/raid1/www/Hosts/bankrupt/TCR_Public/130714.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, July 14, 2013, Vol. 17, No. 193
Headlines
ATLAS SENIOR: S&P Assigns 'BB' Rating to Class E Notes
CALIFORNIA REDEVELOPMENT: Moody's Withdraws TAB Ratings
CARLYLE GLOBAL 2013-2: S&P Affirms 'BB' Rating to Class E Notes
CITIGROUP 2006-Fl2: S&P Hikes on Class DHC-2 Notes Rating to 'BB+'
COMM 2013-CCRE9: S&P Assigns 'BB' Rating to Class E Notes
DEUTSCHE BANK 2013-CCRE9: Fitch Rates Class F Certs at 'B'
DRYDEN XXV: S&P Affirms 'BB' Rating to Class E Notes
EIG GLOBAL: Fitch Affirms 'CCsf' Rating on Class D Notes
GS MORTGAGE 2013-GC13: Fitch to Rate $13.33MM Class F Certs. 'B'
HEWETT'S ISLAND III: S&P Raises Rating on Class D Notes to 'CCC+'
KINGSLAND I: Moody's Lifts Rating on Class D Notes From 'Ba2'
LCM XIV: S&P Assigns 'BB' Rating to Class E Notes
LIFT CLASS A-1: S&P Lowers Rating on 2 Note Classes to 'CCC'
MONA LISA 2013-2: S&P Assigns 'BB-' Rating to $150MM Class A Notes
MORGAN STANLEY 2012-C5: Fitch Keeps B Rating on Cl. H Certificates
MORGAN STANLEY 2013-C10: Fitch Rates $16.71MM Class H Certs 'B'
MORGAN STANLEY 2013-C10: Moody's Takes Action on 16 CMBS Classes
MOUNTAIN HAWK II: S&P Assigns 'BB' Rating to Class E Notes
NOMAD CLO: S&P Affirms 'BB' Rating to Class D Notes
NON-PROFIT PREFERRED I: Moody's Cuts Ratings on 5 Cert. Classes
NORTHWOODS CAPITAL IX: S&P Affirms 'BB-' Rating to Class E Notes
PENNSYLVANIA HIGHER: Fitch Keeps 'B' Ratings on 9 Note Classes
PREFERREDPLUS TRUST CTR-1: S&P Puts 'BB-' Rating on Watch Negative
SAGUARO ISSUER: Moody's Eyes Downgrade on Two Ba2-Rated Units
SALOMON BROTHERS 2000-C1: S&P Raises Rating to Class K Note to BB+
SDART 2013-4: Moody's Rates Class E Notes '(P)Ba2'
SDART 2013-4: S&P Assigns Prelim. 'BB+' Rating to Class E Notes
SPRINGLEAF MORTGAGE: S&P Assigns 'BB' Rating to Class B-1 Notes
TALMAGE STRUCTURED 2006-4: Moody's Keeps C Rating on 8 Notes
WAMU COMMERCIAL 2007-SL2: Fitch Affirms 'D' Rating on Cl. K Certs
WELLS FARGO 2013-LC12: Fitch to Rate $14.09MM Cl. F Certs at ' B'
* S&P Cuts Ratings on 3 CMBS Deals to 'D' on Interest Shortfalls
* S&P Puts 72 Ratings on 15 CLO Deals on CreditWatch Positive
* S&P Lowers 19 Ratings From 16 US RMBS Transactions
* S&P Lowers 9 Ratings on 5 U.S. CMBS Transactions
* S&P Lowers 5 Ratings on 2 US CMBS Transactions
*********
ATLAS SENIOR: S&P Assigns 'BB' Rating to Class E Notes
------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Atlas
Senior Loan Fund III Ltd./Atlas Senior Loan Fund III LLC's
$370.8 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 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 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.
-- The timely interest and ultimate principal payments on the
rated notes, which S&P assessed using its cash flow analysis
and assumptions commensurate with the assigned ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.2739% to 12.8133%.
-- 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 up to 50% of excess interest proceeds
that are available prior to curing an effective date rating
agency confirmation failure or paying subordinated,
deferred, and incentive management fees; uncapped
administrative expenses; hedge payments; and subordinated
note payments into principal proceeds for the purchase of
additional collateral assets or to pay down the notes
sequentially, at the option of the collateral manager.
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/1647.pdf
RATINGS ASSIGNED
Atlas Senior Loan Fund III Ltd./Atlas Senior Loan Fund III LLC
Class Rating Amount
(mil. $)
A AAA (sf) 251.20
B AA (sf) 44.00
C (deferrable) A (sf) 35.20
D (deferrable) BBB (sf) 22.40
E (deferrable) BB (sf) 18.00
Subordinated notes NR 42.00
NR-Not rated.
CALIFORNIA REDEVELOPMENT: Moody's Withdraws TAB Ratings
-------------------------------------------------------
Moody's Investors Service has withdrawn the ratings of tax
allocation bonds issued by four former California Redevelopment
Agencies, affecting $71.8 million of debt, due to insufficient
information. These agencies have not provided the necessary,
supplemental information Moody's requested in its February 28
report. That report discussed the additional information Moody's
would require to maintain a tax allocation bond rating in the new
legal environment governing "successor" redevelopment agencies and
the distribution of tax increment revenues.
In June 2012, Moody's downgraded to Ba1 all California
redevelopment agency tax allocation bonds that were rated Baa3 or
higher, and also placed ratings of all rated RDAs under review for
possible downgrade or withdrawal. The downgrade to Ba1 was
prompted by the substantially increased risk of default resulting
from the state's dissolution of all redevelopment agencies. The
continuing review of the ratings was based on the potential risk
that implementation of the new law governing successor agencies
(Assembly bills 1X 26 and 1484) could reduce credit quality even
further, and uncertainty as to whether there was sufficient
information available to assess the credit quality of tax
allocation bonds.
In February 2013, Moody's extended its review of the tax
allocation bonds of 93 RDA issuers for an additional 90-day period
in order to obtain additional information that is necessary to
evaluate their credit quality. Moody's outlined its information
requirements in a Special Comment, "Continued Reviews of
California Tax Allocation Bonds Will Incorporate New Information
Requirements," dated February 28, 2013.
Moody's completed three agency reviews before the 90-day deadline
reflecting these agencies provision of the required supplemental
information. On June 5, 2013, Moody's extended the review period
for 68 of the agencies that indicated they still intended to
provide the additional information, and Moody's withdrew the
ratings of 22 others. Since June, 2013, Moody's have withdrawn the
ratings of three additional RDA issuers for insufficient
information. After this action, 61 issuers' TAB ratings will
remain under review, and their ratings will be evaluated in the
coming weeks.
The ratings Moody's are withdrawing are as follows:
1. Healdsburg Community Redevelopment Agency, CA
Sotoyome Community Development Project 2002 Tax Allocation
Bonds, Series A
Sotoyome Community Development Project 2002 Tax Allocation
Bonds, Series C (Housing Set-Aside Tax Revenue)
2. La Palma Community Development Commission, CA
Tax Allocation
3. Orange County Development Agency, CA
Tax Allocation Refunding Bonds, 2001 (Neighborhood Development
and Preservation Project)
4. Sonoma Community Development Agency, CA
Sonoma Redevelopment Project 2003 Tax Allocation Bonds
Moody's has withdrawn the rating because it believes it has
insufficient or otherwise inadequate information to support the
maintenance of the rating.
The principal methodology used in this rating was Moody's Analytic
Approach to Rating California Tax Allocation Bonds published in
December 2003.
CARLYLE GLOBAL 2013-2: S&P Affirms 'BB' Rating to Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Carlyle
Global Market Strategies CLO 2013-2 Ltd./Carlyle Global Market
Strategies CLO 2013-2 LLC's $578 million fixed- and floating-rate
notes following the transaction's effective date as of June 5,
2013.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of its review based on the information presented to S&P.
S&P believes 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.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"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 added.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its 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 it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Carlyle Global Market Strategies CLO 2013-2 Ltd./
Carlyle Global Market Strategies CLO 2013-2 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 4.50
A-1 AAA (sf) 352.50
A-2 (delayed draw) AAA (sf) 35.00
B AA (sf) 67.00
C-1 (deferrable) A (sf) 37.00
C-2 (deferrable) A (sf) 10.00
D (deferrable) BBB (sf) 30.00
E (deferrable) BB (sf) 25.00
F (deferrable) B (sf) 12.00
P(i) AA+ pNRi (sf)(ii) 5.00
(i) The class P securities consist of approximately $1.24
million in subordinated notes and zero-coupon U.S. Treasury
securities due February 2025, with a total face value of
$5 million.
(ii) The 'p' subscript indicates that the rating addresses only
the principal portion of the obligation.
'NRi' indicates that the interest is not rated.
CITIGROUP 2006-Fl2: S&P Hikes on Class DHC-2 Notes Rating to 'BB+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
DHC-1 and DHC-2 commercial mortgage pass-through certificates from
Citigroup Commercial Mortgage Trust 2006-FL2, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its ratings on the nonpooled class DHC-3 raked
certificate and two pooled certificate classes from the same
transaction.
The raised and affirmed ratings on the "DHC" raked certificate
classes are based on S&P's analysis of the Doubletree Hospitality
& Centre Plaza Office loan. The raked certificates derive 100% of
their cash flow from a subordinate nonpooled component of the
loan. The raised ratings reflect deleveraging of the trust
balance and stable cash flow. S&P derived a stressed loan-to-
value (LTV) ratio of 62.7% on the trust balance.
"The affirmations on the pooled certificate classes reflect our
analysis of the transaction, which included our review of the two
remaining loans' credit characteristics, the transaction
structure, and the liquidity available to the trust. We also
considered the potential for additional interest shortfalls on the
rated pooled certificate classes because the larger of the two
remaining loans (77.7% of the pool trust balance) is with the
special servicer and has reported a significant decline in net
operating income (NOI) for 2012 compared to 2011 and 2010. The
master servicer reported that the cash flow at the property for
year-end 2012 is insufficient to cover debt service (further
details below)," S&P said.
As of the June 17, 2013, trustee remittance report, the pooled
trust balance totaled $64.3 million and comprised two floating-
rate loans indexed to one-month LIBOR, one of which is currently
with the special servicer, Wells Fargo Bank N.A. (Wells Fargo).
The current pool trust balance accounts for 5.4% of the original
pool trust balance at issuance. The one-month LIBOR was 0.1992%,
according to the June 2013 trustee remittance report.
S&P partly based its analysis of the lodging collateral on its
review of the borrower's operating statements for the years ended
Dec. 31, 2012, 2011, 2010, and 2009; the borrower's 2013 budgets;
and available Smith Travel Research reports.
The larger of the two remaining loans, the Radisson Ambassador
Plaza Hotel & Casino loan, has a trust balance of $54.4 million.
The trust balance is divided into a $50.0 million senior pool
component that accounts for 77.7% of the pool trust balance and a
$4.4 million nonpooled subordinate component that provides 100% of
the cash flow for the class RAM-1 and RAM-2 raked certificates.
S&P previously lowered its ratings on the "RAM" raked certificates
to 'D (sf)' due to ongoing interest shortfalls, which were due
primarily to appraisal subordinate entitlement reduction amounts.
The June 2013 trustee remittance report shows current accumulated
interest shortfalls for classes RAM-1 and RAM-2 of $32,120 and
$68,333, respectively. In addition, the equity interests in the
borrower of the whole loan secure a mezzanine loan totaling
$35.6 million.
The Radisson Ambassador Plaza Hotel & Casino loan is secured by a
233-room full-service hotel in San Juan, Puerto Rico. The loan
was transferred to Wells Fargo on June 3, 2011, due to imminent
maturity default. The loan matured on July 9, 2011. Wells Fargo
indicated that the borrower was performing under a forbearance
agreement effective Jan. 13, 2012, with a July 9, 2013,
termination date. The terms of the forbearance agreement included
converting to a hard lockbox cash management and trapping the
property's cash flow. Wells Fargo stated that since the borrower
did not pay off the loan at the end of the forbearance period, it
is currently evaluating its workout options. Wells Fargo also
informed S&P that it is waiting to receive confirmation of
insurance renewal coverage from the insurance company. Wells
Fargo stated that the borrower sent its renewal premium payments
in early July 2013. The current insurance coverage expired on
July 1, 2013. The operating statements for the year ended
Dec. 31, 2012, reported 77.6% occupancy, a $123.69 average daily
rate (ADR) and a $95.94 revenue per available room (RevPAR). The
reported year-end 2012 NOI declined 57.3% from year-end 2011 due
primarily to a drop in casino revenue. The master servicer, also
Wells Fargo, reported that the property's year-end 2012 cash flow
was not sufficient to cover debt service. The most recent
reported appraisal value was $30.6 million as of Aug. 6, 2012.
S&P's adjusted valuation, using a weighted average capitalization
rate of 10.92%, yielded an in-trust stressed LTV ratio that is
significantly above 100%.
The smaller of the two loans, the Doubletree Hospitality & Centre
Plaza Office loan, has a trust balance of $17.0 million. The
trust balance is divided into a $14.3 million senior pool
component that accounts for 22.3% of the pool trust balance and a
$2.7 million nonpooled subordinate component that provides 100% of
the cash flow for the class DHC-1, DHC-2, and DHC-3 raked
certificates. In addition, there is a $7.0 million junior B note
held outside the trust.
The Doubletree Hospitality & Centre Plaza Office loan is secured
by a 258-room hotel and 61,202 sq. ft. of office space in Modesto,
Calif. According to Wells Fargo, the loan was modified effective
Dec. 9, 2011. The modification terms included a $1.2 million
principal paydown on the senior A note; a new maturity date of
Nov. 9, 2013, with a one-year extension option; new interest rates
on the senior and junior notes; and the borrower paying the
special servicing and workout fees on the loan. The operating
statements for the year ended Dec. 31, 2012, reported 68.3%
occupancy, a $105.65 ADR, and a $72.21 RevPAR for the lodging
collateral. The office space was 81.6% occupied according to the
March 31, 2013, rent roll. The reported NOI for the property has
been stable for the past four years. Wells Fargo reported a net
cash flow debt service coverage on the trust and whole loan
balance of 6.44x and 2.37x, respectively, for year-end 2012. The
most recent reported appraisal value was $28.5 million as of June
2011. S&P's adjusted valuation, using a weighted average
capitalization rate of 8.91%, yielded an in-trust stressed 62.7%
LTV ratio.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
Citigroup Commercial Mortgage Trust 2006-FL2
Commercial mortgage pass-through certificates
Rating
Class To From
DHC-1 BBB+ (sf) B+ (sf)
DHC-2 BB+ (sf) B- (sf)
RATINGS AFFIRMED
Citigroup Commercial Mortgage Trust 2006-FL2
Commercial mortgage pass-through certificates
Class Rating
J BB (sf)
K CCC- (sf)
DHC-3 CCC (sf)
COMM 2013-CCRE9: S&P Assigns 'BB' Rating to Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to COMM
2013-CCRE9 Mortgage Trust's $1.29 billion commercial mortgage
pass-through certificates series 2013-CCRE9.
The note issuance is a commercial mortgage-backed securities
transaction backed by 80 commercial mortgage loans with an
aggregate principal balance of $1.29 billion, secured by the fee
and leasehold interests in 137 properties across 27 states,
Washington, D.C., and Puerto Rico.
These ratings differ from the preliminary ratings because the
class A-3 certificates' principal balance was reduced to
$100.0 million from $636.0 million, and the class A-3FL, A-3FX,
and A-4 certificates were added to the transaction.
The ratings reflect the credit support provided by the transaction
structure, S&P's view of the underlying collateral's economics,
the trustee-provided liquidity, the collateral pool's relative
diversity, and its overall qualitative assessment of the
transaction.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1623.pdf
RATINGS ASSIGNED
COMM 2013-CCRE9 Mortgage Trust
Class Rating Amount ($)
A-1 AAA (sf) 79,416,000
A-2 AAA (sf) 78,042,000
A-SB AAA (sf) 112,190,000
A-3 AAA (sf) 100,000,000
A-3FL AAA (sf) 100,000,000
A-3FX AAA (sf) 0
A-4 AAA (sf) 435,966,000
X-A AAA (sf) 1,033,370,000(i)
X-B NR 260,364,970(i)
A-M AAA (sf) 127,756,000
B AA- (sf) 80,859,000
C A- (sf) 45,280,000
D BBB- (sf) 50,133,000
E BB (sf) 27,492,000
F BB- (sf) 12,937,000
G NR 43,663,970
(i) Notional amount.
NR - Not rated.
DEUTSCHE BANK 2013-CCRE9: Fitch Rates Class F Certs at 'B'
----------------------------------------------------------
Fitch Ratings has assigned the following ratings and outlooks to
Deutsche Bank Securities, Inc.'s COMM 2013-CCRE9 commercial
mortgage pass-through certificates:
-- $79,416,000 class A-1 'AAAsf'; Outlook Stable;
-- $78,042,000 class A-2 'AAAsf'; Outlook Stable;
-- $112,190,000 class A-SB 'AAAsf'; Outlook Stable;
-- $100,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $435,966,000 class A-4 'AAAsf'; Outlook Stable;
-- $1,033,370,000a class X-A 'AAAsf'; Outlook Stable;
-- $100,000,000b,c,d class A-3FL 'AAAsf'; Outlook Stable;
-- $0c,d class A-3FX 'AAAsf'; Outlook Stable;
-- $127,756,000c class A-M 'AAAsf'; Outlook Stable;
-- $80,859,000c class B 'AA-sf'; Outlook Stable;
-- $45,280,000c class C 'A-sf'; Outlook Stable;
-- $50,133,000c class D 'BBB-sf'; Outlook Stable;
-- $27,492,000c class E 'BBsf'; Outlook Stable;
-- $12,937,000c class F 'Bsf'; Outlook Stable.
a Notional amount and interest-only.
b Floating rate.
c Privately placed pursuant to rule 144A.
d All or a portion of the class A-3FL certificates may be
exchanged for class A-3FX certificates. The aggregate
certificate balance of the class A-3FL certificates and class
A-3FX certificates will at all times equal the certificate
balance of the class A-3FL regular interest.
Fitch does not rate the $260,364,970 interest-only class X-B or
the $43,663,970 class G. One class (A-3) has been split and three
new classes (A-3FX, A-3FL, and A-4) have been added to the deal
structure since Fitch issued its expected ratings on June 25,
2013. The classes above reflect the final ratings and deal
structure.
The certificates represent the beneficial ownership interest in
the trust, primary assets of which are 80 fixed-rate loans secured
by 137 commercial properties having an aggregate principal balance
of approximately $1.294 billion, as of the cutoff date. The loans
were contributed to the trust by Cantor Commercial Real Estate
Lending, L.P., German American Capital Corporation, UBS Real
Estate Securities Inc., and KeyBank National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 62.8% of the properties
by balance, cash flow analysis on 81.2%, and asset summary reviews
on 81.2% of the pool.
Key Rating Drivers
Average Leverage: The Fitch LTV of 97.9% is in line with the
average Fitch LTVs of 99.4% and 97.2% for transactions rated in
first-quarter 2013 and 2012, respectively. Additionally, the Fitch
DSCR of 1.32x is in line with the first-quarter 2013 average DSCR
for Fitch-rated deals of 1.36x. However, the Fitch DSCR is above
the 2012 average Fitch DSCR of 1.24x.
Diverse Pool: The largest property type in the pool is retail at
36.6%; the next largest is multifamily at only 13.3%. Also, hotel
properties represent only 10.4% of the pool. The largest 10 loans
in the transaction represent 46.1% of the total pool balance. This
is below the average for transactions rated by Fitch in 2012 and
2013, which have averaged 54.2% and 54.3% concentration in the top
10, respectively. Furthermore, the largest state concentration is
California at 17.4% with properties in Northern, Central, and
Southern California.
Secondary Mall Concentration: Three of the 11 largest loans in the
pool are secured by regional malls. The largest loan, Northridge
Mall, and the third largest loan, Valley Hills Mall, are both
located in secondary markets but face limited direct competition.
Sarasota Square is located in the more primary market of Sarasota,
FL, but is not the top mall in the market and faces new
competition in 2014. These three loans represent 14.3% of the
pool.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 4.2% below
the most recent reported net operating income (NOI) (for
properties that NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severity on defaulted loans and could result in potential rating
actions on the certificates. Fitch evaluated the sensitivity of
the ratings assigned to the COMM 2013-CCRE9 certificates and found
that the transaction exhibits average sensitivity to further
declines in NCF. In a scenario in which NCF declined a further 20%
from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates
to 'Asf' could result. In a more severe scenario, in which NCF
declined a further 30% from Fitch's NCF, a downgrade of the junior
'AAAsf' certificates to 'BBBsf' could result. The presale report
includes a detailed explanation of additional stresses and
sensitivities on pages 78-79.
The Master Servicer will be KeyCorp Real Estate Capital Markets,
rated 'CMS2' by Fitch. The Special Servicer will be Midland Loan
Services, rated 'CSS1' by Fitch.
DRYDEN XXV: S&P Affirms 'BB' Rating to Class E Notes
----------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Dryden
XXV Senior Loan Fund/Dryden XXV Senior Loan Fund LLC's
$558 million fixed- and floating-rate notes following the
transaction's effective date as of Feb. 27, 2013.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of its review based on the information presented to S&P.
S&P believes 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.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to S&P's effective date review are
generally based on the application of its criteria to a
combination of purchased collateral, collateral committed to be
purchased, and the indicative portfolio of assets provided to S&P
by the collateral manager, and may also reflect S&P's assumptions
about the transaction's investment guidelines. This is because
not all assets in the portfolio have been purchased.
"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 added.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its 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 it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
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
EIG GLOBAL: Fitch Affirms 'CCsf' Rating on Class D Notes
--------------------------------------------------------
Fitch Ratings has affirmed the ratings on the following notes
issued by EIG Global Project Fund II, Ltd (GPF II), formerly known
as TCW Global Project Fund II:
-- Revolving senior notes at 'AAAsf'; Outlook Stable;
-- Class A-1 floating-rate notes at 'AAAsf'; Outlook Stable;
-- Class A-2-A floating-rate notes at 'Asf'; Outlook Negative;
-- Class A-2-B fixed-rate notes at 'Asf'; Outlook Negative;
-- Class B-1 floating-rate notes at 'BB-sf'; Outlook Negative;
-- Class B-2 fixed-rate notes at 'BB-sf'; Outlook Negative;
-- Class C floating-rate notes at 'CCCsf';
-- Class D floating-rate notes at 'CCsf'.
GPF II is a securitization of project finance loans, mostly senior
secured obligations from geographically diverse originators in the
energy sector. The majority of the assets are domiciled in
emerging market countries and thirty three percent in the United
States. As of April 2013, the portfolio consisted of 14 assets
with an outstanding pool balance of 274.3 million.
Key Rating Drivers
Affirmation of the ratings assigned to the revolving senior notes
and A-1 notes reflect the robust available credit enhancement (CE)
that supports higher asset default rates consistent with the
'AAAsf' rating. The revolving senior notes have significantly de-
levered and are almost paid in full. As of April 2013, the
outstanding balance on the revolving senior notes was 19.4
million. The outstanding balance of the class A-1 notes is 70
million.
The Negative Outlooks on the class A-2, B-1 and B-2 notes reflect
the increase in concentrations and exposure to asset balances due
after maturity in June 2016. As of April 2013, the outstanding
balance for each of the class A-2 and class B notes is 70 million.
Since closing, class C and class D notes have breached performance
tests, resulting in partial prepayment of these notes. As of April
2013, the outstanding balances of the class C and class D notes
are approximately 26.5 and 8.5 million, respectively.
Rating Sensitivities
Ratings are sensitive to changes in the credit quality of the
portfolio of assets in the transaction, available credit
enhancement, and concentrations levels. With the exception of the
revolving senior notes and A-1 floating-rate notes, the ratings to
the notes are sensitive to the market value of asset balances due
after the transaction's final maturity on June 2016.
GS MORTGAGE 2013-GC13: Fitch to Rate $13.33MM Class F Certs. 'B'
----------------------------------------------------------------
Fitch Ratings has issued a presale report on GS Mortgage
Securities Trust 2013-GC13 Commercial Mortgage Pass-Through
Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $66,860,000 class A-1 'AAAsf'; Outlook Stable;
-- $72,740,000 class A-2 'AAAsf'; Outlook Stable;
-- $149,690,000 class A-3 'AAAsf'; Outlook Stable;
-- $175,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $380,255,000 class A-5 'AAAsf'; Outlook Stable;
-- $89,211,000 class A-AB 'AAAsf'; Outlook Stable;
-- $1,032,134,000a class X-A 'AAAsf'; Outlook Stable;
-- $98,378,000bc class A-S 'AAAsf'; Outlook Stable;
-- $88,374,000bc class B 'AA-sf'; Outlook Stable;
-- $50,023,000bc class C 'Asf'; Outlook Stable;
-- $236,775,000bc class PEZ 'Asf'; Outlook Stable;
-- $76,701,000b class D 'BBB-sf'; Outlook Stable;
-- $30,014,000b class E 'BBsf'; Outlook Stable;
-- $30,014,000ab class X-B 'BBsf'; Outlook Stable;
-- $13,339,000b class F 'Bsf'; Outlook Stable.
a Notional amount and interest-only.
b Privately placed pursuant to Rule 144A.
c Class A-S, class B, and class C certificates may be exchanged
class PEZ certificates, and class PEZ certificates may be
exchanged for up to the full certificate principal amount of
the class A-S, class B and class C certificates
The expected ratings are based on information provided by the
issuer as of June 28, 2013. Fitch does not expect to rate the
$43,353,540 class G or class X-C, which is an interest only class.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 67 loans secured by 98 commercial
properties having an aggregate principal balance of approximately
$1.334 billion as of the cutoff date. The loans were contributed
to the trust by Goldman Sachs Mortgage Company, Citigroup Global
Markets Realty Corp., and Starwood Mortgage Funding I LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 73.7% of the properties
by balance and cash flow analysis and asset summary reviews on 85%
of the pool.
Key Rating Drivers
Highly Concentrated Deal: The top 10 loans represent 62.3% of the
pool, exceeding the average of 54.3% for Fitch-rated transactions
from 2012 through June 2013. The loan concentration index (LCI)
and sponsor concentration index (SCI) are 530 and 715,
respectively, indicating less loan and sponsor diversity as
compared to recent transactions.
High Concentration of Full-Term Interest-Only Loans: Five loans
representing 26.3% of the pool are subject to full-term interest-
only payments. These figures are higher than those for Fitch-rated
transactions from 2012 through June 2013, which had average full-
term interest-only loans of 19%.
Above-Average Quality Assets in Primary Markets: Of the inspected
properties, 44.7% received asset quality scores of 'B+' or better.
Three of the top 10 loans (24.7% of the pool) are secured by
properties located in New York, NY.
Rating Sensitivities
For this transaction, Fitch's NCF was 9.8% below the full-year
2012 NOI (for properties that 2012 NOI was provided, excluding
properties that were stabilizing during this period. Unanticipated
further declines in property-level NCF could result in higher
defaults and loss severity on defaulted loans, and could result in
potential rating actions on the certificates. Fitch evaluated the
sensitivity of the ratings assigned to GSMS 2013-GC13 certificates
and found that the transaction displays average sensitivity to
further declines in NCF. In a scenario in which NCF declined a
further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'A+sf' could result. In a more severe scenario, in
which NCF declined a further 30% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. The
presale report includes a detailed explanation of additional
stresses and sensitivities in the Rating Sensitivity and Rating
Stresses sections of the presale.
The master servicer will be Wells Fargo Bank, N.A., rated 'CMS2'
by Fitch. The special servicer will be LNR Partners, LLC, rated
'CSS1-' by Fitch.
HEWETT'S ISLAND III: S&P Raises Rating on Class D Notes to 'CCC+'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on five
classes of rated notes from Hewett's Island CLO III Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Commercial Industrial Finance Corp. At the same time, Standard &
Poor's removed the ratings on four of these classes from
CreditWatch, where it placed them with positive implications on
May 17, 2013. In addition, Standard & Poor's affirmed its rating
on the Class A-1 notes.
The upgrades reflect $155.77 million of principal paydowns to the
Class A-1 notes since S&P's July 2012 rating actions, and they
follow its review of the transaction's performance using data from
the trustee report dated May 31, 2013. The affirmed rating
reflects S&P's belief that the credit support available is
commensurate with its current rating level.
Post-reinvestment period principal amortization has resulted in
paydowns to the Class A-1 notes since S&P's last rating actions.
In addition, the transaction has a feature in its interest
waterfall that diverts $430,000 each payment period to pay down
the Class B-1 notes. S&P expects the Class B-1 notes to be paid
in full on the next payment period. The Class A-1 and B-1 notes'
outstanding balances are 3.85% and 3.33%, respectively, of their
original balances. Furthermore, since S&P's last rating action,
the Class D notes have received $101,033 of principal paydowns
from excess interest proceeds. Consequently, the transaction's A,
B, C, D, and E overcollateralization (O/C) ratio tests have
improved.
According to the May 2013 trustee report, the transaction held no
defaulted obligations. It held $5.5 million in defaulted assets
as of the May 2012 trustee report, which S&P used for its July
2012 rating actions.
The amount of 'CCC' rated collateral held in the transaction's
asset portfolio decreased slightly since S&P's last rating
actions. The transaction held $19.32 million in 'CCC' rated
collateral on May 2013 compared with $21.98 million in May 2012.
The ratings on the Class C and D notes are currently driven by the
application of the largest obligor default test, a supplemental
stress test S&P introduced as part of its 2009 corporate criteria
update.
S&P 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 it will take rating
further rating actions as it deems necessary.
CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON
May 2013 May 2012
Class Notional Notional
(Mil. $) (Mil. $)
A-1 12.37 168.14
A-2 14.80 14.80
B-1 0.42 2.11
B-2 14.80 14.80
C 14.80 14.80
D 12.84 12.94
(%) (%)
Senior O/C 281.23 128.57
B-2 O/C 182.06 118.95
C O/C 134.60 110.67
D O/C 109.76 104.31
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Hewett's Island CLO III Ltd.
Rating Rating
Class To From
A-1 AAA (sf) AAA (sf)
A-2 AAA (sf) AA+ (sf)/Watch Pos
B-1 AAA (sf) AA+ (sf)/Watch Pos
B-2 AA+ (sf) A+ (sf)/Watch Pos
C A+ (sf) BB+ (sf)/Watch Pos
D CCC+ (sf) CCC- (sf)
KINGSLAND I: Moody's Lifts Rating on Class D Notes From 'Ba2'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Kingsland I Ltd.:
$17,000,000 Class B-1 Floating Rate Notes Due June 13, 2019,
Upgraded to Aaa (sf); previously on May 9, 2013 Aa1 (sf) Placed
Under Review for Possible Upgrade
$10,000,000 Class B-2 5.06% Notes Due June 13, 2019, Upgraded
to Aaa (sf); previously on May 9, 2013 Aa1 (sf) Placed Under
Review for Possible Upgrade
$17,250,000 Class C-1 Floating Rate Notes Due June 13, 2019,
Upgraded to A1 (sf); previously on May 9, 2013 Baa2 (sf) Placed
Under Review for Possible Upgrade
$8,750,000 Class C-2 Floating Rate Notes Due June 13, 2019,
Upgraded to A1 (sf); previously on May 9, 2013 Baa2 (sf) Placed
Under Review for Possible Upgrade
$7,000,000 Class D 6.13% Notes Due June 13, 2019, Upgraded to
Baa3 (sf); previously on May 9, 2013 Ba2 (sf) Placed Under
Review for Possible Upgrade
Moody's also affirmed the ratings of the following notes:
$100,000,000 Class A-1a Floating Rate Notes Due June 13, 2019
(current outstanding balance of $17,520,088.01), Affirmed Aaa
(sf); previously on June 30, 2011 Upgraded to Aaa (sf)
$190,000,000 Class A-1b Floating Rate Notes Due June 13, 2019
(current outstanding balance of $33,288,167.22), Affirmed Aaa
(sf); previously on June 30, 2011 Upgraded to Aaa (sf)
$10,000,000 Class A-2 Floating Rate Notes Due June 13, 2019,
Affirmed Aaa (sf); previously on November 27, 2012 Upgraded to
Aaa (sf)
$5,000,000 Type II Composite Notes Due June 13, 2019 (current
rated balance of $3,294,060.04), Affirmed Aaa (sf); previously
on November 27, 2012 Upgraded to Aaa (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 November 2012. Moody's notes that the Class
A-1a and A-1b Notes have been paid down by approximately 77.4% or
$174.0 million since November 2012, including $84 million on the
June 2013 payment date. Moody's also notes that the rating actions
reflect the application of the revised updated CLO assumptions
described in "Moody's Global Approach to Rating Collateralized
Loan Obligations" published in May 2013. In taking the foregoing
actions, Moody's announced that it had concluded its review of its
ratings on the issuer's Class B-1, B-2, C-1, C-2 and D Notes
announced on May 9, 2013.
These actions reflect the updates to modeling assumptions applied
by Moody's in its methodology for rating CLOs, which impact
transactions that have material exposure to collateral other than
first-lien loans. As part of the methodology update, Moody's uses
its corporate family rating, when available, to determine the
default probability of both first-lien loans and other less common
instruments, including senior secured, senior unsecured and
subordinated bonds, senior secured floating rate notes, as well as
second-lien and senior unsecured loans. Moody's also harmonized
its recovery rate treatment of senior secured bonds, second-lien
loans and senior secured floating rate notes as one group, and
senior unsecured loans, senior unsecured bonds and subordinated
bonds as another. In the case of Kingsland I Ltd., the methodology
update resulted in Moody's assuming a lower WARF and higher WARR
for collateral other than first-lien senior secured loans in its
analysis when compared to the previous methodology.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $136.4 million, defaulted par of $9.3 million,
a weighted average default probability of 9.00% (implying a WARF
of 2174), a weighted average recovery rate upon default of 47.12%,
and a diversity score of 21. 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.
Kingsland I Ltd., issued in July 2005, is a collateralized loan
obligation backed primarily by a portfolio of senior secured loans
with a material exposure to corporate bonds and loans other than
first-lien loans.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013. The methodology used in rating the Type II Composite
Note was "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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
In addition to the base case analysis, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities.
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% (1739)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C-1: +2
Class C-2: +2
Class D: +3
Type II Composite Notes: 0
Moody's Adjusted WARF + 20% (2609)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C-1: -2
Class C-2: -2
Class D: -1
Type II Composite Notes: 0
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:
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.
LCM XIV: S&P Assigns 'BB' Rating to Class E Notes
-------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to LCM XIV
L.P./LCM XIV LLC's $386.25 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The 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 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.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.305% to 12.813%.
-- 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/1649.pdf
RATINGS ASSIGNED
LCM XIV L.P./LCM XIV LLC
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A AAA (sf) 250.00
B AA (sf) 60.00
C (deferrable) A (sf) 26.50
D (deferrable) BBB (sf) 19.00
E (deferrable) BB (sf) 15.75
F (deferrable) B (sf) 10.00
Subordinated notes NR 31.50
NR-Not rated.
LIFT CLASS A-1: S&P Lowers Rating on 2 Note Classes to 'CCC'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1 and A-2 notes from Lease Investment Flight Trust (LIFT)
to 'CCC (sf)' from 'CCC+ (sf)'. At the same time, S&P affirmed
its 'BBB (sf)' rating on UCAT 2005-1's class A notes and its 'BB+
(sf)' ratings on the class A notes from Airplanes Repackaged
Transferred Securities Ltd.'s (ARTS') series 2004-1 and 2004-2
transactions.
LIFT is an asset-backed securities transaction collateralized
primarily by the lease revenue and sales proceeds from a portfolio
of commercial aircraft. UCAT 2005-1 is a repack transaction
backed by $95 million of LIFT's class A-1 notes and $50 million of
LIFT's class A-2 notes. ARTS' series 2004-1 and 2004-2 are repack
transactions backed by $125 million of LIFT's class A-1 notes,
$61 million of LIFT's class A-2 notes, and $186 million (face
value) of zero-coupon securities issued by Resolution Funding
Corp. (a U.S. government-sponsored entity).
The downgrades on LIFT's class A-1 and A-2 notes reflect S&P's
opinion of:
-- The remaining 25 aircraft's deteriorating value and quality;
-- Class A-1 and A-2's increased loan-to-value (LTV) ratio; and
-- The relatively low credit profile of the lessees.
The affirmation on UCAT 2005-1's class A notes reflect S&P's
opinion of:
-- The slightly improved LTV, benefiting from the faster
amortization on the underlying LIFT class A-1 and A-2 notes;
and
-- The available excess spread.
The affirmations on ARTS' series 2004-1 and 2004-2 class A notes
reflect S&P's opinion of:
-- The slightly improved LTV, benefiting from the faster
amortization on the underlying LIFT class A-1 and A-2 notes;
and
-- The credit quality of the zero coupon securities.
The fleet in LIFT's portfolio is significantly concentrated in
Boeing 737 classics and A320 family aircraft that were
manufactured in the 1990s, some of which, in S&P's view, are
likely to become economically obsolete earlier than expected. The
appraised value (the average of the maintenance-adjusted base
value) of the 25 aircraft as of the April 30, 2013, appraisal date
was $403.08 million, compared with $532.86 million as of April 30,
2011.
As of June 17, 2013, LIFT's class A-1 and A-2 notes had a
remaining balance of $306 million and $199 million, respectively.
Since S&P's February 2012 review of this transaction, the class A-
1 and A-2 notes have paid down more than $120 million. However,
the appraisal value of the collateral has declined at a faster
rate than the paydowns and the current LTV ratio is now
approximately 120%. Currently, the class A-1 and A-2 notes are
receiving only a portion of their minimum principal payment each
month. The senior reserve account, which provides liquidity to
the class A-1 and A-2 notes, is fully funded at $28 million.
As of June 17, 2013, UCAT 2005-1 class A notes had a remaining
balance of $55.7 million. The UCAT 2005-1 class A notes have been
paid down by approximately $26 million since S&P's last review in
February 2012. The faster amortization resulted from a
combination of the paydowns on the underlying LIFT notes and the
overcollateralization and excess spread provided by the LIFT
notes.
As of June 18, 2013, ARTS' series 2004-1 and 2004-2 class A notes
had balances of $119.6 million and $23.0 million, respectively.
ARTS 2004-1 and 2004-2 have combined been paid down by
approximately $33 million since February 2012. The LTVs of each
series' class A notes have slightly improved since S&P's last
review in 2012. However, the ARTS notes' amortization speed is
slower than that of the UCAT 2005-1 notes because the underlying
zero-coupon securities are not currently generating any cash flow.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
Lease Investment Flight Trust (Series 2001-1)
Class Rating
To From
A-1 CCC (sf) CCC+ (sf)
A-2 CCC (sf) CCC+ (sf)
RATINGS AFFIRMED
UCAT 2005-1
Class Rating
A BBB (sf)
Airplanes Repackaged Transferred Securities Ltd.
Series Class Rating
2004-1 A BB+ (sf)
2004-2 A BB+ (sf)
MONA LISA 2013-2: S&P Assigns 'BB-' Rating to $150MM Class A Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services said that it assigned its 'BB-
(sf)' rating to the Class A, Series 2013-2 notes issued by Mona
Lisa Re Ltd. The notes cover losses in the covered area from
named storms and earthquakes (with fire following) on an aggregate
basis.
The Class A notes cover losses between the attachment point of
$875 million and the exhaustion point of $1.125 billion. The
rating is based on the lower of the rating on the catastrophe risk
('BB-'), the rating on the assets in the reinsurance trust account
('AAAm'), and the risk of nonpayment by the ceding insurer
('AA-').
The cedants are Renaissance Reinsurance Ltd. (Ren Re) and DaVinci
Reinsurance Ltd. These entities will be responsible for the
quarterly payments due under the reinsurance contract with Mona
Lisa Re. This is the first rated catastrophe bond sponsored by
Ren Re or one of its affiliates.
RATINGS LIST
New Ratings
Senior Unsecured
$150 mil Class A, Series 2013-2 notes due 2017 BB- (sf)
MORGAN STANLEY 2012-C5: Fitch Keeps B Rating on Cl. H Certificates
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of Morgan Stanley Bank of
America Merrill Lynch Trust 2012-C5 commercial mortgage pass-
through certificates (MSBAM 2012 - C5).
Key Rating Drivers
The affirmations of MSBAM 2012 - C5 are based on the stable
performance of the underlying collateral pool. As of the June 2013
remittance, the pool had no delinquent, watch list or specially
serviced loans. The pool's aggregate principal balance has been
paid down by 0.9% to $1.34 billion from $1.35 billion at issuance.
Approximately 81% of the pool has reported YE 2012 financials. For
those loans without updated financials, Fitch applied a haircut to
the issuance cash flow for modeling purposes. Fitch modeled net
operating income (NOI) was approximately 2% higher than Fitch
issuance NOI.
Ratings Sensitivity
The Rating Outlook for all classes remains Stable. No rating
actions are expected unless there are material changes to property
occupancies or cash flows, increased delinquencies, or additional
loans transferred to special servicing. The pool has maintained
performance consistent with issuance. Additional information on
rating sensitivity is available in the report 'MSBAM 2012 - C5'
(Sept. 24, 2012), available at www.fitchratings.com.
The largest loan of the pool (13.4%) is collateralized by the Legg
Mason Tower, a 24-story office building located in Baltimore, MD.
The subject was developed in 2009 by H&S Properties Development
Corporation, Inc. as part of a 70-acre mixed-use development known
as Harbor East. The subject shares a five-story underground
parking garage with the adjacent, newly built Four Seasons Hotel.
Proceeds from the loan were used to refinance the $146 million
construction loan. The tower serves as the headquarters for Legg
Mason. The property was 83% occupied as of Q1 2013, a slight
decrease from 85% at issuance.
The second largest loan (7.5%) is secured by Silver Sands Factory
Stores, a 442,126-sf retail outlet center located in Destin, FL.
The subject was 93% leased as of YE 2012 to 93 tenants, making up
a diverse rent roll of nationally recognized retailers. No single
tenant represents more than 4% of the rent. Proceeds from the loan
were used by Simon Property Group to acquire a 50% interest in the
property for $100 million, refinance an existing loan of $60
million and return cash of $20 million to the other 50% sponsor.
The third largest loan (6.6%) is secured by U.S. Bank Tower a 26-
story, 520,227-sf office property located in downtown Denver,
Colorado. The property offers two levels of subterranean private
parking for tenants as well as public parking in an adjacent six-
story parking structure, both of which are part of the loan
collateral. U.S. Bank Tower has a diverse rent roll, including
tenants in the financial services, government, legal, and oil and
gas sectors, as well as major retailers, which occupy street-level
space. This loan was used to refinance of an existing loan of $100
million, which had been securitized in MSC 2007-IQ14. This
property was 93% leased as of YE 2012.
Fitch has affirmed the following classes as indicated:
-- $74.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $221.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $149.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $489.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $59.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $33 million class B at 'AAsf'; Outlook Stable;
-- $24.5 million class C at 'Asf'; Outlook Stable;
-- $116.7 million class PST at 'Asf'; Outlook Stable;
-- $1.053 billion interest-only class X-A at 'AAAsf';
Outlook Stable;
-- $66 million interest only class X-B at 'AAsf'; Outlook Stable;
-- $27.1 million class D at 'BBB+sf'; Outlook Stable;
-- $49.1 million class E at 'BBB-sf'; Outlook Stable;
-- $8.5 million class F at 'BBB-sf'; Outlook Stable;
-- $18.6 million class G at 'BB+sf'; Outlook Stable;
-- $23.7 million class H at 'Bsf'; Outlook Stable.
The class A-S, class B, and class C certificates will, at all
times, each represent 50% of the outstanding principal balance of
the class A-S, class B, and class C trust components,
respectively. The class PST certificates will, at all times,
represent beneficial ownership of 50% of the outstanding principal
balance of the class A-S trust component, 50% of the outstanding
principal balance of the class B trust component, and 50% of the
outstanding principal balance of the class C trust component.
Fitch does not rate the interest-only class X-C or class J.
MORGAN STANLEY 2013-C10: Fitch Rates $16.71MM Class H Certs 'B'
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust,
series 2013-C10 commercial mortgage pass-through certificates.
-- $94,800,000 class A-1 'AAAsf'; Outlook Stable;
-- $34,200,000 class A-2 'AAAsf'; Outlook Stable;
-- $126,500,000 class A-SB 'AAAsf'; Outlook Stable;
-- $200,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $359,537,000 class A-4 'AAAsf'; Outlook Stable;
-- $100,000,000 class A-5 'AAAsf'; Outlook Stable;
-- $125,000,000#a class A-3FL 'AAAsf'; Outlook Stable;
-- $0a class A-3FX 'AAAsf'; Outlook Stable;
-- $580,500,000* class X-A 'AAAsf'; Outlook Stable;
-- $111,432,000b class A-S 'AAAsf'; Outlook Stable;
-- $100,290,000b class B 'AA-sf'; Outlook Stable;
-- $263,724,000b class PST 'A-sf'; Outlook Stable;
-- $52,002,000b class C 'A-sf'; Outlook Stable;
-- $53,859,000a class D 'BBB-sf'; Outlook Stable;
-- $22,286,000a class E 'BBB-sf'; Outlook Stable;
-- $16,715,000a class F 'BB+sf'; Outlook Stable;
-- $20,429,000a class G 'BB-sf'; Outlook Stable;
-- $16,715,000a class H 'Bsf'; Outlook Stable.
# Floating rate.
* Notional amount and interest only.
a Privately placed pursuant to Rule 144A.
b Class A-S, class B, and class C certificates may be exchanged
for class PST Certificates, and class PST Certificates may be
exchanged for class A-S, class B and class C certificates.
Class A-S, Class B, Class C, and Class PST certificate balances
reflect their maximum respective values.
Fitch does not rate the $52,002,641 class J. One class has been
added to the deal structure (A-5), one class has been removed from
the deal structure (X-B), and several class balances have been
updated since Fitch issued its expected ratings on June 13, 2013.
The classes above reflect the final ratings and deal structure.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 75 loans secured by 87 commercial
properties having an aggregate principal balance of approximately
$1.486 billion as of the cutoff date. The loans were contributed
to the trust by Bank of America, National Association; and Morgan
Stanley Mortgage Capital Holdings LLC; and CIBC Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78% of the properties by
balance, cash flow analysis of 82.5%, and asset summary reviews on
82.5% of the pool.
Key Rating Drivers
Higher Leverage: The Fitch loan to value (LTV) of 108.4% is above
the average Fitch LTV of 99.6% and 97.2% for transactions rated in
first-quarter 2013 and 2012, respectively. Additionally, the Fitch
debt service coverage ratio (DSCR) of 1.31x is lower than the
first-quarter 2013 average DSCR for Fitch-rated deals of 1.34x.
However, the Fitch DSCR is above the 2012 average Fitch DSCR of
1.24x.
High Quality Assets: Four of the top 10 loans, totaling 25.4% of
the pool, are secured by high-quality assets receiving a Fitch
property quality grade of 'B+' or better.
Hotel Concentration: Hotel properties represent 16.6% of the pool,
which exceeds the 2012 average hotel concentration of 13.5% for
Fitch-rated conduit deals. Additionally, Milford Plaza Fee (7.4%)
is secured by the fee interest in the ground beneath a hotel.
Three other top 15 loans, Hotel Oceana Santa Monica, The Boston
Hotel Portfolio, and Byrd Hospitality Portfolio are secured by
hotel properties.
No Subordinate Debt: No loans in the pool have existing
subordinate debt in place. In addition, only six loans (12.4%)
allow for future subordinate financing.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 17.8% below
the most recent reported net operating income (NOI) (for
properties that NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severity on defaulted loans and could result in potential rating
actions on the certificates. Fitch evaluated the sensitivity of
the ratings assigned to MSBAM 2013-C10 certificates and found that
the transaction displays average sensitivity to further declines
in NCF. In a scenario in which NCF declined a further 20% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'Asf' could result. In a more severe scenario, in which NCF
declined a further 30% from Fitch's NCF, a downgrade of the junior
'AAAsf' certificates to 'BBB+sf' could result. The presale report
includes a detailed explanation of additional stresses and
sensitivities on pages 70-71.
The Master Servicer and Special Servicer will be Midland Loan
Services, a Division of PNC Bank, National Association, rated
'CMS1' and 'CSS1' by Fitch.
MORGAN STANLEY 2013-C10: Moody's Takes Action on 16 CMBS Classes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to sixteen classes
of CMBS securities, issued by Morgan Stanley Bank of America
Merrill Lynch Trust 2013-C10 Commercial Mortgage Pass-Through
Certificates.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Assigned Aaa (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. A-S, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. PST, Definitive Rating Assigned A2 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. A-3FL, Definitive Rating Assigned Aaa (sf)
Cl. A-3FX, Definitive Rating Assigned Aaa (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba2 (sf)
Cl. F, Definitive Rating Assigned Ba3 (sf)
Ratings Rationale:
The Certificates are collateralized by 75 fixed rate loans secured
by 87 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 1.67X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.01X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 107.4% is lower than the 2007
conduit/fusion transaction average of 110.6%. The LTV ratio
excludes the Milford Plaza Fee Loan (7.4% of balance). Milford
Plaza Fee Loan is assigned a credit assessment of Baa3 despite
having a Moody's LTV ratio of 127.0% that reflects only the value
of the land collateral. To arrive at a Baa3 assessment, Moody's
considered the value of the non-collateral improvements that the
leased fee interest underlies when assessing the risk of the loan,
as the subject loan is senior to any debt on the improvements. The
loan is further enhanced by an ARD structure, which is a built-in
refinancing mechanism that allows for the loan to hyper-amortize
(without defaulting) if financing is not available at loan
maturity. Loans that are credit assessed Baa3 typically have a
Moody's LTV ratio near 67%. If the loan's leverage wasn't
disassociated with the loan's credit quality, the total pool LTV
ratio would be closer to 103.9%. Moody's excludes the loan from
pool statistics given the dislocation created between pool
leverage/coverage and pool credit quality if included.
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 25.
The transaction's loan level diversity is similar to 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 27. The transaction's property
diversity profile is similar to the indices calculated in most
multi-borrower transactions issued since 2009.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.33, which is higher
than the indices calculated in most multi-borrower transactions
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.
In terms of waterfall structure, the transaction contains a unique
group of exchangeable certificates. Classes A-S (Aaa (sf)), B (Aa3
(sf)) and C (A3 (sf)) may be exchanged for Class PST (A2 (sf))
certificates and Class PST may be exchanged for the Classes A-S, B
and C. The PST certificates will be entitled to receive the sum of
interest distributable on the Classes A-S, B and C certificates
that are exchanged for such PST certificates. The initial
certificate balance of the Class PST certificates is $131,862,000.
Classes A-S, B and C Certificates may be exchanged for Class PST
Certificates up to an aggregate amount of $263,724,000.
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 PST has the default characteristics
of the lowest rated component certificate (A3 (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 A2 (sf) rating, a rating higher than the lowest
provisionally rated component certificate.
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 Fusion U.S. CMBS
Transactions" published in April 2005. The methodology used in
rating Class X-A was "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.62
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 version 1.0 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%, 15%, and 23%, the model-indicated rating for the currently
rated junior Aaa class would be Aa1 (sf), Aa2 (sf), A1 (sf),
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.
MOUNTAIN HAWK II: S&P Assigns 'BB' Rating to Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Mountain Hawk II CLO Ltd./Mountain Hawk II CLO LLC's
$471.00 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 ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy-remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which it assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest rate
scenarios, including LIBOR ranging from 0.29%-11.83%.
-- 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
rated notes' outstanding balance.
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/1565.pdf
RATINGS ASSIGNED
Mountain Hawk II CLO Ltd./Mountain Hawk II CLO LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 261.50
A-2 AAA (sf) 53.00
B AA (sf) 76.00
C (deferrable) A (sf) 34.00
D (deferrable) BBB (sf) 25.50
E (deferrable) BB (sf) 21.00
Subordinated notes NR 45.67
NR-Not rated.
NOMAD CLO: S&P Affirms 'BB' Rating to Class D Notes
---------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Nomad
CLO Ltd./Nomad CLO LLC's $368.00 million floating-rate notes
following the transaction's effective date as of May 23, 2013.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of its review based on the information presented to S&P.
"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, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"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 added.
"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 noted.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Nomad CLO Ltd./Nomad CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 250.00
A-2 AA (sf) 40.50
B (deferrable) A (sf) 35.00
C (deferrable) BBB (sf) 19.00
D (deferrable) BB (sf) 23.50
NON-PROFIT PREFERRED I: Moody's Cuts Ratings on 5 Cert. Classes
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the
following notes issued by Non-Profit Preferred Funding Trust I
Structured Tax-Exempt Pass-Through (STEP) Certificates:
$90,000,000 Class A-1 Senior Certificates due 2037 (current
outstanding balance of $44,858,835), Downgraded to A1 (sf);
previously on November 23, 2010 Downgraded to Aa3 (sf);
$230,000,000 Class A-2 Delayed Issuance Senior Certificates due
2037 (current outstanding balance of $114,301,308), Downgraded to
A1 (sf); previously on November 23, 2010 Downgraded to Aa3 (sf);
$16,500,000 Class B Senior Certificates due 2037, Downgraded to
Ba2 (sf); previously on November 23, 2010 Downgraded to Baa3 (sf);
$22,000,000 Class C Mezzanine Certificates due 2037, Downgraded to
Caa1 (sf); previously on November 23, 2010 Downgraded to B2 (sf);
$14,000,000 Class D Subordinate Certificates due 2037, Downgraded
to Caa3 (sf); previously on November 23, 2010 Downgraded to Caa2
(sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of an increase in defaults, a reduction in the
weighted average coupon, and deterioration in the credit quality
of the portfolio.
Based on the latest trustee report dated June 28, 2013, defaulted
par is approximately 14.3% of par or $33.9 million. Moody's notes
that the percent of defaulted par has remained high despite
ongoing deleveraging of the senior notes. As a result, the Moody's
calculated Class C and D overcollateralization ratios have
declined to 106.40% and 99.36%, respectively, versus November 2012
levels of 109.94% and 103.49%.
Moody's also notes that the Moody's calculated weighted average
coupon declined and that the overall credit quality of the
portfolio has deteriorated. In addition, the portfolio has 64%
exposure to the higher education and not-for-profit healthcare
sectors that currently have negative outlooks.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, 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 $204 million, defaulted par of $33.9 million,
a WARF of 3699, a weighted average recovery rate upon default of
54.08%, and a weighted average life remaining on the pool of 13.8
years. The default and recovery properties of the collateral pool
are incorporated in cash flow model analysis. 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.
Non-Profit Preferred Funding Trust I Structured Tax-Exempt Pass-
Through (STEP) Certificates, issued in November 2006, is a static
deal backed primarily by a portfolio consisting of municipal tax-
exempt issuance in the healthcare, utilities, and higher education
sectors.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.8 to model the loss distribution for this municipal CDO.
Within this framework, defaults are generated so that they occur
with the frequency indicated by the adjusted default probability
pool (the default probability associated with the current rating
adjusted for the municipal sector) for each credit in the
reference. Specifically, correlated defaults are simulated using a
normal (or "Gaussian") copula model that applies the asset
correlation framework based on the municipal sector and region.
Recovery rates for defaulted credits are generated by applying
within the simulation the distributional assumptions, including
correlation between recovery values.
Together, the simulated defaults and recoveries across each of the
Monte Carlo scenarios define the loss distribution for the
reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model. The cash flow model takes into account the following:
collateral cash flows, the transaction covenants, the priority of
payments (waterfall) for interest and principal proceeds received
from portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates ("CEs"). Moody's
analysis reflects the application of certain adjustments with
respect to the default probabilities associated with CEs.
Specifically, Moody's for each CE where the related exposure
constitutes more than 3% of the collateral pool, Moody's applied a
2-notch equivalent assumed downgrade. This adjustment was applied
to approximately 32% of the pool.
Moody's notes that a number of sources of uncertainty exist in
this transaction and such uncertainties operate both on a macro
level and on a transaction-specific level.
Sources of additional performance uncertainties:
1) Deleveraging: A source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds will
continue and at what pace. Deleveraging may accelerate due to
refinancing or collateral sales by the manager, which may have
significant impact on the notes' ratings.
2) Recovery of defaulted assets: Fluctuations in the recovery
values of 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.
3) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, due to the
longer tenor attributed to municipal borrowers.
4) 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 adjustments Moody's may assume in lieu of
updated credit estimates. Moody's also conducted tests to assess
the collateral pool's concentration risk in obligors bearing a
credit estimate that constitute more than 3% of the collateral
pool.
5) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors that are rated non-investment grade, especially when they
experience jump to default. Due to the deal's lack of granularity,
Moody's modeled the typical Binomial Expansion Technique analysis
with a simulated default distribution using Moody's CDOROMTM
software and/or individual scenario analysis.
6) Sector exposure: The deal is has 64% exposure to the municipal
not-for-profit healthcare and higher education sectors that
currently have negative outlooks. Due to this exposure, the deal
is subject to the uncertainty of the slowdown in growth in the
current macroeconomic environment and federal budget cuts.
NORTHWOODS CAPITAL IX: S&P Affirms 'BB-' Rating to Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Northwoods Capital IX Ltd./Northwoods Capital IX LLC's $560.00
million fixed- and floating-rate notes following the transaction's
effective date as of May 28, 2013.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of its review based on the information presented to S&P.
S&P believes 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.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee. (For more information on our criteria and our
analytical tools, see "Update To Global Methodologies And
Assumptions For Corporate Cash Flow And Synthetic CDOs," published
Sept. 17, 2009.)," S&P noted
In S&P's published effective date report, it discusses its
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, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its 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 it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Northwoods Capital IX Ltd./Northwoods Capital IX LLC
Class Rating Amount
(mil. $)
X AAA (sf) 0.20(i)
A AAA (sf) 375.00
B-1 AA (sf) 38.00
B-2 AA (sf) 25.00
C-1 A (sf) 49.00
C-2 A (sf) 8.00
D BBB (sf) 30.00
E BB- (sf) 30.00
(i) The class X notes received partial payment on April 18, 2013.
PENNSYLVANIA HIGHER: Fitch Keeps 'B' Ratings on 9 Note Classes
--------------------------------------------------------------
Fitch Ratings currently maintains ratings on the student loan
revenue bonds issued from the Pennsylvania Higher Education
Assistance Agency (PHEAA) trust indenture dated as of Aug. 1,
1997, as amended and supplemented (the 1997 Trust).
PHEAA has requested that Fitch confirm the existing ratings
assigned to the bonds issued under the 1997 Trust in connection
with: (i) the bond purchase and cancellation of certain auction
rate securities (the ARS) issued under the 1997 Trust and (ii) the
sale of the related student loan collateral securing such ARS
which will exceed 20% of the value of the Trust as of the date of
the last rating notification.
Fitch is treating this request as a notification. The 1997 Trust
will repurchase and cancel approximately $40.6 million of
outstanding ARS. The repurchase of ARS will take place on July 12,
2013. Additionally, the student loan receivables balance will
decrease by $38.8 million as those loans are sold and released
from the lien of the trust. The amount of the loan sale combined
with past loan sales for this trust will exceed 20% of the
aggregate amount of the trust as of the date of the last rating
notification.
The repurchase and cancellation of ARS and sale of related
collateral will result in an increase in the total and senior
parity ratio of the 1997 Trust. Total parity will increase from
105.87% to 106.02% and senior parity will increase from 110.19% to
110.44% as of June 30, 2013; however the release levels will be
maintained at total parity of 102% and senior parity ratio of
106%. Fitch compared the balance sheet of the 1997 Trust pre-
proposed transactions and post-proposed transactions and
determined the change to be immaterial.
Based on the information provided, Fitch has determined that the
repurchase of ARS in addition to the related loan sale which will
exceed 20% of the aggregate amount of the trust will not have a
material impact on the existing ratings at this time. This
determination only addresses the effect of the repurchase and loan
sale on the current ratings assigned by Fitch to the securities
listed below. This determination does not address whether the
repurchase and subsequent loan sale is permitted by the terms of
the transaction documents. It does not address whether the
repurchase and loan sale is in the best interests of, or
prejudicial to, some or all of the holders of the securities
listed.
The current ratings of the bonds are as follows:
Pennsylvania Higher Education Assistance Agency 1997 Trust
Indenture Senior Class Notes
-- 2000-1 class F-1 'BBBsf'; Outlook Stable;
-- 2000-2 class H 'BBBsf'; Outlook Stable;
-- 2000-3 class J-3 'BBBsf'; Outlook Stable;
-- 2000-3 class J-4 'BBBsf'; Outlook Stable;
-- 2001 class L-1 'BBBsf'; Outlook Stable;
-- 2001 class L-2 'BBBsf'; Outlook Stable;
-- 2002-1 class N-1 'BBBsf'; Outlook Stable;
-- 2002-1 class N-2 'BBBsf'; Outlook Stable;
-- 2002-3 class R-1 'BBBsf'; Outlook Stable;
-- 2002-4 class T-1 'BBBsf'; Outlook Stable;
-- 2002-4 class T-2 'BBBsf'; Outlook Stable;
-- 2002-4 class T-3 'BBBsf'; Outlook Stable;
-- 2002-4 class T-4 'BBBsf'; Outlook Stable;
-- 2002-4 class T-5 'BBBsf'; Outlook Stable;
-- 2002-5 class V-1 'BBBsf'; Outlook Stable;
-- 2002-5 class V-2 'BBBsf'; Outlook Stable;
-- 2002-5 class V-3 'BBBsf'; Outlook Stable;
-- 2002-5 class V-4 'BBBsf'; Outlook Stable;
-- 2003-1 class W-1 'BBBsf'; Outlook Stable;
-- 2003-1 class W-2 'BBBsf'; Outlook Stable;
-- 2003-2 class Y-1 'BBBsf'; Outlook Stable;
-- 2003-2 class Y-2 'BBBsf'; Outlook Stable;
-- 2003-2 class Y-3 'BBBsf'; Outlook Stable;
-- 2003-2 class Y-4 'BBBsf'; Outlook Stable;
-- 2004-1 class Z-1 'BBBsf'; Outlook Stable;
-- 2004-1 class Z-3 'BBBsf'; Outlook Stable;
-- 2004-1 class Z-4 'BBBsf'; Outlook Stable;
-- 2004-2 class AA-1 'BBBsf'; Outlook Stable;
-- 2004-2 class AA-2 'BBBsf'; Outlook Stable;
-- 2004-3 class BB-1 'BBBsf'; Outlook Stable;
-- 2004-3 class BB-2 'BBBsf'; Outlook Stable;
-- 2004-3 class BB-3 'BBBsf'; Outlook Stable;
-- 2004-3 class BB-4 'BBBsf'; Outlook Stable;
-- 2005-1 class CC-2 'BBBsf'; Outlook Stable;
-- 2005-2 class DD-1 'BBBsf'; Outlook Stable;
-- 2005-2 class DD-2 'BBBsf'; Outlook Stable;
-- 2005-3 class EE-1 'BBBsf'; Outlook Stable;
-- 2005-3 class EE-2 'BBBsf'; Outlook Stable;
-- 2005-3 class EE-3 'BBBsf'; Outlook Stable;
-- 2005-3 class EE-4 'BBBsf'; Outlook Stable;
-- 2005-4 class GG-1 'BBBsf'; Outlook Stable;
-- 2005-4 class GG-2 'BBBsf'; Outlook Stable;
-- 2005-4 class GG-3 'BBBsf'; Outlook Stable;
-- 2005-4 class GG-4 'BBBsf'; Outlook Stable;
-- 2005-4 class GG-5 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-1 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-2 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-3 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-4 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-5 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-6 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-7 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-8 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-9 'BBBsf'; Outlook Stable;
-- 2006-1 class HH-10 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-1 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-2 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-3 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-4 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-5 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-6 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-8 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-9 'BBBsf'; Outlook Stable;
-- 2006-2 class JJ-10 'BBBsf'; Outlook Stable;
-- 2007 class LL-2 'BBBsf'; Outlook Stable;
-- 2007 class LL-3 'BBBsf'; Outlook Stable;
-- 2007 class LL-4 'BBBsf'; Outlook Stable;
-- 2007 class LL-5 'BBBsf'; Outlook Stable;
-- 2007 class LL-6 'BBBsf'; Outlook Stable;
-- 2007 class LL-7 'BBBsf'; Outlook Stable;
-- 2007 class LL-8 'BBBsf'; Outlook Stable;
-- 2007 class LL-9 'BBBsf'; Outlook Stable;
-- 2007 class LL-10 'BBBsf'; Outlook Stable;
-- 2007 class MM-1 'BBBsf'; Outlook Stable;
-- 2007 class MM-2 'BBBsf'; Outlook Stable;
-- 2007 class MM-3 'BBBsf'; Outlook Stable;
-- 2007 class MM-4 'BBBsf'; Outlook Stable;
-- 2007 class MM-5 'BBBsf'; Outlook Stable;
-- 2007 class MM-6 'BBBsf'; Outlook Stable.
Pennsylvania Higher Education Assistance Agency 1997 Trust
Indenture Subordinate Class Notes
-- 2000-1 class G 'Bsf'; Outlook Stable;
-- 2000-3 class K 'Bsf'; Outlook Stable;
-- 2001 class M 'Bsf'; Outlook Stable;
-- 2002-4 class U 'Bsf'; Outlook Stable;
-- 2003-1 class X 'Bsf'; Outlook Stable;
-- 2005-3 class FF 'Bsf'; Outlook Stable;
-- 2006-1 class II 'Bsf'; Outlook Stable;
-- 2006 class KK 'Bsf'; Outlook Stable;
-- 2007 class NN 'Bsf'; Outlook Stable.
PREFERREDPLUS TRUST CTR-1: S&P Puts 'BB-' Rating on Watch Negative
------------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'BB-' rating on
PreferredPLUS Trust Series CTR-1's $31 million trust certificates
on CreditWatch with negative implications.
The rating on the certificates is based on the rating on the
underlying security, Cooper Tire & Rubber Co.'s 8.00% notes due
Dec. 15, 2019 ('BB-/Watch Neg').
The rating action reflects S&P's June 28, 2013, placement of our
'BB-' rating on the underlying security on CreditWatch with
negative implications. S&P may take subsequent rating actions on
the certificates because of changes in its rating on the
underlying security.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
SAGUARO ISSUER: Moody's Eyes Downgrade on Two Ba2-Rated Units
-------------------------------------------------------------
Moody's Investors Service has placed on review for downgrade the
ratings of the following units issued by Saguaro Issuer Trust:
$11,000,000 aggregate face amount of Principal Units, Series K,
Ba2 Placed Under Review for Possible Downgrade; previously on
June 22, 2012 Downgraded to Ba2;
$34,000,000 aggregate face amount of Principal Units, Series L,
Ba2 Placed Under Review for Possible Downgrade; previously on
June 22, 2012 Downgraded to Ba2.
Ratings Rationale:
The ratings of the Series K and L units are based on the credit
quality of the underlying securities and the legal structure of
the note. These rating actions result from rating changes on the
underlying securities, which are the Undated Primary Capital
Floating Rate Notes, Series A issued by National Westminster Bank
PLC, and the Undated Primary Capital Floating Rate Notes, Series B
issued by National Westminster Bank PLC, whose Ba2 ratings were
placed on review for downgrade on July 5, 2013.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the ratings are a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
units.
SALOMON BROTHERS 2000-C1: S&P Raises Rating to Class K Note to BB+
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on two
classes from Salomon Brothers Mortgage Securities VII Inc. Series
2000-C1, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P withdrew its rating on class H,
following the repayment in full of the class' remaining principal
balance, as noted in the June 18, 2013 remittance report.
S&P's rating actions follows its analysis of the deal, primarily
using its criteria for rating U.S. and Canadian CMBS transactions.
S&P's analysis included a review of the transaction structure,
historical performance of the remaining assets, and the liquidity
available to the trust.
The upgrades reflect Standard & Poor's expected available credit
enhancement for the affected tranche, which S&P believes is
greater than its most recent estimate of necessary credit
enhancement for the rating level. The upgrades also reflect S&P's
views regarding the current and future performance of the
transaction's collateral.
As of the June 18, 2013 trustee remittance report, the collateral
pool had an aggregate trust balance of $20.2 million, down from
$713.3 million at issuance. The pool comprises 14 loans, down
from 266 loans at issuance. Six loans ($7.1 million, 35.3%) are
defeased. To date, the transaction has experienced losses
totaling $26.8 million, or 3.8% of its original certificate
balance. There are currently no loans with the special servicer,
Berkadia Commercial Mortgage LLC and no loans appear on the
watchlist of the master servicer (also Berkadia).
Based on the most recent data from the master servicer and using
Standard & Poor's adjusted net cash flow and cap rates, S&P
calculated a weighted average debt service coverage (DSC) for
those remaining loans that are not defeased of 1.60x and a
weighted average loan-to-value (LTV) of 30.3%.
The Sports Arena Village loan ($5.8 million, 28.5%) is the largest
loan in the pool. The loan is secured by a 254,679-sq.-ft. mixed
use property in San Diego, Calif., which was constructed in 1981.
The occupancy as of Oct. 1, 2012 was 97.1% and the DSC as of
Dec. 31, 2011 was 1.95x.
The Sports Authority loan ($3.7 million, 18.1%) is the second-
largest loan in the pool. The loan is secured by a 45,654-sq.-ft.
retail property in Woodside, N.Y., which was constructed in 1995.
The occupancy as of Feb. 28, 2013 was 100% and the DSC as of
Nov. 30, 2012 was 1.72x.
The remaining six performing nondefeased loans, in aggregate,
constitute 18.1% of the pool, with a balance of $3.7 million.
These six performing loans have exhibited stable historical
performance.
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
Salomon Brothers Mortgage Securities VII Inc.
Commercial mortgage pass-through certificates series 2000-C1
Rating Rating
Class To From Credit enhancement (%)
J BBB+ (sf) B+(sf) 61.43
K BB+ (sf) CCC-(sf) 34.96
RATING WITHDRAWN
Salomon Brothers Mortgage Securities VII Inc.
Commercial mortgage pass-through certificates series 2000-C1
Class To From
H NR BB+(sf)
NR-Not rated.
SDART 2013-4: Moody's Rates Class E Notes '(P)Ba2'
--------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Santander Drive Auto Receivables Trust 2013-
4 (SDART 2013-4). This is the fourth transaction of the year for
Santander Consumer USA Inc. (SCUSA).
The complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2013-4
Class A-1, Assigned (P)P-1 (sf)
Class A-2, Assigned (P)Aaa (sf)
Class A-3, Assigned (P)Aaa (sf)
Class B, Assigned (P)Aa1 (sf)
Class C, Assigned (P)A2 (sf)
Class D, Assigned (P)Baa2 (sf)
Class E, Assigned (P)Ba2 (sf)
Ratings Rationale:
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SCUSA as
servicer.
Moody's median cumulative net loss expectation for the 2013-4 pool
is 16.0% and the Aaa level is 49.0%. 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, or if Banco Santander no
longer has more than a 50% ownership stake in SCUSA.
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).
The principal methodology used in this rating was "Moody's
Approach to Rating Auto Loan-Backed ABS," published in May 2013.
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 19.0%, 25.5% or
29.0%, 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 16.25%, 19.5% or
22.5%, the initial model output for the Class B notes might change
from Aa1 to Aa2, A2, and Baa2, respectively. If the net loss used
in determining the initial rating were changed to 16.25%, 18.5% or
21.0%, 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 16.25%, 18.5% or
21.0%, the initial model output for the Class D notes might change
from Baa2 to Baa3, Ba3, and B3 respectively. If the net loss used
in determining the initial rating were changed to 16.25%, 18.0% or
19.0%, the initial model output for the Class E notes might change
from Ba2 to Ba3, B3, 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.
SDART 2013-4: S&P Assigns Prelim. 'BB+' Rating to Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Santander Drive Auto Receivables Trust 2013-4's
$891.14 million automobile receivables-backed notes series 2013-4.
The note issuance is an asset-backed securitization backed by
subprime auto loan receivables.
The preliminary ratings are based on information as of July 9,
2013. 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 49.75%, 43.68%, 35.07%, 31.01%, and
26.46% of credit support for the class A, B, C, D, and E
notes, respectively, based on stress cash flow scenarios
(including excess spread), which provide coverage of more
than 3.50x, 3.00x, 2.30x, 1.93x, and 1.60x S&P's 3.50%-
14.50% expected cumulative net loss.
-- The timely interest and principal payments made under
stressed cash flow modeling scenarios appropriate to the
assigned preliminary ratings.
-- Its 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 preliminary ratings during the first year, and
S&P's ratings on the class D and E notes will remain within
two rating categories of the assigned preliminary ratings,
which is within the outer bounds of our credit stability
criteria.
-- The originator/servicer's history in the subprime/specialty
auto finance business.
-- S&P's analysis of eight 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1648.pdf;
PRELIMINARY RATINGS ASSIGNED
Santander Drive Auto Receivables Trust 2013-4
Class Rating Type Interest Amount
rate (mil. $)(i)
A-1 A-1+ (sf) Senior Fixed 128.00
A-2 AAA (sf) Senior Fixed 265.70
A-3 AAA (sf) Senior Fixed 182.49
B AA (sf) Subordinate Fixed 95.22
C A (sf) Subordinate Fixed 117.19
D BBB+ (sf) Subordinate Fixed 53.71
E BB+ (sf) Subordinate Fixed 48.83
(i) The interest rates and actual sizes of these tranches will be
determined on the pricing date.
SPRINGLEAF MORTGAGE: S&P Assigns 'BB' Rating to Class B-1 Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Springleaf Mortgage Loan Trust 2013-2's $875.499 million mortgage-
backed notes.
The note issuance is an residential mortgage-backed security
transaction backed by residential mortgage loans.
The ratings reflect S&P's view of:
-- The loan's characteristics that are, from a credit
perspective, significantly more risky than its archetypical
pool, as the collateral summary table and credit analysis
reflect.
-- The operations and counterparty risks, including Springleaf
Finance Corp. (Springleaf) and its decision to exit the
origination business.
-- The representation and warranty provider's financial ability
to meet potential repurchase claims in a 'AAA' or 'AA'
rating scenario.
-- The credit enhancement provided by an excess interest cash
flow structure with no step-down and an interest rate
reserve fund.
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/1640.pdf
RATINGS ASSIGNED
Springleaf Mortgage Loan Trust 2013-2
Class Rating Amount (mil. $)
A AAA (sf) 511.788
M-1 AA (sf) 87.573
M-2 A+ (sf) 54.022
M-3 A- (sf) 61.983
M-4 BBB (sf) 41.512
M-5 A- (sf) 715.366
M-6 A- (sf) 203.578
M-7 AA (sf) 599.361
M-8 A- (sf) 116.005
M-9 A+ (sf) 653.383
B-1 BB (sf) 61.983
B-2 B (sf) 56.638
B-3 NR 258.965
B-3-A NR 64.741
B-3-B NR 64.741
B-3-C NR 64.741
B-3-D NR 64.741
B-3-E NR 129.483
B-3-F NR 194.224
X-M3(i) NR (ii)
C NR 2.844
R NR N/A
(i) Component of the class X notes.
(ii)Each of the class C note components' notional balance is
equal to the outstanding class balance of their respective
P&I notes.
NR - Not rated.
N/A - Not applicable.
TALMAGE STRUCTURED 2006-4: Moody's Keeps C Rating on 8 Notes
------------------------------------------------------------
Moody's has affirmed the ratings of eleven classes of Notes issued
by Talmage Structured Real Estate Funding 2006-4, Ltd. The
affirmations are due to key transaction parameters performing
within levels commensurate with the existing ratings levels. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO
CLO) transactions.
Moody's rating action is as follows:
Cl. A-1, Affirmed Baa3 (sf); previously on Aug 29, 2012 Upgraded
to Baa3 (sf)
Cl. A-2, Affirmed B3 (sf); previously on Aug 29, 2012 Upgraded to
B3 (sf)
Cl. B, Affirmed Caa3 (sf); previously on Aug 29, 2012 Upgraded to
Caa3 (sf)
Cl. C, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Cl. E, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Cl. G, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Cl. H, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Ratings Rationale:
Talmage Structured Real Estate Funding 2006-4, Ltd. is a currently
static (the re-investment period ended in February, 2012) cash
transaction backed by a portfolio of whole loans (18.4%) and b-
notes (24.0%), commercial mortgage backed securities (CMBS) (25.9%
of the pool balance, including rake bonds), asset backed
securities (ABS) (11.9%) and CRE CDOs (19.7%). As of the June 25,
2013 Trustee report, the aggregate Note balance of the transaction
is $268.5 million compared to $500 million at issuance; due to a
combination of amortization, recoveries from defaulted collateral
and principal proceeds resulting from the failure of certain par
value and interest coverage tests.
Twelve assets with a par balance of $145.0 million (57.5% of the
pool balance) were listed as impaired securities as of the June
25, 2013 Trustee Report. Moody's expects moderate/high losses to
occur on these assets once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 7,478
compared to 7,326 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Aaa-Aa3 (0.0% compared to 0.1% at last
review), A1-A3 (0.0% compared to 0.0% at last review), Baa1-Baa3
(0.0% compared to 0.0% at last review), Ba1-Ba3 (0.0% compared to
0.0% at last review), B1-B3 (27.6% compared to 30.2% at last
review), and Caa1-C (72.4% compared to 69.7% at last review).
Moody's modeled a WAL of 1.9 years, compared to 2.4 years at last
review. The current WAL is based on assumptions about extensions
on the underlying collateral.
Moody's modeled a fixed WARR of 14.9% compared to 12.5% at last
review.
Moody's modeled a MAC of 100.0%, compared to 99.9% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
The cash flow model, CDOEdge(R) v3.2.1.2, released on May 16,
2013, was used to analyze the cash flow waterfall and its effect
on the capital structure of the deal.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated Notes are particularly
sensitive to changes in recovery rate assumptions. Holding all
other key parameters static, changing the recovery rate assumption
up from 14.9% to 19.9% or down to 9.9% would result in average
rating movement on the rated tranches of 0 to 8 notches upward and
0 to 4 notches downward respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment 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 outlook indicates the global
economy has lost momentum over the past quarter as it tries to
recover. US GDP growth for 2013 is likely to remain close to 2%,
however US sequestration cuts that came into effect in March may
create a drag on the positive growth in the US private sector.
While the broad economic impact is unclear, the direct effect is
likely to shave 0.4% off US GDP growth in 2013. Continuing from
the previous quarter, Moody's believes that the three most
immediate risks are: i) the risk of an even deeper than currently
expected recession in the euro area, accompanied by deeper credit
contraction, potentially triggered by a further intensification of
the sovereign debt crisis; ii) slower-than-expected recovery in
major emerging markets following the recent slowdown; and iii) an
escalation of geopolitical tensions, resulting in adverse economic
developments.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
WAMU COMMERCIAL 2007-SL2: Fitch Affirms 'D' Rating on Cl. K Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of WAMU Commercial Mortgage
Securities Trust 2007-SL2 commercial mortgage pass-through
certificates.
Key Rating Drivers
The affirmations are the result of sufficient credit enhancement
due to scheduled amortization and paydown. Given the small balance
nature of the loans, Fitch ran additional stresses by applying
additional higher cap rate scenarios. Given these scenarios, the
Rating Outlook for the investment grade classes was deemed to be
Stable.
Fitch modeled losses of 7.6% of the remaining pool; expected
losses on the original pool balance total 7%, including $21.3
million (2.5% of the original pool balance) in realized losses to
date. Fitch has designated 112 loans (26%) as Fitch Loans of
Concern, and 25 loans (5%) are in special servicing.
As of the June 2013 distribution date, the pool's aggregate
principal balance has been reduced by 40.2% to $492.7 million from
$823.8 million at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes H through N.
The largest contributor to expected losses is the specially-
serviced loan (0.8% of the pool), which is secured by a 45,421
square foot (sf) industrial/warehouse property located in Elk
Grove, CA. The loan was transferred to special servicing in May
2012 due to imminent default. The borrower is in the process of
marketing the property. The special servicer and borrower continue
discussions towards a resolution of the loan.
The next largest contributor to expected losses is the specially-
serviced loan (0.7%), which is secured by a 26,872 sf mixed use
property located in Lynbrook, NY. The loan was transferred to
special servicing in June 2010 for imminent default. Per the
special servicer, a settlement has been reached in principal to
execute a short sale through the bankruptcy court.
The third largest contributor to expected losses (0.3%) is secured
by a 47,000 sf retail property located in San Dimas, CA. The
single tenant at the property vacated in April 2011 and as last
reported the property was vacant. No updates were available on
leasing activity.
Rating Sensitivity
Rating Outlooks on classes A and A1A remains Stable due to
increasing credit enhancement and continued paydown. The rating
outlook on class B remains Negative due to the small balance
nature of the loans and lack of updated operating performance on
many of the loans. Loss severities on smaller balance loans have
been higher than typical CMBS loans. Should additional loans
become specially serviced and/or loss estimates increase further
downgrades are possible.
Fitch affirms the following classes and revises Recovery Estimates
(RE) as indicated:
-- $46.4 million class A at 'BBB-sf', Outlook Stable;
-- $348.6 million class A1A at 'BBB-sf', Outlook Stable;
-- $17.9 million class B at 'BBsf', Outlook Negative;
-- $25.3 million class C at 'CCCsf', RE 100%;
-- $16.8 million class D at 'CCsf', RE 100%;
-- $6.3 million class E at 'Csf', RE 45%;
-- $7.4 million class F at 'Csf', RE 0%;
-- $13.7 million class G at 'Csf', RE 0%;
-- $4.2 million class H at 'Csf', RE 0%;
-- $5.3 million class J at 'Csf', RE 0%;
-- $833,900 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%.
Fitch does not rate the class N certificates. Fitch previously
withdrew the rating on the interest-only class X certificates.
WELLS FARGO 2013-LC12: Fitch to Rate $14.09MM Cl. F Certs at ' B'
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on Wells Fargo
Commercial Mortgage Trust 2013-LC12 Pass-Through Certificates.
Fitch expects to rate the transaction and assign Outlooks as
follows:
-- $130,432,000 class A-1 'AAAsf'; Outlook Stable;
-- $80,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $100,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $326,055,000 class A-4 'AAAsf'; Outlook Stable;
-- $100,000,000 class A-5 'AAAsf'; Outlook Stable;
-- $149,929,000 class A-SB 'AAAsf'; Outlook Stable;
-- $100,000,000** class A-3FL# 'AAAsf'; Outlook Stable;
-- $0** class A-3FX 'AAAsf'; Outlook Stable;
-- $116,257,000 class A-S 'AAAsf'; Outlook Stable;
-- $1,102,673,000* class X-A 'AAAsf'; Outlook Stable;
-- $88,072,000 class B 'AA-sf'; Outlook Stable;
-- $56,367,000 class C 'A-sf'; Outlook Stable;
-- $260,696,000 class PEX 'A-sf'; Outlook Stable;
-- $66,936,000** class D 'BBB-sf'; Outlook Stable;
-- $28,183,000** class E 'BBsf'; Outlook Stable;
-- $14,092,000a class F 'Bsf'; Outlook Stable.
# Floating rate
* Notional amount and interest-only
**Privately placed pursuant to Rule 144A
Class A-S, class B and class C certificates may be exchanged for
class PEX certificates. Class PEX certificates may be exchanged
for class A-S, class B and class C certificates.
The expected ratings are based on information provided by the
issuer as of July 1, 2013. Fitch does not expect to rate the
$95,118,821 interest-only class X-B or the $52,843,821 class G.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 83 loans secured by 150 commercial
properties having an aggregate principal balance of approximately
$1.409 billion as of the cutoff date. The loans were contributed
to the trust by Ladder Capital Finance LLC, The Royal Bank of
Scotland plc, and Wells Fargo Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 82.4% of the properties
by balance, cash flow analysis of 79.7%, and asset summary reviews
on 79.7% of the pool.
Key Rating Drivers
Fitch Leverage:
This transaction has slightly higher leverage than other recent
Fitch-rated fixed-rate deals. The pool's Fitch DSCR and LTV are
1.26x and 103.6%, respectively, compared to the 2012 averages of
1.24x and 97.2%, and first half 2013 averages of 1.36x and 99.8%.
Pool Concentration:
The pool is slightly more concentrated by loan size and sponsor
than average transactions in 2012 and first half 2013. The top 10
loans represent 56.2% of the pool, higher than the 2012 and first
half 2013 average concentrations of 54.2% and 54.3%, respectively.
The pool has a loan concentration index of 366.
Retail Properties:
The pool has a 39.8% concentration of retail properties, which is
higher than the 2012 and first-half 2013 average retail
concentrations of 35.9% and 31.6%, respectively. Four of the six
largest loans are secured by regional malls, which collectively
represent 23.9% of the pool.
Lack of Amortization:
This pool has nine full-term interest only loans, representing 14%
of the pool, compared to the 2012 average interest only
concentration of 13%. The pool also has 17 partial interest loans
(48.8%), which represent a higher concentration than the average
2012 partial interest concentration of 20.1%. The pool is
scheduled to amortize 14.9% prior to maturity.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 14.2% below
the full-year 2012 net operating income (NOI) (for properties that
2012 NOI was provided, excluding properties that were stabilizing
during this period). Unanticipated further declines in property-
level NCF could result in higher defaults and loss severity on
defaulted loans, and could result in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to WFCM
2013-LC12 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A?sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result. The presale report includes a detailed explanation
of additional stresses and sensitivities on pages 86-87.
The Master Servicer will be Wells Fargo Bank, National
Association, rated 'CMS1?' by Fitch. The special servicer will be
Rialto Capital Advisors, LLC, rated 'CSS2?' by Fitch.
* S&P Cuts Ratings on 3 CMBS Deals to 'D' on Interest Shortfalls
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from
three U.S. commercial mortgage-backed securities (CMBS)
transactions to 'D (sf)' due to current and potential interest
shortfalls.
S&P lowered its ratings on these four classes to 'D (sf)' because
they have had accumulated interest shortfalls outstanding between
nine and 11 months and S&P expects the accumulated interest
shortfalls to remain outstanding for the foreseeable future. The
recurring interest shortfalls for the respective certificates are
primarily because of one or more of the following factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts
in effect for specially serviced assets;
-- The lack of servicer advancing for loans where the servicer
has made nonrecoverable advance declarations;
-- Interest rate modifications related to corrected mortgage
loans; and
-- Special servicing fees.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. S&P
also considered servicer-nonrecoverable advance declarations and
special servicing fees that are likely, in S&P's view, to cause
recurring interest shortfalls.
The servicer implements ARAs and resulting ASER amounts according
to each respective transaction's terms. Typically, these terms
call for an ARA equal to 25% of the stated principal balance of a
loan to be automatically implemented when a loan is 60 days past
due and an appraisal or other valuation is not available within a
specified timeframe. S&P primarily considered ASER amounts based
on ARAs calculated from MAI appraisals when deciding which classes
from the affected transactions to downgrade to 'D (sf)'. This is
because ARAs based on a principal balance haircut are highly
subject to change, or even reversal, once the special servicer
obtains the MAI appraisals.
Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of
previously made advances being deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
Discussions of the individual transactions follow.
GE Commercial Mortgage Corp. Series 2003-C1
S&P lowered its rating on the class N certificates from GE
Commercial Mortgage Corp.'s series 2003-C1 to 'D (sf)' to reflect
accumulated interest shortfalls outstanding for nine months.
Based on S&P's analysis, it expects the accumulated interest
shortfalls to remain outstanding for an extended period of time.
According to the June 10, 2013, trustee remittance report, the
current monthly interest shortfalls totaled $24,975 and resulted
primarily from:
-- ASER amount of $11,031 related to an ARA of $1.6 million on
the Shoppes At Audubon real estate owned (REO) asset ($5.2
million, 6.7%); and
-- Special servicing fees totaling $10,624.
The current reported interest shortfalls have affected all classes
subordinate to and including class O.
ML-CFC Commercial Mortgage Trust 2007-7
S&P lowered its ratings on the class AJ and AJ-FL certificates
from ML-CFC Commercial Mortgage Trust 2007-7 to 'D (sf)'. The
lowered ratings reflect accumulated interest shortfalls
outstanding for 11 months and S&P's expectation that interest
shortfalls will continue in the near term. According to the
June 14, 2013, trustee remittance report, the current monthly
interest shortfalls totaled $774,575 and resulted primarily from:
-- ASER amounts totaling $539,653 related to ARAs totaling
$110.2 million on 22 ($220.4 million, 10.2%) of the 34
assets ($356.0 million, 16.4%) that are currently with the
special servicer, LNR Partners LLC (LNR).
-- The current ASER amounts were partially offset this period
by ASER recoveries totaling $13,806.
-- Shortfalls due to interest rate modifications totaling
$215,168.
-- Workout fees totaling $7,910.
-- Interest not advanced totaling $25,394.
-- Special servicing fees totaling $74,895.
The current reported interest shortfalls have affected all classes
subordinate to and including class AJ.
Morgan Stanley Capital I Trust 2006-IQ11
S&P lowered its rating on the class F certificates from Morgan
Stanley Capital I Trust 2006-IQ11 to 'D (sf)' to reflect
accumulated interest shortfalls outstanding for 10 months. Based
on S&P's analysis, it expects that interest shortfalls will
continue in the near term. According to the June 17, 2013,
trustee remittance report, the trust received a net interest
recovery of $396,914 for that month from excess interest totaling
$621,239 primarily from yield maintenance penalties because of
bonds totaling $599,789 and ASER recoveries of $21,210. Excluding
the excess interest received for June 2013, the current monthly
interest shortfalls totaled $224,325 and resulted primarily from:
-- ASER amounts totaling $92,611from ARAs totaling
$20.4 million on six ($31.1 million, 2.7%) of the 11 assets
($102.2 million, 8.9%) with the special servicer, LNR;
-- Interest not advanced of $75,593 on the L-3/Bulova Building
loan ($13.9 million, 1.2%);
-- Special servicing fees totaling $48,112; and
-- Workout fees totaling $996.
The current reported interest shortfalls have affected all classes
subordinate to and including class E.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2003-C1
Reported
Rating Credit interest shortfalls
Class To From enhancement(%) Current Accumulated
N D (sf) CCC- (sf) 8.45 (2,805) 237,378
ML-CFC Commercial Mortgage Trust 2007-7
Commercial mortgage pass-through certificates
Reported
Rating Credit interest shortfalls
Class To From enhancement(%) Current Accumulated
AJ D (sf) CCC (sf) 4.31 312,699 2,123,692
AJ-FL D (sf) CCC (sf) 4.31 20,119 223,811
Morgan Stanley Capital I Trust 2006-IQ11
Commercial mortgage pass-through certificates
Reported
Rating Credit interest shortfalls
Class To From enhancement(%) Current Accumulated
F D (sf) CCC- (sf) 3.26 69,000 268,040
* S&P Puts 72 Ratings on 15 CLO Deals on CreditWatch Positive
-------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 72
tranches from 15 U.S. collateralized loan obligation (CLO)
transactions on CreditWatch with positive implications.
The affected tranches are from CLO transactions backed by
securities issued by corporate obligors. These tranches had an
original issuance amount of $ 5.45 billion.
The 15 transactions with ratings placed on CreditWatch positive
continues to benefit from deleveraging. They have exited their
reinvestment period and have commenced the process of pay-down of
the notes.
"We will resolve today's CreditWatch placements after we complete
a comprehensive cash flow analysis and committee review for each
of the affected transactions. We expect to resolve these
CreditWatch placements within 90 days. We will continue to
monitor the CDO transactions we rate, and we will take rating
actions, including CreditWatch placements, as we deem
appropriate," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS PLACED ON CREDITWATCH POSITIVE
Babson CLO Ltd. 2005-I
Rating
Class To From
A-1A AA+ (sf)/Watch Pos AA+ (sf)
A-1B-1 AA+ (sf)/Watch Pos AA+ (sf)
A-1B-2 AA+ (sf)/Watch Pos AA+ (sf)
A2 AA (sf)/Watch Pos AA (sf)
B-1 Def A- (sf)/Watch Pos A- (sf)
B-2 Def A- (sf)/Watch Pos A- (sf)
C-1 Def BBB- (sf)/Watch Pos BBB- (sf)
C-2 Def BBB- (sf)/Watch Pos BBB- (sf)
Ballyrock CLO 2006-2 Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Battalion CLO II Ltd.
Rating
Class To From
A-2 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
D BB (sf)/Watch Pos BB (sf)
Belhurst CLO Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B AA+ (sf)/Watch Pos AA+ (sf)
C (dfrble) A+ (sf)/Watch Pos A+ (sf)
D (dfrble) BBB+ (sf)/Watch Pos BBB+ (sf)
E (dfrble) BB+ (sf)/Watch Pos BB+ (sf)
Carlyle Bristol CLO Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B-1 BBB+ (sf)/Watch Pos BBB+ (sf)
B-2 BBB+ (sf)/Watch Pos BBB+ (sf)
C B+ (sf)/Watch Pos B+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
CIFC Funding 2006-I Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-1LR AA+ (sf)/Watch Pos AA+ (sf)
A-2L AA+ (sf)/Watch Pos AA+ (sf)
A-3L A (sf)/Watch Pos A (sf)
B-1L BBB (sf)/Watch Pos BBB (sf)
B-2L BB (sf)/Watch Pos BB (sf)
Gale Force 2 CLO Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BBB (sf)/Watch Pos BBB (sf)
E BB (sf)/Watch Pos BB (sf)
Gannett Peak CLO I Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-1b AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B-1 A (sf)/Watch Pos A (sf)
B-2 A (sf)/Watch Pos A (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D-1 B+ (sf)/Watch Pos B+ (sf)
D-2 B+ (sf)/Watch Pos B+ (sf)
Gulf Stream-Compass CLO 2005-II Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Hewett's Island CLO IV Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
Jasper CLO Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
Marquette Park CLO Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
MT Wilson CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
WhiteHorse III Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-2L A+ (sf)/Watch Pos A+ (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
Wind River CLO I Ltd.
Rating
Class To From
A-2 AA- (sf)/Watch Pos AA- (sf)
Defer B-1 BBB+ (sf)/Watch Pos BBB+ (sf)
Defer B-2 BBB+ (sf)/Watch Pos BBB+ (sf)
Defer C-1 B (sf)/Watch Pos B (sf)
Defer C-2 B (sf)/Watch Pos B (sf)
Defer D CCC- (sf)/Watch Pos CCC- (sf)
Zero C-3 B (sf)/Watch Pos B (sf)
* S&P Lowers 19 Ratings From 16 US RMBS Transactions
----------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 51
classes from 28 U.S. residential mortgage-backed securities (RMBS)
transactions, removing five of them from CreditWatch with
developing implications and 45 of them from CreditWatch with
negative implications. Standard & Poor's also raised its ratings
on 19 classes from 16 transactions, removing 17 of them from
CreditWatch developing and one of them from CreditWatch negative.
In addition, Standard & Poor's affirmed its ratings on 75 classes
from 37 transactions, removing 24 of them from CreditWatch
developing and 12 of them from CreditWatch negative.
The rating actions follows S&P's recently implemented revised
criteria for the surveillance of pre-2009 RMBS transactions backed
by second-lien mortgage loans, which include closed-end second-
lien loans, home equity line of credit (HELOC) loans, and second-
lien high-combined loan-to-value (HLTV) loans.
"We reviewed 145 ratings from 69 U.S. RMBS transactions issued
between 1999 and 2007 that are backed primarily by adjustable- and
fixed-rate closed-end second-lien, HELOC, and second-lien HLTV
mortgage loans on one- to four-family residential properties. On
March 29, 2013, we placed our ratings on 104 classes from 49
transactions within this review--along with ratings from another
group of RMBS securities backed by second-lien mortgage loans--on
CreditWatch negative or developing. CreditWatch negative
placements accounted for approximately 56% of the total
CreditWatch actions, while CreditWatch developing placements were
the remainder. The high number of CreditWatch negative placements
reflected our view that the credit support available for the
majority of the classes was insufficient to withstand our revised
projected losses for their respective rating categories. We
completed our review using the new methodology and assumptions,
and rating actions resolve some of the CreditWatch placements,"
S&P said.
Table 1
CreditWatch Action Summary
Three or fewer More than
From Affirmations notches three notches
Up Down Up Down
Watch Neg 12 1 16 0 29
Watch Dev 24 16 1 0
Table 2
Deals/Structures Reviewed
No. deals/
structures
Shelf name reviewed
ACE Home Equity Loan Trust (ACE) 1/1
American Home Mortgage Assets Trust (AHA) 1/1
Bear Stearns Home Loan Owner Trust (BSHE) 1/1
Citigroup HELOC Trust (CHT) 1/1
CWABS Revolving Home Equity Loan Trust (CWA) 8/16
CWHEQ Revolving Home Equity Loan Trust (CWHE) 9/15
First Horizon ABS Trust (FHAB) 3/3
Flagstar Home Equity Loan Trust (FLGS) 1/1
GMACM Home Equity Loan Trust (GMHE) 4/4
GreenPoint Home Equity Loan Trust (GPHE) 2/2
HLTV Mortgage Loan Trust (HLTV) 1/1
Home Equity Loan Trust (HELT) 4/4
Home Equity Mortgage Trust (HEMT) 2/2
Home Loan Trust (HLT) 12/12
IndyMac Home Equity Mortgage AB Trust (INMC) 1/1
Irwin Home Equity Loan Trust (IRHE) 8/13
MSDWCC HELOC Trust (MSHL) 1/1
SACO I Trust (SACO) 2/2
SBI HELOC Trust (SBI) 1/1
Sequoia HELOC Trust (SQHT) 1/1
Terwin Mortgage Trust (TMT) 5/5
Table 3
Summary of Rating Actions By Shelf
Shelf No. IG No. SG No. IG to No. Down/Up
Name Affirmed Affirmed SG >3 notches
ACE 1 0 0 0/0
AHA 1 0 0 0/0
BSHE 0 0 0 0/1
CHT 1 2 0 0/0
CWA 3 0 0 0/0
CWHE 8 0 9 11/0
FHAB 2 0 1 1/0
FLGS 1 0 0 0/0
GMHE 2 0 4 3/0
GPHE 1 1 0 0/0
HEMT 3 0 2 2/0
HLTV 1 0 0 0/0
INMC 1 0 0 0/0
IRHE 19 7 7 6/0
MSHL 0 0 1 1/0
RFC 9 3 2 2/0
SACO 2 0 2 2/0
SBI 1 0 0 0/0
SQHT 0 0 1 0/0
TMT 5 0 1 1/0
IG--Investment grade.
SG--Speculative grade.
Of the 51 downgrades, S&P lowered 30 ratings out of investment-
grade ('BBB- (sf)' or higher), with eight ratings remaining at
investment-grade after being lowered. The remaining downgraded
classes already had speculative-grade ('BB+ (sf)' or lower)
ratings before the actions. Senior tranches accounted for 44 of
the lowered ratings.
The downgrades stemmed primarily from increased loss projections
due to longer loss horizons and the roll rates applied to non-
delinquent loans as well as an increase in S&P's default multiples
applied to each rating category, including increased stress
multiples applied to ratings 'A (sf)' and above.
"Despite the increase in remaining projected losses for a majority
of the transactions, we raised our ratings on 19 classes from 16
transactions, removing 17 of them from CreditWatch developing and
one from CreditWatch negative. The upgrade to 'AA (sf)' from 'A+
(sf)' and removal from CreditWatch negative on Class M-1 from
Greenpoint Mortgage Funding Trust 2005-H1 is primarily due to the
class being in the first pay position and having received an
average of $1.14 million in principal per month over the past six
months. This class has a balance of $6,892,069.07 and has paid
down to 9.32% of its original balance," S&P said.
"The upgrades reflect sufficient projected credit enhancement to
support projected losses at the respective rating level. Some of
these classes are the senior-most tranches outstanding in their
respective transactions. Some transactions, especially those from
the pre-2005 vintages, are exhibiting better pool performance than
others. The upgrades also reflect the structural mechanics of
these transactions, including situations where cumulative loss
triggers embedded in the deals have failed, causing principal to
be distributed sequentially, which helps prevent credit support
erosion and increases the likelihood that these tranches will
receive their full share of principal payments before our
projected losses are realized. We upgraded other classes due to
an extended loss horizon that increases the excess spread
available for credit support in our projections," S&P added.
"The only rating raised higher than 'A+ (sf)' was Class M-1 from
Greenpoint Mortgage Funding Trust 2005-H1. As specified in the
criteria, the ratings for classes in pre-2009 second-lien
transactions will generally be limited to 'A+ (sf)'. However,
there are limited cases in which we may assign a rating above 'A+
(sf)' if the following conditions are present:
-- S&P's forward-looking projection at the applicable rating
level indicates the security will be paid in full within 12-
24 months and the transaction benefits from hard credit
enhancement (i.e., not including excess spread) that is
equal to at least 2x the level of total credit enhancement
needed to support a 'AA' or 'AAA' rating for that
transaction. If such a security is projected to be paid in
full in less than one year, it would need to have credit
support in the form of subordination, overcollateralization,
or insurance equal to at least 1.5x the level of credit
enhancement needed to support a 'AA' or 'AAA' rating.
-- The collateral pool performance trend is not deteriorating.
S&P affirmed its ratings on 75 classes from 37 transactions,
including 11 classes rated 'CCC (sf)' or 'CC (sf)'. S&P believes
that the projected credit support for these classes will remain
insufficient to cover the revised projected losses. Conversely,
the affirmations for classes with ratings above 'CCC (sf)' reflect
S&P's opinion that the credit support for these classes will
remain sufficient to cover the revised projected losses.
In line with S&P's counterparty criteria, it considered any
applicable hedges related to these securities when performing
these rating actions.
Subordination, overcollateralization (when available), and excess
interest (as applicable) generally provide credit support for
these transactions. Bond insurance might also benefit some
classes. In these cases, the long-term rating on the class
reflects the higher of the rating on the bond insurer and the
underlying credit rating on the security without the benefit of
such bond insurance.
ECONOMIC OUTLOOK
When analyzing U.S. RMBS collateral pools to determine their
relative credit quality and the potential impact on rated
securities, the degree of remaining losses stems, to a certain
extent, from our outlook regarding the behavior of such loans in
conjunction with expected economic conditions. Overall, Standard
& Poor's baseline macroeconomic outlook assumptions for variables
that it believes could affect residential mortgage performance are
as follows:
-- S&P's unemployment rate forecast is 7.4% for 2013 and 6.7%
for 2014 compared with the actual 8.1% rate in 2012.
-- Home prices will increase 11% in 2013, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index.
-- Real GDP growth will be 2.5% in 2013 and 3.2% in 2014.
-- The 30-year mortgage rate will average 3.4% for 2013 and
reach slightly higher levels in 2014.
-- Inflation will be 1.4% in 2013 and 1.8% in 2014.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve mildly. However, if a downside
scenario were to occur in the U.S. in line with Standard & Poor's
forecast, it believes that the credit quality of U.S. RMBS would
weaken. S&P's downside scenario incorporates the following key
assumptions:
-- Home prices once again decline as a result of higher
defaults, additional shadow inventory, and less purchase
activity.
-- Total unemployment increases modestly in 2013 to 8.6% but
rises to 9% in 2014, and job growth would slow to almost
zero in 2013 and 2014.
-- Downward pressure causes less than 1% GDP growth in 2013 and
2014, fueled by increased unemployment levels.
-- Thirty-year fixed mortgage rates fall below 3% in 2013, but
capitalizing on such lower rates could be hampered by
limited access to credit and pressure on home prices.
For more information on S&P's economic outlook and its impact on
its outlook for U.S. RMBS, see "Positive Momentum In The Housing
Market Supports A Stable Outlook For U.S. RMBS," May 31, 2013.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LIST
Bear Stearns Home Loan Owner Trust 2001-A
Series 2001-A
Rating
Class CUSIP To From
M-2 07384NAH3 A+ (sf) BBB (sf)/Watch Dev
Citigroup HELOC Trust 2006-NCB1
Series 2006-NCB1
Rating
Class CUSIP To From
2A-2 172978AC2 BBB+ (sf) BBB+ (sf)/Watch Dev
CWABS Revolving Home Equity Loan Trust Series 2004-E
Series 2004-E
Rating
Class CUSIP To From
1-A 126673BU5 CCC (sf) B- (sf)/Watch Neg
2-A 126673BV3 CCC (sf) BBB- (sf)/Watch Neg
CWABS Revolving Home Equity Loan Trust Series 2004-J
Series 2004-J
Rating
Class CUSIP To From
1-A 126673HB1 B- (sf) BB (sf)/Watch Neg
2-A 126673HC9 B- (sf) BB (sf)/Watch Neg
CWABS Revolving Home Equity Loan Trust Series 2004-L
Series 2004-L
Rating
Class CUSIP To From
1-A 126673KP6 BB+ (sf) BBB (sf)/Watch Neg
2-A 126673KQ4 CCC (sf) B (sf)/Watch Neg
CWABS Revolving Home Equity Loan Trust Series 2004-M
Series 2004-M
Rating
Class CUSIP To From
1-A 126673KK7 BB+ (sf) BBB (sf)/Watch Neg
2-A 126673KL5 CCC (sf) B- (sf)/Watch Neg
CWABS Revolving Home Equity Loan Trust Series 2004-O
Series 2004-O
Rating
Class CUSIP To From
1-A 126673KR2 CCC (sf) BBB (sf)/Watch Neg
2-A 126673KS0 CCC (sf) BB (sf)/Watch Neg
CWABS Revolving Home Equity Loan Trust Series 2004-Q
Series 2004-Q
Rating
Class CUSIP To From
1-A 126673MX7 CCC (sf) BBB (sf)/Watch Neg
2-A 126673MY5 CCC (sf) BB+ (sf)/Watch Neg
CWABS Revolving Home Equity Loan Trust, Series 2004-R
Series 2004-R
Rating
Class CUSIP To From
1-A 126673QA3 CCC (sf) BBB (sf)/Watch Neg
2-A 126673QB1 CCC (sf) B- (sf)/Watch Neg
CWABS Revolving Home Equity Loan Trust, Series 2004-T
Series 2004-T
Rating
Class CUSIP To From
1-A 126673TN2 CCC (sf) B- (sf)/Watch Neg
2-A 126673TP7 CCC (sf) BBB+ (sf)/Watch Neg
CWHEQ Revolving Home Equity Loan Trust Series 2005-G
Series 2005-G
Rating
Class CUSIP To From
1-A 126685AL0 CCC (sf) BBB (sf)/Watch Neg
2-A 126685AM8 CCC (sf) B- (sf)/Watch Neg
CWHEQ Revolving Home Equity Loan Trust, Series 2005-H
Series 2005-H
Rating
Class CUSIP To From
1-A 126685AN6 CCC (sf) BBB+ (sf)/Watch Neg
2-A 126685AP1 CCC (sf) B- (sf)/Watch Neg
First Horizon ABS Trust 2006-HE1
Series 2006-HE1
Rating
Class CUSIP To From
Notes 32051GZ73 B- (sf) BBB (sf)/Watch Neg
GMACM Home Equity Loan Trust 2003-HE1
Series 2003-HE1
Rating
Class CUSIP To From
A-3 361856CK1 CCC (sf) BBB (sf)/Watch Neg
GMACM Home Equity Loan Trust 2004-HE5
Series 2004-HE5
Rating
Class CUSIP To From
A-5 361856DX2 CCC (sf) BBB (sf)/Watch Neg
A-6 361856DY0 CCC (sf) BBB (sf)/Watch Neg
GMACM Home Loan Trust 2004-HLTV1
Series 2004-HLTV1
Rating
Class CUSIP To From
A-4 36185HDV2 BB+ (sf) BBB (sf)/Watch Neg
GreenPoint Home Equity Loan Trust 2004-1
Series 2004-1
Rating
Class CUSIP To From
A 395385AQ0 A+ (sf) BBB+ (sf)/Watch Dev
Greenpoint Mortgage Funding Trust 2005-HE1
Series 2005-HE1
Rating
Class CUSIP To From
M-1 39538WAF5 AA (sf) A+ (sf)/Watch Neg
M-2 39538WAG3 A+ (sf) A+ (sf)/Watch Neg
HLTV Mortgage Loan Trust 2004-1
Series 2004-1
Rating
Class CUSIP To From
A 404227AA8 BBB (sf) BBB (sf)/Watch Dev
Home Equity Loan Trust 2003-HS4
Series 2003-HS4
Rating
Class CUSIP To From
A-I-A 76110VPK8 A+ (sf) BBB+ (sf)/Watch Dev
A-I-B 76110VPL6 A+ (sf) BBB+ (sf)/Watch Dev
Home Equity Loan Trust 2004-HS1
Series 2004-HS1
Rating
Class CUSIP To From
A-I-4 76110VQA9 BBB+ (sf) BBB+ (sf)/Watch Dev
A-I-5 76110VQB7 BBB+ (sf) BBB+ (sf)/Watch Dev
A-I-6 76110VQC5 BBB+ (sf) BBB+ (sf)/Watch Dev
A-II 76110VQE1 BBB+ (sf) BBB (sf)/Watch Dev
Home Equity Loan Trust 2005-HS1
Series 2005-HS1
Rating
Class CUSIP To From
A-I-3 76110VRW0 BBB- (sf) BBB- (sf)/Watch Dev
Home Equity Mortgage Trust 2005HF-1
Series 2005-HF1
Rating
Class CUSIP To From
A-1 2254W0LE3 A+ (sf) A+ (sf)/Watch Neg
A-2B 2254W0MB8 A+ (sf) A+ (sf)/Watch Neg
A-3B 2254W0MC6 A+ (sf) A+ (sf)/Watch Neg
M-1 2254W0LH6 CCC (sf) A+ (sf)/Watch Neg
Home Equity Mortgage Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
A-2 225470XK4 CCC (sf) BBB (sf)/Watch Neg
A-3 225470XL2 CC (sf) CCC (sf)
Home Loan Trust 1999-HI6
Series 1999-HI6
Rating
Class CUSIP To From
A-I-7 76110VCZ9 A+ (sf) A (sf)/Watch Dev
A-I-8 76110VDA3 A+ (sf) A (sf)/Watch Dev
Home Loan Trust 1999-HI8
Series 1999-HI8
Rating
Class CUSIP To From
A-I-7 76110VDL9 A+ (sf) A (sf)/Watch Dev
A-I-8 76110VDM7 A+ (sf) A (sf)/Watch Dev
Home Loan Trust 2000-HI1
Series 2000-HI1
Rating
Class CUSIP To From
A-I-7 76110VDW5 A+ (sf) A- (sf)/Watch Dev
Home Loan Trust 2000-HI2
Series 2000-HI2
Rating
Class CUSIP To From
A-I-5 76110VEC8 A+ (sf) A- (sf)/Watch Dev
Home Loan Trust 2000-HI3
Series 2000-HI3
Rating
Class CUSIP To From
A-I-7 76110VEL8 A+ (sf) A (sf)/Watch Dev
Home Loan Trust 2000-HI4
Series 2000-HI4
Rating
Class CUSIP To From
A-I-7 76110VEU8 A+ (sf) A (sf)/Watch Dev
Home Loan Trust 2000-HI5
Series 2000-HI5
Rating
Class CUSIP To From
A-I-7 76110VFD5 BB+ (sf) A (sf)/Watch Neg
Home Loan Trust 2000-HL1
Series 2000-HL1
Rating
Class CUSIP To From
A-I-2 437184AU8 A+ (sf) A (sf)/Watch Dev
Home Loan Trust 2001-HI2
Series 2001-HI2
Rating
Class CUSIP To From
A-I-7 76110VFY9 A+ (sf) A- (sf)/Watch Dev
Home Loan Trust 2001-HI3
Series 2001-HI3
Rating
Class CUSIP To From
A-I-7 76110VGP7 BBB+ (sf) A (sf)/Watch Neg
Home Loan Trust 2002-HI2
Series 2002-HI2
Rating
Class CUSIP To From
A-I-7 76110VJQ2 BBB (sf) BBB (sf)/Watch Neg
A-II 76110VJN9 BBB (sf) BBB (sf)/Watch Neg
Home Loan Trust 2003-HI4
Series 2003-HI4
Rating
Class CUSIP To From
A-I-5 76110VPD4 A+ (sf) AA+ (sf)/Watch Neg
A-II 76110VPF9 A+ (sf) AA+ (sf)/Watch Neg
M-1 76110VPG7 A+ (sf) A+ (sf)/Watch Neg
M-2 76110VPH5 BBB+ (sf) A (sf)/Watch Dev
M-3 76110VPJ1 B+ (sf) BBB (sf)/Watch Neg
B CCC (sf) B+ (sf)/Watch Neg
Irwin Home Equity Loan Trust 2004-1
Series 2004-1
Rating
Class CUSIP To From
IA-1 464126CG4 A+ (sf) A- (sf)/Watch Dev
IIA-1 464126CH2 A+ (sf) AAA (sf)/Watch Neg
IIM-1 464126CJ8 A+ (sf) A+ (sf)/Watch Neg
IIM-2 464126CK5 A (sf) A (sf)/Watch Dev
IIB-1 464126CL3 BB+ (sf) BBB (sf)/Watch Dev
Irwin Home Equity Loan Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
IA-1 464126CW9 BB+ (sf) BBB+ (sf)/Watch Neg
IIA-2 464126CY5 A+ (sf) A- (sf)/Watch Dev
IIA-3 464126CZ2 BBB- (sf) A- (sf)/Watch Neg
IIA-4 464126DA6 A- (sf) A- (sf)/Watch Neg
Irwin Home Equity Loan Trust 2006-2
Series 2006-2
Rating
Class CUSIP To From
IA-1 46412QAA5 CCC (sf) A- (sf)/Watch Neg
IIA-2 46412QAC1 CCC (sf) BBB+ (sf)/Watch Neg
Irwin Home Equity Loan Trust 2006-3
Series 2006-3
Rating
Class CUSIP To From
I-A 464125AA1 CCC (sf) BBB+ (sf)/Watch Neg
II-A-2 464125AC7 CCC (sf) BBB- (sf)/Watch Neg
VFN 4641259A3 CCC (sf) BBB+ (sf)/Watch Neg
Irwin Whole Loan Home Equity Trust 2002-A
Series 2002-A
Rating
Class CUSIP To From
I A-1 464187AA1 BBB (sf) BBB (sf)/Watch Dev
II M-1 464187AF0 A+ (sf) A+ (sf)/Watch Neg
II M-2 464187AG8 A (sf) A (sf)/Watch Dev
II B-1 464187AH6 BB (sf) BB (sf)/Watch Dev
Irwin Whole Loan Home Equity Trust 2003-A
Series 2003-A
Rating
Class CUSIP To From
M-1 464187AM5 A+ (sf) A+ (sf)/Watch Neg
M-2 464187AN3 A (sf) A (sf)/Watch Dev
Irwin Whole Loan Home Equity Trust 2003-C
Series 2003-C
Rating
Class CUSIP To From
M-1 464187BA0 A+ (sf) A+ (sf)/Watch Neg
M-2 464187BB8 A (sf) A (sf)/Watch Dev
B-1 464187BC6 BBB (sf) BBB (sf)/Watch Dev
B-2 464187BD4 BBB- (sf) BBB- (sf)/Watch Dev
Irwin Whole Loan Home Equity Trust 2005-B
Series 2005-B
Rating
Class CUSIP To From
1M-1 464187CR2 A+ (sf) AA (sf)/Watch Dev
1M-2 464187CS0 A (sf) A (sf)/Watch Dev
1M-3 464187CT8 BBB (sf) BBB (sf)/Watch Dev
1M-4 464187CU5 BBB- (sf) BBB- (sf)/Watch Dev
1B-1 464187DB6 BB+ (sf) BB+ (sf)/Watch Dev
1B-2 464187DC4 BB (sf) BB (sf)/Watch Dev
2M-1 464187CV3 A+ (sf) AA (sf)/Watch Dev
2M-2 464187CW1 A (sf) A (sf)/Watch Dev
2M-3 464187CX9 BBB+ (sf) BBB+ (sf)/Watch Dev
2M-4 464187CY7 BBB (sf) BBB (sf)/Watch Dev
2B-1 464187CZ4 BBB- (sf) BBB- (sf)/Watch Dev
MSDWCC HELOC Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
Notes 55353WAC0 B- (sf) BBB (sf)/Watch Neg
SACO I Trust 2005-9
Series 2005-9
Rating
Class CUSIP To From
A-1 785778MK4 B- (sf) A (sf)/Watch Neg
A-3 785778MM0 B- (sf) A (sf)/Watch Neg
SACO I Trust 2005-GP1
Series 2005-GP1
Rating
Class CUSIP To From
A-2 785778JK8 B- (sf) CC (sf)
SBI HELOC Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
A 80585DAA4 AA- (sf) AA- (sf)/Watch Dev
Sequoia HELOC Trust 2004-1
Series 2004-1
Rating
Class CUSIP To From
Notes 817419AA2 BB+ (sf) BBB (sf)/Watch Dev
Terwin Mortgage Trust 2006-HF-1
Series 2006-HF-1
Rating
Class CUSIP To From
A-1b 881561R55 B (sf) A+ (sf)/Watch Neg
RATINGS AFFIRMED
ACE Home Equity Loan Trust, Series 2006-GP1
Series 2006-GP1
Class CUSIP Rating
A 004406AA2 AA- (sf)
American Home Mortgage Assets Trust 2007-3
Series 2007-3
Class CUSIP Rating
III-A-1 026935AR7 AA- (sf)
Citigroup HELOC Trust 2006-NCB1
Series 2006-NCB1
Class CUSIP Rating
1A-1 172978AA6 CCC (sf)
2A-3 172978AD0 CCC (sf)
CWHEQ Revolving Home Equity Loan Trust Series 2007-A
Series 2007-A
Class CUSIP Rating
A 126682AA1 AA- (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2005-C
Series 2005-C
Class CUSIP Rating
1-A 126685AC0 AA- (sf)
2-A 126685AD8 AA- (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2005-D
Series 2005-D
Class CUSIP Rating
1-A 126685AE6 AA- (sf)
2-A 126685AF3 AA- (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2005-J
Series 2005-J
Class CUSIP Rating
1-A 126685CB0 AA- (sf)
2-A 126685CC8 AA- (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2006-I
Series 2006-I
Class CUSIP Rating
1-A 12668FAA2 AA- (sf)
2-A 12668FAB0 AA- (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2007-B
Series 2007-B
Class CUSIP Rating
A 12669XAE4 AA- (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2007-D
Series 2007-D
Class CUSIP Rating
A 12670PAA6 AA- (sf)
First Horizon ABS Trust 2006-HE2
Series 2006-HE2
Class CUSIP Rating
Notes 32052XAA5 AA- (sf)
First Horizon ABS Trust 2007-HE1
Series 2007-HE1
Class CUSIP Rating
Notes 32053JAA5 AA- (sf)
Flagstar Home Equity Loan Trust 2006-2
Series 2006-2
Class CUSIP Rating
Notes 33848HAA7 AA- (sf)
GMACM Home Equity Loan Trust 2004-HE3
Series 2004-HE3
Class CUSIP Rating
A-3 361856DL8 AA- (sf)
A-2 VPRN 361856DG9 AA- (sf)
Greenpoint Mortgage Funding Trust 2005-HE1
Series 2005-HE1
Class CUSIP Rating
M-3 39538WAH1 CC (sf)
Home Equity Loan Trust 2005-HS1
Series 2005-HS1
Class CUSIP Rating
A-I-4 76110VRX8 CC (sf)
A-I-5 76110VRY6 CC (sf)
A-II 76110VRZ3 CC (sf)
Home Equity Loan Trust 2006-HSA3
Series 2006-HSA3
Class CUSIP Rating
A 76113JAA0 AA- (sf)
VFN 76113J9A2 AA- (sf)
IndyMac Home Equity Mortgage Loan Asset Backed Trust, Series 2007-
H1
Series 2007-H1
Class CUSIP Rating
Note 45669DAA6 AA- (sf)
Irwin Home Equity Loan Trust 2006-2
Series 2006-2
Class CUSIP Rating
IIA-3 46412QAD9 CCC (sf)
IIA-4 46412QAE7 CCC (sf)
Irwin Home Equity Loan Trust 2006-3
Series 2006-3
Class CUSIP Rating
II-A-3 464125AD5 CCC (sf)
II-A-4 464125AE3 CCC (sf)
SACO I Trust 2005-GP1
Series 2005-GP1
Class CUSIP Rating
A-1 785778JJ1 AA- (sf)
M-1 785778JL6 AA- (sf)
Terwin Mortgage Trust 2004-16SL
Series 2004-16SL
Class CUSIP Rating
B-1 881561KZ6 CC (sf)
Terwin Mortgage Trust 2006-12SL
Series 2006-12SL
Class CUSIP Rating
A-1 88157DAA5 AA- (sf)
A-2 88157DAB3 AA- (sf)
Terwin Mortgage Trust 2007-1SL
Series 2007-1SL
Class CUSIP Rating
A-1 88157GAA8 AA- (sf)
A-2 88157GAB6 AA- (sf)
Terwin Mortgage Trust 2007-9SL
Series 2007-9SL
Class CUSIP Rating
A-1 88158AAA0 AA- (sf)
* S&P Lowers 9 Ratings on 5 U.S. CMBS Transactions
--------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on nine classes of commercial mortgage pass-through certificates
from five U.S. commercial mortgage-backed securities (CMBS)
transactions due to current and potential interest shortfalls.
S&P lowered its ratings on these nine classes to 'D (sf)' because
of accumulated interest shortfalls outstanding between six and 11
months, and its expectation that the accumulated interest
shortfalls will remain outstanding for the foreseeable future.
The recurring interest shortfalls for the respective certificates
are primarily due to one or more of the following factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts
in effect for specially serviced assets;
-- The lack of servicer advancing for loans where the servicer
has made nonrecoverable advance declarations;
-- Interest rate modifications related to corrected mortgage
loans; and/or
-- Special servicing fees.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. S&P
also considered servicer-nonrecoverable advance declarations and
special servicing fees that are likely, in S&P's view, to cause
recurring interest shortfalls.
The servicer implements ARAs and resulting ASER amounts in
accordance with each respective transaction's terms. Typically,
these terms call for the automatic implementation of an ARA equal
to 25% of the stated principal balance of a loan when a loan is 60
days past due and an appraisal or other valuation is not available
within a specified time frame. S&P primarily considered ASER
amounts based on ARAs calculated from MAI appraisals when deciding
which classes from the affected transactions to downgrade to 'D
(sf)'. This is because ARAs based on a principal balance haircut
are highly subject to change, or even reversal, once the special
servicer obtains the MAI appraisals.
Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of
previously made advances being deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
Discussions of the individual transactions follow.
BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2006-PWR14
S&P lowered its rating to 'D (sf)' on the class F certificates
from Bear Stearns Commercial Mortgage Securities Trust Series
2006-PWR14 to reflect accumulated interest shortfalls outstanding
for seven months. Based on S&P's analysis, it expects interest
shortfalls to continue in the near term. According to the
June 11, 2013 trustee remittance report, the current monthly
interest shortfalls totaled $302,520 and resulted primarily from:
-- ASER amounts totaling $204,793 related to ARAs totaling
$39.1 million on 12 ($75.1 million, 3.6%) of the 16 assets
($248.3 million, 12.0%) that are currently with the special
servicer, Torchlight Loan Services LLC;
-- Shortfalls due to interest rate reduction of $11,194 from
the modification of the Philips At Sunrise Shopping Center
loan ($65.0 million, 3.2%);
-- Interest not advanced of $11,435 on the specially serviced
Eckerd - Monroe loan ($2.1 million);
-- Special servicing fees totaling $53,511; and
-- Workout fees totaling $2,090.
The current reported interest shortfalls have affected all classes
subordinate to and including class F.
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2006-C5
S&P lowered its ratings to 'D (sf)' on the class C and D
certificates from Credit Suisse Commercial Mortgage Trust Series
2006-C5 to reflect accumulated interest shortfalls outstanding for
seven and 10 months, respectively. Based on S&P's analysis, it
expects interest shortfalls to continue in the near term.
According to the June 17, 2013 trustee remittance report, the
current monthly interest shortfalls totalled $1.29 million and
were primarily from:
-- ASER amounts totaling $1.0 million related to ARAs totaling
$197.1 million on 19 ($450.1 million, 15.8%) of the 25
assets ($551.9 million, 19.4%) that are currently with the
special servicers, C-III Asset Management LLC (C-III) and
LNR Partners LLC (LNR). The current ASER amounts were
partially offset this period by ASER recoveries of $48,470,
of which $35,556 was related to the Cortez West Shopping
Center loan ($5.1 million) and $12,914 was related to the
liquidation of the Willow Glen Shopping Center asset
($1.8 million);
-- A liquidation fee of $143,658 related to six multifamily
properties sold from the Babcock & Brown FX 4 loan.
According to C-III, the current liquidation fee amount in
the June 2013 trustee remittance report represents half of
the 1% liquidation fee that the special servicer is entitled
to according to the transaction documents. The remaining
portion is owed to the former special servicer, LNR, and has
not yet been charged to the trust;
-- Special servicing fees totaling $187,797; and
-- Workout fees totaling $2,722.
The current reported interest shortfalls have affected all classes
subordinate to and including class A-J.
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C3
S&P lowered its ratings to 'D (sf)' on the class C and D
certificates from Credit Suisse Commercial Mortgage Trust Series
2007-C3 to reflect accumulated interest shortfalls outstanding for
seven months. Based on S&P's analysis, it expects interest
shortfalls to continue in the near term. According to the
June 17, 2013 trustee remittance report, the interest shortfalls
totalled approximately $375,718 and were primarily from:
-- Interest rate reductions totaling $213,952 from
modifications of the specially serviced Koger Center Office
Park Portfolio - B Note loan ($40.0 million, 2.3%) and the
Rosemont Casa Del Norte loan ($5.5 million);
-- ASER amounts totaling $153,328 related to ARAs totaling
$31.2 million on 10 ($79.5 million, 4.5%) of the 23 assets
($310.8 million, 17.5%) that are currently with the special
servicers, C-III and LNR. The current ASER amounts were
partially offset this period by ASER recoveries totaling
$144,941 related to four specially serviced assets
($39.8 million, 2.2%);
-- Special servicing fees totaling $131,666; and
-- Workout fees totaling $14,462.
The current reported interest shortfalls have affected all classes
subordinate to and including class D.
MERRILL LYNCH MORTGAGE TRUST 2007-C1
S&P lowered its ratings to 'D (sf)' on the class AJ and AJ-FL
certificates from Merrill Lynch Mortgage Trust 2007-C1 to reflect
accumulated interest shortfalls outstanding for 11 months. Based
on S&P's analysis, it expects interest shortfalls to continue in
the near term. According to the June 14, 2013 trustee remittance
report, the current monthly interest shortfalls totaled
$1.98 million and resulted primarily from:
-- ASER amounts totaling $634,557 related to ARAs totaling
$128.0 million on nine ($193.3 million, 6.1%) of the 14
assets ($353.1 million, 11.2%) that are currently with the
special servicer, C-III. The current ASER amounts were
partially offset this period by an ASER recovery of $1,995
related to the Lacey Medical Plaza loan ($2.5 million);
-- Special servicing fees totaling $47,917;
-- Workout fees totaling $266,522;
-- Shortfalls due to interest rate reductions from loan
modifications totaling $247,876; and
-- Interest deferrals from A/B note restructures of the
Empirian Multifamily Portfolio Pool 1 and Empirian
Multifamily Portfolio 3 loans totaling $1,077,127.
The current reported interest shortfalls have affected all classes
subordinate to and including classes AJ and AJ-FL.
MORGAN STANLEY CAPITAL I TRUST 2007-IQ16
S&P lowered its ratings to 'D (sf)' on the class G and H
certificates from Morgan Stanley Capital I Trust 2007-IQ16 to
reflect accumulated interest shortfalls outstanding for six and
seven months, respectively. Based on S&P's analysis, it expects
interest shortfalls to continue in the near term. According to
the June 14, 2013 trustee remittance report, the interest
shortfalls totaled $551,526 and resulted primarily from:
-- Interest not advanced totaling $277,717 for four of the
specially serviced assets: the Ashtabula Mall REO asset
($39.2 million, 1.8%), the Holiday Inn & Suites Conference
Center REO asset ($5.6 million), the Mill Pond Shoppes REO
asset ($3.4 million), and 1613 Blue Hill Avenue loan
($2.1 million);
-- ASER amounts totaling $190,737 related to ARAs totaling
$35.6 million on 12 ($93.1 million, 4.2%) of the 23 assets
($317.9 million, 14.5%) that are currently with the special
servicer, LNR;
-- Shortfalls due to interest rate reductions of $7,157 from
modification of the Crestview Eastern Milestone Portfolio
Rollup REO asset ($8.3 million);
-- Special servicing fees totaling $68,484; and
-- Workout fees totaling $3,259.
The current reported interest shortfalls have affected all classes
subordinate to and including class G.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LIST
Ratings Lowered
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14
Commercial mortgage pass-through certificates
Reported
Rating Credit Interest shortfalls
Class To From enhancement(%) Current Accumulated
F D(sf) CCC-(sf) 1.88 114,287 403,163
Credit Suisse Commercial Mortgage Trust Series 2006-C5
Commercial mortgage pass-through certificates
Reported
Rating Credit Interest shortfalls
Class To From enhancement(%) Current Accumulated
C D(sf) CCC-(sf) 6.64 273,696 1,133,341
D D(sf) CCC-(sf) 5.29 176,591 1,262,131
Credit Suisse Commercial Mortgage Trust Series 2007-C3
Commercial mortgage pass-through certificates
Reported
Rating Credit Interest shortfalls
Class To From enhancement(%) Current Accumulated
C D(sf) CCC-(sf) 4.92 (51,580) 584,083
D D(sf) CCC-(sf) 3.41 131,351 898,040
Merrill Lynch Mortgage Trust 2007-C1
Commercial mortgage pass-through certificates
Reported
Rating Credit Interest shortfalls
Class To From enhancement(%) Current Accumulated
AJ D(sf) CCC-(sf) 9.47 307,756 1,600,164
AJ-FL D(sf) CCC-(sf) 9.47 147,973 1,131,406
Morgan Stanley Capital I Trust 2007-IQ16
Commercial mortgage pass-through certificates
Reported
Rating Credit Interest shortfalls
Class To From enhancement(%) Current Accumulated
G D(sf) CCC-(sf) 3.86 104,615 337,439
H D(sf) CCC-(sf) 2.67 137,142 817,609
* S&P Lowers 5 Ratings on 2 US CMBS Transactions
------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from two
U.S. commercial mortgage-backed securities (CMBS) transactions, as
a result of current and potential interest shortfalls.
S&P lowered its ratings on three of these classes to 'D (sf)'
because it expects the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The three classes that
S&P downgraded to 'D (sf)' have had accumulated interest
shortfalls outstanding for seven to eight months. The recurring
interest shortfalls for the respective certificates are primarily
a result of one or more of the following factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts
in effect for specially serviced assets;
-- The lack of servicer advancing for loans where the servicer
has made nonrecoverable advance declarations;
-- Interest rate modifications related to corrected mortgage
loans; and
-- Special servicing fees.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs), calculated using
recent Member of the Appraisal Institute (MAI) appraisals. S&P
also considered servicer-nonrecoverable advance declarations and
special servicing fees that are likely, in S&P's view, to cause
recurring interest shortfalls.
The servicer implements ARAs and resulting ASER amounts in
accordance with each respective transaction's terms. Typically,
these terms call for the automatic implementation of an ARA equal
to 25% of the stated principal balance of a loan when a loan is 60
days past due and an appraisal or other valuation is not available
within a specified timeframe. S&P primarily considered ASER
amounts based on ARAs calculated from MAI appraisals when deciding
which classes from the affected transactions to downgrade to
'D (sf)'. This is because ARAs based on a principal balance
haircut are highly subject to change, or even reversal, once the
special servicer obtains the MAI appraisals.
Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of
previously made advances being deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
GS Mortgage Securities Trust, series 2006-GG6
"We lowered our ratings on the Class E and F certificates from GS
Mortgage Securities Trust's Series 2006-GG6. We lowered our
rating to 'D (sf)' from 'CCC- (sf)' on class F to reflect eight
months of accumulated interest shortfalls outstanding. Based on
our analysis, we expect the accumulated interest shortfalls to
remain outstanding for an extended period of time. We lowered our
rating to 'CCC (sf)' from 'B- (sf)' on the class E certificates to
reflect the reduced liquidity available to support this class,"
S&P said. According to the June 12, 2013, trustee remittance
report, the current monthly interest shortfalls, net of a one-time
ASER recovery, totaled $568,674, resulting primarily from:
-- Shortfalls due to interest rate modifications totaling
$278,815.
-- Special servicing fees totaling $141,741.
-- ASER amounts totaling $546,738, related to 11
($430.2 million; 16.2%) of the 12 assets ($444.8 million;
16.7%) that are currently with the special servicer,
Torchlight Investors LLC (Torchlight). The current ASER
amounts were partially offset in this period by a one-time
ASER recovery of $515,115, related to the disposition of the
Hughes Airport Center
-- Portfolio asset.
-- Interest not advanced totaling $82,239.
-- Reimbursed interest on advances totaling $29,217.
-- Workout fees totaling $5,038.
J.P. Morgan Chase Commercial Mortgage Securities Corp., series
2003-CIBC7
S&P lowered its ratings on the Class H, J, and K certificates from
J.P. Morgan Chase Commercial Mortgage Securities Corp's series
2003-CIB7. S&P lowered its ratings to 'D (sf)' on the class J and
K certificates to reflect eight months of accumulated interest
shortfalls outstanding and S&P's expectation that interest
shortfalls will continue for the near term. S&P lowered its
rating to 'CCC- (sf)' from 'B- (sf)' on the class H certificates
to reflect the reduced liquidity available to support this class.
According to the June 12, 2013, trustee remittance report, the
current interest shortfalls totaled $34,345, and resulted
primarily from:
-- ASER amounts of $19,265 from ARAs totaling $5.87 million
related to three ($11.2 million; 1.6%) of the six assets
($27.7 million; 4.1%) that are currently with the special
servicer, CW Capital Asset Management;
-- Special servicing fees totaling $5,971;
-- Reimbursed interest on advances totaling $7,475; and
-- Workout fees totaling $1,508.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
GS Mortgage Securities Trust 2006-GG6
Commercial mortgage pass-through certificates series 2006-GG6
Reported
Rating Credit Interest shortfalls
Class To From enhancement(%) Current Accumulated
E CCC(sf) B-(sf) 8.94 $0 $0
F D(sf) CCC-(sf) 7.29 $0 $954,526
J.P. Morgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates
series 2003-CIBC7
Reported
Rating Credit Interest shortfalls
Class To From enhancement(%) Current Accumulated
H CCC-(sf) B-(sf) 1.64 $682 $682
J D(sf) CCC+(sf) 0.88 $22,434 $52,835
K D(sf) CCC-(sf) 0.12 $22,429 $157,005
*********
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.
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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
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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
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Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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Copyright 2013. All rights reserved. ISSN: 1520-9474.
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