/raid1/www/Hosts/bankrupt/TCR_Public/131103.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, November 3, 2013, Vol. 17, No. 305
Headlines
ACCESS GROUP: Moody's Cuts Ratings on 8 Subordinated Note Classes
ALESCO PREFERRED X: Moody's Ups Rating on Cl. A-2B Notes From Ba1
ARES CLO XX: S&P Raises Rating on Class D Notes to 'BB+'
ARES NF XIII: S&P Raises Rating on Class D Notes From 'BB+'
BAMLL 2013-DSNY: S&P Assigns Prelim. 'BB-' Rating to Class F Notes
BEAR STEARNS 2003-TOP10: Fitch Affirms 'B' Rating on $6.1MM Notes
BLUEMOUNTAIN 2013-3: S&P Assigns 'BB' Rating to Class E Notes
CENT CLO 19: S&P Assigns 'BB' Rating to Class D Notes
CITIGROUP 2005-C5: Fitch Cuts Rating on $172.6MM Notes to 'CCC'
CREDIT SUISSE 2006-C1: Fitch Affirms Csf Rating on 3 Note Classes
EAGLE CREEK: S&P Affirms 'CCC+' Rating on Class D Notes
FREMF 2013: Moody's Gives Provisional Ba3 Rating on Class X Notes
GALAXY VII: S&P Affirms 'BB' Rating on Class E Notes
GRAMERCY REAL 2007-1: S&P Lowers Rating on 4 Note Classes to 'D'
GRANT GROVE: S&P Raises Rating on Class D Notes to 'BB+'
GSMPS TRUST 2004-2R: Moody's Cuts Rating on Cl. B-1 Notes to Caa2
HARBOURVIEW CLO 2006-I: Moody's Ups Rating on Cl. D Notes to Ba3
JFIN CLO 2013: S&P Affirms 'BB' Rating on Class D Notes
JP MORGAN 2000-C9: Moody's Hikes Rating on Class H Notes From 'B1'
JP MORGAN 2001-C1: S&P Affirms 'B-' Rating on Cl. H Certificates
JP MORGAN 2001-CIBC3: S&P Lowers Rating on Cl. J Certificates to D
JP MORGAN 2004-CIBC10: Moody's Cuts 2 Cert. Classes Rating to Ba2
JP MORGAN 2013-C15: Fitch Rates $23.85MM Class E Notes 'BBsf'
JP MORGAN 2013-INN: Moody's Rates Class X-CP Notes 'Ba3(sf)'
KATONAH VIII: Moody's Affirms Ba2 Rating on $28MM Class D Notes
KEUKA PARK: Moody's Rates $22.5MM Class E Floating Rate Notes Ba3
KEYCORP STUDENT 200-B: Moody's Reviews Class A-2 Notes Rating
KKR FINANCIAL 2005-1: S&P Raises Rating on Class F Notes to 'B+'
LEHMAN XS 2005-6: Moody's Cuts Rating on 3 Note Classes to 'B2'
LONGHORN CDO: S&P Lowers Rating on Class E Notes to 'CC'
MACH ONE 2004-1: S&P Raises Rating on Class G Notes to 'BB'
MAGNOLIA FINANCE 2005-6: Moody's Affirms B1 Rating on Cl. B Notes
MERRILL LYNCH: S&P Hikes Rating on 1998-Canada1 Cl. F CMBS From B+
MERRILL LYNCH: S&P Hikes Rating on 2002-Canada7 Cl. J CMBS From B-
ML-CFC 2007-6: Fitch Affirms 'Csf' Ratings on 9 Note Classes
MORGAN STANLEY 2005-IQ9: Fitch Affirms 'D' Rating on Class M Notes
MORGAN STANLEY 2013-C12: Moody's Rates Class F Notes 'B1(sf)'
N-STAR CDO VI: Moody's Affirms Caa3 Ratings on 5 Note Classes
N-STAR CDO VII: S&P Lowers Ratings on 4 Note Classes to 'Dsf'
NOB HILL: S&P Affirms 'B+' Rating on Class E Notes
OHA CREDIT IX: S&P Assigns 'BB-' Rating to Class E Notes
RAAC 2006-SP4: Moody's Hikes Rating on Class A-2 Notes to Ba2(sf)
RACE POINT VII: Fitch Considers CCC Rating on 6% Collateral Assets
RAIT CRE CDO I: Moody's Affirms Caa3 Ratings on 5 Note Classes
RAMPART CLO 2006-I: Moody's Affirms Ba2 Rating on Class D Notes
SRRSPOKE 2007-IA: Moody's Affirms Csf Rating on Class I Notes
TELOS CLO 2013-4: S&P Affirms 'BB' Rating on Class E Notes
WACHOVIA BANK 2004-C15: Moody's Ups Rating on 3 Certs From Low-Bs
WFRBS COMMERCIAL 2013-C17: Fitch Rates $15.82 Class E Notes BBsf
* Moody's Says Ratings on Most California Tax Bonds Remain 'Ba1'
* Moody's Takes Action on $572MM of Subprime RMBS Issued 2005-2006
* Moody's Hikes Ratings on $98MM of RMBS Issued 2005-2007
* S&P Puts 9 U.S. and Canadian CMBS Ratings on CreditWatch Neg.
* S&P Takes Various Rating Actions on 25 Synthetic CDO Tranches
*********
ACCESS GROUP: Moody's Cuts Ratings on 8 Subordinated Note Classes
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Moody's Investors Service has upgraded twelve senior classes and
downgraded eight subordinated classes from seven securitizations
of private student loans by Access Group. Securitizations'
collateral is primarily private student loans to graduate
students.
Ratings Rationale:
The upgrades of the senior classes are primarily a result of
Access Group taking steps to mitigate operational risk in the
transactions. Moody's downgraded these classes on October 7, 2011,
due to the inherent operational risk, which is the risk of loan
servicing or payment disruption in the event that Access Group is
not able to service or administrator these securitizations. Since
the downgrade Access Group has transferred the loan servicing
function to Xerox Education Services (parent company Xerox
Corporation is rated Baa2), formally known as ACS Education
Services, and added ACS Asset Management as a back-up
administrator for these transactions. These entities have
sufficient scale and franchise value to remain intact even during
severely stressed economic conditions.
The downgrades of the subordinated classes are a result of
deterioration in the collateral performance. Following the
transfer of the servicing functions, delinquencies and defaults
have increased in these transactions, causing Moody's to increase
its lifetime default projections. The updated lifetime net losses
as a percentage of original pool balance are approximately 13%,
13%, 12.5%, 13%, 13.5%, 10.5%, and 14.5% for the 2001, 2002-A,
2003-A, 2004-A, 2005-A, 2005-B, and 2007-A transactions,
respectively.
The ratings of the Class B notes in the 2003-A, 2004-A
transactions would not be affected if remaining expected net
losses are 10% higher or 10% lower. The ratings of the Class B
notes from the 2005-A transaction would be upgraded or downgraded
if the remaining expected net losses are 10% lower or 10% higher,
respectively. The ratings of the Class B notes from the 2002-A and
2005-B transaction would not be upgraded if the remaining expected
net losses are 10% lower but it would be downgraded if the
remaining expected net losses are 10% higher. The ratings of the
Class B notes from the 2001 and 2007-A transaction would be
upgraded if the remaining expected net losses are 10% lower but it
would not be downgraded if the remaining expected net losses are
10% higher.
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 uncertainty with regard to expected loss are
the weak economic environment and the high unemployment rate,
which adversely impacts the income-generating ability of the
borrowers.
To assess rating implications of the higher expected losses, each
individual transaction was run through a variety of stress
scenarios using the Structured Finance Workstation(R) (SFW), a
cash flow model developed by Moody's Wall Street Analytics.
Complete rating actions as follow::
Issuer: Access Group, Inc., Federal Student Loan Asset-Backed
Notes, Series 2001
Cl. II A-1 Group II, Upgraded to A2; previously on Mar 22, 2013
Baa1 Placed Under Review for Possible Upgrade
Cl. B, Downgraded to B1; previously on Mar 22, 2013 Baa1 Placed
Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2002-A
Subordinate 2002-A Cl. B, Downgraded to Caa3; previously on Oct 7,
2011 Downgraded to B2
Issuer: Access Group, Inc., Series 2003-A
2003-A Cl. A-2, Upgraded to Aaa; previously on Mar 22, 2013 Baa1
Placed Under Review for Possible Upgrade
2003-A Cl A-3, Upgraded to Aaa; previously on Mar 22, 2013 Baa1
Placed Under Review for Possible Upgrade
2003-A Cl. B, Downgraded to B1; previously on Oct 7, 2011
Downgraded to Ba2
Issuer: Access Group, Inc., Private Student Loan Asset-Backed
Notes, Series 2004-A
A-2, Upgraded to Aaa; previously on Mar 22, 2013 Baa1 Placed Under
Review for Possible Upgrade
A-3, Upgraded to Aaa; previously on Mar 22, 2013 Baa1 Placed Under
Review for Possible Upgrade
A-4, Upgraded to Aaa; previously on Mar 22, 2013 Baa1 Placed Under
Review for Possible Upgrade
B-1, Downgraded to B1; previously on Mar 22, 2013 Baa2 Placed
Under Review for Possible Downgrade
B-2, Downgraded to B1; previously on Mar 22, 2013 Baa2 Placed
Under Review for Possible Downgrade
Issuer: Access Group, Inc., Private Student Loan Asset-Backed
Floating Rate Notes, Series 2005-A
2005-A-A-2, Upgraded to Aaa; previously on Mar 22, 2013 Baa2
Placed Under Review for Possible Upgrade
2005-A-A-3, Upgraded to A3; previously on Mar 22, 2013 Baa2 Placed
Under Review for Possible Upgrade
2005-A-B-1, Downgraded to B3; previously on Mar 22, 2013 Ba1
Placed Under Review for Possible Downgrade
Issuer: Access Group Inc. Private Student Loan asset-Backed
Floating Rate Notes, Series 2005-B
2005-B Cl. A-2, Upgraded to Aaa; previously on Mar 22, 2013 Baa2
Placed Under Review for Possible Upgrade
2005-B Cl. A-3, Upgraded to Aa1; previously on Mar 22, 2013 Baa2
Placed Under Review for Possible Upgrade
2005-B Cl. B-2, Downgraded to B1; previously on Mar 22, 2013 Baa2
Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Private Student Loan Asset-Backed
Floating Rate Notes, Series 2007-A
2007-A-A-2, Upgraded to Aaa; previously on Mar 22, 2013 Baa1
Placed Under Review for Possible Upgrade
2007-A-A-3, Upgraded to Aa2; previously on Mar 22, 2013 Baa1
Placed Under Review for Possible Upgrade
2007-A-B, Downgraded to Ba3; previously on Mar 22, 2013 Baa1
Placed Under Review for Possible Downgrade
ALESCO PREFERRED X: Moody's Ups Rating on Cl. A-2B Notes From Ba1
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Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Alesco Preferred Funding
X, Limited:
U.S. $489,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes due September 23, 2036 (current balance of
$358,647,793), Upgraded to A1 (sf); previously on September 23,
2010 Downgraded to Baa1 (sf)
U.S. $119,500,000 Class A-2A Second Priority Senior Secured
Fixed/Floating Rate Notes Due 2036, Upgraded to Baa3 (sf);
previously on March 27, 2009 Downgraded to Ba1 (sf)
U.S. $10,000,000 Class A-2B Second Priority Senior Secured
Fixed/Floating Rate Notes Due 2036, Upgraded to Baa3 (sf);
previously on March 27, 2009 Downgraded to Ba1 (sf)
Moody's also affirmed the rating of the following notes:
U.S. $82,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes due September 23, 2036 (current balance of
$85,176,754), Affirmed Caa2 (sf); previously on September 23, 2010
Downgraded to Caa2 (sf)
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the Class A-1 Notes and an
increase in the transaction's overcollateralization ratios.
Moody's notes that the Class A-1 Notes have been paid down by
approximately 9.8% or $38 million since August 2012, due to
diversion of excess interest proceeds and disbursement of
principal proceeds from redemptions of underlying assets. As a
result of this deleveraging, the Class A-1 Notes' par coverage
improved to 183.65% from 171.51% since August 2012, as calculated
by Moody's. Based on the latest trustee report dated September 16,
2013, the Class A Overcollateralization ratio, is reported at
136.02% (limit 144.6%), versus August 2012 levels of 131.3%. Going
forward, the Class A-1 Notes will continue to benefit from the
diversion of excess interest and the proceeds from future
redemptions of any assets in the collateral pool.
Moody's also notes that the Class B Notes are currently not
receiving any interest payments and are deferring interest as
well.
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 of $658.6
million, defaulted/deferring par of $107.2 million, a weighted
average default probability of 33.15% (implying a WARF of 1807),
Moody's Asset Correlation of 14.38%, and a weighted average
recovery rate upon default of 7.95%. In addition to the
quantitative factors that are explicitly modeled, qualitative
factors are part of rating committee considerations. Moody's
considers the structural protections in the transaction, the risk
of triggering an Event of Default, recent deal performance under
current market conditions, the legal environment, and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, may
influence the final rating decision.
Alesco Preferred Funding X, Limited, issued on March 15, 2006, is
a collateralized debt obligation backed by a portfolio of bank and
insurance trust preferred securities.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks and insurance companies that are generally not publicly
rated by Moody's. To evaluate the credit quality of bank TruPS
without public ratings, Moody's uses RiskCalc model, an
econometric model developed by Moody's KMV, to derive their credit
scores. Moody's evaluation of the credit risk for a majority of
bank obligors in the pool relies on FDIC financial data reported
as of Q2-2013. For insurance TruPS without public ratings, Moody's
relies on the assessment of Moody's Insurance team based on the
credit analysis of the underlying insurance firms' annual
statutory financial reports.
Moody's also evaluates the sensitivity of the rated transaction to
the volatility of the credit estimates, as described in Moody's
Cross Sector Rating Methodology "Updated Approach to the Usage of
Credit Estimates in Rated Transactions" published in October 2009.
The transaction's portfolio was modeled using CDOROM v.2.8-9 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge. CDOROM v.2.8-9 is
available on moodys.com under Products and Solutions -- Analytical
models, upon return of a signed free license agreement.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 93 points from the
base case of 1807, the model-implied rating of the Class A-1 notes
is one notch worse than the base case result. Similarly, if the
WARF is decreased by 257 points, the model-implied rating of the
Class A-1 notes is one notch better than the base case result.
In addition, Moody's also performed two additional sensitivity
analyses as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TruPS CDOs"
published in August 2012. In the first, Moody's gave par credit to
banks that are deferring interest on their TruPS but satisfy
specific credit criteria and thus have a strong likelihood of
resuming interest payments. Under this sensitivity analysis,
Moody's gave par credit to $11.5 million of bank TruPS. In the
second sensitivity analysis, Moody's ran alternative default-
timing profile scenarios to reflect the lower likelihood of a
large spike in defaults.
Sensitivity Analysis 1:
Class A-1: 0
Class A-2A: +1
Class A-2B: +1
Class B: 0
Class C-1: 0
Class C-2: 0
Sensitivity Analysis 2:
Class A-1: +1
Class A-2A: +1
Class A-2B: +1
Class B: +1
Class C-1: 0
Class C-2: 0
Moody's notes that this transaction is still subject to a high
level of macroeconomic uncertainty although Moody's outlook on the
banking sector has changed to stable from negative. The pace of
FDIC bank failures continues to decline in 2013 compared to the
last few years, and some of the previously deferring banks have
resumed interest payment on their trust preferred securities.
Moody's continues to have a stable outlook on the insurance
sector, other than the negative outlook on the U.S. life insurance
industry.
ARES CLO XX: S&P Raises Rating on Class D Notes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes of notes from Ares XX CLO Ltd., a U.S. cash flow
collateralized loan obligation (CLO) transaction. At the same
time, S&P removed them from CreditWatch with positive
implications, where S&P had placed them on Sept. 5, 2013. S&P
also affirmed its ratings on five other classes.
The transaction's reinvestment period ended in January 2012, and
it is currently in its amortization phase and paying down the
notes. The upgrades reflect the $100.38 million, $53.78 million,
and $44.91 million partial paydowns to the class A-1, A-2, and A-
3a notes, respectively, since S&P's January 2013 rating actions.
Due to these paydowns, the overcollateralization (O/C) ratios for
each class increased.
As of the Oct. 3, 2013, trustee report, the transaction has
roughly 11.2% long dated assets with a maturity later than the
transaction's legal final maturity in December 2017. Due to this,
the transaction could be exposed to market value risk at maturity.
S&P considered this in its rating actions.
The affirmations reflect credit support available to the notes
that S&P believes is sufficient at the current rating levels.
S&P will continue to review whether 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 Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Ares XX CLO Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C A+ (sf) A- (sf)/Watch Pos
D BB+ (sf) BB (sf)/Watch Pos
RATINGS AFFIRMED
Ares XX CLO Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
A-3a AAA (sf)
A-3b AAA (sf)
A-4 AAA (sf)
ARES NF XIII: S&P Raises Rating on Class D Notes From 'BB+'
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes of notes from Ares NF CLO XIII Ltd., a U.S. cash flow
collateralized loan obligation (CLO) transaction. At the same
time, S&P removed them from CreditWatch with positive
implications, where it had placed them on Sept. 5, 2013. S&P also
affirmed its rating on one class of notes.
The transaction's reinvestment period ended in May 2011, and it is
currently in its amortization phase and paying down the notes. The
upgrades reflect the $94.6 million partial paydowns to the class A
notes since S&P's October 2012 rating actions. Due to these
paydowns, the overcollateralization (O/C) ratios for each class
increased.
The affirmation reflects the sufficient credit support available
to the notes at its current rating level.
S&P will continue to review whether 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 Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Ares NF CLO XIII Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C AAA (sf) AA (sf)/Watch Pos
D BBB+ (sf) BB+ (sf)/Watch Pos
RATING AFFIRMED
Ares NF CLO XIII Ltd.
Class Rating
A AAA (sf)
BAMLL 2013-DSNY: S&P Assigns Prelim. 'BB-' Rating to Class F Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to BAMLL Commercial Mortgage Securities Trust 2013-DSNY's
$345.0 million commercial mortgage pass-through certificates
series 2013-DSNY.
The note issuance is a commercial mortgage-backed securities
transaction backed by two floating-rate commercial mortgage loans
totaling $345.0 million secured by the borrowers' leasehold
interests in two full-service hotels in Lake Buena Vista, Fla.
The two loans are cross-collateralized and cross-defaulted and
have an initial term of two years followed by three one-year
extension options.
The preliminary ratings are based on information as of Oct. 30,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loans' terms, and
the transaction's structure.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1930.pdf
PRELIMINARY RATINGS ASSIGNED
BAMLL Commercial Mortgage Securities Trust 2013-DSNY
Class Rating Amount ($)
A AAA (sf) 134,694,000
B AA- (sf) 49,098,000
C A- (sf) 36,497,000
D BBB+ (sf) 11,297,000
E BBB- (sf) 36,933,000
F BB- (sf) 76,481,000
BEAR STEARNS 2003-TOP10: Fitch Affirms 'B' Rating on $6.1MM Notes
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Fitch Ratings has upgraded one class and affirmed all of the
remaining classes of Bear Stearns Commercial Mortgage Securities
Trust, Series 2003-TOP 10.
Key Rating Drivers:
The upgrade is result of increased credit enhancement as a result
of principal pay down. The affirmations are due to sufficient
credit enhancement in light of the transaction's increasing
concentrations with only 18 loans remaining.
As of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 95.0% (including 0.3% of
realized losses) to $60.5 million from $1.212 billion at issuance.
Cumulative interest shortfalls in the amount of $591,802 are
currently affecting class O.
Fitch modeled losses of 9.87% of the remaining pool; expected
losses of the original pool are 0.8% including losses already
incurred to date (0.3%). Four loans (48.4%) are in special
servicing. Two loans (16.0%) are defeased.
Ratings Sensitivity:
The ratings of classes E through J are expected to remain stable.
The rating on class K could be subject to further downgrades
should realized losses be greater than expected.
The largest contributor to Fitch's modeled losses is the real
estate owned (REO) 105,833 sf retail center located in Altamonte
Springs, FL (9.6% of the pool). As of July 2013, the property
reported occupancy was 56%, which is down from 99% at issuance.
The loan transferred to the special servicer in May 2010 for
imminent payment default. The special servicer is addressing a
number of deferred maintenance and insurance issues before placing
the asset for sale.
The second largest contributor to Fitch's modeled losses is the
REO Foothills Gateway (10.5%), a 68,163 square foot (sf) office
building located in Phoenix, AZ. As of April 2013, the property
reported occupancy was 54%, which is down from 96% at issuance.
The asset transferred to the special servicer in December 2011.
The trust took possession of the title of the property in June
2013 after modification discussions between the sponsor and
special servicer were unsuccessful. The special servicer is
working to dispose of the asset before year-end.
The third largest contributor to Fitch's modeled losses is the
specially serviced loan, Power Plaza Shopping Center (18.2%). The
loan is collateralized by a 112,155 sf retail center located in
Vacaville, CA. The property is shadow anchored by a Sam's Club and
Wal-Mart. The center's occupancy held steady at 78%, from June
2010 until the end of 2012, when Old Navy vacated upon its lease
expiration. The center has continued to lose tenants and occupancy
reached a low of 67% during Jan. 2013. The remaining two anchors'
leases expire in 2014. The loan was scheduled to mature in March
2013 but the sponsor and special servicer continue to work on a
loan extension.
Fitch has upgraded the following class:
-- $3.9 million class E to 'Asf' from 'BBB+sf'; Outlook Stable.
Fitch has affirmed the following classes and revised recovery
estimates as indicated:
-- $9.1 million class F at 'BBBsf'; Outlook Stable;
-- $7.6 million class G at 'BBB-sf'; Outlook Stable;
-- $10.6 million class H at 'BBsf'; Outlook Stable;
-- $4.5 million class J at 'Bsf'; Outlook Stable;
-- $6.1 million class K at 'Bsf'; Outlook Stable from Negative;
-- $4.5 million class L at 'CCCsf'; RE 100%;
-- $3.0 million class M at 'CCCsf'; RE 100% from RE 15%;
-- $3.0 million class N at 'CCsf'; RE 90% from RE 0%.
Fitch does not rate class O. The ratings on class X-1 and X-2 were
previously withdrawn. Class A-1, A-2, B, C, and D have paid in
full.
BLUEMOUNTAIN 2013-3: S&P Assigns 'BB' Rating to Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
BlueMountain CLO 2013-3 Ltd./BlueMountain CLO 2013-3 LLC's
$381.75 million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable to 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 it assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.26% to 13.84%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which would 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/1848.pdf
RATINGS ASSIGNED
BlueMountain CLO 2013-3 Ltd./BlueMountain CLO 2013-3 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 255.25
B-1 AA (sf) 23.25
B-2 AA (sf) 15.00
C (deferrable) A (sf) 37.25
D (deferrable) BBB (sf) 20.25
E (deferrable) BB (sf) 18.00
F (deferrable) B (sf) 12.75
Subordinated notes NR 31.50
NR-Not rated.
CENT CLO 19: S&P Assigns 'BB' Rating to Class D Notes
-----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Cent
CLO 19 Ltd./Cent CLO 19 Corp.'s $370.40 million fixed- and
floating-rate notes.
The notes 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 0.27%-11.67%.
-- 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 reinvestment
overcollateralization test, a failure of which will lead to
the reclassification of up to 50% of excess interest
proceeds, that are available before paying uncapped
administrative expenses and fees, subordinated hedge
termination payments, collateral manager subordinated and
incentive fees, and subordinated note payments, during the
reinvestment period only, at the option of the collateral
manager, to principal proceeds for the purchase of
additional collateral assets or to pay principal on the
notes according to the note payment sequence.
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/1915.pdf
RATINGS ASSIGNED
Cent CLO 19 Ltd./Cent CLO 19 Corp.
Class Rating Amount (mil. $)
A-1a AAA (sf) 251.20
A-1b AAA (sf) 10.00
A-2a AA (sf) 12.80
A-2b AA (sf) 20.00
B (deferrable) A (sf) 38.00
C (deferrable) BBB (sf) 20.90
D (deferrable) BB (sf) 17.50
Subordinated notes NR 41.00
CITIGROUP 2005-C5: Fitch Cuts Rating on $172.6MM Notes to 'CCC'
---------------------------------------------------------------
Fitch Ratings has downgraded four classes and affirmed 14 classes
of Citigroup Commercial Mortgage Trust (CGCMT) commercial mortgage
pass-through certificates series 2006-C5 due to realized losses
and further certainty of losses from loans in special servicing
Key Rating Drivers:
Fitch modeled losses of 11.8% of the remaining pool; expected
losses on the original pool balance total 12.2%, including $80.6
million (3.6% of the original pool balance) in realized losses to
date. Fitch has designated 66 loans (37.9%) as Fitch Loans of
Concern, which includes 18 specially serviced assets (12.1%).
As of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 27.4% to $1.63 billion from
$2.24 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes D through P.
The largest contributor to expected losses is the IRET Portfolio
loan (7.5% of the pool), which is secured by a portfolio of nine
office buildings located in Nebraska (four), Missouri (two),
Minnesota (two), and Kansas (one). The properties encompass
936,720 sf and were built between 1982 and 2001. Portfolio
occupancy has been steadily declining. As of April 2013 occupancy
was 82.8% down from 100% at year-end 2010. This is largely due to
the loss of Assurant Inc. (6.4% NRA) as well as several tenants
downsizing their space. Two new tenants (2.5% of NRA) have signed
leases and will be taking occupancy in 2014.
The next largest contributor to expected losses is the specially-
serviced One and Two Securities Centre asset (4.1%), which is a
521,957-sf office property is located in the Buckhead neighborhood
of Atlanta, GA. The loan transferred to the special servicer in
December 2010 for imminent default when several tenants vacated on
lease expiration. The asset became REO on Nov. 1, 2011. The
property is being marketed for sale.
The third largest contributor to expected losses is the specially-
serviced Courtyard Atlanta Roswell (0.4%), which is a 154 unit
limited service hotel in suburban Atlanta. The loan transferred to
the special servicer in November 2009 and the trust took title to
the property in March 2011. The property subsequently lost its
Marriott flag in July 2012 and performance has decreased
substantially. The trailing twelve August 2013 NOI was
approximately negative $1,129,000 and occupancy was approximately
19%. The property is being marketed for sale. Due to the fees
incurred it is estimated that the losses may exceed the loan
balance.
Rating Sensitivity:
Rating Outlooks on the super senior classes remain Stable due to
increasing credit enhancement and continued paydown. Downgrades to
classes A-M through F are possible should the disposition of loans
in special servicing result in higher than expected losses. No
upgrades to any of the classes are anticipated.
Fitch downgrades the following classes and assigns or revises
Recovery Estimates (REs) as indicated:
-- $172.6 million class A-J to 'CCCsf' from 'BBsf', RE 85%;
-- $42.5 million class B to 'CCsf' from 'CCCsf', RE 0%;
-- $21.2 million class C to 'CCsf' from 'CCCsf', RE 0%;
-- $26.5 million class D to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following class and revises the Rating Outlook
as indicated:
-- $212.4 million class A-M at 'AAAsf', Outlook to Negative from
Stable:
Fitch affirms the following classes as indicated:
-- $52.9 million class A-3 at 'AAAsf', Outlook Stable;
-- $58.7 million class A-SB at 'AAAsf', Outlook Stable;
-- $774.3 million class A-4 at 'AAAsf', Outlook Stable;
-- $190 million class A-1A at 'AAAsf', Outlook Stable;
-- $29.2 million class E at 'Csf', RE 0%;
-- $26.5 million class F at 'Csf', RE 0%;
-- $18.9 million class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
Fitch previously withdrew the ratings on the interest-only class
XP and XC certificates. Classes A-1 and A-2 have paid in full.
CREDIT SUISSE 2006-C1: Fitch Affirms Csf Rating on 3 Note Classes
-----------------------------------------------------------------
Fitch Ratings has affirmed 20 classes of Credit Suisse Commercial
Mortgage Trust commercial mortgage pass-through certificates
series 2006-C1 (CSMC 2006-C1).
Key Rating Drivers:
Fitch modeled losses of 7.8% of the remaining pool; expected
losses on the original pool balance total 7.2%, including $55.6
million (1.9% of the original pool balance) in realized losses to
date. Fitch has designated 94 loans (29.5%) as Fitch Loans of
Concern, including 17 specially serviced assets (5%).
As of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 31.2% to $2.07 billion from
$3.01 billion at issuance. The prior largest loan, St. Louis
Galleria, recently paid in full. Per the servicer reporting, six
loans (2.2% of the pool) are defeased. Interest shortfalls are
currently affecting classes L through S.
The largest contributor to expected losses is the real estate
owned (REO) Embassy Suites Phoenix (0.8% of the pool), which is a
314 room hotel located in Phoenix, AZ. The property was originally
built in 1986 as an exterior corridor hotel; however, the
franchisor no longer accepts that model hotel for Embassy Suites.
Discussions are ongoing between the special servicer and
franchisor regarding the franchise agreement, which expires in
2016, and completion of a desktop property improvement plan (PIP).
The next largest contributor to expected losses is the REO Village
at Double Diamond (0.7%), which is a 58,000 sf retail center
located in Reno, NV. The loan was originally transferred to
special servicing in December 2011 due to poor cash flow
performance caused by declining occupancy; foreclosure was
completed in August 2012. Per the special servicer, leasing
activity has begun to improve at the property. Occupancy has
increased to 76% after three new leases were recently executed.
Rating Sensitivity
Rating Outlooks on the senior classes remain Stable due to
increasing credit enhancement and continued paydown. Rating
Outlooks on classes D through F are Negative and may be subject to
further downgrades if there is further deterioration of the pool's
cash flow performance and/or decrease in the value of the
specially serviced loans. Additional downgrades to the distressed
classes (those rated below 'B') are expected as losses are
realized on specially serviced loans.
Fitch affirms the following classes and revises Rating Outlooks as
indicated:
-- $57 million class A-AB at 'AAAsf', Outlook Stable;
-- $698 million class A-4 at 'AAAsf', Outlook Stable;
-- $466.3 million class A-1-A at 'AAAsf', Outlook Stable;
-- $300.4 million class A-M at 'AAAsf', Outlook Stable;
-- $236.5 million class A-J at 'Asf', Outlook Stable;
-- $18.8 million class B at 'Asf', Outlook to Stable from
Negative;
-- $37.5 million class C at 'BBBsf', Outlook to Stable from
Negative.
-- $33.8 million class D at 'BBB-sf', Outlook Negative;
-- $22.5 million class E at 'BBsf', Outlook Negative;
-- $33.8 million class F at 'Bsf', Outlook Negative;
-- $30 million class G at 'CCCsf', RE 60%;
-- $33.8 million class H at 'CCCsf', RE 0%;
-- $30 million class J at 'CCsf', RE 0%;
-- $37.5 million class K at 'Csf', RE 0%;
-- $15 million class L at 'Csf', RE 0%;
-- $11.3 million class M at 'Csf', RE 0%;
-- $4.6 million class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%;
-- $0 class Q at 'Dsf', RE 0%.
The class A-1, A-2 and A-3 certificates have paid in full. Fitch
does not rate the class S and CCA certificates. Fitch previously
withdrew the ratings on the interest-only class A-X and A-Y
certificates.
EAGLE CREEK: S&P Affirms 'CCC+' Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2 and B notes from Eagle Creek CLO Ltd., a U.S. collateralized
loan obligation transaction (CLO) managed by 4086 Advisors Inc.,
and removed them from CreditWatch with positive implications. At
the same time, S&P affirmed its ratings on the class A-1, C, and D
notes, and removed the rating on the class C notes from
CreditWatch with positive implications. All three of those
ratings had been placed on CreditWatch positive on Sept. 5, 2013.
The upgrades mainly reflect the increased credit support available
to the rated notes as the deal continues to amortize and pay down
the senior notes. The affirmations reflect the sufficient credit
support available to the notes at their current rating levels.
The transaction's reinvestment period ended in February 2013.
Since then, it has paid down approximately $131.8 million to the
class A-1 notes and the note balance is now 28.2% of its original
balance, down from 100% for our December 2011 rating actions.
The note paydowns have increased the transaction's
overcollateralization (O/C) ratios. The trustee reports the
following O/C ratios in the October 2013 monthly report:
-- The class A-2 O/C ratio is 154.77%, up from 123.31% in the
December 2011 trustee report that S&P used for its December
2011 analysis.
-- The class B O/C ratio is 125.06%, up from 111.99% in
December 2011.
-- The class C O/C ratio is 113.17%, up from 106.63% in
December 2011.
-- The class D O/C ratio is 104.95%, up from 102.59% in
December 2011.
Though the transaction now has only 47 unique-performing obligors,
the portfolio's credit quality has improved and has increased the
credit cushion available to the notes. The exposure to 'CCC'
rated assets has declined to approximately $3.6 million from
$6.8 million in December 2011. However, S&P noted that since its
December 2011 rating actions, the transaction's exposure to long-
dated assets (i.e., assets maturing after the stated maturity of
the CLO) has increased. According to the October 2013 trustee
report, the balance of long-dated assets now represents 12% of the
portfolio, up from 9.5% for the December 2011 rating actions.
This exposes the transaction to market value risk.
The affirmation of the class C notes was driven by the largest
obligor default test, one of the two supplemental tests S&P
introduced as part of its revised corporate collateralized debt
obligation criteria published in 2009.
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 S&P will take rating
actions as necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Eagle Creek CLO Ltd.
Rating
Class To From
A-1 AAA (sf) AAA (sf)
A-2 AAA (sf) AA+ (sf)/Watch Pos
B AA- (sf) A (sf)/Watch Pos
C BBB (sf) BBB (sf)/Watch Pos
D CCC+ (sf) CCC+ (sf)
TRANSACTION INFORMATION
Issuer: Eagle Creek CLO Ltd.
Co-issuer: Eagle Creek CLO Corp.
Collateral manager: 4086 Advisors Inc.
Trustee: U.S. Bank N.A.
Transaction type: Cash flow CLO
CLO - Collateralized loan obligation.
FREMF 2013: Moody's Gives Provisional Ba3 Rating on Class X Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of CMBS securities, issued by FREMF 2013-KF02 Mortgage
Trust and four classes of Structured Pass-Through Certificates
(SPCs), Series 2013 K-F02 issued by Freddie Mac.
Cl. A-1, Assigned (P) Aaa (sf)
Cl. A-2, Assigned (P) Aa2 (sf)
Cl. A-3, Assigned (P) A2 (sf)
Cl. B, Assigned (P) Baa3 (sf)
Cl. X, Assigned (P) Ba3 (sf) *
SPCs Classes**
Cl. A-1, Assigned (P) Aaa (sf)
Cl. A-2, Assigned (P) Aa2 (sf)
Cl. A-3, Assigned (P) A2 (sf)
Cl. X, Assigned (P) Ba3 (sf) *
Class X is an interest-only class.
Each of the SPC Classes represents a pass-through interest in its
associated underlying CMBS Class. SPC Class A-1 represents a pass-
through interest in underlying CMBS Class A-1, SPC Class A-2
represents a pass-through interest in underlying CMBS A-2, SPC
Class A-3 represents a pass-through interest in underlying CMBS A-
3, and SPC Class X represents a pass-through interest in
underlying CMBS Class X.
Ratings Rationale:
The Certificates are collateralized by 87 floating 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 1.56X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 0.83X is below the 2007 conduit/fusion transaction average
of 0.92X. Moody's Trust LTV ratio of 113.8% is above the 2007
conduit/fusion transaction average of 110.6%.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach.
With respect to loan level diversity, the pool's loan level
Herfindahl Index is 61. The transaction's loan level diversity
greater than 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 61. The
transaction's property diversity profile is greater than the
indices calculated in most multi-borrower transactions issued
since 2009.
The deal is structured as initially having a pro rata payment
priority, whereby principal payments with respect to the trust
assets will be distributed pursuant to the following allocation --
71.75% to Class A-1, 7.0% to Class A-2, 6.25% to Class A-3, 5.0%
to Class B, 2.5 % to Class C, and 7.5% to Class D. However, all
recoveries via loan defaults will be allocated sequentially. All
realized losses will be allocated reverse sequentially. Relative
to a traditional senior sequential structure, pro rata pay
increases expected loss for senior rated tranches, but
incrementally reduces expected loss for junior rated tranches.
If a Waterfall Trigger Event has occurred and is continuing, the
Class A-1, A-2, A-3, B, C and D will be entitled, in that
sequential order, to principal collected or advanced with respect
to performing loans, in each case until their respective
outstanding principal balances have been reduced to zero. With
respect to any distribution date, Waterfall Trigger Event means
(i) the number of underlying mortgage loans (other than Specially
Serviced Mortgage Loans) held by the issuing entity as of the
related determination date is less than or equal to 10, or (ii)
the aggregate stated principal balance of the underlying mortgage
loans (other than Specially Serviced Mortgage Loans) as of the
related determination date is less than or equal to 15% of the
initial mortgage pool balance.
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 2.23, which is lower
than the indices calculated in most multi-borrower transactions
since 2009.
Moody's analysis employs the excel-based CMBS Conduit Model v2.64
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 1.1 which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 15%, and 24%, the model-indicated rating for the currently
rated junior Aaa class would be Aa1, Aa2, A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
GALAXY VII: S&P Affirms 'BB' Rating on Class E Notes
----------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, and D notes from Galaxy VII CLO Ltd., a collateralized loan
obligation (CLO) transaction managed by PineBridge Investment LLC.
S&P also affirmed the ratings on the class A-1, A-2, and E notes
from the same transaction. At the same time, S&P removed the
ratings on the class B, C, D, and E notes from CreditWatch with
positive implications.
The upgrades of the class B, C, and D notes reflect paydowns to
the class A-1 and A-2 notes and a subsequent increase in the
overcollateralization (O/C) available to support the notes. Since
S&P's last rating actions on this transaction in November 2012,
the class A-1 and A-2 notes received $195.7 million in total
principal paydowns, bringing them to 33% of their original
balance.
As a result of the paydowns, the O/C available to support the
notes increased. The trustee reported the following O/C ratios in
the October 2013 monthly report:
-- The senior (class B) O/C ratio was 144.35%, up from a
reported 123.79% ratio in October 2012.
-- The mezzanine (class D) O/C ratio was 115.72%, up from a
reported 109.70% ratio in October 2012.
-- The class E junior notes direct pay test O/C ratio was
109.22%, up from a reported 106.08% ratio in October 2012.
The affirmed ratings on the class A-1, A-2, and E notes reflect
the availability of adequate credit support at their current
rating levels.
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 S&P will take further
rating actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Galaxy VII CLO Ltd.
Class Rating
To From
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) A+ (sf)/Watch Pos
D BBB+ (sf) BBB (sf)/Watch Pos
E BB (sf) BB (sf)/Watch Pos
RATINGS AFFIRMED
Galaxy VII CLO Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
GRAMERCY REAL 2007-1: S&P Lowers Rating on 4 Note Classes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes from Gramercy CDO 2007-1 Ltd. (Gramercy 2007-1), a
commercial real estate collateralized debt obligation (CRE CDO)
transaction. Concurrently, S&P affirmed its ratings on five
classes from the same transaction. S&P lowered its ratings on
classes C-FL, C-FX, D, and E to 'D (sf)' because it determined
that the classes are unlikely to be repaid in full.
The downgrades primarily reflect the transaction's exposure to
underlying commercial mortgage-backed securities (CMBS) collateral
that has been downgraded. The downgraded collateral comprises of
22 securities from 21 transactions totaling $411.2 million
(39.5% of the total asset balance). Gramercy 2007-1 has exposure
to the following securities that Standard & Poor's has downgraded:
-- Wachovia Bank Commercial Mortgage Trust 2007-C32 (class AJ;
$40.0 million, 3.9%).
-- GS Mortgage Securities Trust 2007-GG10 (class AJ;
$36.6 million, 3.5%).
-- Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26
(class AJ; $35.0 million, 3.4%).
-- JPMorgan Chase Commercial Mortgage Securities Trust 2007-
CIBC19 (class AJ; $35.0 million, 3.4%).
The affirmations reflect S&P's analysis of the transaction's
liability structure and the credit characteristics of the
underlying collateral using its global collateralized debt
obligations (CDOs) of pooled structured finance assets criteria,
as well as S&P's rating methodology and assumptions for U.S. and
Canadian commercial mortgage-backed securities (CMBS) and CMBS
global property evaluation methodology. S&P also considered the
amount of defaulted assets in the transaction and their expected
recoveries in its analysis.
According to the Aug. 15, 2013, trustee report, the transaction's
collateral totaled $1.04 billion, while the transaction's
liabilities, including capitalized interest, totaled
$1.06 billion. This is down from $1.1 billion in liabilities at
issuance. The transaction's current asset pool included the
following:
-- 48 CMBS tranches ($807.5 million, 77.7%).
-- Four subordinate interest loans ($152.2 million, 14.6%).
-- Two whole loans ($80.4 million, 7.7%).
The trustee report noted two defaulted loans ($64.5 million, 6.2%)
and eight defaulted CMBS securities ($96.0 million, 9.2%) in the
transaction. S&P estimated the recovery rate for the Stuyvesant
Town Mezzanine loan ($60.5 million, 5.8%) to be 0%. S&P estimated
a minimal loss for the Metro Corporate Center subordinate interest
loan ($4.0 million, 0.4%). S&P based the recovery rates on
information from the collateral manager, special servicer, and
third-party data providers.
According to the trustee report, the deal is failing all three par
value tests. As a result of the Class A/B par value test failure,
future interest proceeds to be paid after class B-FX and B-FL
would be diverted to pay down the class A-1 outstanding principal
balance.
The rating actions remain consistent with the credit enhancement
available to support them and reflect S&P's analysis of the
transaction's liability structure and the underlying collateral's
credit characteristics.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
Gramercy Real Estate CDO 2007-1 Ltd.
Collateralized debt obligations
Rating
Class To From
C-FL D (sf) CCC- (sf)
C-FX D (sf) CCC- (sf)
D D (sf) CCC- (sf)
E D (sf) CCC- (sf)
RATINGS AFFIRMED
Gramercy Real Estate CDO 2007-1 Ltd.
Collateralized debt obligations
Class Rating
A-1 B (sf)
A-2 CCC- (sf)
A-3 CCC- (sf)
B-FL CCC- (sf)
B-FX CCC- (sf)
GRANT GROVE: S&P Raises Rating on Class D Notes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, C, D, and E notes from Grant Grove CLO Ltd., a U.S.
collateralized loan obligation (CLO) managed by Tall Tree
Investment Management LLC. In addition, S&P removed its ratings
on each of these classes from CreditWatch, where S&P placed them
with positive implications on Sept. 5, 2013.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated Sept. 20,
2013.
The upgrades are driven primarily by substantial paydowns to the
class A-1 and A-2 notes since S&P's March 2012 rating actions.
Post-reinvestment period principal amortization has resulted in
$68.03 million in paydowns to the class A-1 and A-2 notes since
March 2012, for which S&P referenced the February 2012 trustee
report. This has resulted in improvement in all coverage tests in
the transaction and has left the class A-1 and A-2 notes at 67.78%
of their original outstanding balance.
In addition, the amount of 'CCC' rated collateral held in the
transaction's asset portfolio declined since our previous rating
action. This increased the credit support to the ratings at their
prior rating levels. According to the September 2013 trustee
report, the transaction held $7.31 million in 'CCC' rated
collateral, down from $14.10 million noted in the February 2012
trustee report. As of September 2013, the transaction has a 2.10%
exposure to an obligor currently rated 'CCC-' that could
potentially go into bankruptcy in the near future. S&P factored
the uncertainty around this company into its analysis for rating
actions.
According to the September 2013 trustee report, the transaction
held $2.81 million in underlying collateral obligations by an
issuer that is considered in default. This issuer accounts for
1.37% in total weight of the entire portfolio. This was a slight
increase from $1.59 million in defaulted obligations noted in the
February 2012 trustee report.
In addition, the transaction's weighted average spread generated
off of the underlying collateral decreased by 0.22%.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with our criteria, our cash flow scenarios applied forward-
looking assumptions on the defaults' expected timing and pattern,
and recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON
Class Feb. 2012 Sept. 2013
Notional balance (mil. $)
A-1 49.32 33.89
A-2 168.18 115.57
B 18.00 18.00
C 15.75 15.75
D 14.25 14.25
E 7.41 7.41
Weighted average spread (%)
3.48 3.26
Coverage tests (%)
A/B O/C 119.08 126.12
C O/C 111.61 115.28
D O/C 105.62 106.96
E O/C 102.75 103.09
A/B I/C 595.36 865.30
C I/C 540.20 740.18
D I/C 475.09 597.31
E I/C 420.00 486.27
O/C-Overcollateralization test.
I/C-Interest coverage test.
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
Grant Grove CLO Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A+ (sf)/Watch Pos
C A+ (sf) BBB+ (sf)/Watch Pos
D BB+ (sf) BB (sf)/Watch Pos
E B- (sf) CCC+ (sf)/Watch Pos
GSMPS TRUST 2004-2R: Moody's Cuts Rating on Cl. B-1 Notes to Caa2
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of class A
and class B-1 issued by GSMPS Pass-Through Trust 2004-2R.
Complete rating actions are as follows:
Issuer: GSMPS Pass-Through Trust 2004-2R
Cl. A, Downgraded to Ba3 (sf); previously on Aug 7, 2013 Ba1 (sf)
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa2 (sf); previously on Aug 7, 2013 B3
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale:
The rating action reflects the recent performance of bonds backed
by pools of FHA VA mortgages insured by the Federal Housing
Administration an agency of the U.S. Department of Urban
Development or guaranteed by the Veterans Administration backing
the underlying bonds and the updated loss expectations on
underlying pool and the resecuritization bond.
Also Moody's downgraded some of the underlying bonds backing the
rescuritization. The class B-1 was downgraded to Ba3 (sf) and
class B-2 was downgraded to Caa1 (sf) issued by GSMPS Mortgage
Loan Trust 2002-1.
The resecuritized structure pay principal pro-rata to the class A
and classes B-1 to B-6. Losses are allocated in reverse sequential
order starting with the Class B-6.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
7.8% in September 2012 to 7.2% in September 2013. Moody's
forecasts an unemployment central range of 7.0% to 8.0% for the
2013 year. Moody's forecasts an unemployment central range of 6.5%
to 7.5% for the year 2014. Moody's expects house prices to
continue to rise in 2014. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
As part of the sensitivity analysis, Moody's stressed the updated
loss on the underlying bonds backing the resecuritization by an
additional 10% and found that the implied ratings of the
resecuritization bonds remain unchanged.
HARBOURVIEW CLO 2006-I: Moody's Ups Rating on Cl. D Notes to Ba3
----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Harbourview CLO 2006-I:
U.S.$23,000,000 Class A-2 Floating Rate Notes Due 2019, Upgraded
to Aa1 (sf); previously on August 19, 2011 Upgraded to Aa3 (sf);
U.S.$14,000,000 Class D Floating Rate Notes Due 2019, Upgraded to
Ba3 (sf); previously on August 19, 2011 Upgraded to B1 (sf).
Moody's also affirmed the ratings of the following notes:
U.S.$337,000,000 Class A-1 Floating Rate Notes Due 2019 (current
outstanding balance of $329,048,228.55), Affirmed Aaa (sf);
previously on August 19, 2011 Upgraded to Aaa (sf);
U.S.$25,000,000 Class B Deferrable Floating Rate Notes Due 2019,
Affirmed A3 (sf); previously on August 19, 2011 Upgraded to A3
(sf);
U.S.$16,000,000 Class C Floating Rate Notes Due 2019, Affirmed Ba1
(sf); previously on August 19, 2011 Upgraded to Ba1 (sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes
reflect the benefit of the short period of time remaining before
the end of the deal's reinvestment period in December 2013. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive buffer
relative to certain covenant requirements. In particular, the deal
is assumed to benefit from higher weighted average spread compared
to the covenant level.
The overcollateralization ratios of the rated notes have also
improved since September 2012. The Class A, Class B, Class C, and
Class D overcollateralization ratios are reported at 123.79%,
115.58%, 110.88%, and 107.06%, respectively, versus September 2012
levels of 121.67%, 113.60%, 108.97%, and 105.23%, respectively,
and all related overcollateralization tests are currently in
compliance.
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 $435.5 million, defaulted par of $2.1 million,
a weighted average default probability of 17.28% (implying a WARF
of 2521), a weighted average recovery rate upon default of 48.99%,
a weighted average spread of 3.00%, and a diversity score of 61.
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.
Harbourview CLO 2006-I, issued in November 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
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 described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities.
Moody's Adjusted WARF -- 20% (2017)
Class A1: 0
Class A2: +1
Class B: +3
Class C: +3
Class D: +1
Moody's Adjusted WARF + 20% (3025)
Class A1: 0
Class A2: -3
Class B: -2
Class C: -1
Class D: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties.
JFIN CLO 2013: S&P Affirms 'BB' Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on JFIN
CLO 2013 Ltd./JFIN CLO 2013 LLC's $404.5 million floating-rate
notes following the transaction's effective date as of Aug. 1,
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
JFIN CLO 2013 Ltd./JFIN CLO 2013 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 259.00
A-2 AA (sf) 58.00
B (deferrable) A (sf) 36.00
C (deferrable) BBB (sf) 26.50
D (deferrable) BB (sf) 25.00
JP MORGAN 2000-C9: Moody's Hikes Rating on Class H Notes From 'B1'
------------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class and
affirmed the ratings of two classes of J.P. Morgan Commercial
Mortgage Pass-Through Certificates, Series 2000-C9 as follows:
Cl. H, Upgraded to Aaa (sf); previously on Mar 7, 2013 Affirmed B1
(sf)
Cl. J, Affirmed C (sf); previously on Mar 7, 2013 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Mar 7, 2013 Affirmed Caa3
(sf)
Ratings Rationale:
The upgrade of Class H is due to increased credit support
resulting from loan paydowns and amortization as well as the
benefits of defeasance. The rating of Class J is consistent with
Moody's expected loss and is thus affirmed. The IO Class, Class X,
is affirmed based on the WARF of its referenced classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.64 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 1 compared to 2 at last review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.6 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated March 7, 2013.
Deal Performance:
As of the October 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased 99% to $12.4 million
from $814.4 million at securitization. The Certificates are
collateralized by three mortgage loans ranging in size from less
than 6% to 72% of the pool (excluding defeasance). The largest
loan, representing 72% of the pool, has defeased and is backed by
U.S. Government securities.
There is presently one loan, representing 23% of the pool, on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
Twenty-four loans have been liquidated from the pool since
securitization, resulting in an aggregate $37.4 million loss (37%
loss severity on average). There are no loans in special servicing
and Moody's did not recognize any troubled loans.
Moody's was provided with full year 2012 and partial year 2013
operating results for 100% of the performing pool, respectively.
Moody's weighted average conduit LTV is 81% compared to 66% at
last review. Moody's net cash flow reflects a weighted average
haircut of 12.0% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.01X and 1.46X,
respectively, compared to 1.14X and 1.78X, respectively, at last
full review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
The conduit consists of two loans which represent 28% of the pool
balance. The largest conduit loan is the K-Mart Baltimore Loan
($2.8 million -- 23% of the pool). The loan is secured by a
120,000 square foot (SF) retail center located in southeast
Baltimore, Maryland. The property was 100% leased at last review
but Fashion Bug vacated its 10,000 SF space, reducing occupancy to
92% as of June 2013. The anchor tenant is Sears Holdings Corp.
(Moody's long term rating B3, stable outlook), which operates a
95,810 SF Kmart store at the property. The Kmart lease is
scheduled to expire in November 2014. This Kmart location is not
on the Sears Holdings Corp. store closings list. Moody's current
LTV and stressed DSCR are 89% and 1.24X, respectively, compared to
79% and 1.34X at last review.
The second conduit loan is the Rite Aid -- Dayton Loan ($688,896
-- 5.5% of the pool). This fully-amortizing loan is secured by an
11,180 SF freestanding retail property located in Dayton, Ohio.
The property is 100% leased to Rite Aid through 2018. Property
performance remains steady. Moody's current LTV and stressed DSCR
are 46% and 2.35X, respectively, compared to 48% and 2.24X at last
review.
JP MORGAN 2001-C1: S&P Affirms 'B-' Rating on Cl. H Certificates
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'B- (sf)' rating
on the class H commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Corp's series
2001-C1, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
The affirmation follows S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. The affirmation of class H reflects S&P's review of
the credit characteristics and performance of the remaining loans
in the trust the transaction structure, as well as the liquidity
available to the trust.
While the available credit enhancement level may suggest positive
rating movement on the class H, S&P's analysis also considered the
reduced liquidity support due to ongoing interest shortfalls from
the sole loan with the special servicer ($10.3 million, 36.3% of
the trust balance) and one loan that appears on the master
servicer's watchlist ($229,824, 0.8%; details below).
As of the Oct. 15, 2013, trustee remittance report, the collateral
pool consisted of seven loans with an aggregate principal balance
of $28.4 million, down from 169 loans with an aggregate balance of
$1.07 billion at issuance. Two of the remaining loans
($15.4 million, 54.2%) have been defeased. In addition, one loan
($10.3 million, 36.3%) is with the special servicer, CWCapital
Asset Management LLC (CWCapital) and one loan ($229,824, 0.8%) is
on the master servicer's (Midland Loan Services' {Midland's})
watchlist.
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's debt service coverage (DSC) ratio of
1.63x and a loan-to-value (LTV) ratio of 45.0% for four of the
seven remaining loans in the pool. The DSC and LTV figures
exclude the defeased and specially serviced loans. To date, the
transaction has experienced losses totaling $49.0 million or 4.6%
of the transaction's original pool balance.
Details of the specially serviced and watchlist loans are as
follows:
The Quail Hollow At The Lakes Apartments loan ($10.3 million,
36.3%) is the second-largest remaining loan in the pool and the
sole loan with CWCapital. The loan has a reported exposure of
$13.9 million and is secured by a 200-unit multifamily property in
Holland, Ohio. The loan was transferred to the special servicer
on June 11, 2010, for monetary default. According to CWCapital,
the borrower filed for bankruptcy in August 2011, and the
bankruptcy was lifted in May 2012. However, the borrower filed
for bankruptcy a second time in November 2012. Based on
information provided by CWCapital, the property was 96.0% occupied
as of Oct. 1, 2013, and the DSC as of Sept. 30, 2013, was 1.64x.
CWCapital indicated that it is currently pursuing foreclosure. An
appraisal reduction amount of $2.7 million is in effect against
this loan. S&P expects a moderate loss upon the final resolution
of this loan.
The Nelson Plaza loan ($229,824, 0.8%) is the smallest loan in the
pool and the sole loan on the master servicer's watchlist. The
loan is secured by a 12,000-sq.-ft. retail property in Baton
Rouge, Louisiana, and appears on Midland's watchlist due to the
vacancy of the largest tenant at the property. Midland stated
that the former tenant, which occupied 4,500 sq. ft. or 37.5% of
the net rentable space at the property vacated the premises prior
to its 2014 lease expiration in mid-year 2012. According to
Midland, the space is being actively marketed by the borrower.
The most recent reported DSC and occupancy for the year ended
Dec. 31, 2012, were 1.42x and 62.5%, respectively. However, using
the servicer's reported 2012 figures, S&P calculated the DSC,
excluding the largest tenant that vacated the premises, to be
0.73x.
With respect to the specially serviced loan noted above, a minimal
loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
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
JP MORGAN 2001-CIBC3: S&P Lowers Rating on Cl. J Certificates to D
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on two
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Corp's series 2001-
CIBC3, a U.S. commercial mortgage-backed securities (CMBS)
transaction. Concurrently, S&P lowered its rating on the class J
certificates to 'D (sf)' from 'CCC+ (sf)' due to interest
shortfalls.
The rating actions follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. The affirmations reflect S&P's analysis of the
credit characteristics of all of the remaining assets in the pool,
the transaction structure, and the liquidity available to the
trust.
While the available credit enhancement levels may suggest positive
rating movement on classes G and H, S&P's affirmations reflect
reduced liquidity levels resulting from continued interest
shortfalls as well as the magnitude of the assets ($14.1 million,
43.0%) with the special servicer, C-III Asset Management LLC
(C-III).
S&P lowered its rating on class J to 'D (sf)' to reflect
accumulated interest shortfalls as well as reduced liquidity
support resulting from interest shortfalls that are affecting the
trust. S&P expects these accumulated interest shortfalls to
remain outstanding for the foreseeable future. As of the Oct. 15,
2013, trustee remittance report, the trust experienced interest
shortfalls totaling $72,118. These were primarily related to an
appraisal subordinate entitlement reduction (ASER) of $29,212
related to the largest specially serviced asset ($10.2 million,
31.2%) that is currently with C-III, non-recoverable advances in
the amount of $23,749, interest on advances of $16,442, and
special servicing fees of $2,940. There was also a net adjustment
of $225 on the master servicing fee of a non-recoverable loan.
The interest shortfalls affected all of the classes subordinate to
and including class J. The class J certificates have experienced
accumulated interest shortfalls outstanding for seven consecutive
months.
As of the Oct. 15, 2013, trustee remittance report, the collateral
pool consisted of 10 loans and two assets with an aggregate
principal balance of $32.8 million, down from 125 loans with an
aggregate balance of $867.5 million at issuance. Using servicer-
provided financial information, S&P calculated an adjusted
Standard & Poor's debt service coverage (DSC) ratio of 1.15x and a
loan-to-value (LTV) ratio of 47.9% for the remaining loans in the
pool. The DSC and LTV figures exclude the two defeased
($6.1 million, 18.5%) and two specially serviced loans
($14.1 million, 43.0%). To date, the transaction has experienced
losses totaling $23.3 million (2.7% of the transaction's original
pool balance). There are currently two assets ($14.1 million,
43.0%) with C-III and two loans ($6.8 million, 20.6%) on the
watchlist of the master servicer, Wells Fargo Bank N.A. (Wells
Fargo).
Details of the two specially serviced assets and the two loans on
the master servicer's watchlist are as follows:
The Mill at White Clay asset ($10.2 million, 31.2%) is the largest
remaining asset in the pool and is real-estate owned (REO). The
loan was transferred to the special servicer on Feb. 17, 2011, for
imminent monetary default and became REO on Aug. 20, 2012. An
appraisal reduction amount (ARA) in the amount of $5.0 million is
in effect on this asset. According to C-III, the asset is under
contract for sale; no recent financial information is available
for this asset. S&P expects a significant loss upon the final
resolution of this asset.
The 6650 Highland Road loan ($3.8 million, 11.7%) is the fourth-
largest remaining loan in the pool, secured by an 85,443-sq.-ft.
mixed-use property in Waterford, Mich. The loan transferred to
the special servicer on April, 1, 2009, for imminent monetary
default. A receiver is currently in place, and C-III is
projecting foreclosure in the fourth quarter of 2013. C-III deemed
the principal and interest advances--as well as the property
protection advances--on this loan to be non-recoverable on
March 25, 2013. An ARA in the amount of $2.2 million is in effect
on this loan. S&P expects a significant loss upon the final
resolution of this asset.
The American Industrial Center loan ($6.3 million, 19.2%) is the
second-largest remaining loan in the pool, secured by a 206,694-
sq.-ft. industrial property in Longwood, Fla. The loan appears on
the master servicer's watchlist because of a low debt service
coverage (DSC) ratio and because the lease of the second-largest
tenant (occupying 12.2% of the net rentable area) expires on
Oct. 31, 2013. According to Wells Fargo, the borrower indicated
that it intends to pay off the loan next week. The DSC and
occupancy rate as of Dec. 31, 2012, were 0.63x and 90.0%,
respectively.
The Pan Am Mini Storage loan ($458,149, 1.4%) is the 11th-largest
remaining loan in the pool, secured by a 567-unit self-storage
facility in Atlantic Beach, Fla. The loan appears on the master
servicer's watchlist due to a low DSC. As of Dec. 31, 2012, the
DSC was 0.61x, and occupancy was 66.0%.
With respect to the specially serviced asset noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-CIBC3
Class Rating Credit enhancement (%)
G BB (sf) 67.87
H B+ (sf) 48.03
RATING LOWERED
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-CIBC3
Class Rating Credit enhancement (%)
To From
J D (sf) CCC+ (sf) 28.19
JP MORGAN 2004-CIBC10: Moody's Cuts 2 Cert. Classes Rating to Ba2
-----------------------------------------------------------------
Moody's Investors Service (Moody's) downgraded the ratings of
seven classes and affirmed nine classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates, Series 2004-CIBC10 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Dec 7, 2004 Definitive
Rating Assigned Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on Dec 7, 2004 Definitive
Rating Assigned Aaa (sf)
Cl. A-6, Affirmed Aaa (sf); previously on Dec 7, 2004 Definitive
Rating Assigned Aaa (sf)
Cl. A-J, Affirmed Aa1 (sf); previously on Dec 10, 2010 Downgraded
to Aa1 (sf)
Cl. B, Downgraded to Baa2 (sf); previously on Nov 9, 2012
Downgraded to A3 (sf)
Cl. C, Downgraded to Ba2 (sf); previously on Nov 9, 2012
Downgraded to Baa3 (sf)
Cl. D, Downgraded to Ba3 (sf); previously on Nov 9, 2012
Downgraded to Ba1 (sf)
Cl. E, Downgraded to B3 (sf); previously on Nov 9, 2012 Downgraded
to B1 (sf)
Cl. F, Downgraded to Caa3 (sf); previously on Nov 9, 2012
Downgraded to Caa2 (sf)
Cl. G, Downgraded to C (sf); previously on Dec 10, 2010 Downgraded
to Caa3 (sf)
Cl. H, Downgraded to C (sf); previously on Dec 10, 2010 Downgraded
to Ca (sf)
Cl. J, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. L, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. M, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale:
The downgrades of P&I classes are due to higher than expected
realized and anticipated losses from specially serviced and
troubled loans.
The affirmations of the P&I classes A-1A through A-J are due to
key parameters, including Moody's loan to value (LTV) ratio,
Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges. Based
on Moody's current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their
current ratings. The ratings of Classes J through M are consistent
with Moody's expected loss and thus are affirmed. The rating of
the IO Class, Class X-1, is consistent with the expected credit
performance of its referenced classes and thus is affirmed.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated classes could decline below the
current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's rating action reflects a base expected loss of 11.5% of
the current balance. At last review, Moody's base expected loss
was 9.1%. Realized losses have increased from 2.1% of the original
balance to 2.2% since the prior review. Moody's base expected loss
plus realized losses is now 8.9% of the original pooled balance.
Moody's provides a current list of base losses for conduit and
fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
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.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.64 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 47 compared to 54 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 9, 2012.
Deal Performance:
As of the October 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 42% to $1.14
billion from $1.96 billion at securitization. The Certificates are
collateralized by 150 mortgage loans ranging in size from less
than 1% to 8% of the pool, with the top ten non-defeased loans
representing 28% of the pool. Twenty-six loans, representing 17%
of the pool, have defeased and are secured by U.S. Government
securities. The pool does not contain any investment grade credit
assessments.
Thirty-seven loans, representing 19% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
Sixteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $43.6 million (25% loss severity on
average). Five loans, representing 12% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Continental Plaza Loan ($88.0 million -- 7.8% of the pool). The
loan is secured by three office buildings and a single story
retail center totaling 639,000 square feet (SF), which are located
in Hackensack, New Jersey. The loan was transferred to special
servicing in April 2009 due to imminent default and is now real
estate owned (REO). The property was 68% leased as of August 2013,
compared to 62% at last review.
The remaining four specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $106.6 million
loss for the specially serviced loans (80% expected loss on
average).
Moody's has assumed a high default probability for 12 poorly
performing loans representing 7% of the pool and has estimated an
aggregate $11.5 million loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2012 operating results for 95%
of the pool's non-specially serviced and non-defeased loans.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 82% compared to 85% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 11%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.36X and 1.31X, respectively, compared to
1.37X and 1.27X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 8.8% of the pool balance.
The largest loan is the Walden Pond at East Moriches Loan ($33.9
million -- 3.0% of the pool), which is secured by a 324-unit
multifamily property located in East Moriches, New York. The
property was 99% leased as of March 2013 compared to 97% at last
review. Performance has remained stable since securitization.
Moody's LTV and stressed DSCR are 99% and 0.93X, respectively,
compared to 101% and 0.91X at last review.
The second largest loan is the Sherman Tower Center Loan ($33.2
million -- 2.9% of the pool), which is secured by a 285,000 SF
retail shopping center located in Sherman, Texas. The center is
part of a larger 678,000 SF retail center. The collateral is
shadow-anchored by Target, Home Depot and Wal-Mart. The property
was 100% leased as of June 2013, the same as at last review.
Moody's LTV and stressed DSCR are 89% and 1.09X, respectively,
compared to 89% and 1.10X at last review.
The third largest loan is the Fountain Square Loan ($32.5 million
-- 2.9% of the pool), which is secured by three office buildings
representing 242,000 SF located in Boca Raton, Florida. As of June
2013, the subject was 63% leased compared to 66% at last review.
Property performance declined since last review, mainly due to the
loss of three tenants (12% of the NRA) in 2011. In addition, about
20% of the NRA is scheduled to expire in 2013 and 2014. Due to the
decline in property performance and the upcoming tenant rollover,
Moody's is concerned about the loan's ability to refinance at the
maturity date in November 2014 and views this loan as a troubled
loan. Moody's LTV and stressed DSCR is 149% and 0.65X,
respectively, compared to 137% and 0.71X at last review.
JP MORGAN 2013-C15: Fitch Rates $23.85MM Class E Notes 'BBsf'
-------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to the J.P. Morgan Chase Commercial Mortgage Securities
Trust, Series 2013-C15 commercial mortgage pass-through
certificates.
-- $63,681,000 class A-1 'AAAsf'; Outlook Stable;
-- $285,321,000 class A-2 'AAAsf'; Outlook Stable;
-- $21,444,000 class A-3 'AAAsf'; Outlook Stable;
-- $110,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $206,902,000 class A-5 'AAAsf'; Outlook Stable;
-- $67,687,000 class A-SB 'AAAsf'; Outlook Stable;
-- (a,c,d,e) $80,000,000 class A-2FL 'AAAsf'; Outlook Stable;
-- (a,d) $0 class A-2FX 'AAAsf'; Outlook Stable;
-- $93,942,000 class A-S 'AAAsf'; Outlook Stable;
-- (b) $928,977,000 class X-A 'AAAsf'; Outlook Stable;
-- (b) $76,047,000 class X-B 'AA-sf'; Outlook Stable;
-- $76,047,000 class B 'AA-sf'; Outlook Stable;
-- $44,734,000 class C 'A-sf'; Outlook Stable;
-- (a) $59,646,000 class D 'BBB-sf'; Outlook Stable;
-- (a) $23,858,000 class E 'BBsf'; Outlook Stable;
-- (a) $11,929,000 class F 'Bsf'; Outlook Stable.
(a) Privately placed pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Floating Rate.
(d) All or a portion of the Class A-2FL certificates may may be
exchanged for Class A-2FX certificates. The aggregate
certificate balance of the Class A-2FL certificates and Class
A-2FX certificates will at all times equal the certificate
balance of the Class A-2FX regular interest.
(e) Rating reflects receipt of the fixed rate payment of the A-
2FL/A-2FX regular interest.
Fitch does not rate the $47,716,349 non-rated class or the
$83,503,349 class X-C. The class A-2 balance has been reduced and
two new classes (A-2FL and A-2FX) have been added to the deal
structure since Fitch issued its expected ratings. The classes
above reflect the final ratings and deal structure.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 68 loans secured by 151 commercial
properties having an aggregate principal balance of approximately
$1.193 billion as of the cutoff date. The loans were contributed
to the trust by JPMorgan Chase Bank, National Association,
Barclays Bank PLC, Starwood Mortgage Funding LLC, and KeyBank
National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 76.1% of the properties
by balance, cash flow analysis of 86.1%, and asset summary reviews
on 86.1% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.17x, a Fitch stressed loan-to-value (LTV) of 101.7%,
and a Fitch debt yield of 9.08%. Fitch's aggregate net cash flow
represents a variance of 7.15% to issuer cash flows.
Key Rating Drivers:
Fitch Leverage: The Fitch DSCR of 1.17x is below the average 2012
and first-half 2013 of 1.24x and 1.36x, respectively. The Fitch
LTV of 101.7% is higher than the 2012 and first-half 2013 averages
of 97.2% and 99.8%, respectively.
Subordinate Debt: Eight loans (21.4%) have subordinate debt,
including the largest loan, Veritas Multifamily Portfolio, which
has a B note as well as two layers of preferred equity. Three
other loans in the top 10 (369 Lexington Avenue, Regency Park
Apartments, and 2 West 46th Street) all have mezzanine debt.
Concentration in Michigan: The pool has an above average
concentration of properties in Michigan with 13 properties (9.1%),
atypical of CMBS 2.0 transactions. The properties are generally
stable performers and considered best in class assets. The largest
concentration in this pool is Texas (17.3%), followed by
California (15.4%) and Nevada (10.1%).
Multifamily Concentration: Multifamily properties comprise 20.4%
of the portfolio, which is greater than the first-half 2013
concentration of 8.9%. This consists largely of the largest loan
in the pool, Veritas Multifamily Portfolio (10.0%). Additionally,
5.7% of the pool is backed by manufactured housing communities.
The largest property types are retail (28.8%) and office (28.2%
Rating Sensitivities:
Fitch performed two model-based break-even analyses to determine
the level of cash flow and value deterioration the pool could
withstand prior to $1 of loss being experienced by the 'BBB-sf'
and 'AAAsf' rated classes. Fitch found that the JPMBB 2013-C15
pool could withstand a 40.08% decline in value (based on appraised
values at issuance) and an approximately 17.17% decrease to the
most recent actual cash flow prior to experiencing a $1 of loss to
the 'BBB-sf' rated class. Additionally, Fitch found that the pool
could withstand a 49.82% decline in value and an approximately
30.64% decrease in the most recent actual cash flow prior to
experiencing $1 of loss to any 'AAAsf' rated class.
The master servicer will be Wells Fargo Bank, National
Association, rated 'CMS1-' by Fitch. The special servicer will be
LNR Partners LLC, rated 'CSS1-' by Fitch.
JP MORGAN 2013-INN: Moody's Rates Class X-CP Notes 'Ba3(sf)'
------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CMBS securities, issued by J.P. Morgan Chase Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates Series 2013-
INN
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba2 (sf)
Cl. X-CP, Definitive Rating Assigned Ba3 (sf)
Ratings Rationale:
The Certificates are collateralized by a single loan backed by
cross-collateralized and cross-defaulted mortgage liens on 50 fee
simple interests and one leasehold interest in hotel properties
located in 16 states throughout the United States. The portfolio
is comprised of eight different nationally recognized brands. The
mortgage loan has an initial 2-year term, and three one-year
extension options (five-year fully extended term) evidenced by a
single promissory note. The total principal balance of the
mortgage loan is $575 million. Debt service is calculated using an
interest only payment.
The ratings are based on the collateral and the structure of the
transaction.
Moody's rating approach for securities backed by a single loan
compares the credit risk inherent in the underlying properties
with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of the loan is determined primarily by two
factors: 1) Moody's assessment of the probability of default,
which is largely driven by the DSCR, and 2) Moody's assessment of
the severity of loss in the event of default, which is largely
driven by the LTV of the underlying loan.
Based on Moody's assessment of stabilized net cash flow and the
current interest rate, Moody's Trust DSCR is 4.56X and Moody's
Total Debt DSCR (inclusive of mezzanine debt) is 1.77X.
Based on Moody's assessment of stabilized net cash flow and a
stressed constant of 9.25%, the Moody's Trust Stressed DSCR is
1.60X and Moody's Total Debt Stressed DSCR (inclusive of mezzanine
debt) is 1.03X.
The first mortgage balance of $575,000,000 represents a Moody's
LTV ratio of 76.0% which is in-line with other single-borrower
lodging portfolios that have been assigned a bottom-dollar credit
assessment of Ba2 by Moody's. Moody's also considers subordinate
financing when assigning ratings. The loan is structured with
$375,000,000 of additional financing in the form of mezzanine
debt, raising Moody's Total LTV ratio to 125.5%.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.6. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
The V Score for this transaction is assessed as Medium, the same
as the V score assigned to the U.S. Single Borrower CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, or 22%, the model-indicated rating for the currently
rated Aaa classes would be Aa1, Aa2, or A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
KATONAH VIII: Moody's Affirms Ba2 Rating on $28MM Class D Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Katonah VIII CLO, Ltd.:
U.S. $18,000,000 Class B Floating Rate Notes Due May 20, 2018,
Upgraded to Aaa (sf); previously on April 17, 2012 Upgraded to Aa2
(sf);
U.S. $21,000,000 Class C Floating Rate Notes Due May 20, 2018,
Upgraded to Aa3 (sf); previously on April 17, 2012 Upgraded to
Baa1 (sf).
Moody's also affirmed the ratings of the following notes:
U.S. $300,000,000 Class A Floating Rate Notes Due 2018 (current
outstanding balance of $134,354,645.37), Affirmed Aaa (sf);
previously on August 19, 2011 Upgraded to Aaa (sf);
U.S. $28,000,000 Class D Floating Rate Notes Due 2018 (current
outstanding balance of $ 25,282,985.65), Affirmed Ba2 (sf);
previously on August 19, 2011 Upgraded to Ba2 (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
September 2012. Moody's notes that the Class A Notes have been
paid down by approximately 53.7% or $155.6 million since that
time. Based on the latest trustee report dated September 20, 2013,
the Class A/B, Class C, and Class D overcollateralization ratios
are reported at 140.5%, 123.5% and 107.7%, respectively, versus
September 2012 levels of 120.2%. 112.5% and 104.5%, respectively.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, weighted average spread 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 $205.6 million, defaulted par of
$19.0 million, a weighted average default probability of 15.3%
(implying a WARF of 2546), a weighted average recovery rate upon
default of 51.8%, a weighted average spread of 3.1% and a
diversity score of 34. 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.
Katonah VIII CLO, Ltd., issued in June 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
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 described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is a summary
of the impact of different default probabilities (expressed in
terms of WARF levels) on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2037)
Class A: 0
Class B: 0
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3055)
Class A: 0
Class B: 0
Class C: -2
Class D: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
KEUKA PARK: Moody's Rates $22.5MM Class E Floating Rate Notes Ba3
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Keuka Park
CLO, Ltd.:
U.S.$246,000,000 Class A Senior Secured Floating Rate Notes due
2024 (the "Class A Notes"), Assigned (P)Aaa (sf)
U.S.$23,000,000 Class B-1 Senior Secured Floating Rate Notes due
2024 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf)
U.S.$23,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2024
(the "Class B-2 Notes"), Assigned (P)Aa2 (sf)
U.S.$33,000,000 Class C Secured Deferrable Floating Rate Notes due
2024 (the "Class C Notes"), Assigned (P)A2 (sf)
U.S.$22,000,000 Class D Secured Deferrable Floating Rate Notes due
2024 (the "Class D Notes"), Assigned (P)Baa3 (sf)
U.S.$22,500,000 Class E Secured Deferrable Floating Rate Notes due
2024 (the "Class E Notes"), Assigned (P)Ba3 (sf)
U.S.$7,000,000 Class F Secured Deferrable Floating Rate Notes due
2024 (the "Class F Notes"), Assigned (P)B2 (sf)
The Class A Notes, Class B-1 Notes, Class B-2 Notes, Class C
Notes, Class D Notes, Class E Notes and Class F Notes are referred
to herein, collectively, as the "Rated Notes".
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating (if any) may differ
from a provisional rating.
Ratings Rationale:
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
loans, the transaction's legal structure, and the characteristics
of the underlying assets.
Keuka Park CLO is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien
senior secured corporate debt. At least 95% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 5% of the portfolio may consist of second lien loans,
unsecured loans, senior secured bonds, senior secured floating
rate notes and unsecured bonds. The underlying collateral pool is
expected to be approximately 60% ramped as of the closing date.
GSO / Blackstone Debt Funds Management LLC (the "Manager") will
direct the selection, acquisition and disposition of collateral on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. During the two-years following the end of the
reinvestment period, the Manager may reinvest unscheduled
principal payments and proceeds from sales of credit risk
obligations, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 3.2.1.2
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2650
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 5.50%
Weighted Average Recovery Rate (WARR): 46.50%
Weighted Average Life (WAL): 8 years.
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Percentage Change in WARF -- increase of 15% (from 2650 to 3048)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: 0
Class B-2 Notes: 0
Class C Notes: -1
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2650 to 3445)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
Class F Notes: -3
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009.
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.
KEYCORP STUDENT 200-B: Moody's Reviews Class A-2 Notes Rating
-------------------------------------------------------------
Moody's Investors Service has placed under review for possible
upgrade four classes of notes in three KeyCorp Student Loan
Trusts. The underlying collateral for these transactions includes
loans originated under the Federal Family Education Loan Program
(FFELP), which are guaranteed by the U.S. government for a minimum
of 98% of defaulted principal and accrued interest, and private
student loans.
Ratings Rationale:
The actions were prompted by the continued build-up in
overcollateralization as a result of both improved collateral
performance and use of all available excess spread to pay down the
notes (the transactions are currently in a full turbo mode). The
ratios of total assets to total liabilities have increased to
111.0%, 114.9% and 101.5% as of June-July 2013 from 107.1%, 108.8%
and 100.5% as of June-July 2012 for the 1999-B, 2000-A and 2000-B
transactions, respectively.
During the review period, Moody's will project lifetime defaults
and net losses on the collateral and assess whether the available
credit enhancement is sufficient to upgrade the current ratings of
the affected classes of notes.
Ratings:
Complete rating actions are as follows:
Issuer: KeyCorp Student Loan Trust 1999-B
Class M Notes, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Sep 30, 1999 Assigned Aa3 (sf)
Certificates, A3 (sf) Placed Under Review for Possible Upgrade;
previously on Sep 30, 1999 Assigned A3 (sf)
Issuer: KeyCorp Student Loan Trust 2000-A
Class A-2, Baa2 (sf) Placed Under Review for Possible Upgrade;
previously on Nov 1, 2010 Downgraded to Baa2 (sf)
Issuer: KeyCorp Student Loan Trust 2000-B
Class A-2, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Nov 1, 2010 Downgraded to B1 (sf)
KKR FINANCIAL 2005-1: S&P Raises Rating on Class F Notes to 'B+'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, E, and F notes from KKR Financial CLO 2005-1 Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by KKR
Financial Advisors. In addition, S&P removed its ratings on
classes B, C, and D from CreditWatch, where it had placed them
with positive implications on Sept. 5, 2013. S&P also affirmed
its ratings on the class A-1 notes.
The transaction is in its amortization phase and continues to use
its principal proceeds to pay down the senior notes in the payment
sequence specified in the transaction's documents. Following
S&P's review, the rating actions reflect $495.1 million in
paydowns to the class A-1 notes to 13.6% of their original
balance. The upgrades also reflect the transaction's
overcollateralization ratio tests, which have improved due to the
aforementioned paydowns.
The amount of 'CCC' rated collateral held in the transaction's
asset portfolio has decreased since our March 2012 rating actions.
According to the September 2013 trustee report, the transaction
held $72.8 million in 'CCC' rated collateral (down from
$83.9 million noted in the January 2012 trustee report, which S&P
used for its March 2012 rating actions). However, 'CCC' rated
collateral as a percentage of total collateral has increased to
18.2% from 9.1% over this period. In addition, according to the
September 2013 trustee report, the transaction held $4.7 million
in defaulted assets (up from $2.0 million noted in the January
2012 trustee report).
The rating actions on the class C and D notes were driven by the
applications of the largest obligor supplemental test.
S&P also notes that the transaction has exposure to long-dated
assets (i.e., assets maturing after the stated maturity of the
CLO). According to the September 2013, trustee report, the
balance of collateral with maturity dates after the stated
maturity of the transaction accounted for 40.3% of the portfolio.
S&P's analysis accounted for the potential market value and/or
settlement related risk arising from the potential liquidation of
the remaining securities on the legal final maturity date of the
transaction.
The affirmations on the class A-1 notes reflects S&P's belief that
the credit support available is commensurate with the current
ratings.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied forward-
looking assumptions on the expected timing and pattern of defaults
and recoveries upon default, under various interest-rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal to each of the rated tranches. In S&P's view, the
results of its cash flow analysis demonstrated that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
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 S&P will take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
KKR Financial CLO 2005-1 Ltd
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C A+ (sf) A (sf)/Watch Pos
D BBB+ (sf) BB+ (sf)/Watch Pos
E BB+ (sf) BB (sf)
F B+ (sf) B (sf)
RATING AFFIRMED
KKR Financial CLO 2005-1 Ltd
Class Rating
A-1 AAA (sf)
LEHMAN XS 2005-6: Moody's Cuts Rating on 3 Note Classes to 'B2'
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches issued by Lehman XS Trust Series 2005-6, backed by Alt-A
loans currently serviced by Nationstar Mortgage LLC:
Complete rating actions are as follows:
Issuer: Lehman XS Trust Series 2005-6
Cl. 3-A2A, Downgraded to B2 (sf); previously on Aug 1, 2013
Downgraded to Baa3 (sf) and Placed Under Review for Possible
Downgrade
Cl. 3-A2B, Downgraded to B2 (sf); previously on Aug 1, 2013
Downgraded to Baa3 (sf) and Placed Under Review for Possible
Downgrade
Cl. 3-A2C, Downgraded to B3 (sf); previously on Aug 1, 2013 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A4A, Downgraded to B2 (sf); previously on Aug 1, 2013
Downgraded to Baa3 (sf) and Placed Under Review for Possible
Downgrade
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools.
Classes 3-A2A, 3-A2B, 3-A2C and 3-A4A have unpaid interest
shortfalls of around 0.65% -- 0.75% of their original balance as
of October 2013. While the group 3 bonds have a strong interest
reimbursement mechanism, losses are not allocated to these bonds
and they are currently under-collateralized by $6.8mn, resulting
in the interest shortfall on the bonds. Any subsequent losses on
the pool will further increase the under-collateralization,
creating a mismatch between the interest accrued on the collateral
and due on the larger balance bonds thus increasing the shortfall
and reducing any excess funds available to cover the shortfalls.
Furthermore, the advance rate on the underlying pool has reduced
over the past year from 36% in October 2012 to 15% in September
2013, which has added to the increasing shortfall on the bonds.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
7.8% in September 2012 to 7.2% in September 2013. Moody's
forecasts an unemployment central range of 6.5% to 7.5% for the
2014 year. Moody's expects house prices to continue to rise in
2014. Performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
LONGHORN CDO: S&P Lowers Rating on Class E Notes to 'CC'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
E notes from Longhorn CDO III Ltd., a U.S. collateralized loan
obligation (CLO) transaction managed by Black Rock Financial
Management Inc.
The downgrade reflects the low interest coverage and that the
outstanding class E notes balance is not fully covered by the
total par amount of the underlying collateral.
According to the October 2013 trustee report, the class E
overcollateralization and interest coverage ratios are reported at
75.83% and 20.47%, respectively. From the Oct. 13, 2013, note
valuation report, the class E notes are currently deferring their
interest payment.
Standard & Poor's will continue to review whether, in its view,
the rating assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING LOWERED
Longhorn CDO III Ltd.
Class Rating
To From
E CC (sf) CCC- (sf)
MACH ONE 2004-1: S&P Raises Rating on Class G Notes to 'BB'
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of certificates from Mach One 2004-1 LLC, a U.S. re-
securitized real estate mortgage investment conduit (re-REMIC)
transaction. Concurrently, S&P affirmed its ratings on five other
classes from the same transaction. In addition, S&P withdrew its
rating on the class C certificates following full principal
repayment as noted in the September 2013 trustee report.
The rating actions reflect S&P's analysis of the transaction's
liability structure and the underlying collateral's credit
characteristics using its global collateralized debt obligations
(CDOs) of pooled structured finance assets criteria. The rating
actions also reflect the results of the largest obligor default
test, which is part of the supplemental stress test. The largest
obligor default test assesses the ability of a rated CDO of pooled
structured finance liability tranches to withstand the default of
a minimum number of the largest credit or obligor exposures within
an asset pool, factoring in the underlying assets' credit quality.
The upgrades reflect increased credit enhancement levels from
principal repayment of the underlying collateral. The upgrades
also reflect the transaction's exposure to underlying CMBS
collateral that has been upgraded ($12.1 million, 9%). The
ratings or credit opinions on the collateral from the
three transactions have been raised:
-- GMAC Commercial Mortgage Securities Inc. series 1997-C1
(class G; $9.3 million, 6.9%).
-- GS Mortgage Securities Corp. II series 1998-C1 (class G;
$1.5 million, 1.1%).
-- Credit Suisse First Boston Mortgage Securities Corp. series
1997-C2 (class F; $1.4 million, 1.0%).
According to the Sept. 30, 2013, trustee report, the transaction's
collateral totaled $135.1 million, while its liabilities
(including cumulative interest shortfalls) totaled $136.8 million,
which is down from liabilities of $643.3 million at issuance. The
transaction's current asset pool includes 20 CMBS tranches from 18
distinct transactions issued between 1997 and 2001
($135.1 million; 100%). Of the underlying collateral,
$70.4 million (52.1%) have investment-grade ratings or credit
opinions.
The following three transactions have the highest exposure in Mach
One 2004-1 LLC:
-- Credit Suisse First Boston Mortgage Securities Corp. 1998-C2
(class F; $30.2 million, 22.3%).
-- Credit Suisse First Boston Mortgage Securities Corp. 1998-C1
(classes F and G; $25.7 million, 19.0%).
-- Morgan Stanley Capital I Inc. series 1998-WF2 (class L;
$15.9 million, 11.8%).
The ratings actions remain consistent with the credit enhancement
available to support them and reflect S&P's analysis of the
transaction's liability structure and the underlying collateral's
credit characteristics.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
Mach One 2004-1
Rating
Class To From
D AA- (sf) BBB- (sf)
E A+ (sf) BB+ (sf)
F BBB (sf) B+ (sf)
G BB (sf) CCC+ (sf)
RATINGS AFFIRMED
Mach One 2004-1
Class Rating
H CCC+ (sf)
J CCC- (sf)
K CCC- (sf)
L CCC- (sf)
M CCC- (sf)
RATING WITHDRAWN
Mach One 2004-1
Rating
Class To From
C NR BBB+ (sf)
MAGNOLIA FINANCE 2005-6: Moody's Affirms B1 Rating on Cl. B Notes
-----------------------------------------------------------------
Moody's has affirmed the rating of one class of notes issued by
Magnolia Finance II Series 2005-6 due to the key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO Synthetic) transactions.
Moody's rating action is as follows:
Cl. B, Affirmed B1 (sf); previously on Feb 6, 2013 Downgraded to
B1 (sf)
Ratings Rationale:
Magnolia Finance II Series 2005-6 is a static synthetic
transaction backed by a portfolio of credit default swaps on
commercial mortgage backed securities (CMBS) (100.0% of the pool
balance). As of the October 25, 2013 investor report, the
aggregate note balance of the transaction, including preferred
shares, has decreased to $75.3 million from $307.0 million at
issuance. The reduction in the note balance is due to the optional
full redemption of Class A notes and partial redemption of Class B
notes.
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 reference obligations. Moody's modeled a bottom-dollar WARF
of 143 compared to 119 at last review. The current distribution of
Moody's rated reference obligations and assessments for non-
Moody's rated reference obligations is as follows: Aaa-Aa3 (81.7%
compared to 85.1% at last review), A1-A3 (10.1% compared to 7.4%
at last review), Baa1-Baa3 (3.4% compared to 3.7% at last review),
Ba1-Ba3 (3.4% compared to 3.1% at last review), B1-B3 (0.8%
compared to 0.0% at last review), and Caa1-C (0.7%, the same as at
last review).
Moody's modeled a WAL of 3.1 years compared to 3.2 years at last
review. The current WAL is based upon assumptions made on
extensions on the underlying reference obligations.
Moody's modeled a fixed WARR of 63.2% compared to 64.5% at last
review.
Moody's modeled a MAC of 16.0% compared to 15.3% 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.
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. Rated notes are particularly sensitive to
credit changes within the reference obligations. Holding all other
key parameters static, changing the current ratings of the
reference obligations by one notch downward or by one notch
upward, affects the model results by approximately 2 notches
downward and 2 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery in the 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.
MERRILL LYNCH: S&P Hikes Rating on 1998-Canada1 Cl. F CMBS From B+
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from
Merrill Lynch Financial Assets Inc.'s series 1998-Canada 1, a
Canadian commercial mortgage-backed securities (CMBS) transaction.
The rating actions reflect S&P's analysis of the transaction,
which primarily used its criteria for rating U.S. and Canadian
CMBS. S&P's analysis included a review of the credit
characteristics of all of the remaining loans in the pool, the
transaction structure, and the liquidity available to the trust.
The upgrades reflect the available credit enhancement S&P expects
for these classes, which it believes is greater than its most
recent estimate of necessary credit enhancement for the respective
rating levels. The upgrades also reflect S&P's views regarding
the current and future performance of the transaction's
collateral, and the deleveraging of the trust balance. To date,
the trust has incurred C$31,169 in principal losses, and no loans
were reported to be with the special servicer.
While available credit enhancement levels may suggest further
positive rating movement to the class F certificates, S&P's
analysis considered the declining occupancy and net cash flow of
the King's Health Centre loan, discussed below.
As of the Oct. 15, 2013, trustee remittance report, the collateral
pool consisted of two loans with a C$9.4 million aggregate
principal balance, down from 27 loans with a C$182.1 million
aggregate balance at issuance. There are currently no loans with
the special servicer, CWCapital Asset Management LLC (CWCapital);
and Midland Loan Services Inc. (Midland), the master servicer,
reported no loans on its watchlist. Using Midland-provided
financial information, S&P calculated a Standard & Poor's adjusted
debt service coverage (DSC) ratio of 1.56x, and a Standard &
Poor's loan-to-value (LTV) ratio of 25.2% for pool.
Details of the two remaining loans are as follows:
The King's Health Centre loan (C$5.0 million, 53.0%) is secured by
a 132,000-sq.-ft. office property in Toronto. According to the
March 2013 property inspection, vacancy increased to 44.4% in 2013
from 32.3% in 2012 due to a major tenant's expected exit. The
most recent reported DSC was 1.28x for the year ended Dec. 31,
2012. This fully amortizing loan matures on Sept. 1, 2018.
The Hotel Manoir Victoria loan (C$4.4 million, 47.0%) is secured
by a 145-room hotel property in Quebec City, QB. The most recent
reported DSC was 1.70x, and reported occupancy was 68.7% as of
Aug. 31, 2012. This fully amortizing loan matures on March 1,
2020.
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
Merrill Lynch Financial Assets Inc. Series 1998-Canada 1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
E AAA (sf) BBB (sf) 86.68
F BBB+ (sf) B+ (sf) 49.94
MERRILL LYNCH: S&P Hikes Rating on 2002-Canada7 Cl. J CMBS From B-
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from
Merrill Lynch Financial Assets Inc.'s series 2002-Canada7, a
Canadian commercial mortgage-backed securities (CMBS) transaction.
The rating actions reflect S&P's analysis of the transaction,
which primarily used its criteria for rating U.S. and Canadian
CMBS. S&P's analysis included a review of the credit
characteristics of all of the remaining loans in the pool, the
transaction structure, and the liquidity available to the trust.
The upgrades reflect the available credit enhancement S&P expects
for these classes, which it believes is greater than its most
recent estimate of necessary credit enhancement for the respective
rating levels. The upgrades also reflect S&P's views regarding
the current and future performance of the transaction's
collateral, and the deleveraging of the trust balance. To date,
the trust has incurred C$2.0 million of principal losses, and no
loans are reported to be with the special servicer.
While available credit enhancement levels may suggest further
positive rating movement to class J, S&P's analysis considered the
additional risk associated with the timing of lease expirations
for the Kanata, Ont., office property loan, discussed below.
As of the Oct. 12, 2013, trustee remittance report, the collateral
pool consisted of three loans with a C$3.7 million aggregate
principal balance, down from 49 loans with a C$280.7 million
aggregate balance at issuance. There are currently no loans with
the special servicer, Midland Loan Services Inc. (Midland); and no
loans reported on the watchlist by the master servicer, also
Midland. Using Midland-provided financial information, S&P
calculated a Standard & Poor's adjusted debt service coverage
(DSC) ratio of 1.41x, and a Standard & Poor's loan-to-value (LTV)
ratio of 24.5% for pool.
Details of the three remaining loans are as follows:
The largest loan in the pool (C$2.4 million, 62.9%) is secured by
a 62,848-sq.-ft. office property in Kanata, Ont. According to the
March 2013 rent roll, the leases for 31.0% of the property are set
to expire four months before the loan's balloon maturity on
Oct. 1, 2014. The most recent reported DSC was 1.49x for the year
ended Dec. 31, 2012.
The second-largest loan in the pool (C$899,364, 24.0%) is secured
by a 46,455-sq.-ft. industrial property in Hamilton, Ont. The
most recent reported DSC was 1.42x, and reported occupancy was
100% for the year ended Dec. 31, 2012. This fully amortizing loan
matures on Oct. 1, 2016.
The third-largest loan in the pool (C$490,988, 13.1%) is secured
by a 21,591-sq.-ft. retail property in Hope, B.C. The most recent
reported DSC was 1.90x, and reported occupancy was 100% for the
year ended Dec. 31, 2012. This fully amortizing loan matures on
June 1, 2016.
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
Merrill Lynch Financial Assets Inc.
Commercial mortgage pass-through certificates series 2002-Canada7
Rating
Class To From Credit enhancement (%)
H AAA (sf) B (sf) 97.64
J BBB- (sf) B- (sf) 60.17
ML-CFC 2007-6: Fitch Affirms 'Csf' Ratings on 9 Note Classes
------------------------------------------------------------
Fitch Ratings has affirmed 21 classes of ML-CFC Commercial
Mortgage Trust commercial mortgage pass-through certificates,
series 2007-6. A detailed list of rating actions follows at the
end of this press release.
Key Rating Drivers:
The affirmations are warranted due to stable loss expectations
since Fitch's last review. Fitch modeled losses of 20.3% of the
remaining pool; expected losses on the original pool balance total
19.1%, including $24.9 million (1.2% of the original pool balance)
in realized losses to date. Fitch has designated 48 loans (41%) as
Fitch Loans of Concern, which includes 16 specially serviced
assets (23.8%).
As of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 11.5% to $1.9 billion from
$2.15 billion at issuance. Per the servicer reporting, one loan
(0.2% of the pool) is defeased. Interest shortfalls are currently
affecting classes AJ through Q.
The largest contributor to expected losses is the MSKP Retail
Portfolio A loan (11.8% of the pool), which is secured by eight
neighborhood, regional, and power centers located in four distinct
markets in Florida totaling 1,282,350 square feet (sf). Five
properties are located in the Orlando metropolitan statistical
area (MSA), one in the Palm Beach MSA, one in the Ft. Lauderdale
MSA, and one in Port Charlotte in southwest Florida. Property
performance has steadily declined due to weak local retail
markets, which has resulted in lower rents and a drop in occupancy
from 88% at issuance to 78% at year-end 2012. After initially
being transferred to the special servicer in March 2011, the
portfolio was returned to the master servicer as a modified loan
in October 2012. Terms of the modification included the
bifurcation of the loan into a senior ($130.3 million) and junior
($93.1 million) component with maturity being extended to March
2019; both notes will retain the original note rate of 5.6% and
remain as interest only through maturity. Although losses are not
expected imminently, any recovery to the subject B-note is
contingent upon full recovery to the A-note proceeds at the loan's
maturity in March 2019. Unless collateral performance improves,
recovery to the B-note component is unlikely.
The next largest contributor to expected losses is the specially-
serviced Peter Cooper Village/Stuyvesant Town (PCV/ST) loan (10.6%
of the pool), which is secured by a 56-building multi-family
complex with 11,227 units located on the east side of Manhattan in
New York City. The loan transferred to special servicing in
November 2009 at the borrowers request. Subsequently, in October
2012 PCV/ST suffered damage from Hurricane Sandy; property
restoration efforts are on-going including repairs to the basement
and landscaping. Additionally, in November 2012 the special
servicer (CWCapital) announced a settlement to The Roberts
Litigation to address historical overcharges and future rents for
over 4,300 units. Final approval for the settlement was received
in April 2013 and it is anticipated that implementation will take
approximately 18 months. The second-quarter 2013 NOI DSCR was
0.92x and current occupancy is 98%. Fitch believes that
stabilization of the property remains on schedule and expects the
property to be marketed for sale in mid-to-late 2014.
The third largest contributor to expected losses is the MSKP
Retail Portfolio B loan (3.1%), which is secured by one grocery-
anchored and one unanchored retail center in two distinct markets
in Florida with a total of 207,715 sf. The grocery-anchored center
is located in Ft. Lauderdale, and the unanchored center is located
in Palm Beach County. Total occupancy on the portfolio has
gradually declined from 92% at issuance to 78% at year-end 2012,
driven by occupancy at the Palm Beach County property. After
initially being transferred to the special servicer in March 2011,
the portfolio was returned to the master servicer as a modified
loan in October 2012. Terms of the modification included the
bifurcation of the loan into a senior ($29.7 million) and junior
($29.7 million) component with maturity being extended to March
2019; both notes will retain the original note rate of 5.53% and
remain as interest-only through maturity. Although losses are not
expected imminently, any recovery to the subject B-note is
contingent upon full recovery to the A-note proceeds at the loan's
maturity in March 2019. Unless collateral performance improves,
recovery to the B-note component is unlikely.
Rating Sensitivity:
Rating Outlooks on classes A-2 and A-2FL remain Stable due to the
payment priority in the capital structure with continued pay down.
Rating Outlooks on classes A-3, A-4, A-1A and A-M are Negative and
may be subject to further downgrades if there is further
deterioration of the pool's cash flow performance and/or decrease
in value of the specially serviced loans. Additional downgrades to
the distressed classes (those rated below 'B') are expected as
losses are realized on specially serviced loans.
Fitch affirms the following classes and revises Outlooks as
indicated:
-- $78.1 million class A-2 at 'AAAsf', Outlook Stable;
-- $68.7 million class A-2FL at 'AAAsf', Outlook Stable;
-- $60.7 million class A-3 at 'AAAsf', Outlook to Negative from
Stable;
-- $729 million class A-4 at 'AAAsf', Outlook to Negative from
Stable;
-- $344.1 million class A-1A at 'AAAsf', Outlook to Negative from
Stable;
-- $214.6 million class AM at 'BBsf', Outlook Negative;
-- $107.4 million class AJ at 'CCCsf', RE 10%;
-- $75 million class AJ-FL at 'CCCsf', RE 10%;
-- $42.9 million class B at 'CCCsf', RE 0%;
-- $16.1 million class C at 'CCsf', RE 0%;
-- $34.9 million class D at 'CCsf', RE 0%;
-- $18.8 million class E at 'CCsf', RE 0%;
-- $24.1 million class F at 'Csf', RE 0%;
-- $24.1 million class G at 'Csf', RE 0%;
-- $26.8 million class H at 'Csf', RE 0%;
-- $5.4 million class J at 'Csf', RE 0%;
-- $5.4 million class K at 'Csf', RE 0%;
-- $5.4 million class L at 'Csf', RE 0%;
-- $5.4 million class M at 'Csf', RE 0%;
-- $5.4 million class N at 'Csf', RE 0%;
-- $5.4 million class P at 'Csf', RE 0%.
Fitch does not rate the class Q certificates. Fitch previously
withdrew the rating on the interest-only class X certificates.
MORGAN STANLEY 2005-IQ9: Fitch Affirms 'D' Rating on Class M Notes
------------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Morgan Stanley Capital I
Trust's commercial mortgage pass-through certificates, series
2005-IQ9.
Key Rating Drivers:
The affirmations of the remaining Fitch rated classes are due to
stable performance of the pool. Fitch modeled losses of 3.2% of
the remaining pool; expected losses on the original pool balance
total 3.3%, including $22.6 million (1.5% of the original pool
balance) in realized losses to date. Fitch has designated 62 loans
(21.8% of the pool) as Fitch Loans of Concern, which includes
three specially serviced assets (1.3% of the pool).
As of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 42.4% to $882.2 million from
$1.53 billion at issuance. Per the servicer reporting, five loans
(3% of the pool) are defeased. Interest shortfalls are currently
affecting classes K through P.
The largest contributor to expected losses (1.1% of the pool) is a
loan secured by a 147,377 square foot (sf) light industrial
facility consisting of 11 buildings, located in West Palm Beach,
Florida. The loan was transferred back to the master servicer from
the special servicer in January 2012. Occupancy was 64% as of
March 2013, which is up from 60% and 58% as of YE (year end) 2012
and June 2012, respectively.
The second largest contributor to expected losses (1.1% of the
pool) is a loan secured by an 88,962 sf office property located in
Los Angeles, CA. DSCR has declined to 0.63x as of 2Q'13 due in
part to a drop in occupancy to 70%.
The third largest contributor to expected losses is a specially-
serviced loan (0.7% of the pool), which is secured by a 441-unit
co-op in Decatur, GA. The loan transferred to special servicing in
February 2012. The borrower experienced financial hardships due to
prior mismanagement and increasing vacancy as a result of poor
condition of the units. Occupancy was 58% and DSCR was 0.65x as of
YE 2012. Repairs are needed to several vacant units in order to
increase occupancy.
Rating Sensitivity:
The ratings of the senior classes A-1A, A-5, A-J, B, C, and D are
expected to remain stable as credit enhancement has been
increasing. Rating Outlooks on classes E, F and G are Negative as
they may be subject to further rating actions should loans not
refinance at their expected maturity dates and realized losses be
greater than Fitch's expectations. The distressed classes (those
rated below 'B') may be subject to further downgrades as losses
are realized.
Fitch affirms the following class and revises the Rating Outlook:
-- $26.8 million class D at 'BBB+sf', Outlook to Stable from
Negative.
Fitch affirms the following classes as indicated:
-- $174.3 million class A-1A at 'AAAsf', Outlook Stable;
-- $424.2 million class A-5 at 'AAAsf', Outlook Stable;
-- $130.2 million class A-J at 'AAsf', Outlook Stable;
-- $32.6 million class B at 'Asf', Outlook Stable;
-- $11.5 million class C at 'Asf', Outlook Stable;
-- $15.3 million class E at 'BBBsf', Outlook Negative;
-- $15.3 million class F at 'BBsf', Outlook Negative;
-- $11.5 million class G at 'Bsf', Outlook Negative;
-- $17.2 million class H at 'CCCsf', RE 35%;
-- $5.7 million class J at 'CCCsf', RE 0%;
-- $7.7 million class K at 'CCsf', RE 0%;
-- $5.7 million class L at 'Csf', RE 0%;
-- $4.2 million class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-4 and A-AB certificates have paid in
full. Fitch does not rate the class P certificates. Fitch
previously withdrew the ratings on the interest-only class X-1, X-
2 and X-Y certificates.
MORGAN STANLEY 2013-C12: Moody's Rates Class F Notes 'B1(sf)'
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to thirteen classes
of CMBS securities, issued by Morgan Stanley Bank of America
Merrill Lynch Trust 2013-C12:
CMBS Classes
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. 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 A1 (sf)
Cl. C**, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba2 (sf)
Cl. F, Definitive Rating Assigned B1 (sf)
* Reflects Interest Only Class
** Reflects Exchangeable Certificates
Ratings Rationale:
The Certificates are collateralized by 72 fixed rate loans secured
by 93 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 1.52X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.02X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 102.3% is lower than the 2007
conduit/fusion transaction average of 110.6%.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach.
With respect to loan level diversity, the pool's loan level
(includes cross collateralized and cross defaulted loans)
Herfindahl Index is 29. The transaction's loan level diversity is
at the higher end of the band of Herfindahl scores found in most
multi-borrower transactions issued since 2009. With respect to
property level diversity, the pool's property level Herfindahl
Index is 30. The transaction's property diversity profile is
higher than 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 2.2, which is lower
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. The transaction was structured with additional
subordination at class A-S to mitigate the potential increased
severity to class A-S.
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 (A1 (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 equal to the
aggregate of the initial certificate balances of the Class A-S, B
and C and represent the maximum certificate balance of the PST
certificates that may be issued in an exchange.
Moody's considers the probability of certificate default as well
as the estimated severity of loss when assigning a rating. As a
thick vertical tranche, Class 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 A1 (sf) rating, a rating higher than the lowest
provisionally rated component certificate.
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%, 17%, and 30%, the model-indicated rating for the currently
rated junior Aaa (sf) class would be Aa1 (sf), Aa2 (sf), and 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.
N-STAR CDO VI: Moody's Affirms Caa3 Ratings on 5 Note Classes
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 12 classes
of notes issued by N-Star Real Estate CDO VI 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 and collateralized loan
obligation (CRE CDO CLO) transactions.
Moody's rating action is as follows:
Cl. A-1, Affirmed A1 (sf); previously on Dec 15, 2010 Downgraded
to A1 (sf)
Cl. A-2, Affirmed Ba2 (sf); previously on Dec 15, 2011 Downgraded
to Ba2 (sf)
Cl. A-R, Affirmed A1 (sf); previously on Dec 15, 2010 Downgraded
to A1 (sf)
Cl. B, Affirmed B1 (sf); previously on Dec 15, 2011 Downgraded to
B1 (sf)
Cl. C, Affirmed B2 (sf); previously on Dec 15, 2011 Downgraded to
B2 (sf)
Cl. D, Affirmed Caa1 (sf); previously on Dec 15, 2011 Downgraded
to Caa1 (sf)
Cl. E, Affirmed Caa1 (sf); previously on Dec 15, 2010 Downgraded
to Caa1 (sf)
Cl. F, Affirmed Caa2 (sf); previously on Dec 15, 2010 Downgraded
to Caa2 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Dec 15, 2010 Downgraded
to Caa3 (sf)
Cl. H, Affirmed Caa3 (sf); previously on Dec 15, 2010 Downgraded
to Caa3 (sf)
Cl. J, Affirmed Caa3 (sf); previously on Dec 15, 2010 Downgraded
to Caa3 (sf)
Cl. K, Affirmed Caa3 (sf); previously on Dec 15, 2010 Downgraded
to Caa3 (sf)
Ratings Rationale:
N-Star Real Estate CDO VI Ltd. is a currently static (the
reinvestment period ended in June 2011) cash transaction backed by
a portfolio of: i) whole loans and senior participations (39.8% of
the pool balance); ii) mezzanine debt and preferred equity
securities (23.6%); iii) CRE CDO bonds (20.3%); iv) B-note debt
(15.2%); and v) commercial mortgage backed securities (CMBS)
(1.1%). As of the September 16, 2013 payment date, the aggregate
note balance of the transaction, including income notes, has
decreased to $376.9 million from $450.0 million at issuance, as a
result of regular amortization of collateral and recoveries from
defaults. The decrease in the balance is also due to prior partial
cancellations of the Class C, D, and G Notes totaling $8.0
million. In general, holding all key parameters static, the junior
note cancellations results in slightly higher expected losses and
longer weighted average lives on the senior notes, while producing
slightly lower expected losses on the mezzanine and junior notes.
However, this does not cause, in and of itself, a downgrade or
upgrade of any outstanding classes of notes.
N-STAR CDO VII: S&P Lowers Ratings on 4 Note Classes to 'Dsf'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class C, D-FL, D-FX, and E notes to 'D (sf)' from 'CC (sf)' from
N-Star Real Estate CDO VII Ltd., a collateralized debt obligation
transaction backed by commercial mortgage-backed securities
assets.
S&P received a notice from the trustee that the collateral
portfolio has been liquidated and all proceeds have been
disbursed. The liquidation proceeds were sufficient to pay the
class A-1 notes in full and make a partial payment to the class A-
2 notes, which will take a partial loss. Classes A-3, B, C, D-FL,
D-FX, and E are expected to incur full losses of principal and
accrued interest.
S&P previously lowered its ratings on the class A-1, A-2, A-3, and
B notes to 'D (sf)' after interest payments were missed.
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
N-Star Real Estate CDO VII Ltd.
Rating
Class To From
C D (sf) CC (sf)
D-FL D (sf) CC (sf)
D-FX D (sf) CC (sf)
E D (sf) CC (sf)
OTHER OUTSTANDING RATINGS
N-Star Real Estate CDO VII Ltd.
Class Rating
A-1 D (sf)
A-2 D (sf)
A-3 D (sf)
B D (sf)
NOB HILL: S&P Affirms 'B+' Rating on Class E Notes
--------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, C, and D notes from Nob Hill CLO Ltd., a
collateralized loan obligation (CLO) transaction, and removed them
from CreditWatch, where S&P had placed them with positive
implications on Sept. 5, 2013. At the same time, S&P affirmed its
'B+ (sf)' rating on the transaction's class E notes.
The upgrades primarily reflect the increased credit support to the
notes at the prior rating levels. Following the end of its
reinvestment period in August 2012, the transaction commenced
paying down the class A-1 notes.
After Aug. 15, 2013, the most recent payment date, the class A-1
notes are at 46% of their original balance. This balance was 97%
of the original balance in June 2011, which S&P used for its most
recent rating action in August 2011. The notes' lower balance
increased most of the overcollateralization (O/C) ratios, as
reported by the trustee. According to the Sept. 16, 2013, monthly
trustee report, the class A/B, C, and D O/C ratios were 134.90%,
121.66%, and 111.18%, respectively, up from 123.41%, 116.49%, and
110.54% in June 2011.
The affirmation reflects the availability of adequate credit
support at the current rating level. During the above-mentioned
period, the class E O/C ratio declined to 103.75% from 106.03%,
which was still above the 100.90% minimum requirement. Although
much of this decline primarily reflected the higher haircut the
trustee applied to the O/C numerator, as per the transaction's
documents (because of excess 'CCC' rated assets in the current
portfolio over the minimum threshold), defaults also affected the
O/C numerator. According to the monthly trustee report, the
transaction currently has a higher balance of defaults:
$8.8 million par in September 2013 compared with $6.9 million in
June 2011. In addition, the January 2013 monthly trustee report
indicates that one of the transaction's prior defaulted positions
was restructured into equity shares and warrants, the value of
which the trustee does not consider for its O/C calculation
(unless shares and warrants are sold or otherwise monetized).
S&P will continue to review whether, in its view, the ratings on
the notes remain consistent with the credit enhancement available
to support them, and S&P will take rating actions as it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Nob Hill CLO Ltd.
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA (sf)/Watch Pos
B AA+ (sf) AA- (sf)/Watch Pos
C AA- (sf) A- (sf)/Watch Pos
D BBB+ (sf) BB+ (sf)/Watch Pos
RATING AFFIRMED
Nob Hill CLO Ltd.
Class Rating
E B+ (sf)
OHA CREDIT IX: S&P Assigns 'BB-' Rating to Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to OHA
Credit Partners IX Ltd./OHA Credit Partners IX Inc.'s
$464.5 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The 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 0.26%-11.67%.
-- 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 reinvestment test, a failure of
which will lead to the reclassification of up to 50% of
available excess interest proceeds into principal proceeds
to purchase additional collateral assets during the
reinvestment period that are available before paying
uncapped administrative expenses and fees, deferred asset
management fees, and collateral manager incentive fees.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1918.pdf
RATINGS ASSIGNED
OHA Credit Partners IX Ltd./OHA Credit Partners IX Inc.
Class Rating Amount
(mil. $)
X AAA (sf) 4.00
A-1 AAA (sf) 304.00
A-2 AAA (sf) 5.00
B-1 AA (sf) 31.50
B-2 AA (sf) 18.50
C (deferrable) A (sf) 45.25
D (deferrable) BBB- (sf) 34.00
E (deferrable) BB- (sf) 22.25
RAAC 2006-SP4: Moody's Hikes Rating on Class A-2 Notes to Ba2(sf)
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches backed by Scratch and Dent RMBS loans, issued by RAAC
Series 2006-SP4 Trust.
Complete rating actions are as follows:
Issuer: RAAC Series 2006-SP4 Trust
Cl. A-2, Upgraded to Ba2 (sf); previously on Nov 21, 2012 Upgraded
to B3 (sf)
Cl. A-3, Upgraded to B2 (sf); previously on May 4, 2009 Downgraded
to Caa2 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on May 4, 2009
Downgraded to C (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the collateral pools and structural features causing faster-than-
expected pay-down of the bonds due to liquidations.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
7.8% in September 2012 to 7.2% in September 2013. Moody's
forecasts an unemployment central range of 7.0% to 8.0% for the
2013 year. Moody's forecasts an unemployment central range of 6.5%
to 7.5% for the year 2014. Moody's expects house prices to
continue to rise in 2014. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
RACE POINT VII: Fitch Considers CCC Rating on 6% Collateral Assets
------------------------------------------------------------------
Fitch Ratings has affirmed the class A notes issued by Race Point
VII CLO, Limited/Corp. at 'AAAsf'. The Rating Outlook remains
Stable.
Key Rating Drivers:
The ratings affirmation is based on the stable performance of the
underlying portfolio since the transaction's inception in November
2012 and the stable credit enhancement available to the notes. As
of the Sept. 25, 2013 trustee report, the transaction continues to
pass all of its coverage tests and collateral quality tests.
The loan portfolio par amount plus principal cash is approximately
$604.5 million, compared to the effective date target par balance
of $601 million, causing the class A notes credit enhancement
level to increase to 37% from 36.6% at closing. The average credit
quality of the portfolio has remained stable at 'B/B-' since
closing. The portfolio is invested in 99.6% senior secured loans
and 0.4% senior secured bonds. The minimum required weighted
average spread (WAS) trigger is 4.05%, versus a current WAS of
4.18% and the maximum weighted average life (WAL) trigger is 7.25
years, versus a current WAL of 5.42 years. The trustee reports no
'CCC' assets versus a maximum allowance of 7.5%, based upon S&P
ratings at the time of purchase. Fitch currently considers 6% of
the collateral assets to be rated in the 'CCC' category versus
7.7% in the indicative portfolio at closing, based upon Fitch's
Issuer Default Rating (IDR) Equivalency Map.
The transaction remains in its reinvestment period, which is
scheduled to end in November 2016.
Rating Sensitivities:
The ratings of the notes may be sensitive to the following: asset
defaults, portfolio migration, including assets being downgraded
to 'CCC', portions of the portfolio being placed on Rating Watch
Negative, OC or IC test breaches or breach of concentration
limitations or portfolio quality covenants. Fitch conducted rating
sensitivity analysis on the closing date of Race Point VII,
incorporating increased levels of defaults and reduced levels of
recovery rates, among other sensitivities.
Initial Key Rating Drivers and Rating Sensitivity are further
described in the New Issue Report published on Nov. 30, 2012.
Race Point VII is an arbitrage, cash flow collateralized loan
obligation (CLO) that closed on Nov. 8, 2012 and is managed by
Sankaty Advisors, LLC.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. Given the stable
performance of the deal since closing in November 2012, there was
no updated cash flow modeling completed. The WAS, WAL, and PCM
outputs are all in line with the levels at closing. The current
portfolio's 'AAAsf' Rating Default Rate (RDR) and Rating Recovery
Rate (RRR) outputs from PCM are 50.9% and 41.5%, respectively,
versus an RDR of 51.5% and RRR of 39.8% for the indicative
portfolio at closing. The class A notes were able to withstand
defaults of 64.7% at closing.
A comparison of the transaction's Representations, Warranties, and
Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that
asset class is available by accessing the reports and links
indicated below.
Fitch has affirmed the following ratings:
Race Point VII CLO, Limited/Corp.:
-- Class A notes at 'AAAsf'; Outlook Stable.
RAIT CRE CDO I: Moody's Affirms Caa3 Ratings on 5 Note Classes
--------------------------------------------------------------
Moody's has affirmed the ratings of eleven classes of notes issued
by RAIT CRE CDO I, Ltd. 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-1A, Affirmed Aa2 (sf); previously on Dec 15, 2011 Downgraded
to Aa2 (sf)
Cl. A-1B, Affirmed Aa2 (sf); previously on Dec 15, 2011 Downgraded
to Aa2 (sf)
Cl. A-2, Affirmed Baa3 (sf); previously on Dec 15, 2011 Downgraded
to Baa3 (sf)
Cl. B, Affirmed B1 (sf); previously on Dec 15, 2011 Downgraded to
B1 (sf)
Cl. C, Affirmed Caa1 (sf); previously on Dec 15, 2011 Downgraded
to Caa1 (sf)
Cl. D, Affirmed Caa2 (sf); previously on Dec 15, 2011 Downgraded
to Caa2 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Dec 15, 2011 Downgraded
to Caa3 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Dec 15, 2011 Downgraded
to Caa3 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Dec 15, 2011 Downgraded
to Caa3 (sf)
Cl. H, Affirmed Caa3 (sf); previously on Dec 15, 2011 Downgraded
to Caa3 (sf)
Cl. J, Affirmed Caa3 (sf); previously on Dec 9, 2010 Downgraded to
Caa3 (sf)
Ratings Rationale:
RAIT CRE CDO I, Ltd. is a static cash transaction backed by a
portfolio of: i) whole loans (69.3% of the deal balance), ii)
mezzanine loans and preferred equity participations (28.1%), iii)
B-note debt (1.5%) and iv) REIT debt (1.0%). As of the October 6,
2013 trustee report, the aggregate note balance of the
transaction, including preferred shares, has decreased to $931.1
million from $1.018 billion at issuance, with the paydown directed
to the senior most outstanding classes of notes, as a result of
regular amortization of the underlying collateral assets.
Previously, there were partial cancellations to the Class D, F, G
and H Notes. In general, holding all key parameters static, the
junior note cancellations results in slightly higher expected
losses and longer weighted average lives on the senior notes,
while producing slightly lower expected losses on the mezzanine
and junior notes. However, this does not cause, in and of itself,
a downgrade or upgrade of any outstanding classes of notes.
There are seven assets with a par balance of $17.9 million (1.9%
of the current pool balance) that are considered defaulted
interests as of the October 6, 2013 trustee report, compared to
nine assets with a par balance of $23.5 million (2.4%) at last
review. Two of these assets are B-note debt (51.2% of the
defaulted balance), and five assets (48.8%) are mezzanine loans.
Moody's expects moderate to high losses from these defaulted
interests to occur once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF excluding
defaulted interests of 7,738 (compared to 7,530 at last review).
The current distribution of Moody's rated collateral and
assessments for non-Moody's rated collateral is as follows: Baa1-
Baa3 (1.1% compared to 1.9% at last review), Ba1-Ba3 (0.2%
compared to 1.0% at last review), B1-B3 (3.7% compared to 1.9% at
last review), and Caa1-C (95.1% compared to 95.2% at last review).
Moody's modeled a WAL of 4.1 years, compared to 4.9 years at last
review. The current WAL is based on the assumption about
extensions on the underlying collateral assets.
Moody's modeled a fixed WARR of 40.5%, compared to 40.4% at last
review.
Moody's modeled a MAC of 100%, the same as at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on 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. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption, down
from 40.5% to 30.5% or up to 50.5% would result in a rating
movement on the rated tranches of 0 to 7 notches downward and 0 to
9 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery in the 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.
RAMPART CLO 2006-I: Moody's Affirms Ba2 Rating on Class D Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Rampart CLO 2006-I Ltd.:
U.S.$20,000,000 Class A-2 Floating Rate Senior Notes Due 2021,
Upgraded to Aaa (sf); previously on August 29, 2011 Upgraded to
Aa2 (sf);
U.S.$28,000,000 Class B Deferrable Floating Rate Senior Notes Due
2021, Upgraded to Aa3 (sf); previously on August 29, 2011 Upgraded
to A2 (sf);
U.S.$36,000,000 Class C Deferrable Floating Rate Senior
Subordinate Notes Due 2021, Upgraded to Baa3 (sf); previously on
August 29, 2011 Upgraded to Ba1 (sf).
Moody's also affirmed the ratings of the following notes:
U.S.$466,000,000 Class A-1 Floating Rate Senior Notes Due 2021,
Affirmed Aaa (sf); previously on December 27, 2006 Assigned Aaa
(sf);
U.S.$15,000,000 Class D Deferrable Floating Rate Subordinate Notes
Due 2021, Affirmed Ba2 (sf); previously on August 29, 2011
Upgraded to Ba2 (sf).
SRRSPOKE 2007-IA: Moody's Affirms Csf Rating on Class I Notes
-------------------------------------------------------------
Moody's has affirmed the ratings of one class of notes issued by
SRRSpoke 2007-IA. The affirmation is 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 Synthetic) transactions.
Moody's rating action is as follows:
Cl. I Notes, Affirmed C (sf); previously on Jan 24, 2013 Affirmed
C (sf)
Ratings Rationale:
SRRSpoke 2007-IA. is a static synthetic transaction backed by a
portfolio of: i) commercial mortgage backed securities reference
obligations (CMBS) (89.2% of the pool balance); and ii) CRE CDO
reference obligations (10.8%). As of the September 19, 2013
Trustee report, the aggregate funded note balance of the
transaction is $504.6 million from 585.0 million at issuance, due
to full writedowns of fifteen and partial writedowns of three CRE
CDO reference obligations.
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 reference obligations. Moody's modeled a bottom-dollar WARF
of 3,705 compared to 3,959 at last review. The current
distribution of Moody's rated reference obligations and
assessments for non-Moody's rated reference obligations is as
follows: Aaa-Aa3 (2.0% compared to 1.8% at last review), A1-A3 (4%
compared to 3.8% at last review), Baa1-Baa3 (9.9% compared to
14.3% at last review), Ba1-Ba3 (17.8% compared to 17.9% at last
review), B1-B3 (27.7% compared to 23.3% at last review), and Caa1-
C (38.6% compared to 39% at last review).
Moody's modeled to a WAL of 3.2 years compared to 4.4 years at
last review.
Moody's modeled a fixed WARR of 15% compared to 15.6% at last
review.
Moody's modeled a MAC of 100%, the same as last review.
Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating
models, which was released on March 25, 2013.
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 rating changes within the reference obligation pool.
Holding all other key parameters static, stressing the current
ratings and credit assessments of the reference obligations by one
notch upward does not affect the model results.
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 in the 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.
TELOS CLO 2013-4: S&P Affirms 'BB' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Telos
CLO 2013-4 Ltd./Telos CLO 2013-4 LLC's $328.25 million floating-
rate notes following the transaction's effective date as of
Sept. 23, 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 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
Telos CLO 2013-4 Ltd./Telos CLO 2013-4 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 3.50
A AAA (sf) 214.00
B AA (sf) 46.50
C (deferrable) A (sf) 29.00
D (deferrable) BBB (sf) 19.25
E (deferrable) BB (sf) 16.00
WACHOVIA BANK 2004-C15: Moody's Ups Rating on 3 Certs From Low-Bs
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of five non-pooled,
or rake, classes of Wachovia Bank Commercial Mortgage Securities,
Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-
C15 as follows:
Cl. 175WJ-A, Upgraded to Aaa (sf); previously on Mar 7, 2013
Affirmed Ba2 (sf)
Cl. 175WJ-B, Upgraded to Aaa (sf); previously on Mar 7, 2013
Affirmed Ba3 (sf)
Cl. 175WJ-C, Upgraded to Aaa (sf); previously on Mar 7, 2013
Affirmed B1 (sf)
Cl. 175WJ-D, Upgraded to Aaa (sf); previously on Mar 7, 2013
Affirmed B2 (sf)
Cl. 175WJ-E, Upgraded to Aaa (sf); previously on Mar 7, 2013
Affirmed B3 (sf)
Ratings Rationale:
The five rake classes are supported by the 175 Jackson B-Note
which defeased on October 11, 2013. The upgrades are due to the
improved credit quality of the loan, which is now secured by U.S.
Government Securities. The ratings on the rake bonds are now
linked to the rating of the US Government.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
The methodological approach used in this action is based on the
credit analysis of the single loan which supports the five rake
bonds. The loan, which has defeased, is collateralized with US
Government securities. The cash flows from the securities are
structured to exactly match the loan's scheduled mortgage
payments, including the balloon payment. Due to the defeasance,
this loan now has a credit assessment of Aaa. The ratings of the
bonds directly supported by this loan reflect the loan's credit
assessment. The ratings on the rake bonds are now linked to the
rating of the US Government.
No model was used in the analysis of this transaction.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and
Remittance Statements. On a periodic basis, Moody's also performs
a full transaction review that involves a rating committee and a
press release. Moody's prior transaction review is summarized in a
press release dated March 7, 2013.
Deal Performance:
As of the October 18, 2013 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 39% to $709
million from $1.2 billion at securitization. The total deal
balance is $759 million due to $51 million of rake bonds that are
secured by the B-note on the 175 West Jackson Loan. The
Certificates are collateralized by 69 mortgage loans ranging in
size from less than 1% to 14% of the pool, with the top ten loans
representing 39% of the pool. Nine loans, representing 28% of the
pool, have been defeased and are collateralized with U.S.
Government Securities. One loan, representing 11% of the pool, has
an investment grade credit assessment.
On October 11, 2013, the 175 West Jackson Loan ($103 million A
note -- 13.6% of the pool; $50.5 million B note) defeased. The A
note represents a 50% participation interest in a $209 million
first mortgage loan. The B-Note serves as collateral for non-
pooled Classes 175WJ-A, 175WJ-B, 175WJ-C, 175WJ-D and 175WJ-E. The
defeased 175 Jackson Loan matures in July 2014 and is closed to
prepayment until three months prior to the maturity date.
WFRBS COMMERCIAL 2013-C17: Fitch Rates $15.82 Class E Notes BBsf
----------------------------------------------------------------
Fitch Ratings has issued a presale report on WFRBS Commercial
Mortgage Trust 2013-C17 Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $48,455,000 class A-1 'AAAsf'; Outlook Stable;
-- $166,900,000 class A-2 'AAAsf'; Outlook Stable;
-- $125,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $236,856,000 class A-4 'AAAsf'; Outlook Stable;
-- $55,837,000 class A-SB 'AAAsf'; Outlook Stable;
-- $73,478,000 class A-S 'AAAsf'; Outlook Stable;
-- $58,784,000 class B 'AA-sf'; Outlook Stable;
-- $31,652,000 class C 'A-sf'; Outlook Stable;
-- $706,526,000a class X-A 'AAAsf'; Outlook Stable;
-- $47,479,000b class D 'BBB-sf'; Outlook Stable;
-- $15,826,000b class E 'BBsf'; Outlook Stable;
-- $9,043,000b class F 'Bsf'; Outlook Stable;
-- $58,754,000ab class X-B 'AA-'; Outlook Stable;
a Notional amount and interest-only.
b Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Oct. 23, 2013. Fitch does not expect to rate the
$35,044,517 class G or the $59,913,517 interest-only class X-C.
Fitch does not rate the $35,044,517 class G.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 84 loans secured by 134 commercial
properties having an aggregate principal balance of approximately
$904,354,517 as of the cutoff date. The loans were contributed to
the trust by The Royal Bank of Scotland; Wells Fargo Bank; Rialto
Capital Advisors; Liberty Island Group I LLC; C-III Commercial
Mortgage LLC; and Basis Real Estate Capital II, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70% of the properties by
balance and cash flow analysis of 77%, and asset summary reviews
on 77% of the pool.
Key Rating Drivers:
Fitch Leverage: This transaction has leverage metrics in line with
other recent Fitch-rated fixed-rate deals. The pool's Fitch debt
service coverage ratio (DSCR) and loan to value (LTV) are 1.23x
and 98.2%, respectively, compared with the first-half of 2013
(1H'13) averages of 1.36x and 99.8%.
Hotel and Nontraditional Property Type Concentration: The pool has
a 22.4% concentration of hotels, which is higher than the 1H'13
average lodging concentration of 13.8%. Four of the 15 largest
loans in the pool are secured by hospitality properties. In
addition, 11.5% of the pool is secured by manufactured housing
communities, and 10.5% is secured by self-storage properties.
Less Amortization: The pool has five interest-only loans (19.4%),
including the two largest loans, and 14 partial interest loans
(25.4%). The pool is scheduled to amortize 13% prior to maturity.
Credit Opinion Loans: The largest loan in the pool, Hilton
Sandestin Beach & Spa Resort (8.3%), has a Fitch credit opinion of
'BBB-sf' on a stand-alone basis. The loan is secured by a 598-room
full-service hotel in Destin, FL. The third largest loan in the
pool (6.1%) has a Fitch credit opinion of 'BBBsf' on a stand-alone
basis. The loan is secured by Westfield Mission Valley, a 1.6
million-sf (997,549 sf of loan collateral) regional mall and
retail strip center located in San Diego, CA. The Westfield
Mission Valley loan has a pari passu participation held outside
the trust. The servicing of the loan will be governed by the
pooling and servicing agreement (PSA) of this transaction.
Rating Sensitivities:
For this transaction, Fitch's net cash flow (NCF) was 12.13% below
the full-year 2012 net operating income (NOI) (for properties for
which 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 WFRBS 2013-C17 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 '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 in
the Rating Sensitivity section.
The Master Servicer will be Wells Fargo Bank, N.A, rated 'CMS2' by
Fitch. The special servicers will be Rialto Capital Management LLC
rated CSS2-by Fitch.
* Moody's Says Ratings on Most California Tax Bonds Remain 'Ba1'
----------------------------------------------------------------
With the completion of the rating review initiated in February,
Moody's Investors Service says ratings on California tax
allocation bonds (TABs) remain highly concentrated around Ba1, the
rating to which Moody's downgraded all California redevelopment
agency tax allocation bonds in June 2012.
During the review, Moody's confirmed 42 ratings, upgraded 12
ratings, and downgraded nine ratings. Moody's withdrew 31 ratings
for insufficient information. Moody's summarizes these actions in
the report "California Tax Allocation Bond Review Confirms Most
Ratings at Ba1"
The average rating of the California TABs remains at Ba1. Twelve
of the 63 ratings are Baa3 or higher, which is investment grade.
In 2012 Moody's downgraded all California TABs to Ba1 following
the substantially increased risk of default resulting from the
state's dissolution of all redevelopment agencies. Prompting the
subsequent review, initiated on February 28, 2013, was lack of
clarity in how the changes to the laws governing the "successor"
agencies (Assembly bills 26 and 1484) would be implemented and how
different interpretations of these laws could lead to an even
greater probability of default.
The review focused on debt service coverage calculations that
incorporated the cash flow changes brought about by AB 26 and
1484.
Primarily, the bonds that were upgraded had both a strong
increment-to-total asset value ratio and at least two times debt
service coverage in the two semi-annual periods looked at, after
the payment of all pass-through payments.
Downgrades were primarily driven by continued tax base stress
combined with relative weaknesses in cash-flows or legal security
or both (for example, the presence or absence of a debt service
reserve fund).
* Moody's Takes Action on $572MM of Subprime RMBS Issued 2005-2006
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 20 tranches
and downgraded the rating of one tranche from twelve transactions
issued by various trusts, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
AG1
Cl. A-1B2, Upgraded to Baa2 (sf); previously on Feb 26, 2013
Upgraded to Ba1 (sf)
Cl. A-2D, Upgraded to A2 (sf); previously on Feb 26, 2013 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on Feb 26, 2013
Affirmed Ca (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
HE4
Cl. M-2, Upgraded to Baa3 (sf); previously on Feb 26, 2013
Upgraded to Ba1 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Feb 26, 2013
Upgraded to Ca (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
HE5
Cl. M-2, Upgraded to Baa3 (sf); previously on Feb 26, 2013
Upgraded to Ba2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Feb 26, 2013 Affirmed
Caa2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
RM1
Cl. M-3, Upgraded to B2 (sf); previously on Feb 26, 2013 Upgraded
to Caa2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
RM2
Cl. M-4, Upgraded to B1 (sf); previously on Feb 26, 2013 Upgraded
to B3 (sf)
Cl. M-5, Upgraded to B3 (sf); previously on Feb 26, 2013 Upgraded
to Caa3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-
ASAP1
Cl. A-1, Upgraded to Baa2 (sf); previously on Feb 26, 2013
Upgraded to Ba1 (sf)
Cl. A-2D, Upgraded to B2 (sf); previously on Feb 26, 2013
Confirmed at Caa2 (sf)
Issuer: Fremont Home Loan Trust 2005-1
Cl. M-5, Upgraded to Caa2 (sf); previously on Mar 6, 2013 Upgraded
to Ca (sf)
Issuer: Fremont Home Loan Trust 2005-E
Cl. 1-A-1, Upgraded to B1 (sf); previously on Sep 11, 2012
Downgraded to B3 (sf)
Issuer: IXIS Real Estate Capital Trust 2005-HE2
Cl. M-3, Downgraded to Baa3 (sf); previously on Feb 28, 2013
Downgraded to A3 (sf)
Issuer: IXIS Real Estate Capital Trust 2005-HE3
Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 14, 2013 Affirmed
B1 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-HE2
Cl. A-3, Upgraded to Ba1 (sf); previously on Aug 13, 2010
Downgraded to B1 (sf)
Cl. A-4, Upgraded to B1 (sf); previously on Aug 13, 2010
Downgraded to Caa1 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Aug 13, 2010
Downgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WLL1
Cl. M-3, Upgraded to B1 (sf); previously on Mar 6, 2013 Upgraded
to B3 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 6, 2013 Upgraded
to Ca (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations. The downgrade of Class M-3 issued
by IXIS 2005-HE2 is the result of a recent missed interest payment
on the bond. Structural limitations in the transaction prevent
recoupment of missed interest payments even if funds are available
in subsequent periods - missed interest payments can typically
only be made up from excess interest after the
overcollateralization builds to the target amount. In this
transaction since the overcollateralization is currently below
target, the missed interest payment to the tranche is unlikely to
be paid.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
7.8% in September 2012 to 7.2% in September 2013. Moody's
forecasts an unemployment central range of 6.5% to 7.5% for the
2014 year. Moody's expects house prices to continue to rise in
2014. Performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
* Moody's Hikes Ratings on $98MM of RMBS Issued 2005-2007
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
tranches backed by Scratch and Dent RMBS loans, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: CWABS Asset-Backed Notes Trust 2005-SD3
Cl. A-1, Upgraded to Baa1 (sf); previously on Apr 24, 2009
Downgraded to Baa3 (sf)
Cl. A-1-C, Upgraded to Baa1 (sf); previously on Apr 24, 2009
Downgraded to Baa3 (sf)
Issuer: GSRPM Mortgage Loan Trust 2006-2
Cl. A-1B, Upgraded to Baa1 (sf); previously on May 4, 2009
Downgraded to Baa3 (sf)
Cl. A-2, Upgraded to Baa1 (sf); previously on May 4, 2009
Downgraded to Baa3 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on May 4, 2009 Downgraded
to Caa2 (sf)
Issuer: RAAC Series 2007-SP2 Trust
Cl. A-1, Upgraded to B2 (sf); previously on Nov 21, 2012 Upgraded
to Caa1 (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on May 4, 2009
Downgraded to Ca (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the collateral pools and/or structural features causing faster-
than-expected pay-down of the bonds due to high prepayments/faster
liquidations.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
7.8% in September 2012 to 7.2% in September 2013. Moody's
forecasts an unemployment central range of 7.0% to 8.0% for the
2013 year. Moody's forecasts an unemployment central range of 6.5%
to 7.5% for the year 2014. Moody's expects house prices to
continue to rise in 2014. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
* S&P Puts 9 U.S. and Canadian CMBS Ratings on CreditWatch Neg.
---------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on nine
classes of commercial mortgage pass-through certificates from
eight U.S. and Canadian commercial mortgage-backed securities
(CMBS) transactions on CreditWatch with negative implications.
The affected tranches have an aggregate issuance principal amount
of $262.7 million.
S&P placed these ratings on CreditWatch negative in connection
with the de minimis shortfalls threshold guidelines in its revised
criteria for rating debt issues based on imputed promises. The de
minimis shortfalls threshold is now 1 basis point (bp) of the
original certificate balance on a cumulative basis.
S&P placed its 'BBB- (sf)' rating on the class SS-D nonpooled
certificates from Banc of America Commercial Mortgage Inc.'s
series 2004-3 on CreditWatch negative because the August 2010,
October 2010, and January 2011 trustee remittance reports
reflected principal losses on this class. The "SS" nonpooled or
raked classes derive 100% of their cash flow from the 17 State
Street whole loan. This loan, secured by a 42-story,
531,521-sq.-ft. office building in Manhattan, consists of, as of
the Oct. 10, 2013, trustee remittance report, a $66.4 million
pooled senior A note, a $12.0 million nonpooled junior A note
(collectively, the mortgage loan), and a $19.6 million B note,
which is held outside the trust. The senior A note is pooled
within the trust, and the junior A note is a subordinate nonpooled
trust component. The 17 State Street B Note is held outside the
trust and is subordinated in right of payment to the trust
balance. According to the August 2010, October 2010, and January
2011 trustee remittance reports, the class SS-D nonpooled
certificates reflect principal losses due to trust-related
expenses from the 17 State Street loan. Based on S&P's
discussions with the trustee and master servicer, the realized
losses were allocated to the class SS-D nonpooled certificates
instead of the nontrust subordinate B note first. However, it is
S&P's understanding that the 17 State Street intercreditor
agreement generally provides that expenses, losses, and shortfalls
relating to the 17 State Street whole loan will be allocated
first, to the holder of the 17 State Street B note, and
thereafter, to the holder of 17 State Street mortgage loan.
Because the principal losses applied to the class SS-D
certificates exceed the de minimis threshold of 1 bp, S&P will
likely lower the rating on the class to 'D (sf)' based on the
revised criteria.
"We placed our 'BBB+' rating on the class A certificates from
Merrill Lynch Financial Assets Inc.'s series 2002-BC2P on
CreditWatch negative because of continued interest shortfalls
resulting from an increase in the Canadian harmonized sales taxes
assessed on the funds received by the trust each month. It is our
understanding that these taxes have been passed through to the
trust by the master servicer since issuance, and the increase in
the tax rate resulted in interest shortfalls of approximately $200
each month since the July 8, 2010, remittance report. We expect
the interest shortfalls to continue and that the amount will be
similar to those in the prior remittance periods until the final
distribution date on May 7, 2021. As of the Oct. 7, 2013, trustee
remittance report, class A had accumulated interest shortfalls
outstanding totaling $7,358. Although the current accumulated
interest shortfall balance is below the de minimis threshold, we
expect that over the life of the transaction, the accumulated
interest shortfall balance on class A would most likely exceed the
de minimis threshold," S&P said.
S&P placed its ratings on the remaining seven classes from six
U.S. CMBS transactions on CreditWatch negative because these
classes have principal losses or accumulated interest shortfalls
outstanding that exceeded the de minimis threshold. The principal
losses or interest shortfalls on these classes stem mainly from
trust-related expenses, such as special servicing fees, appraisal
subordinate entitlement reduction amounts, and nonrecoverable
determinations.
Over the next six months, S&P will review the ratings on the
affected tranches and resolve the CreditWatch placements. S&P's
analysis will include evaluating the timing and materiality of the
principal losses or accumulated interest shortfall balances on
these tranches. Where appropriate, S&P will lower the ratings--
possibly to 'D (sf)', in some cases--based on the revised
criteria.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS PLACED ON CREDITWATCH WITH NEGATIVE IMPLICATIONS
Citigroup Commercial Mortgage Trust 2006-FL2
Commercial mortgage pass-through certificates
Rating
Class To From
DHC-3 CCC (sf)/Watch Neg CCC (sf)
COMM 2006-FL12
Commercial mortgage pass-through certificates
Rating
Class To From
H CCC (sf)/Watch Neg CCC (sf)
COMM 2007-FL14
Commercial mortgage pass-through certificates
Rating
Class To From
GLB3 CCC- (sf)/Watch Neg CCC- (sf)
GLB4 CCC- (sf)/Watch Neg CCC- (sf)
Merrill Lynch Floating Trust
Commercial mortgage pass-through certificates series 2006-1
Rating
Class To From
L CCC- (sf)/Watch Neg CCC- (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-WHALE7
Rating
Class To From
WA CCC- (sf)/Watch Neg CCC- (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-WHALE8
Rating
Class To From
G CCC- (sf)/Watch Neg CCC- (sf)
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-3
Rating
Class To From
SS-D BBB- (sf)/Watch Neg BBB- (sf)
Merrill Lynch Financial Assets Inc.
Commercial mortgage pass-through certificates series 2002-BC2P
Rating
Class To From
A BBB+/Watch Neg BBB+
* S&P Takes Various Rating Actions on 25 Synthetic CDO Tranches
---------------------------------------------------------------
Following its monthly review of synthetic CDO transactions,
Standard & Poor's Ratings Services took various rating actions on
25 tranches:
-- S&P raised its ratings on three tranches from two CDO of CDO
transactions and removed these ratings from CreditWatch
positive.
-- S&P raised ratings on 18 tranches from 11 investment-grade
corporate-backed synthetic CDO transactions and removed
these ratings from CreditWatch positive.
-- S&P raised one tranche rating from a loss-based leveraged
super senior (LSS) transaction and removed this rating from
CreditWatch positive.
-- S&P affirmed its ratings on three tranches from three
investment-grade corporate-backed synthetic CDO
transactions, and removed two of the three tranches from
CreditWatch positive.
The upgrades reflect the seasoning of the transactions, the rating
stability of the obligors in the underlying reference portfolios
over the past few months, and the synthetic rated
overcollateralization (SROC) ratios that had risen above 100% at
the next highest rating level. The affirmations are from
synthetic CDOs that had an SROC ratio above 100% or had sufficient
credit enhancement at their current rating levels.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at :
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
Greylock Synthetic CDO 2006 Series 1
Rating
Class To From
A1A-$LS AA+ (sf) A+ (sf)/Watch Pos
Greylock Synthetic CDO 2006 Series 3
Rating
Class To From
A1-EURLMS AA+ (sf) AA- (sf)/Watch Pos
Greylock Synthetic CDO 2006 Series 4
Rating
Class To From
A1LS AA (sf) A+ (sf)/Watch Pos
Morgan Stanley ACES SPC Series 2007-6
Rating
Class To From
IIIA A- (sf) BBB+ (sf)/Watch Pos
Morgan Stanley Managed ACES SPC Series 2007-16
Rating
Class To From
IB BBB- (sf) BB+ (sf)/Watch Pos
Mt Kailash Series III
Rating
Class To From
Cr Lkd Ln A- (sf) BBB- (sf)/Watch Pos
Newport Waves CDO Series 1
Rating
Class To From
A1-$LS BB- (sf) B (sf)/Watch Pos
A3-$LMS B+ (sf) B- (sf)/Watch Pos
Newport Waves CDO Series 2
Rating
Class To From
A1-$FMS BBB+ (sf) BBB- (sf)/Watch Pos
A1-$LS BB+ (sf) BB (sf)/Watch Pos
A1A-$LS BB+ (sf) BB (sf)/Watch Pos
A1B-$LS BB+ (sf) BB- (sf)/Watch Pos
A3-$LMS BB (sf) B+ (sf)/Watch Pos
A3A-$LMS BB (sf) B+ (sf)/Watch Pos
Newport Waves CDO Series 4
Rating
Class To From
A3-YLS B+ (sf) B- (sf)/Watch Pos
Newport Waves CDO Series 5
Rating
Class To From
A1-$LMS A+ (sf) BBB+ (sf)/Watch Pos
A3-$LMS BBB+ (sf) BB+ (sf)/Watch Pos
Newport Waves CDO Series 7
Rating
Class To From
A1-ELS BBB+ (sf) B (sf)/Watch Pos
Newport Waves CDO Series 8
Rating
Class To From
A3-ELS BB (sf) B+ (sf)/Watch Pos
PARCS-R Master Trust Series 2007-2
Rating
Class To From
Units BBB+ (sf) BBB- (sf)/Watch Pos
Repacs Trust Series: Bayshore I Series
Rating
Class To From
A AA- (sf) A (sf)/Watch Pos
B AA- (sf) A- (sf)/Watch Pos
RATINGS AFFIRMED
Xelo PLC Series 2006 (Spinnaker III Asia Mezzanine) Tranche A
Rating
Class To From
CCC- (sf) CCC- (sf)
Morgan Stanley ACES SPC Series 2007-6
Rating
Class To From
IIA A (sf) A (sf)/Watch Pos
Morgan Stanley ACES SPC Series 2008-8
Rating
Class To From
IA A (sf) A (sf)/Watch Pos
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
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A list of Meetings, Conferences and Seminars appears in each
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related conferences are encouraged. Send announcements to
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On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo
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Editors.
Copyright 2013. All rights reserved. ISSN: 1520-9474.
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