications and 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
To project losses on pools with fewer than 100 loans, Moody's
first estimates a "baseline" average rate of new delinquencies for
the pool that is set at 3% for Jumbo and which is typically higher
than the average rate of new delinquencies for larger pools. Once
the baseline rate is set, further adjustments are made based on 1)
the number of loans remaining in the pool and 2) the level of
current delinquencies in the pool. The fewer the number of loans
remaining in the pool, the higher the volatility in performance.
Once the loan count in a pool falls below 76, the rate of
delinquency is increased by 1% for every loan less than 76. For
example, for a pool with 75 loans, the adjusted rate of new
delinquency would be 3.03%. In addition, if current delinquency
levels in a small pool is low, future delinquencies are expected
to reflect this trend. To account for that, the rate calculated
above is multiplied by a factor ranging from 0.75 to 2.5 for
current delinquencies ranging from less than 2.5% to greater than
10% respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
methodology publication listed above.
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 7.9% in October 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_SF310257
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
WESTCHESTER CLO: S&P Affirms 'CCC-' Rating on Class E Debt
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C and D notes and affirmed its ratings on the class A-1-A, A-1-B,
B, and E notes from Westchester CLO Ltd., a collateralized loan
obligation (CLO) transaction currently managed by Highland Capital
Management L.P. "At the same time, we removed our ratings on five
of these classes from CreditWatch positive. In addition, we
affirmed our ratings on the class A1 and A2 notes from Blue Wing
Asset Vehicle Series 2009-1, a retranching of the class A-1-A
notes from Westchester CLO Ltd.," S&P said.
"The rating actions follow our performance review of Westchester
CLO Ltd. and reflect $23.0 million in paydowns to the class A-1-A
notes to 81.4% of their original balance and improved credit
performance we have observed in the underlying asset portfolio
since our December 2011 rating actions, when we raised our ratings
on four classes of notes. The paydowns have led to an increase in
overcollateralization (O/C) available to support the notes. The
class A/B, C, D, and E O/C ratios have increased by an absolute
average of approximately 5.5% since the October 2011 trustee
report, which we referenced for our December 2011 rating actions,"
S&P said.
"The amount of defaulted obligations held in the Westchester CLO
Ltd. portfolio declined since the last rating action. As of
October 2012, the transaction held $71.2 million in defaulted
assets, down from $89.2 million in October 2011. We also observed
that debts issued by obligors with ratings in the 'CCC' range
decreased to $71.3 million, down from $93.0 million as reflected
in the October 2011 report. Another positive factor in our
analysis includes an increase in the weighted-average spread from
3.4% to 3.7%," S&P said.
"There is a feature in the principal waterfall that allows
principal proceeds to pay down deferred interest on the class E
notes. The waterfall also has a turbo feature which redirects
residual interest and principal to pay down the class E notes if
the class E coverage tests are not in compliance. Principal cash
may only be used to pay down the class E notes if the payment
doesn't cause any other coverage test above it to fail," S&P said.
"On the Oct. 22, 2012, payment date the class E interest coverage
test was failing and the transaction used $6.7 million in interest
proceeds to pay down principal of the class E notes and it used
$6.7 million in principal proceeds to pay down deferred interest
on class E notes. These payments brought the interest coverage
test back into compliance and the class E notes no longer have any
deferred interest outstanding," S&P said.
"The obligor concentration supplemental test (which is part of our
criteria for rating corporate CDO transactions) affected the
rating on the class D notes," S&P said.
"We affirmed our ratings on the class A-1-A, A-1-B, B, and E notes
from Westchester CLO Ltd. and the class A1 and A2 notes from Blue
Wing Asset Vehicle Series 2009-1 to reflect our belief that the
credit support available is commensurate with the current
ratings," S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Westchester CLO Ltd.
Rating
Class To From
A-1-B AA (sf) AA (sf)/Watch Pos
B A+ (sf) A+ (sf)/Watch Pos
C BBB (sf) BBB- (sf)/Watch Pos
D B+ (sf) CCC- (sf)/Watch Pos
E CCC- (sf) CCC- (sf)/Watch Pos
RATINGS AFFIRMED
Westchester CLO Ltd.
Class Rating
A-1-A AAA (sf)
Blue Wing Asset Vehicle Series 2009-1
Class Rating
A1 AAA (sf)
A2 AAA (sf)
* Fitch Rates 2 Subprime RMBS Classes at 'Bsf'
----------------------------------------------
Fitch Ratings has upgraded two senior classes in two subprime RMBS
transactions. Both classes are first priority in sequential-pay
cashflow structures and both are expected to pay off in full
within the next 12 months based on recent mortgage pool trends.
Fitch's rating actions are as follows:
Stanwich Asset Acceptance Company, L.L.C. 2007-FRE1
- A-1 (144527AA6) upgraded to 'Bsf' from 'CCsf'; assigned Stable
Outlook.
Securitized Asset Backed Receivables 2006-WM1:
- A-1A (81375WKL9) upgraded to 'Bsf' from 'CCCsf'; assigned
Stable Outlook.
Despite the relatively short remaining lives under base-case
assumptions, the bonds were not upgraded beyond 'Bsf' due to
credit sensitivities under stressed changes to interest rates,
prepayment rates and loss-timing assumptions.
These actions were reviewed by a committee of Fitch analysts.
* Moody's Says Global Securitization Performance Stable in 2013
---------------------------------------------------------------
The credit quality of global structured finance transactions in
many sectors will be stable in 2013, although, it is declining in
several countries in Europe. Performance in very few sectors will
improve materially, according to a new report from Moody's
Investors Service, "Global Structured Finance: 2013 Outlook:
Weakening of the Global Economy Poses the Greatest Challenge to
Stable Sectors."
Moody's notes that the greatest risks to the otherwise stable
performance of structured finance in many countries is the
weakening of the global economy and the related fiscal problems of
sovereigns and the weaker state of the global banks since the
financial crisis.
Economic stability underpins the performance of the assets that
back structured finance transactions, but different regions face
different economic prospects.
"The US is on the road to recovery, albeit with weak growth and
the risk of a new recession if it cannot resolve its fiscal
imbalance," says Andrew Jones, Moody's Director of Research for
structured finance. "The rest of the Americas and Asia are
relatively stable, but Europe is facing a challenging credit
environment, with many countries in recession."
Global banks are weaker than before the crisis, limiting the
ability of bank sponsors to support structured transactions.
"The decline in bank creditworthiness also affects transactions in
which they act as counterparties, such as account banks and swap
providers," says Moody's Mr. Jones.
The Moody's report also notes that governmental policies will
continue to have profound effects on structured finance.
* Moody's Says US Auto ABS Credit Quality to Marginally Decline
---------------------------------------------------------------
The credit quality of US auto asset-backed securities sector (ABS)
will decline marginally in 2013, reflecting lenders' gradual
return to higher but reasonable levels of risk-taking according to
a new publication from Moody's Investors Service, "US Auto ABS:
2013 Outlook: Outlook Falls to Stable as Credit Slowly Becomes
More Widely Available."
In addition, Moody's anticipates that outstanding auto ABS will
not be materially affected by a recession that might result from
an inability of the government to resolve the budget crisis and
avoid automatic spending cuts and tax increases (the fiscal cliff)
because of the strong credit characteristics backing earlier
vintages. Moody's also projects higher auto ABS issuance driven in
part by the increase in investor demand for a well-known product
that can satisfy a need for short-term cash surrogate investment
as well as a need for yield from deeply subordinated non-
investment-grade tranches.
"We are changing our outlook for the US auto ABS to stable, after
having maintained a positive outlook for the last two years," says
Mack Caldwell, a Moody's senior vice president. "The change
reflects the growing appetite for risk among both lenders and
investors."
Drivers of lower credit quality
The Moody's report cites three trends that will drive the marginal
credit quality decline in 2013. First, the credit characteristics
of loans moved from sponsor-managed portfolios the their ABS pools
will be weaker. Second, some prime lenders will intentionally
begin to lend to less creditworthy borrowers because of the
saturation of lending in the prime sector. Third, the subprime
auto market, an attractive investment for private equity and the
structured capital markets to some extent, will have the means to
expand.
Impact of the fiscal cliff
In a recent report, Moody's Analytics predicts an unemployment
rate of 9.1% by the fourth quarter of 2013 if the US government
goes over the fiscal cliff. While existing vintages of auto ABS
would be little affected because of their strong credit profile,
new auto ABS pools featuring weaker credit obligors will
deteriorate to a greater degree but not to the levels during the
recession when performance was roughly twice the loss level that
Moody's had expected.
New issuance
Moody's predicts that bank and bank-affiliated sponsors will issue
more auto ABS volume in 2013 as well in order to diversify funding
and provide a means for growing existing auto platforms.
* Moody's Says Quality of New US RMBS Marginally Weaker
-------------------------------------------------------
Next year's vintage of US residential mortgage-backed securities
(RMBS) will have riskier collateral than recent securitizations,
as well as weaker representation and warranties from smaller,
financially less-established originators, than those issued in
2012. Meanwhile, a stronger housing market will help to stabilize
the performance of outstanding RMBS, according to a new report
from Moody's Investors Service, "US Private-Label RMBS and
Servicer Quality: 2013 Outlook - Sluggish Recovery in a Changing
Environment."
New RMBS Issuance
Moody's expects that, in 2013, issuers will introduce a new asset
class backed by rental cash flows from single-family residential
properties. Moody's also expects that overall issuance of private-
label RMBS will increase because of unabating investor appetite
and the removal of regulatory uncertainties that restricted
issuance in 2012.
The credit quality of transactions in 2013 will be marginally
weaker than those in post-crisis transactions to date. Issuance of
transactions with pools with higher weighted average LTVs and
lower weighted average FICOs, a trend that began in 2012, will
continue. Additionally, pools will contain more loans with riskier
attributes, such as those secured by investment properties.
"Lender guidelines have not materially loosened recently, but
growing investor appetite for prime jumbo RMBS and a limited
supply of 'super-prime' borrowers has incentivized lenders to
originate more loans near the fringes of their underwriting
criteria," says Linda Stesney, a Moody's managing director.
Performance of Outstanding RMBs
Legacy RMBS pools in 2012 will continue to stabilize throughout
2013, with slight decreases in delinquency levels.
"As the level of equity for remaining non-delinquent borrowers
improves with the tepid recovery in home prices, the number of
strategic defaults will decrease, especially in the prime jumbo
sector," says Debash Chatterjee, a Moody's associate managing
director. "Lengthy loss mitigation timelines will persist, but a
rise in short sales will help shorten liquidation timelines and
lower both loss severities and ultimate losses."
Mortgage Servicer Consolidation
Large mortgage servicers are increasing their short sales and
modifications as they strive to meet the performance requirements
of their recent settlement with state attorneys general. Moody's
expects more streamlining by servicers, with larger players
strategically downsizing and transferring loans to smaller,
nimbler outfits.
"The CFPB's review of small and medium-size servicers is a
positive for the industry in that it will force more
accountability on the practices of smaller and otherwise
unregulated entities," says Moody's Stesney. "But the incremental
costs will drive additional consolidation in the industry."
* Moody's Says U.S. CMBS Liquidated Loan Loss Severity Up in 3Q
---------------------------------------------------------------
The weighted average loss severity for all loans backing
commercial mortgage-backed securities (CMBS) in the US liquidated
at a loss was 40.8% in the third-quarter of this year, slightly up
from 40.5% in the prior quarter, says Moody's Investors Service in
"US CMBS Loss Severities Q3 2012 Update."
From October 1, 2011 to September 15, 2012, $15.7 billion of CMBS
loans were liquidated, up $1.2 billion over the same period the
previous year, says Moody's.
The weighted average loss severity for all liquidated loans
excluding those with de minimis losses (defined as losses of less
than 2%) was 52.7%, an increase from 52.3% last quarter, says the
rating agency report. Loans with losses of less than 2% account
for about one fifth of the sample size.
"Loans backed by manufactured housing and mobile home properties
had the highest weighted average loss severity, at 48.5%, while
loans backed by self-storage properties had the lowest weighted
average loss severity, at 33.8%," said Moody's Vice President and
Senior Credit Officer Keith Banhazl.
He said total cumulative realized losses from the 1998-2008
vintages rose 21 basis points in the third quarter, to 2.3% from
2.1% in the second quarter. The 2000 CMBS vintage had the highest
cumulative loss rate, 4.3% in the third quarter, up from 4.0% in
the second quarter; the 2001 CMBS vintage had the second-highest
cumulative loss rate, 3.5%, up from 3.3%.
Of the 10 metropolitan statistical areas (MSAs) with the highest
dollar losses, New York had the lowest severity, at 22.9%,
Detroit, the highest, at 59.2%.
Two notable liquidations took place during the quarter. The Westin
O'Hare loan, backed by a hotel in Chicago, liquidated with a $83.5
million loss, for a loss severity of 83.2%, and the Highland Mall
loan, backed by a regional mall in Austin, Texas, liquidated with
a $73.2 million loss, for a loss severity of 120.0%.
The three vintages with the highest loss severities are 2006, at
48.8%, 2008, at 48.0%, and 2007, at 45.0%. These vintages
constitute 56.7% of CMBS collateral and 73.8% of delinquent loans.
"For the 2005, 2006, and 2007 vintages, we expect aggregate
conduit losses (inclusive of realized losses) of 7.6%, 10.8% and
13.0%, respectively, of the total balance at issuance, with most
of the losses yet to be realized," said Mr. Banhazl. "The
aggregate realized loss for those vintages is currently below
2.5%."
Moody's quarterly loss severities report for US CMBS tracks loan
loss severities upon liquidation and cumulative deal losses in US
commercial mortgage backed securities (CMBS) conduit and fusion
transactions. The latest quarterly report details loss severities
across the 1998 through 2008 vintages based on liquidations that
took place from January 1, 2000 to September 15, 2012.
* Moody's Takes ABCP Rating Actions for Week Ending Dec. 10
-----------------------------------------------------------
Moody's Investors Service took ABCP rating actions for the seven-
day period ending December 10, 2012
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS DURING THE PERIOD
DECEMBER 4, 2012 THROUGH DECEMBER 10, 2012:
Moody's has reviewed the following ABCP programs in conjunction
with the proposed amendments. The amendments, in and of themselves
and at this time, will not result in any rating impact on the
respective programs. For the mentioned programs, Moody's believes
that the amendments do not have an adverse effect on the credit
quality of the securities such that the Moody's ratings are
impacted. Moody's does not express an opinion as to whether the
amendment could have other, non-credit-related effects.
MOODY'S ASSIGNS PRIME-1(SF) RATING TO ROYAL BANK OF CANADA'S ABCP
PROGRAM OF BEDFORD ROW FUNDING CORP.
ICICI BANK LIMITED RENEWS AND AMENDS EXISTING USCP PROGRAM
ICICI Bank Limited ("Issuer") has renewed its existing US
commercial paper program supported by a letter of credit provided
by Bank of America, N.A. ("Bank of America," rated A3/Prime-2/D+).
Bank of America's irrevocable, direct-pay letter of credit
provides full and timely repayment of commercial paper notes upon
maturity. The Issuer has renewed the letter of credit facility for
another year with December 6, 2013 as the new expiration date,
unless extended pursuant to the terms of the program documents.
In addition to the program renewal, the authorized CP issuance
limit was reduced to $350 million from $650 million. The CP
continues to be issued through three different banking units of
the Issuer: Series A by the Bahrain Branch, Series B by the Hong
Kong Branch, and Series C by the New York Branch. All three series
are supported by a single letter of credit provided by Bank of
America. The commercial paper is rated Prime-2.
Deutsche Bank National Trust Company (A2/Prime-1/C+) continues to
act as the depositary and will draw on the letter of credit to pay
maturing commercial paper notes.
ICICI Bank Limited is the largest private sector bank in India and
second largest commercial bank, with a market share of 6% in total
assets and an asset base of INR4.74 trillion. ICICI Bank has a
bank financial strength rating of D+, which translates into a
baseline credit assessment of Baa3. The rating outlook is stable.
The rating reflects the bank's solid franchise as the second-
largest commercial bank in India, as well as its sound financial
position. ICICI Bank's foreign currency deposit ratings is
Baa3/Prime-3 and its foreign currency senior unsecured debt
ratings is Baa2.
This USCP program was established in December 2010.
DZ BANK AG's CORAL ADDS GERMAN TRADE RECEIVABLE TRANSACTION
Coral Capital Limited / Coral Capital LLC ("Coral"), a partially
supported, Hybrid conduit sponsored by DZ Bank AG (A1/Prime-1/C-)
has added a EUR 50 million fully supported German trade receivable
transaction. The receivables are originated by a non Moody's rated
agricultural equipment trading company.
The liquidity facility is sized at 102% of Coral's commitment and
covers all relevant seller risks as well as yield on maturing ABCP
through a liability based borrowing base. Full support is achieved
through this liquidity facility in combination with the programme
wide credit enhancement (PWCE), which Moody's rely on to cover for
senior costs.
Coral's PWCE was at its floor level of EUR 1 million as of the end
of October.
RBC'S STORM KING ACQUIRES INTEREST IN AUTO DEALER FLOORPLANS
Storm King Funding ("Storm King"), a partially supported,
multiseller Canadian ABCP program sponsored and administered by
Royal Bank of Canada ("RBC," Aa3/Prime-1/C+), has acquired a C$40
million revolving facility backed by auto dealer floorplans. The
auto dealers purchase used cars at Canadian auction sites.
Transaction-specific credit enhancement is in the form of 10%
overcollateralization and excess spread.
The transaction is partially supported by a transaction-level
liquidity facility provided by Prime-1-rated RBC and sized to
cover 102% of outstanding ABCP issued by Storm King.
With this transaction, Storm King's required program-level credit
enhancement increased by 10% of commitments but only 10% of
outstandings can be drawn. Storm King has C$2.56 billion of
purchase commitments; its program-level credit enhancement was
C$256 million but only C$154 million can be drawn.
RBC'S OLD LINE AND THUNDER BAY AMEND PROGRAM
Old Line Funding, LLC ("Old Line") and Thunder Bay Funding, LLC
("Thunder Bay"), partially supported, multiseller ABCP programs
sponsored and administered by Royal Bank of Canada, NY Branch
("RBC," Aa3/Prime-1), have had its programs amended.
The material amendments include the following --
(i) adding a committed Program Liquidity Asset Purchase Agreement
("PLAPA") for each of Old Line and Thunder Bay. Each conduit is
required to have a minimum of 102% committed liquidity for each
transaction. Initially, the PLAPA is going to be $0 because the
current 102% transaction-specific liquidity facilities are more
than sufficient to cover the face amount of the notes. The PLAPA
gives flexibility and will provide liquidity in excess of the
maximum commitment amount under the transaction-specific LAPAs
(ii) adding the ability for each conduit to issue callable,
puttable, floating rate, and investor-option extendible notes
(iii) for Old Line, adding an uncommitted Liquidity Loan Agreement
(LLA) at the program level instead of the current transaction-
level.
There is no change to the existing program-level credit
enhancement for Old Line. Old Line's required program-level credit
enhancement is sized at a minimum of 10% of the face amount of
outstanding ABCP including any advances made under the liquidity
loan facility and $300 million. Old Line has $15.3 billion of
purchase commitments.
There is no change to the existing program-level credit
enhancement for Thunder Bay. Thunder Bay's required program-level
credit enhancement is sized at a minimum of 10% of the face amount
of outstanding ABCP including any advances made under the
liquidity loan facility and $300 million. Thunder Bay has $6.5
billion of purchase commitments.
The principal methodology used in these ratings was "Moody's
Approach to Rating Asset-Backed Commercial Paper" published in May
2012.
Moody's monitors and analyzes ABCP programs on an ongoing basis. A
detailed description of each program is published in the ABCP
Program Review. Some ABCP programs have monthly updated
performance information, which is published in the Performance
Overviews. All publications are available on www.moodys.com.
* S&P Takes Various Rating Actions on 68 Classes From 5 CMBS Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on seven
classes from two U.S. commercial mortgage-backed securities (CMBS)
transactions and removed four of these ratings from CreditWatch
with positive implications. "Concurrently, we lowered our ratings
on 20 other classes from three U.S. CMBS transactions and removed
18 of these ratings from CreditWatch with negative implications.
Furthermore, we affirmed our ratings on 41 other classes from four
U.S. CMBS transactions and removed two of these ratings from
CreditWatch with negative implications. The CreditWatch
resolutions are related to CreditWatch placements that we
initiated on Sept. 5, 2012," 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," 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 of the principal and interest certificates
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 transaction," S&P said.
"We affirmed our ratings on the interest-only (IO) certificates to
reflect our current criteria for rating IO securities," 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
Merrill Lynch Mortgage Trust 2005-CKI1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-5 AAA(sf) AAA(sf) 39.00
A-SB AAA(sf) AAA(sf) 39.00
A-6 AAA(sf) AAA(sf) 39.00
A-1A AAA(sf) AAA(sf) 39.00
AM AA+(sf) A+(sf)/Watch Pos 24.94
AJ BBB(sf) BBB-(sf) 14.21
B BB+(sf) BB(sf) 11.75
C BB(sf) BB-(sf) 10.52
D B+(sf) B+(sf) 8.06
E B(sf) B(sf) 6.65
F CCC+(sf) CCC+(sf) 4.19
G CCC-(sf) CCC-(sf) 2.79
X AAA(sf) AAA(sf) N/A
Merrill Lynch Mortgage Trust 2005-MCP1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-2 AAA(sf) AAA(sf) 38.58
A-3 AAA(sf) AAA(sf) 38.58
A-SB AAA(sf) AAA(sf) 38.58
A-4 AAA(sf) AAA(sf) 38.58
A-1A AAA(sf) AAA(sf) 38.58
AM AAA(sf) AAA(sf) 24.23
AJ A-(sf) A-(sf) 14.72
B BBB-(sf) BBB+(sf) 11.67
C BB+(sf) BBB(sf)/Watch Neg 10.41
D BB-(sf) BB+(sf)/Watch Neg 7.72
E B(sf) BB(sf)/Watch Neg 6.10
F CCC-(sf) B+(sf)/Watch Neg 3.77
G CCC-(sf) CCC-(sf) 2.33
XC AAA(sf) AAA(sf) N/A
XP AAA(sf) AAA(sf) N/A
Merrill Lynch Mortgage Trust
Commercial mortgage pass-through certificates series 2005-MKB2
Rating
Class To From Credit enhancement (%)
B AA-(sf) A(sf)/Watch Pos 15.61
C A(sf) A-(sf)/Watch Pos 14.29
D BBB(sf) BB+(sf)/Watch Pos 11.47
Morgan Stanley Capital I Trust 2005-HQ6
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-1A A+(sf) A+(sf)/Watch Neg 22.91
A-2A AAA(sf) AAA(sf) 34.36
A-2B AAA(sf) AAA (sf) 22.91
A-3 AAA(sf) AAA (sf) 22.91
A-AB AAA(sf) AAA (sf) 22.91
A-4A AAA(sf) AAA(sf) 34.36
A-4B A+(sf) A+(sf)/Watch Neg 22.91
A-J BBB-(sf) A-(sf)/Watch Neg 14.75
B BB+(sf) BBB+(sf)/Watch Neg 13.63
C BB(sf) BBB(sf)/Watch Neg 12.04
D BB-(sf) BBB-(sf)/Watch Neg 10.76
E B+(sf) BB+(sf)/Watch Neg 9.64
F B(sf) BB(sf)/Watch Neg 8.36
G B-(sf) BB-(sf)/Watch Neg 7.08
H CCC(sf) B+(sf)/Watch Neg 5.48
J CCC-(sf) CCC+(sf) 4.04
X-1 AAA(sf) AAA(sf) N/A
X-2 AAA(sf) AAA(sf) N/A
Morgan Stanley Capital I Trust 2005-TOP19
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-AB AAA(sf) AAA(sf) 21.03
A-4A AAA(sf) AAA(sf) 30.54
A-4B AAA(sf) AAA(sf) 21.03
A-J BBB+(sf) A+(sf)/Watch Neg 11.91
B BBB-(sf) A-(sf)/Watch Neg 9.52
C BB(sf) BBB+(sf)/Watch Neg 8.24
D B+(sf) BBB-(sf)/Watch Neg 6.64
E B(sf) BB-(sf)/Watch Neg 5.36
F B-(sf) B(sf)/Watch Neg 4.40
G B-(sf) B-(sf) 3.44
H CCC+(sf) CCC+(sf) 2.32
J CCC(sf) CCC(sf) 2.00
K CCC-(sf) CCC-(sf) 1.68
L CCC-(sf) CCC-(sf) 1.04
M CCC-(sf) CCC-(sf) 0.88
N CCC-(sf) CCC-(sf) 0.56
O CCC-(sf) CCC-(sf) 0.24
X-1 AAA(sf) AAA(sf) N/A
X-2 AAA(sf) AAA(sf) N/A
N/A - Not Applicable.
* S&P Takes Various Rating Actions on 19 Classes From 3 CMBS Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on one
pooled class from one U.S. commercial mortgage-backed securities
(CMBS) transaction and removed it from CreditWatch with positive
implications. "Concurrently, we raised our ratings on five raked
(non-pooled)'JRP' certificate classes from LB-UBS Commercial
Mortgage Trust 2006-C6, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, we lowered our ratings
on 11 classes from three U.S. CMBS transactions and removed 10 of
them from CreditWatch with negative implications. We also affirmed
our ratings on two other classes from one of the three U.S. CMBS
transactions and removed them from CreditWatch with negative
implications. The CreditWatch resolutions are related to
CreditWatch placements that we initiated on Sept. 5, 2012," 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. We raised our ratings on
the class JRP-10, JRP-11, JRP-12, JRP-13, and JRP-14 raked
nonpooled certificates from LB-UBS Commercial Mortgage Trust 2006-
C6 to reflect our analysis of the credit characteristics of the 12
participated mortgage loans, which are the sole source of cash
flow for the 'JRP' certificates. The upgrades primarily reflect
the reduction in debt. The subordinate component supporting the
'JRP' certificates has paid down by 26.7% since issuance,
primarily due to the pay-off of the Sheraton Sand Key Hotel
participated mortgage loan, which also supported the 'JRP'
certificates. The loan had a subordinate component balance of
$17.2 million at issuance, which paid-off in July 2011 at no loss
to the raked certificates," 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, which include the current
and potential interest shortfalls both transactions are
experiencing resulting in reduced liquidity support available to
the lowered classes," 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
transaction," 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. For more information on the analytic
process we used for those CreditWatch placements," 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
Morgan Stanley Capital I Trust 2006-IQ11
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M AA+ (sf) AA-(sf)/Watch Pos 23.02
A-J BBB- (sf) BBB+ (sf)/Watch Neg 11.04
B BB (sf) BB+ (sf)/Watch Neg 8.57
C BB- (sf) BB (sf)/Watch Neg 7.59
D B- (sf) B(sf)/ Watch Neg 5.78
E CCC- (sf) B- (sf) 4.47
LB-UBS Commercial Mortgage Trust 2006-C4
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M BB (sf) BBB+ (sf)/Watch Neg 22.02
A-J BB- (sf) BB (sf)/Watch Neg 13.05
B B+ (sf) BB- (sf)/Watch Neg 12.00
C B (sf) B+ (sf)/Watch Neg 10.51
D B- (sf) B(sf)/ Watch Neg 9.46
LB-UBS Commercial Mortgage Trust 2006-C6
Commercial mortgage pass-through certificates
Class To From Credit enhancement(%)
A-J BBB- (sf) BBB (sf)/Watch Neg 11.46
B BB+ (sf) BB+ (sf)/Watch Neg 10.40
F B (sf) B (sf)/Watch Neg 5.12
RATINGS RAISED (NONPOOLED)
LB-UBS Commercial Mortgage Trust 2006-C6
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement(%)
JRP-10 AA (sf) A- (sf)/Watch Dev N/A
JRP-11 A (sf) BB+ (sf) /Watch Dev N/A
JRP-12 BBB (sf) BB-(sf) /Watch Dev N/A
JRP-13 BB+(sf) B+ (sf) /Watch Dev N/A
JRP-14 BB-(sf) B (sf) /Watch Dev N/A
N/A - Not applicable.
* S&P Takes Rating Actions on 13 CPS-Related Auto Loan ABS
----------------------------------------------------------Standard
& Poor's Ratings Services raised its long-term ratings on 18
classes and Standard & Poor's Underlying Ratings (SPUR) on two
classes from eight asset-backed securities (ABS) transactions. "At
the same time, we affirmed our ratings on 19 classes from five
transactions (see list). All are securitizations of subprime auto
loans backed predominantly by used automobiles and light-duty
trucks," S&P said.
"Each of the transactions, other than CPS Auto Receivables Trust
and CPS Cayman Residual Trust 2007-C (combined as 2007-C) and CPS
Auto Receivables Trust and CPS Cayman Residual Trust 2008-A
(combined as 2008-A), are experiencing lower cumulative net losses
than our initial expectation. The upgrades reflect our assessment
of our revised lower remaining cumulative net loss expectation
compared with the growth in credit enhancement as a percent of the
current pool balance," S&P said.
"For both 2007-C and 2008-A, the CPS Auto Receivables Trust and
CPS Cayman Residual Trust are each backed by the same pool of
collateral. Each of these series is performing worse than our
initial expectations but better than our revised expectations from
2011 (see Table 1). We raised both the long-term ratings and our
SPURs on these series to reflect the improvement in performance
over the past few years and the growth of enhancement as the pools
continue to amortize," S&P said.
"The rating actions reflect collateral performance to date, our
views regarding future collateral performance, the structure of
each transaction, and the respective credit enhancement levels. In
addition, our analysis incorporated secondary credit factors such
as credit stability, payment priorities under various scenarios,
and sector- and issuer-specific characteristics as well as cash
flow stress test modeling under various scenarios," S&P said.
Table 1
Cumulative Net Loss (%)
As of the October 2012 performance month
Series Previous Revised
lifetime lifetime
CNL exp.(i) CNL exp.
(%) (%)
2007-C 21.00-21.75 19.50-20.50
2008-A 20.75-21.25 19.00-19.50
2010-A 18.00-19.00 13.00-14.00
2011-A 15.00-17.00 9.10-9.20
2011-B 14.25-14.75 10.25-10.75
Page Five 14.50-15.50 9.50-10.50
2011-C 13.75-14.50 N/A
2012-A 11.75-12.25 N/A
2012-B 13.00-13.50 N/A
2012-C 12.50-13.00 N/A
Page Eight 13.25-13.75 N/A
(i) all previous lifetime cumulative net loss expectations are
from the initial transaction closing except 2007-C and 2008-A
which are from April 2011.
CNL - Cumulative net loss
N/A - Not applicable.
"As of the October 2012 performance month, cumulative net losses
continue to trend lower than our most recent expectations for all
the transactions. As a result, we have lowered our loss
expectations for 2007-C and 2008-A as well as CPS Auto Receivables
Trust 2010-A, CPS Auto Receivables Trust 2011-A, CPS Auto
Receivables Trust 2011-B, and Page Five Funding LLC. We have not
changed our cumulative net loss expectation for CPS Auto
Receivables Trust 2011-C, 2012-A, 2012-B, 2012-C, nor Page Eight
Funding LLC as there is limited performance to date," S&P said.
Table 2
Collateral Performance (%)
As of the October 2012 distribution date
Pool Current 60+ day
Series Mo. factor CNL delinq.
2007-C 62 4.98 19.48 8.43
2008-A 56 7.75 18.26 7.40
2010-A 26 19.79 11.60 4.40
2011-A 19 53.37 4.06 3.19
2011-B 14 70.87 3.23 3.26
2011-C 11 79.57 1.86 3.34
2012-A 8 74.56 1.29 3.15
Page Five 17 50.34 4.79 3.77
2012-B 5 94.17 0.25 1.59
CNL - cumulative net loss.
Mo. - month.
Note: Series 2012-C has only been outstanding one month and Page
Eight Funding, LLC is still revolving, thus neither is included in
Table 2.
"The class B notes from Cayman Residual Trust 2007-C and the class
B and C notes from Cayman Residual Trust 2008-A are deferrable
interest notes in which both interest and principal on these notes
are paid from the residual certificate of CPS Auto Receivables
Trust 2007-C and CPS Auto Receivables Trust 2008-A. In series
2007-C and series 2008-A, the payment priority is sequential so
class A-4 will receive all allotted principal payments before
class B in series 2007-C and before class B and class C in series
2008-A. All of the other transactions in this review pay principal
pro rata as long as certain target credit enhancement thresholds
are met," S&P said.
Each transaction is structured with credit enhancement consisting
of overcollateralization (O/C), subordination, a nonamortizing
reserve account, and excess spread. The (O/C) is structured to
build over time to its target (as a percentage of the current pool
balance) and the spread account is nonamortizing at its initial
amount. Once the (O/C) reaches its target percentage credit
enhancement grows significantly, along with the spread account, as
a percent of the amortizing pool balance. Since issuance, the
credit enhancement for each transaction has increased as a
percentage of the amortizing pool balances," S&P said.
"Each of the transactions also contains noncurable performance
related triggers, which step up the credit enhancement level if
breached. Only the series 2007-C and 2008-A transactions have
breached their trigger levels. We do not expect the performance
triggers to be breached on the remaining transactions as the deals
are performing better than initial expectations," S&P said.
"Class A-4 from series 2007-C and 2008-A benefit from a full
guarantee insurance policy from monoline bond insurer, Assured
Guaranty Corp. (AA-/Stable/--). The issue credit rating on a fully
credit enhanced bond issue is the higher of the two ratings: the
bond insurer or the SPUR. A SPUR is our opinion of the stand-alone
creditworthiness of a transaction which measures the transaction's
capacity to pay debt service on a debt issue without considering
the bond insurance policy. We raised our SPUR and long-term rating
to 'AA (sf)' on the class A-4 notes from series 2007-C and 2008-A
to reflect growth in credit enhancement as a percentage of the
amortizing collateral balance in relation to our lower revised
expected net losses. The rating reflects a SPUR rating that is
higher than our rating on Assured," S&P said.
"Our review of these transactions included our cash flow analysis
which used current and historical performance to estimate future
performance. Our various cash flow scenarios included forward-
looking assumptions on recoveries, timing of losses, and voluntary
absolute prepayment speeds that we believe are appropriate given
each transaction's current performance. Various scenarios were
evaluated, which include turning transaction triggers off to
evaluate ratings in both pro rata and sequential payment
scenarios. We also conducted sensitivity analysis to determine the
impact on our ratings if losses were to begin trending higher that
our revised base case loss expectation. The results demonstrated,
in our view, that all of the classes have adequate credit
enhancement at their affirmed or revise rating levels," S&P said.
"We will continue to monitor the performance of these transactions
to assess, whether, based on our criteria, the credit enhancement
remains adequate to support our ratings on each class under
various stress scenarios," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1166.pdf
LONG TERM RATINGS RAISED
CPS Auto Receivables Trust
Rating Rating
Series Class To From
2007-C A-4 AA(sf) AA-(sf)
2008-A A-4 AA(sf) AA-(sf)
2010-A A AA(sf) A(sf)
2011-A A A(sf) A(sf)
2011-A B A-(sf) BBB(sf)
2011-A C A+(sf) BB(sf)
2011-A D A(sf) B(sf)
2011-B A AA(sf) A(sf)
2011-B B AA-(sf) BBB(sf)
2011-B C A-(sf) BB(sf)
2011-B D BBB(sf) B+(sf)
Page Five Funding LLC
Class To From
A AA(sf) A(sf)
B AA-(sf) BBB(sf)
C A+(sf) BB(sf)
D A(sf) B+(sf)
CPS Cayman Residual Trust
Rating
Series Class To From
2007-C B AA-(sf) BB(sf)
2008-A B AA-(sf) BBB(sf)
2008-A C A+(sf) BB(sf)
SPURS RAISED
CPS Auto Receivables Trust
Rating
Series Class To From
2007-C A-4 AA (sf) BBB+(sf)
2008-A A-4 AA (sf) A(sf)
LONG TERM RATINGS AFFIRMED
CPS Auto Receivables Trust
Series Class Rating
2011-C A A (sf)
2011-C B BBB(sf)
2011-C C BB(sf)
2011-C D B+(sf)
2012-A A A(sf)
2012-A B BBB(sf)
2012-A C BB+(sf)
2012-A D B+(sf)
2012-B A A(sf)
2012-B B BBB(sf)
2012-B C BB(sf)
2012-B D B+(sf)
2012-C A AA-(sf)
2012-C B A(sf)
2012-C C BBB(sf)
2012-C D BB(sf)
2012-C E B+(sf)
Page Eight Funding LLC
Class Rating
A A(sf)
B BBB(sf)
* S&P Takes Various Rating Actions on 37 Classes From 4 CMBS Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 11
classes from three U.S. commercial mortgage-backed securities
(CMBS) transactions and removed all of these ratings from
CreditWatch with positive implications. "Concurrently, we lowered
our ratings on eight other classes from two transactions and
removed four of these ratings from CreditWatch with negative
implications. Furthermore, we affirmed our ratings on 17 other
classes from two transactions and removed four of these ratings
from CreditWatch with negative implications. Lastly, we withdrew
our rating on class B from Washington Mutual Asset Securities
Corp.'s series 2005-C1 following the full repayment of the class'
principal balance, as noted in the respective trustee remittance
report; our rating on this class was on CreditWatch with positive
implications prior to 's withdrawal. The CreditWatch resolutions
are related to CreditWatch placements that we initiated on Sept.
5, 2012," 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," 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 of the principal and interest certificates
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 transaction," S&P said.
"The affirmations of the interest-only (IO) certificates reflect
our current criteria for rating IO securities," S&P said.
"We withdrew our rating on class B from Washington Mutual Asset
Securities Corp.'s series 2005-C1 following the full repayment of
the class' principal balance, as noted in the Oct. 25, 2012,
trustee remittance report," 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
Washington Mutual Asset Securities Corp.
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class To From Credit enhancement (%)
B NR AA+(sf)/Watch Pos N/A
C AAA(sf) A+(sf)/Watch Pos 80.98
D AA(sf) A(sf)/Watch Pos 72.29
E A(sf) BBB+(sf)/Watch Pos 60.11
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C16
Rating
Class To From Credit enhancement (%)
B AAA(sf) AA(sf)/Watch Pos 17.07
C AA+(sf) AA-(sf)/Watch Pos 15.04
D AA(sf) A(sf)/Watch Pos 12.40
E AA-(sf) A-(sf)/Watch Pos 10.77
F A(sf) BBB+(sf)/Watch Pos 8.74
G BBB+(sf) BBB(sf)/Watch Pos 7.11
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C17
Rating
Class To From Credit enhancement (%)
A-PB AAA(sf) AAA(sf) 26.06
A-4 AAA(sf) AAA(sf) 26.06
A-1A AAA(sf) AAA(sf) 26.06
A-J AAA(sf) AAA(sf) 16.70
B AA-(sf) A+(sf)/Watch Pos 12.95
C A+(sf) A(sf)/Watch Pos 11.76
D A-(sf) A-(sf)/Watch Pos 9.38
E BBB+(sf) BBB+(sf)/Watch Pos 8.02
F BBB-(sf) BBB(sf) 6.65
G BB-(sf) BBB-(sf) 5.12
H B-(sf) B+(sf) 3.25
J CCC-(sf) CCC+(sf) 2.91
X-C AAA(sf) AAA(sf) N/A
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C18
Rating
Class To From Credit enhancement (%)
A-3 AAA(sf) AAA(sf) 37.72
A-PB AAA(sf) AAA(sf) 37.72
A-4 AAA(sf) AAA(sf) 37.72
A-1A AAA(sf) AAA(sf) 37.72
A-J-1 AA-(sf) AAA(sf)/Watch Neg 24.38
A-J-2 BBB(sf) BBB+(sf)/Watch Neg 15.87
B BB+(sf) BB+(sf)/Watch Neg 12.87
C BB(sf) BB(sf)/Watch Neg 11.70
D B+(sf) BB-(sf)/Watch Neg 9.03
E B(sf) B+(sf)/Watch Neg 7.69
F B-(sf) B-(sf) 5.86
G CCC+(sf) CCC+(sf) 4.69
H CCC-(sf) CCC-(sf) 2.36
X-C AAA(sf) AAA(sf) N/A
N/A - Not Applicable.
* S&P Takes Various Rating Actions on 61 Classes From 5 CMBS Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 21
classes from three U.S. commercial mortgage-backed securities
(CMBS) transactions, and removed 19 of these ratings from
CreditWatch with positive implications. "In addition, we lowered
our ratings on three classes from two U.S. CMBS transactions and
removed these three ratings from CreditWatch with negative
implications. Concurrently, we affirmed our ratings on 37 classes
from four U.S. CMBS transactions and removed one of these ratings
from CreditWatch with negative implications. The CreditWatch
resolutions are related to CreditWatch placements that we
initiated on Sept. 5, 2012," 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. The upgrade of several
classes to 'AAA (sf)' also considers the results of our cash flow
analysis, which indicates that these classes should receive their
full repayment of principal due to time tranching," 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.
"We affirmed our ratings on the principal and interest
certificates to 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 transaction," S&P said.
"The affirmations of the IO certificates reflect our current
criteria for rating IO securities," 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
COMM 2005-C6
Commercial mortgage pass-through certificates series 2005-C6
Rating
Class To From Credit enhancement (%)
A-5B AAA (sf) A+ (sf)/Watch Pos 23.20
A-1A AAA (sf) A+ (sf)/Watch Pos 23.20
A-J A- (sf) BBB(sf)/Watch Pos 13.21
B BBB-(sf) BB+(sf)/Watch Pos 10.55
C BB+ (sf) BB-(sf)/Watch Pos 9.38
D BB-(sf) B- (sf)/Watch Pos
7.22
COMM 2005-LP5
Commercial mortgage pass-through certificates series 2005-LP5
Rating
Class To From Credit enhancement (%)
A-3 AAA (sf) AAA (sf) 38.80
A-SB AAA (sf) AAA (sf) 38.80
A-4 AAA (sf) AAA (sf) 38.80
A-1A AAA (sf) AAA (sf) 38.80
A-J AAA (sf) AAA (sf) 25.12
B AAA (sf) A+ (sf)/Watch Pos 19.64
C AA+ (sf) A (sf)/Watch Pos 17.90
D AA (sf) A- (sf)/Watch Pos 14.67
E AA- (sf) BBB+(sf)/Watch Pos 12.18
F A- (sf) BBB (sf)/Watch Pos 9.45
G BBB+(sf) BBB-(sf)/Watch Pos 7.70
H BBB-(sf) BB+ (sf)/Watch Pos 5.71
J BB (sf) BB- (sf) 4.22
K B+ (sf) B+ (sf) 3.47
L B+ (sf) B+ (sf) 2.98
M CCC+(sf) CCC+(sf) 2.48
N CCC-(sf) CCC-(sf) 1.73
X-C AAA (sf) AAA (sf) N/A
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class To From Credit enhancement (%)
A-3 AAA (sf) AAA (sf) 50.60
A-4 AAA (sf) AAA (sf) 50.60
A-5 AAA (sf) AAA (sf) 50.60
A-1A AAA (sf) AAA (sf) 50.60
A-M AAA (sf) AAA(sf)/Watch Neg 30.02
A-J B (sf) BB+ (sf)/Watch Neg 13.56
B CCC+(sf) CCC+(sf) 9.19
C CCC-(sf) CCC-(sf) 7.65
X-1 AAA (sf) AAA (sf) N/A
GS Mortgage Securities Corp. II
Commercial mortgage pass-through certificates series 2005-GG4
Rating
Class To From Credit enhancement (%)
A-3 AAA (sf) AAA (sf) 24.82
A-ABA AAA (sf) AAA (sf) 42.38
A-ABB AAA (sf) AAA (sf) 24.82
A-4 AAA (sf) AA- (sf)/Watch Pos 24.82
A-4A AAA (sf) AAA (sf) 34.22
A-4B AAA (sf) AA- (sf)/Watch Pos 24.82
A-1A AAA (sf) AA- (sf)/Watch Pos 24.82
A-J A- (sf) BBB-(sf)/Watch Pos 14.30
B BBB-(sf) BB (sf)/Watch Pos 12.02
C BB+ (sf) BB- (sf)/Watch Pos 10.79
D B+ (sf) B (sf) 8.16
E B- (sf) B- (sf) 6.76
X-C AAA (sf) AAA (sf) N/A
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-CIBC11
Rating
Class To From Credit enhancement (%)
A-3 AAA (sf) AAA (sf) 23.78
A-4 AAA (sf) AAA (sf) 23.78
A-SB AAA (sf) AAA (sf) 23.78
A-1A AAA (sf) AAA (sf) 23.78
A-J AAA (sf) AAA (sf) 15.05
A-JFX AAA (sf) AAA(sf) 15.05
B AA (sf) AA (sf) 11.69
C AA- (sf) AA- (sf) 10.34
D A (sf) A (sf) 8.33
E A- (sf) A- (sf) 6.65
F BBB (sf) BBB+(sf)/Watch Neg 4.80
G BB (sf) BBB (sf)/Watch Neg 3.46
H CCC+(sf) CCC+(sf) 1.61
J CCC (sf) CCC (sf) 1.11
X-1 AAA (sf) AAA (sf) N/A
N/A - Not Applicable.
* S&P Raises Ratings on 17 Classes From 3 US CMBS Transactions
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 17
classes from three U.S. commercial mortgage-backed securities
(CMBS) transactions and removed 10 of them from CreditWatch with
positive implications. "We also affirmed our ratings on 18 other
classes from two of the three U.S. CMBS transactions and removed
three of them from CreditWatch with positive implications. The
CreditWatch resolutions are related to CreditWatch placements that
we initiated on Sept. 5, 2012," S&P said.
"The upgrades, including raising the ratings to 'AAA (sf)' on
classes A-M and A-MFL from JPMorgan Chase Commercial Mortgage
Securities Corp.'s series 2005-LDP2, 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. We raised our ratings on the class A-4B and A-1A
certificates from JPMorgan Chase Commercial Mortgage Securities
Corp.'s series 2005-LDP3 to 'AAA (sf)' to reflect the results of
our cash flow analysis. Our cash flow analysis indicates that
these classes should receive their full repayment of principal
due to time tranching," S&P said.
"The affirmations of the principal and interest certificates
primarily 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 affirmations of the interest-only (IO) certificates reflect
our current criteria for rating IO securities," 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. For more information on the analytic
process we used for those CreditWatch placements," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
RATING AND CREDITWATCH ACTIONS
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP2
Rating
Class To From Credit enhancement (%)
A-3 AAA (sf) AAA(sf) 41.44
A-3A AAA (sf) AAA(sf) 41.44
A-4 AAA (sf) AAA(sf) 41.44
A-SB AAA (sf) AAA(sf) 41.44
A-1A AAA (sf) AAA(sf) 41.44
A-M AAA (sf) AA-(sf)/Watch Pos 25.48
A-MFL AAA (sf) AA-(sf)/Watch Pos 25.48
A-J A- (sf) BBB (sf)/Watch Pos 13.91
B BBB+(sf) BBB-(sf)/Watch Pos 12.92
C BBB-(sf) BB+ (sf) 10.72
D BB+ (sf) BB(sf) 9.33
E BB (sf) BB-(sf) 7.93
F BB-(sf) B+ (sf) 6.34
G B (sf) B (sf) 4.94
H CCC- (sf) CCC- (sf) 2.55
X-1 AAA (sf) AAA (sf) N/A
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP3
Rating
Class To From Credit enhancement (%)
A-4B AAA (sf) A+ (sf)/Watch Pos 25.38
A-1A AAA (sf) A+ (sf)/Watch Pos 25.38
A-J A (sf) BBB (sf)/Watch Pos 13.68
B BBB+(sf) BBB-(sf) 10.76
C BBB (sf) BB+ (sf) 9.39
D BB (sf) BB- (sf) 6.47
LB-UBS Commercial Mortgage Trust 2005-C1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-3 AAA (sf) AAA(sf) 31.13
A-AB AAA (sf) AAA(sf) 31.13
A-4 AAA (sf) AAA(sf) 31.13
A-1A AAA (sf) AAA(sf) 31.13
A-J AAA (sf) AAA(sf) 20.08
B AA (sf) AA-(sf)/Watch Pos 18.65
C AA- (sf) A (sf)/Watch Pos 15.77
D A (sf) A- (sf)/Watch Pos 13.72
E BBB+(sf) BBB+(sf)/Watch Pos 11.06
F BBB-(sf) BBB-(sf)/Watch Pos 9.42
G B+ (sf) B+ (sf)/Watch Pos 7.57
H CCC- (sf) CCC- (sf) 5.73
X-CL AAA (sf) AAA (sf) N/A
N/A - Not applicable.
* S&P Withdraws Ratings on 3,637 Classes From 861 RMBS Deals
------------------------------------------------------------
Standard & Poor's Rating Services withdrew its ratings on 3,637
classes from 861 U.S. residential mortgage-backed securities
(RMBS) transactions. The affected securities were issued between
1988 and 2008 and are backed by a mix of adjustable- and fixed-
rate loans secured primarily by first liens on one- to four-family
residential properties.
The complete ratings list is available for free at:
http://bankrupt.com/misc/S&P_121012_US_RMBS.pdf
"All of the classes within each of the affected transactions
previously carried a rating of 'D (sf)'. A significant portion of
the classes are part of net-interest margin transactions and have,
in our view, defaulted on their obligation to pay timely interest.
Another portion of these classes have taken a substantial amount
of realized losses, including some where their outstanding balance
is currently zero. Further, we do not expect some of these classes
to receive any payments in the future," S&P said.
"The rating withdrawal follows the application of our policy for
withdrawal of ratings, following what we believe to be a lack of
market interest in the rating assigned to these classes," S&P
said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1166.pdf
* S&P Withdraws Ratings on 72 Classes From 31 US CMBS Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 72
classes from 31 U.S. commercial mortgage-backed securities (CMBS)
transactions, including three classes that we placed on
CreditWatch on Sept. 5, 2012.
"We withdrew our ratings on 63 principal and interest paying
classes from 29 U.S. CMBS transactions following the full
repayment of each class' principal balance, as noted in each
transaction's respective November 2012 trustee remittance report,
including three classes from two U.S. CMBS transactions that we
placed on CreditWatch on Sept. 5, 2012. Concurrently, we withdrew
our ratings on three interest-only (IO) classes from three U.S.
CMBS transactions following the reduction of the classes' notional
balances, as noted in each transaction's respective trustee
remittance report," S&P said.
"We also withdrew our ratings on six IO classes from five U.S.
CMBS transactions following the repayment of all principal and
interest paying classes rated 'AA- (sf)' or higher, according to
our criteria for rating IO securities," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1176.pdf
RATINGS WITHDRAWN FOLLOWING REPAYMENT OF PRINCIPAL BALANCE OR
REDUCTION OF NOTIONAL BALANCE
Banc of America Large Loan Inc.
Commercial mortgage pass-through certificates series 2006-BIX1
Rating
Class To From
E NR AA+ (sf)
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP6
Commercial mortgage pass-through certificates
Rating
Class To From
C NR AA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2004-TOP16
Commercial mortgage pass-through certificates
Rating
Class To From
X-2 NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CKS4
Rating
Class To From
D NR AA+ (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CP5
Rating
Class To From
B NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C5
Rating
Class To From
A-SP NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C6
Rating
Class To From
A-3 NR AAA (sf)
GE Capital Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2002-3
Rating
Class To From
J NR BBB (sf)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2002-C3
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2003-C3
Rating
Class To From
A-3 NR AAA (sf)
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2002-C1
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
D NR AAA (sf)
E NR AAA (sf)
F NR AA+ (sf)
G NR AA (sf)
H NR A+ (sf)
J NR BBB- (sf)
GS Mortgage Securities Corp. II
Commercial mortgage pass-through certificates series 2003-C1
Rating
Class To From
A-3 NR AAA (sf)
B NR AAA (sf)
HVB Mortgage Capital Corp.
Commercial mortgage pass-through certificates series 2003-FL1
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
D NR AAA (sf)
E NR AAA (sf)
F NR AAA (sf)
G NR AA+ (sf)
H NR AA (sf)
J NR AA- (sf)
K NR BB+ (sf)
X NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-C2
Rating
Class To From
A-2 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-C1
Rating
Class To From
CM-1 NR A+ (sf)
CM-2 NR A- (sf)
CM-3 NR BB+ (sf)
LB-UBS Commercial Mortgage Trust 2000-C5
Commercial mortgage pass-through certificates
Rating
Class To From
C NR AA+ (sf)
LB-UBS Commercial Mortgage Trust 2001-C7
Commercial mortgage pass-through certificates
Rating
Class To From
L NR B- (sf)
LB-UBS Commercial Mortgage Trust 2002-C7
Commercial mortgage pass-through certificates
Rating
Class To From
A-1B NR AAA (sf)
A-4 NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR AAA (sf)
E NR AAA (sf)
F NR AA+ (sf)
Lehman Brothers Floating Rate Commercial Mortgage Trust 2007-LLF
C5
Commercial mortgage pass-through certificates
Rating
Class To From
B NR BB+ (sf)
Merrill Lynch Mortgage Investors Inc.
Commercial mortgage pass-through certificates series 1998-C3
Rating
Class To From
C NR AAA (sf)
D NR AA+ (sf)
Merrill Lynch Mortgage Trust
Commercial mortgage pass-through certificates series 2005-LC1
Rating
Class To From
A-3 NR AAA (sf)
A-3FL NR A (sf)
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 2003-IQ4
Rating
Class To From
TN-A NR AAA (sf)
TN-B NR AAA (sf)
TN-C NR AA+ (sf)
TN-D NR A+ (sf)
Morgan Stanley Dean Witter Capital I Trust 2001-TOP1
Commercial mortgage pass-through certificates
Rating
Class To From
D NR BBB (sf)
Morgan Stanley Dean Witter Capital I Trust 2002-HQ
Commercial mortgage pass-through certificates
Rating
Class To From
J NR BB (sf)
Nomura Asset Securities Corp.
Commercial mortgage pass-through certificates series 1998-D6
Rating
Class To From
A-2 NR AAA (sf)
Prudential Securities Secured Financing Corp.
Commercial mortgage pass-through certificates series KEY2000-C1
Rating
Class To From
K NR CCC+ (sf)
TIAA CMBS I Trust
Commercial mortgage pass-through certificates series 2001-C1
Rating
Class To From
D NR AAA (sf)
TIAA Seasoned Commercial Mortgage Trust 2007-C4
Commercial mortgage pass-through certificates
Rating
Class To From
A-2 NR AAA (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2002-C2
Rating
Class To From
J NR BB+ (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-WHALE7
Rating
Class To From
A-1 NR AA+ (sf)
KH-1 NR CCC- (sf)
KH-2 NR CCC- (sf)
RATINGS WITHDRAWN DUE TO REPAYMENT OF ALL PRINCIPAL AND INTEREST
PAYING CLASSES RATED 'AA- (sf)' OR HIGHER
Banc of America Large Loan Inc.
Commercial mortgage pass-through certificates series 2006-BIX1
Rating
Class To From
X-1B NR AAA (sf)
X-4 NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CKS4
Rating
Class To From
A-X NR AAA (sf)
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2002-C1
Rating
Class To From
XC NR AAA (sf)
LB-UBS Commercial Mortgage Trust 2000-C5
Commercial mortgage pass-through certificates
Rating
Class To From
X NR AAA (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-WHALE7
Rating
Class To From
X-1B NR AA+ (sf)
RATING REMOVED FROM CREDITWATCH NEGATIVE AND WITHDRAWN FOLLOWING
REPAYMENT OF PRINCIPAL BALANCE
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 2003-IQ4
Rating
Class To From
TN-E NR BBB+ (sf)/Watch Neg
RATINGS REMOVED FROM CREDITWATCH POSITIVE AND WITHDRAWN FOLLOWING
REPAYMENT OF
PRINCIPAL BALANCE
Washington Mutual Asset Securities Corp.
Commercial mortgage pass-through certificates series 2003-C1
Rating
Class To From
G NR BBB+ (sf)/Watch Pos
H NR BBB (sf)/Watch Pos
NR - Not rated.
*********
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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re-mailing and photocopying) is strictly prohibited without prior
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herein is obtained from sources believed to be reliable, but is
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*** End of Transmission ***