/raid1/www/Hosts/bankrupt/TCR_Public/140119.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, January 19, 2014, Vol. 18, No. 18
Headlines
AIMCO CLO 2006-A: S&P Affirms 'BB' Rating on Class D Notes
ALM VII: S&P Affirms 'BB-' Rating on $25MM Class D Notes
ALM VII-2: S&P Affirms BB- Rating on $28MM Class D Notes
AMERICAN CREDIT 2014-1: S&P Assigns 'BB' Rating on Class D Notes
AMMC CLO IV: S&P Affirms 'BB+' Rating on Class D Notes
APIDOS CLO XI: S&P Affirms 'BB' Rating on Class E Notes
BANC OF AMERICA 2004-4: Fitch Affirms B- Rating on Cl. G Notes
BEAR STEARNS 2007-PWR17: S&P Lowers Rating on Cl. G Certs to 'D'
BEAR STEARNS 2007-PWR18: Fitch Affirms Ratings & Revises Outlook
BLUE MOUNTAIN CLO: S&P Assigns BB Rating on Class E Notes
BRISTOL BAY: S&P Raises Rating on Class B Notes to 'BB+'
CALLIDUS DEBT: S&P Raises Rating on Class E Notes From BB
CARLYLE GLOBAL 2013-3: S&P Affirms BB Rating on Class D Notes
CATAMARAN CLO 2013-1: S&P Affirms 'BB' Rating on Class E Notes
CATHEDRAL LAKE 2013: S&P Assigns 'BB' Rating on Class D Notes
CENT CLO 20: S&P Assigns 'BB' Rating on Class E Notes
CIFC FUNDING 2013-I: S&P Affirms 'BB' Rating on Class D Notes
CITIGROUP MORTGAGE: Moody's Lifts Rating on M-4 Tranche to Caa3
COMM 2014-CCRE14: Moody's Rates Class F Certs '(P)B2 (sf)'
CREDIT AND REPACKAGED: Moody's Hikes Ratings on $31MM of CSOs
CREDIT SUISSE 2002-CKS4: S&P Lowers Rating on Class G Notes to D
CREDIT SUISSE 2006-C2: S&P Lowers Rating on Cl. A-J Certs to 'D'
CREST 2002-1: Fitch Affirms Junk Rating on Three Note Classes
CREST 2003-1: Fitch Affirms 'Csf' Rating on Class D-2 Notes
CSFB ADJUSTABLE: Moody's Lifts Rating on Cl. 7-A-2-2 Tranche to B3
CVP CASCADE CLO-1: S&P Assigns 'BB' Rating to Class D Notes
DBCCRE 2014-ARCP: S&P Assigns Prelim. BB Rating on Class E Notes
DLJ COMMERCIAL 1999-CG2: Fitch Affirms 'Dsf' Ratings on B-7 Notes
DRYDEN XXII: S&P Affirms 'BB' Rating on Class D Notes
FLAGSHIP CLO IV: S&P Raises Rating on Class D Notes to 'BB+'
G-FORCE 2005-RR: Fitch Affirms 'Dsf' Rating on Class N Notes
GALLATIN CLO III: S&P Affirms B+ Rating on Class B-2L Notes
GREENWICH CAPITAL: Firms Affirms 'Csf' Rating on Class K Notes
GS MORTGAGE 2014-GC18: Fitch Affirms 'Bsf' Rating on Class F Notes
GSAA HOME 2005: Moody's Hikes Rating on $106MM of Alt-A RMBS
HEWETT'S ISLAND: S&P Raises Rating on Class E Notes to CCC
IRWIN WHOLE: Moody's Upgrades Rating on Class B Notes to 'B1'
JP MORGAN 2001-CIBC1: Fitch Affirms Junk Rating on Cl. G Notes
JP MORGAN 2007-C1: S&P Lowers Ratings on 4 Note Classes to D
KINGSLAND VI: S&P Affirms 'BB' Rating on Class E Notes
KKR FINANCIAL: Moody's Assigns (P)Ba3 Rating to $22MM Cl. D Notes
LANDGROVE SYNTHETIC: Moody's Lifts Rating on Cl. C1 Notes to Caa3
LEGACY BENEFITS: Moody's Lowers Rating on Cl. B Notes to Ba1
LIGHTPOINT CLO VIII: Moody's Affirms Ba2 Rating on $19.2MM Notes
LOOMIS SAYLES: Moody's Ups Rating on $15MM Class E Notes to 'Ba3'
ML-CFC COMMERCIAL 2007-7: S&P Affirms B- Ratings on 2 Note Classes
ML-CFC COMMERCIAL 2007-9: Fitch Affirms CCC Ratings on 2 Certs.
MORGAN STANLEY 2007-HQ13: S&P Cuts Rating on Cl. A-M Certs to 'D'
N-STAR REAL: Fitch Affirms Csf Ratings on 3 Note Classes
NORTHWOODS CAPITAL VI: S&P Raises Rating on Cl. C Notes From 'BB'
OAKTREE CLO 2014-1: S&P Assigns Prelim. BB Rating on Class D Notes
OCTAGON INVESTMENT XVII: S&P Affirms 'BB' Rating on Class E Notes
PACIFIC BAY: Interest Shortfalls Cue Fitch to Affirm Ratings
PRUDENTIAL COMMERCIAL 2003-PWR-1: S&P Cuts F Certs Rating to 'D'
RACE POINT III: Moody's Upgrades Rating on Class E Notes to Ba1
RED RIVER: S&P Raises Rating on Class E Notes to BB+
SANTANDER CONSUMER: Moody's Lifts Ratings on Two Tranches From Ba2
SDART 2014-1: Fitch Affirms 'BBsf' Rating on Class E Notes
SDART 2014-1: S&P Assigns 'BB+' Rating on Class E Notes
TIERS WOLCOTT: Moody's Raises $90MM Certs Rating to Caa3
VIBRANT CLO II: S&P Affirms 'BB' Rating on Class D Notes
WACHOVIA BANK 2006-C28: Fitch Affirms 'Dsf' Rating on Cl. P Notes
* Moody's Takes Action on $646-Mil. of RMBS Issued 2003-2007
* S&P Lowers Ratings on 24 Classes From 20 RNBS Deals to 'Dsf'
*********
AIMCO CLO 2006-A: S&P Affirms 'BB' Rating on Class D Notes
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, and B notes from AIMCO CLO Series 2006-A, a cash flow
collateralized loan obligation transaction managed by Allstate
Investment Management Co. S&P also removed its ratings on the
class A-1 and A-2 notes from CreditWatch with positive
implications, where S&P had placed them on Nov. 14, 2013. At the
same time, S&P affirmed its ratings on of the class C and D notes.
The transaction is currently in its amortization phase and is
paying down the notes. The upgrades mainly reflect paydowns of
$81.71 million to the class A-1 notes since our December 2012
rating actions, which increased the overcollateralization (O/C)
ratios for each class of notes as follows:
-- The senior class A-2 O/C is 127.25%, up from 121.50% in
November 2012;
-- The class B O/C ratio is 117.47%, up from 114.40% in
November 2012;
-- The class C O/C ratio is 109.47%, up from 108.40% in
November 2012; and
-- The class D O/C ratio is 105.52%, up from 105.30% in
November 2012.
The affirmations reflect the adequate credit support available to
the notes at their current rating levels.
S&P affirmed its 'BB (sf)' rating on the class D notes although
the largest obligor default test indicated a limitation at 'B+
(sf)'. In S&P's analysis, it considered the increase in
overcollateralization, low levels of both defaults and 'CCC' rated
assets in the portfolio, and cash flow results. Consequently, S&P
believes that the class D notes' credit support is commensurate
with a 'BB' rating level.
S&P will continue to review whether, in its view, the ratings
currently assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
AIMCO CLO Series 2006-A
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AA+ (sf) AA (sf)/Watch Pos
B A+ (sf) A (sf)
C BBB (sf) BBB (sf)
D BB (sf) BB (sf)
ALM VII: S&P Affirms 'BB-' Rating on $25MM Class D Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on ALM
VII(R) Ltd./ALM VII(R) LLC's $777.10 million floating- rate notes
following the transaction's effective date as of Nov. 21, 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 our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P added.
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 added.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
ALM VII(R) Ltd./ALM VII(R) LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 498.850
A-2 AA (sf) 95.950
B (deferrable) A (sf) 77.100
C (deferrable) BBB- (sf) 55.050
D (deferrable) BB- (sf) 25.775
E (deferrable) B (sf) 24.375
ALM VII-2: S&P Affirms BB- Rating on $28MM Class D Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on ALM
VII(R)-2 Ltd./ALM VII(R)-2 LLC's $846.125 million floating- rate
notes following the transaction's effective date as of Nov. 21,
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 our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
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, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P added.
"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 noted.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
ALM VII(R)-2 Ltd./ALM VII(R)-2 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 543.175
A-2 AA (sf) 104.475
B (deferrable) A (sf) 83.950
C (deferrable) BBB- (sf) 59.950
D (deferrable) BB- (sf) 28.050
E (deferrable) B (sf) 26.525
AMERICAN CREDIT 2014-1: S&P Assigns 'BB' Rating on Class D Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
American Credit Acceptance Receivables Trust 2014-1's
$204.82 million asset-backed notes series 2014-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 57.3%, 47.1%, 39.0%, and
35.3% of credit support for the class A, B, C, and D notes,
respectively, based on break-even stressed cash flow
scenarios (including excess spread), which provide coverage
of more than 2.10x, 1.70x, 1.35x, and 1.25x our expected net
loss range of 26.40%-26.90% for the class A, B, C, and D
notes, respectively.
-- The timely interest and principal payments made to the rated
notes by the assumed legal final maturity dates under S&P's
stressed cash flow modeling scenarios that S&P believes is
appropriate for the assigned ratings.
-- S&P's expectation that under a moderate, or 'BBB', stress
scenario the ratings on the class A and B notes would remain
within one rating category of its 'AA (sf)' and 'A (sf)'
ratings, and the ratings on the class C and D notes would
remain within two rating categories of S&P's 'BBB (sf)', and
'BB (sf)' ratings. These potential rating movements are
consistent with S&P's credit stability criteria, which
outlines the outer bound of credit deterioration equal to a
one-rating category downgrade within the first year for
'AA', and a two-rating category downgrade within the first
year for 'A' through 'BB' rated securities under moderate
stress conditions.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The backup servicing arrangement with Wells Fargo Bank N.A.
-- The transaction's payment and credit enhancement structures,
which include performance triggers.
-- The transaction's legal structure.
RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2014-1
Class Rating Type Interest Amount
rate (mil. $)
A AA (sf) Senior Fixed 120.00
B A (sf) Subordinate Fixed 39.50
C BBB (sf) Subordinate Fixed 31.32
D BB (sf) Subordinate Fixed 14.00
AMMC CLO IV: S&P Affirms 'BB+' Rating on Class D Notes
------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from AMMC CLO IV Ltd., a cash flow collateralized
loan obligation (CLO) transaction. At the same time, S&P affirmed
its ratings on class A-1, A-3, and D notes. In addition, S&P
removed its ratings on the class B, C, and D notes from
CreditWatch with positive implications, where it placed them in
November 2013.
S&P previously raised its ratings on the notes from this
transaction on May 13, 2013. The transaction has since paid down
the class A-2 notes in full. Since S&P's last rating actions, the
class A-1 and A-3 notes have paid down by $175.20 million. The
principal paydowns have increased the credit support available to
all rated notes in the capital structure.
S&P's rating on the class D notes is driven by its largest obligor
default test, which addresses the potential concentration risk of
obligors in the transaction's portfolio.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with 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 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
AMMC CLO IV Ltd.
Class Rating
To From
A-1 AAA (sf) AAA (sf)
A-3 AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf)/Watch Pos
C AAA (sf) AA (sf)/Watch Pos
D BB+ (sf) BB+ (sf)/Watch Pos
APIDOS CLO XI: S&P Affirms 'BB' Rating on Class E Notes
-------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Apidos
CLO XI/Apidos CLO XI LLC's $370.25 million fixed- and floating-
rate notes following the transaction's effective date as of
May 14, 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.
RATINGS AFFIRMED
Apidos CLO XI/Apidos CLO XI LLC
Class Rating Amount
(mil. $)
A AAA (sf) 263.25
B-1 AA (sf) 15.00
B-2 AA (sf) 25.00
C (deferrable) A (sf) 29.75
D (deferrable) BBB (sf) 20.00
E (deferrable) BB (sf) 17.25
BANC OF AMERICA 2004-4: Fitch Affirms B- Rating on Cl. G Notes
--------------------------------------------------------------
Fitch Ratings has affirmed 22 classes of Banc of America
Commercial Mortgage Inc. (BACM 2004-4) commercial mortgage pass-
through certificates series 2004-4.
Key Rating Drivers
The affirmations reflect sufficient credit enhancement to the
remaining Fitch rated classes after consideration for expected
losses and significant maturity concentration in 2014. Fitch
modeled losses of 4.4% of the remaining pool; expected losses on
the original pool balance total 5.3%, including $45.3 million
(3.2% of the original pool balance) in realized losses to date.
Fitch has designated 17 loans (24.3%) as Fitch Loans of Concern,
which includes one specially serviced loan.
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 65.99% to $440.8 million
from $1.43 billion at issuance. Per the servicer reporting, eight
loans (11.3% of the pool) are defeased. Interest shortfalls are
currently affecting classes J through P.
The largest contributor to expected losses is the Simon - West
Ridge Mall loan (14.7% of the pool), which is secured by a 413,758
square foot (sf) regional mall located in Topeka, KS. The anchor
tenants include Macy's, JC Penney, Sears and Dillard's. The
servicer has reported that occupancy has decreased from 85% for
year-end (YE) 2011 to 83% for YE2012 and the debt service coverage
ratio has also decreased from 1.28x for YE2011 to 1.22x for
YE2012.
The next largest contributor to expected losses is the Alaska VA
Clinic loan (1.4% of the pool), which is secured by a 98,200 sf
medical office building located in Anchorage, AK. The servicer
reported that occupancy has decreased from 100% for YE2011 to 47%
for YE2012 and the debt service coverage ratio has also decreased
from 2.95x for YE2011 to 0.50x for YE2012. The decline in debt
service coverage ratio and occupancy is attributed to the single
tenant VA Clinic vacating the property. The tenant vacated the
space on Oct. 31, 2011, but continued paying rent through Jan. 31,
2012. The Borrower has re-leased a portion of the space and
continues to market the remaining vacancies.
Rating Sensitivity
Fitch affirms the following classes and revises Rating Outlooks as
indicated:
-- $11.3 million class G at 'B-sf', Outlook to Negative from
Stable;
Fitch affirms the following classes and assigns or revises REs as
indicated:
-- $16.2 million class H at 'CCCsf', RE 25%.
Fitch affirms the following classes as indicated:
-- $226.6 million class A-6 at 'AAAsf', Outlook Stable;
-- $91.1 million class A-1A at 'AAAsf', Outlook Stable;
-- $35.6 million class B at 'AAAsf', Outlook Stable;
-- $11.3 million class C at 'AAsf', Outlook Stable;
-- $21.1 million class D at 'BBBsf', Outlook Stable;
-- $9.7 million class E at 'BBB-sf', Outlook Stable;
-- $16.2 million class F at 'Bsf', Outlook Stable;
-- $1.6 million 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%;
-- $1.9 million class DM-A at 'A+sf', Outlook Stable;
-- $4 million class DM-B at 'Asf', Outlook Stable;
-- $3.2 million class DM-C at 'A-sf', Outlook Stable;
-- $3.4 million class DM-D at 'BBB+sf', Outlook Stable;
-- $3.6 million class DM-E at 'BBBsf', Outlook Stable;
-- $3.3 million class DM-F at 'BBB-sf', Outlook Stable;
-- $3.1 million class DM-G at 'BBB-sf', Outlook Stable.
Fitch previously withdrew the ratings on the interest-only class
X-C and X-P certificates.
The class DM certificates are related to a non-pooled B-note
secured by the Dallas Market Center. The underlying collateral is
a 3 million sf trade mart property located in Dallas, TX. Fitch
affirms these classes as performance of the property has remained
stable with trailing six month (as of August 2013) servicer
reported debt service coverage ratio (DSCR) of 4.77x and occupancy
of 86% as of August 2013.
BEAR STEARNS 2007-PWR17: S&P Lowers Rating on Cl. G Certs to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
G commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2007-PWR17, a U.S. commercial
mortgage-backed securities transaction, to 'D(sf)' from
'CCC-(sf)'.
S&P lowered its rating on the class G certificates to 'D (sf)'
following principal losses detailed in the Dec. 13, 2013, trustee
remittance report. S&P attributes the principal losses to the
$7.8 million 2455 Alft Flex Building asset liquidation at an 83.6%
loss severity (totaling $6.5 million in principal losses) of its
scheduled beginning balance. Consequently, according to the
Dec. 13, 2013, trustee remittance report, the class G certificates
incurred $4.8 million total principal losses, or 14.7% of the
class' original principal balance. The class H certificates,
which we previously downgraded to 'D (sf)', also experienced a
principal loss that reduced its outstanding principal balance to
zero.
BEAR STEARNS 2007-PWR18: Fitch Affirms Ratings & Revises Outlook
----------------------------------------------------------------
Fitch Ratings has affirmed all classes from Bear Stearns
Commercial Mortgage Securities Trust, series 2007-PWR18. In
addition, Fitch has revised the Outlooks for classes A-M and AM-A
to Stable from Negative as a result of better than projected
resolutions of the specially serviced loans since last review.
The affirmations are due to stable performance of the collateral
pool since Fitch's last rating action. Fitch modeled losses of
11.3% of the remaining pool; expected losses on the original pool
balance total 14%, including losses already incurred to date (6%).
Fitch has identified 36 loans (36.8%) as Fitch Loans of Concern
(LOC), which includes five specially serviced assets (4.8%).
As of the November 2013 distribution date, the pool's aggregate
principal balance has been reduced by 30% to $1.75 billion from
$2.5 billion at issuance. Interest shortfalls in the amount of
$5.1 million are affecting classes E, F, G, H, K, L, N and S.
The ratings on all investment grade classes are expected to remain
stable due to sufficient credit enhancement and continued paydown.
The distressed classes (rated below 'B') may be subject to further
rating actions as losses are realized.
The largest contributor to modeled losses is the DRA/Colonial
Office Portfolio loan (12.1% of the pool). The current collateral
for the interest-only loan consists of 17 office and retail
buildings totaling 4.5 million square feet (sf) and are located
across five metropolitan statistical areas (MSAs), primarily in
the south and southeast. The loan has a total balance of $635.6
million and is split into three equal pari passu notes. Only the
A3 note is securitized in this transaction.
The loan was transferred to special servicing in August 2012 for
imminent default due to declining occupancy. The loan was
modified in Jan. 2013 and returned to the master servicer in May
2013. The loan modification included an extended interest-only
period for an additional 24 months and a new maturity of July
2016. The property continues to struggle as a result of
significant concessions given to rolling tenants over the last
year. While with the special servicer, two properties were
released and sold which paid down this piece of the loan by $35.4
million. The servicer-reported net operating income (NOI) debt
service coverage ratio (DSCR) was 1.25x as of second quarter (2Q)
2013 with 83.8% occupancy rate.
The second largest contributor to Fitch expected loss is the
Southlake Mall loan (3.8%). The collateral is the 273,997 sf of
in-line space of the one-million regional mall located in Morrow,
GA, approximately 15-miles from downtown Atlanta. The mall is
anchored by Macy's and Sears which are not part of the collateral.
The center also contains two dark anchor spaces previously
occupied by JC Penney and Macy's, which are also not part of the
collateral. Macy's moved to the current location in 2003, and its
former space remains unoccupied. JP Penney closed in June 2011.
The loan was initially transferred to the special servicer in
April 2009 due to a borrower (GGP) bankruptcy. It was modified
and returned to the master servicer in January 2011. The loan was
transferred back to the special servicer in June 2012. The
property has been real estate owned asset (REO) since February
2013. As of October 2013, the mall was 65.2% occupied and 80.9%
leased. The inline space was 80.9% occupied, compared to 95.1% at
issuance. The special servicer is currently marketing the
property for sale. The most current appraisal value indicates
significant losses upon liquidation.
The third largest contributor to modeled losses is the Trumbull
Marriott Hotel loan (1.6%). The collateral is a 323-key full-
service hotel in Trumbull, CT. Property performance has suffered
since 2009 when the loan converted from interest only loan to a
principal and interest loan. In addition, as of YE 2012, income
was down 25% from issuance estimates due to a decrease in Room
Revenue as well as a decrease in F&B revenue, both of which are
attributed to the decline in occupancy. The property has
undergone some renovations in 2012 and 2013, as well as a
management change in 2013; these changes should enhance
performance although the market remains soft. Based on the latest
STAR report, trailing 12 month (TTM) occupancy rate as of November
2013 was 59.9% with a RevPar of $76.33, compared to 65% occupancy
rate and a RevPar of $92.48 at issuance.
Fitch affirms the following classes and revises Outlooks as
indicated:
-- $165 million class A-3 at 'AAAsf'; Outlook Stable;
-- $114.5 million class A-AB at 'AAAsf'; Outlook Stable;
-- $710 million class A-4 at 'AAAsf'; Outlook Stable;
-- $160.4 million class A-1A at 'AAAsf'; Outlook Stable;
-- $211.6 million class A-M at 'AAsf'; Outlook to Stable from
Negative;
-- $38.9 million class A-MA at 'AAsf'; Outlook to Stable from
Negative;
-- $182.5 million class A-J at 'CCCsf'; RE65%;
-- $33.6 million class A-JA at 'CCCsf'; RE65%;
-- $25 million class B at' CCsf'; RE 0%;
-- $25 million class C at' CCsf'; RE 0%;
-- $18.9 million class D at 'CCsf'; RE0%;
-- $25 million class E at 'Csf'; RE0%;
-- $18.9 million class F at 'Csf'; RE0%;
-- $21.6 million class G at 'Dsf'; RE0%.
Classes H through Q have been depleted due to realized losses and
remain at 'Dsf' RE 0%. Classes A-1 and A-2 have paid in full.
Fitch does not rate class S. Fitch has withdrawn the ratings
assigned to the interest only classes X-1 and X-2 at the previous
review.
BLUE MOUNTAIN CLO: S&P Assigns BB Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
BlueMountain CLO 2013-4 Ltd./BlueMountain CLO 2013-4 LLC's
$378.00 million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable 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 S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.2386%- 12.5769%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's reinvestment overcollateralization test, a
failure of which, during the reinvestment period, will lead
to the reclassification of principal proceeds of up to 50%
of the excess interest proceeds that are available before
paying uncapped administrative expenses and fees, hedge
payments, incentive management fees, and subordinate note
payments.
RATINGS ASSIGNED
BlueMountain CLO 2013-4 Ltd./BlueMountain CLO 2013-4 LLC
Class Rating Amount
(Mil. $)
A AAA (sf) 250.30
B-1 AA (sf) 34.00
B-2 AA (sf) 10.00
C (deferrable) A (sf) 34.50
D (deferrable) BBB (sf) 20.40
E (deferrable) BB (sf) 16.90
F (deferrable) B (sf) 11.90
Subordinated notes NR 32.60
NR-Not rated.
BRISTOL BAY: S&P Raises Rating on Class B Notes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2 and B notes from Bristol Bay Funding Ltd., and removed them
from CreditWatch with positive implications, where they were
placed on Nov. 14, 2013. Bristol Bay Funding Ltd. is a U.S.
hybrid collateralized loan obligation (CLO) transaction managed by
Highland Capital Management L.P. Hybrid CLOs are corporate
collateralized debt obligation (CDO) transactions that combine
elements of both cash flow and synthetic CDOs.
The transaction's portfolio modification period ended in January
2011. Since then, the reference obligations began to amortize,
resulting in the reduction of the entire $392.3 million retained
calculation amount. Following the complete reduction of the
retained amount, the notes have started to pay down. The class A-
1 notes paid off their remaining balance on the most recent
November 2013 payment date, and the class A-2 notes have now paid
down $4.7 million. The upgrades reflect improvements in the
collateralization level available to the tranches as a result of
the amortization of the reference obligations and note paydowns.
The rating upgrade on the class B notes was driven by the
application of the largest obligor test, a supplemental stress
test S&P introduced as part of its corporate CDO criteria update.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Bristol Bay Funding Ltd.
Rating Rating
Class To From
A-2 AAA (sf) AA+ (sf)/Watch Pos
B BB+ (sf) B+ (sf)/Watch Pos
CALLIDUS DEBT: S&P Raises Rating on Class E Notes From BB
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of notes from Callidus Debt Partners CLO Fund VII Ltd. and
affirmed its rating on one class. S&P also raised its ratings on
five classes of notes from Columbus Park CDO Ltd. At the same
time, S&P removed the nine raised ratings from CreditWatch with
positive implications. Both transactions are collateralized loan
obligation transactions managed by GSO Capital Partners L.P.
The upgrades on classes B, C, D, and E from Callidus Debt Partners
CLO Fund VII Ltd. reflect paydowns to the class A notes. Since
S&P's June 2013 rating actions, the class A notes received
$102.3 million of principal paydowns. In December 2013, the class
A notes outstanding balance was about 47.7% of the original
balance.
The upgrades also reflect a subsequent increase in the
overcollateralization (O/C) available to support the notes as a
result of the class A note paydowns. The trustee reported the
following O/C ratios in the December 2013 monthly report:
-- The class A/B O/C ratio increased to 149.00% in December
2013 from the 134.61% noted in the May 2013 trustee report;
-- The class C O/C ratio increased to 130.67% from 122.63%
noted in the May 2013 trustee report;
-- The class D O/C ratio increased to 121.81% from 116.49%
noted in the May 2013 trustee report; and
-- The class E O/C ratio increased to 113.36% from 110.42%
noted in the May 2013 trustee report.
Similarly, the upgrades on classes A-1, A-2, B, C, and D from
Columbus Park CDO Ltd. reflect paydowns to the class A-1 notes and
a subsequent increase in the O/C available to support the notes.
The transaction exited its reinvestment period in April 2013 and
has been paying down the class A-1 notes since July 2013. In
December 2013, the class A-1 outstanding balance was
$205.6 million, about 71.4% of its original balance.
The trustee reported the following O/C ratios in the December 2013
monthly report:
-- The class A O/C ratio increased to 144.27% from 134.11%
noted in the April 2012 trustee report, which S&P referenced
in its May 2012 rating actions;
-- The class B O/C ratio increased to 133.02% from 126.29%
noted in the April 2012 trustee report;
-- The class C O/C ratio increased to 126.78% from 121.81%
noted in the April 2012 trustee report; and
-- The class D O/C ratio increased to 120.64% from 117.30%
noted in the April 2012 trustee report.
S&P's affirmation on the class A notes from Callidus Debt Partners
CLO Fund VII Ltd. reflects the availability of adequate credit
support at the 'AAA' rating level.
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.
RATING AND CREDITWATCH ACTIONS
Callidus Debt Partners CDO Fund VII Ltd.
Class Rating
To From
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) A+ (sf)/Watch Pos
D A- (sf) BBB (sf)/Watch Pos
E BBB- (sf) BB (sf)/Watch Pos
Columbus Park CDO Ltd.
Class Rating
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 AA (sf) A- (sf)/Watch Pos
D A+ (sf) BBB- (sf)/Watch Pos
RATING AFFIRMED
Callidus Debt Partners CDO Fund VII Ltd.
Class Rating
A AAA (sf)
CARLYLE GLOBAL 2013-3: S&P Affirms BB Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Carlyle
Global Market Strategies CLO 2013-3 Ltd./Carlyle Global Market
Strategies CLO 2013-3 LLC's $481.5 million floating-rate notes
following the transaction's effective date as of Oct. 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 our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
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 S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
Carlyle Global Market Strategies CLO 2013-3 Ltd./Carlyle Global
Market Strategies CLO 2013-3 LLC
Class Rating Amount
(mil. $)
A-1A AAA (sf) 249.00
A-1B AAA (sf) 75.00
A-2A AA (sf) 31.00
A-2B AA (sf) 15.00
B (deferrable) A (sf) 43.00
C (deferrable) BBB (sf) 24.00
D (deferrable) BB (sf) 24.50
E (deferrable) B (sf) 10.00
P (i) A-p (sf) 10.00
(i) The class P securities consist of approximately $1.50 million
in subordinated notes and a zero-coupon note issued by Citigroup
Inc. due July 10, 2020, with a total face value of $10.00 million.
The 'p' subscript indicates that the rating addresses only the
principal portion of the obligation.
CATAMARAN CLO 2013-1: S&P Affirms 'BB' Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Catamaran CLO 2013-1 Ltd./Catamaran CLO 2013-1 LLC's
$426.3 million floating-rate notes following the transaction's
effective date as of Dec. 6, 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 S&P receives a request to issue an effective date rating
affirmation, it performs quantitative and qualitative analysis of
the transaction in accordance with S&P's criteria to assess
whether the initial ratings remain consistent with the credit
enhancement based on the effective date collateral portfolio.
S&P's 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 S&P's supplemental tests, and the
analytical judgment of a rating committee.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
Catamaran CLO 2013-1 Ltd./Catamaran CLO 2013-1 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 277.80
B AA (sf) 61.00
C (deferrable) A (sf) 33.75
D (deferrable) BBB (sf) 23.35
E (deferrable) BB (sf) 19.70
F (deferrable) B (sf) 10.70
CATHEDRAL LAKE 2013: S&P Assigns 'BB' Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Cathedral Lake CLO 2013 Ltd./Cathedral Lake CLO 2013 Corp.'s
$324.5 million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation 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 0.2429%-13.8385%.
-- 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.
RATINGS ASSIGNED
Cathedral Lake CLO 2013 Ltd./Cathedral Lake CLO 2013 Corp.
Class Rating Amount
(mil. $)
A-1A AAA (sf) 169.80
A-1B AAA (sf) 50.00
A-2 AA (sf) 40.25
B (deferrable) A (sf) 28.00
C (deferrable) BBB (sf) 20.00
D (deferrable) BB (sf) 16.45
Subordinated notes NR 38.50
NR--Not rated.
CENT CLO 20: S&P Assigns 'BB' Rating on Class E Notes
-----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Cent
CLO 20 Ltd./Cent CLO 20 Corp.'s $418.25 million fixed- and
floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans. The ratings reflect
S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which primarily
comprises 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 0.2386%-13.8385%.
-- 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 the 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, and at the option of the
collateral manager, to principal proceeds to purchase
additional collateral assets or to pay principal on the
notes according to the note payment sequence.
RATINGS ASSIGNED
Cent CLO 20 Ltd./Cent CLO 20 Corp.
Class Rating Amount (mil. $)
X AAA (sf) 3.75
A AAA (sf) 285.00
B-1 AA (sf) 29.75
B-2 AA (sf) 20.00
C (deferrable) A (sf) 38.50
D (deferrable) BBB (sf) 22.25
E (deferrable) BB (sf) 19.00
Subordinated notes NR 44.75
NR--Not rated.
CIFC FUNDING 2013-I: S&P Affirms 'BB' Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on CIFC
Funding 2013-I Ltd./CIFC Funding 2013-I LLC's $470.0 million
floating-rate notes following the transaction's effective date as
of June 5, 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 our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
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.
RATINGS AFFIRMED
CIFC Funding 2013-I Ltd./CIFC Funding 2013-I LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 310.60
A-2 AA (sf) 50.50
B (deferrable) A (sf) 47.60
C (deferrable) BBB (sf) 28.20
D (deferrable) BB (sf) 22.80
E (deferrable) B (sf) 10.30
CITIGROUP MORTGAGE: Moody's Lifts Rating on M-4 Tranche to Caa3
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches from two transactions issued by various trusts, backed by
Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE2
Cl. M-2, Upgraded to B1 (sf); previously on Apr 9, 2012 Confirmed
at B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 9, 2012
Confirmed at Caa3 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 9, 2012
Confirmed at Ca (sf)
Issuer: HSI Asset Securitization Corporation Trust 2006-OPT2
Cl. M-2, Upgraded to Caa2 (sf); previously on Jul 18, 2011
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 related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in December 2013 from
7.9% in December 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector. House
prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2014. Lower increases
than Moody's expects or decreases could lead to negative rating
actions. Finally, 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.
COMM 2014-CCRE14: Moody's Rates Class F Certs '(P)B2 (sf)'
----------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
fourteen classes of CMBS securities, issued by COMM 2014-CCRE14
Mortgage Trust, Commercial Mortgage Pass-Through Certificates.
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-SB, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. X-A*, Assigned (P)Aaa (sf)
Cl. A-M**, Assigned (P)Aaa (sf)
Cl. B**, Assigned (P)Aa3 (sf)
Cl. PEZ**, Assigned (P)A1 (sf)
Cl. C**, Assigned (P)A3 (sf)
Cl. X-B*, Assigned (P)Baa1 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B2 (sf)
*Reflects Interest-Only Class
**Reflects Exchangeable Class
RATINGS RATIONALE
The Certificates are collateralized by 59 fixed-rate loans secured
by 87 properties including three credit assessed loans. 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 1.81X (1.40x excluding credit assessed
loans) is greater than the 2007 conduit/fusion transaction average
of 1.31X. The Moody's Stressed DSCR of 1.05X (1.01x excluding
credit assessed loans) is greater than the 2007 conduit/fusion
transaction average of 0.92X.
Moody's Trust LTV ratio of 99.3% (107.4% excluding credit assessed
loans) 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 20.8 (22.5 excluding credit assessed loans).
The transaction's loan level diversity is at the lower 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 31.5
(24.3 excluding credit assessed loans). The transaction's property
diversity profile is lower 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 2.0, 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-M to mitigate the potential increased
severity to class A-M.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
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 1.0 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.
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 15%, and 23%, the model-indicated rating for the currently
rated junior Aaa class would be Aa1, 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.
Factors that would lead to an upgrade or downgrade of the rating
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
CREDIT AND REPACKAGED: Moody's Hikes Ratings on $31MM of CSOs
-------------------------------------------------------------
Moody's Investors Service announced the following rating actions
on Series 2006-15, 2006-16, and 2006-17 issued by Credit and
Repackaged Securities Limited:
Issuer: Credit and Repackaged Securities Limited Series 2006-15
US $20,000,000.00 Tranche Notes Due December 20, 2016 Notes,
Upgraded to Caa1 (sf); previously on February 25, 2009 Downgraded
to Caa3 (sf)
Issuer: Credit and Repackaged Securities Limited Series 2006-16
US $5,000,000.00 Tranche Notes Due December 20, 2016 Notes,
Upgraded to Caa3 (sf); previously on February 25, 2009 Downgraded
to Ca (sf)
Issuer: Credit and Repackaged Securities Limited Series 2006-17
US $ 5,700,000.00 Tranche Notes Due December 20, 2016 Notes,
Upgraded to Caa3 (sf); previously on February 25, 2009 Downgraded
to Ca (sf)
This transaction is a corporate synthetic collateralized debt
obligation (CSO) referencing a portfolio of corporate senior
unsecured bonds, originally rated in 2006.
RATINGS RATIONALE
The rating actions are due to the shortened time to maturity of
the CSO and the level of credit enhancement remaining in the
transaction.
The portfolio's ten-year weighted average rating factor (WARF) is
1022, excluding settled credit events. Moody's rates the majority
of the reference credits investment-grade, with 6.3% rated Caa
(sf) or lower.
Four credit events, equivalent to an approximate 4.0% of the
portfolio's notional value at closing, have taken place. Since
inception, the subordination of the rated tranches has declined by
approximately 2.0% due to credit events on Lehman Brothers,
Washington Mutual, CIT Group and PMI Group. Moreover, the
portfolio is exposed to Energy Future Holdings Corp., which is not
a credit event, but has a senior unsecured rating of Caa3.
The average gap between Market Implied Ratings (MIRs) and Moody's
senior unsecured ratings is -0.05 notches for over-concentrated
sectors and 1.01 notches for non-over concentrated sectors.
Currently, the over-concentrated sector is Banking, Finance,
Insurance and Real Estate, comprising 22.92% of the portfolio.
The current subordination levels of the Series 2006-15, Series
2006-16 and Series 2006-17 notes are 3.8%, 2.8% and 1.7%,
respectively; these tranches are likely to reach their scheduled
maturity without incurring a loss.
The CSO has a remaining life of 2.9 years.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating Corporate Synthetic Collateralized Debt
Obligations" published in November 2013.
Factors that Would lead to an Upgrade or Downgrade of the Rating
These transactions are subject to a high level of uncertainty,
primarily because of 1) unexpected volatility in the credit and
macroeconomic environment; 2) divergence in the legal
interpretation of documentation by different transactional parties
because of embedded ambiguities; and 3) unexpected changes in the
portfolio composition as a result of the actions of the
transaction parties.
For CSOs, the performance of the credit default swaps can be
affected either positively or negatively by 1) variations over
time in default rates for instruments with a given rating; 2)
variations in recovery rates for instruments with particular
seniority/security characteristics; and 3) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Given the tranched nature of CSO liabilities, rating
transitions in the reference pool can have leveraged rating
implications for the ratings of the CSO liabilities that could
lead to a high degree of rating volatility, which is likely to be
higher for the more junior or thinner liabilities.
In addition to the base case analysis described above, Moody's
also conducted sensitivity analyses, discussed below. Results are
in the form of the difference in the number of notches from the
base case, in which a higher number of notches corresponds to
lower expected losses, and vice-versa.
-- Moody's conducted a sensitivity analysis in which it extended
the time to maturity by 12 months, keeping all other things equal.
The result was three notches lower for the Series 2006-15 notes
and one notch lower for the Series' 2006-16 and 2006-17 notes than
in the base case.
-- Moody's ran a scenario in which it reduced the maturity of the
CSO by six months, keeping all other things equal. The result of
this run was one notch higher for the Series 2006-15 notes and no
material difference for Series' 2006-16 and 2006-17 notes than in
the base case.
-- Moody's generally models reference entities with insufficient
credit information using a Caa2 (sf) rating. In this case, Moody'
s replaced the rating of the entities with the average portfolio
rating, which resulted in a model output two notches higher for
the Series' 2006-15 and 2006-16 notes and no material difference
for the Series 2006-17 notes than in the base case.
-- Moody's conducted a stress analysis in which it defaulted
Energy Future Holdings Corp. The result was one notch lower for
the Series 2006-15 notes and no material difference for the
Series' 2006-16 and 2006-17 notes than in the base case.
In addition to the quantitative factors Moody's models explicitly,
rating committees also consider qualitative factors in the rating
process. These qualitative factors include a transaction's
structural protections, recent deal performance in the current
market environment, the legal environment, specific documentation
features and the portfolio manager's track record. All information
available to rating committees, including macroeconomic forecasts,
input from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, can influence the final rating decision.
CREDIT SUISSE 2002-CKS4: S&P Lowers Rating on Class G Notes to D
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
G commercial mortgage pass-through certificates from Credit Suisse
First Boston Mortgage Securities Corp.'s series 2002-CKS4, a U.S.
commercial mortgage-backed securities (CMBS) transaction, to
'D(sf)' from 'CCC-(sf)'.
The downgrade reflects accumulated interest shortfalls outstanding
for eight consecutive months, and based on S&P's analysis, it
expects interest shortfalls to continue in the near term.
According to the Dec. 17, 2013, trustee remittance report, the
current reported monthly interest shortfalls totaled $196,891, of
which $14,122 was taken as a principal loss on the class J
certificates. The interest shortfalls resulted primarily from:
-- Interest reduction due to nonrecoverability determination in
the amount of $183,659 for two ($31.6 million, 82.3%) of the
five specially serviced assets ($34.1 million, 88.9%): the
Forum at Gateways real estate-owned asset ($19.4 million,
50.4%) and the Williamsburg Crossing loan ($12.2 million,
31.9%). The master servicer, KeyBank N.A., determined the
advances on these two assets to be nonrecoverable;
-- Appraisal subordinate entitlement reduction amounts totaling
$5,295 related to appraisal reduction amounts totaling
$910,807 on two loans: the Excelsior Manor Mobile Home Park
($907,695, 2.4%) and the Seaborn Woods Apartments ($745,168,
1.9%) loans;
-- Special servicing fees totaling $7,108; and
-- Reimbursement of advances of $829.
The current reported interest shortfalls have affected all classes
subordinate to and including class G.
RATING LOWERED
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CKS4
Rating Reported
Credit Interest shortfalls ($)
Class To From enhancement(%) Current Accumulated
G D (sf) CCC- (sf) 75.34 47,347 368,454
CREDIT SUISSE 2006-C2: S&P Lowers Rating on Cl. A-J Certs to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-J commercial mortgage pass-through certificates from Credit
Suisse Commercial Mortgage Trust Series 2006-C2, a U.S. commercial
mortgage-backed securities (CMBS) transaction, to 'D(sf)' from
'CCC-(sf)'.
S&P lowered its rating to 'D(sf)' on class A-J to reflect
accumulated interest shortfalls totaling $1.2 million that were
outstanding for 11 consecutive months and S&P's expectation that
the accumulated interest shortfalls will remain outstanding for
the foreseeable future. According to the Dec. 17, 2013, trustee
remittance report, the current monthly interest shortfalls totaled
$508,849 and were primarily from:
-- Interest reduction because of the nonrecoverability
determination on the Fortunoff Portfolio loan ($69.5
million, 6.5%) totaling $332,330;
-- Other expenses of $51,526 related to the Fortunoff Portfolio
loan;
-- Special servicing and workout fees totaling $43,106; and
-- Appraisal subordinate entitlement reduction amounts totaling
$37,794 related to appraisal reduction amounts totaling
$7.8 million on four ($26.8 million, 2.5%) of the six assets
($100.2 million, 9.3%) that are currently with the special
servicer, C-III Asset Management LLC (C-III).
The current reported interest shortfalls have affected all classes
subordinate to and including class A-J. Class A-J shorted $132,632
according to the December 2013 trustee remittance report.
CREST 2002-1: Fitch Affirms Junk Rating on Three Note Classes
-------------------------------------------------------------
Fitch Ratings has affirmed three classes issued by Crest 2002-1,
LTD./Corp (Crest 2002-1).
For the class B and C notes Fitch analyzed the class' sensitivity
to the default of the distressed assets ('CCC' and below).
Currently, 60.4% of the portfolio has a Fitch derived rating below
investment grade with 35.3% of the portfolio having a rating in
the 'CCC' category and below, compared to 68.7% and 41.8%,
respectively, at the last rating action. Given the high
probability of default of the underlying assets and the expected
limited recovery prospects upon default, the class B notes have
been affirmed at 'CCsf', indicating that default is probable.
Similarly, the class C notes have been affirmed at 'Csf',
indicating that default is inevitable. With 39.6% of the
remaining collateral rated investment grade, Fitch expects
moderate recoveries on the class B notes.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. The transaction was
not analyzed within a cash flow model framework, as the impact of
structural features and excess spread, or conversely, principal
proceeds being used to pay collateralized debt obligation (CDO)
liabilities, was determined to be minimal in the context of the
CDO's rating.
Further deterioration of the underlying assets could lead to a
downgrade to the class B notes. Crest 2002-1 is a static
collateralized debt obligation (CDO) that closed on March 27,
2002. The current portfolio consists of 16 bonds from 12
obligors, of which 77.6% are commercial mortgage backed securities
(CMBS) and 22.4% are real estate investment trust (REIT) debt
securities from the 1995 through 2002 vintages.
Fitch has affirmed the following classes as indicated:
-- $35,572,490 class B-1 notes at 'CCsf';
-- $20,594,599 class B-2 notes at 'CCsf';
-- $38,839,582 class C notes at 'Csf'.
CREST 2003-1: Fitch Affirms 'Csf' Rating on Class D-2 Notes
-----------------------------------------------------------
Fitch Ratings has upgraded two and affirmed two classes issued by
Crest 2003-1 Ltd./Corp. (Crest 2003-1) as a result of significant
paydowns to the senior notes.
Key Rating Drivers
The upgrades are primarily due to the deleveraging of the
transaction resulting from the significant paydown since Fitch's
last rating action in January 2013. Since the last rating action,
approximately 3.61% of the collateral has been downgraded and
20.8% has been upgraded. Currently, 85.7% of the portfolio has a
Fitch derived rating below investment grade and 62.3% has a rating
in the 'CCC' category and below, compared to 72.9% and 53.7%,
respectively, at the last rating action. Over this period, the
transaction has received $63.9 million in pay downs, which has
resulted in the full repayment of the class B notes.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. The default levels were then
compared to the breakeven levels generated by Fitch's cash flow
model of the CDO under the various default timing and interest
rate stress scenarios, as described in the same report. Fitch
also analyzed the structure's sensitivity to the assets that are
distressed, experiencing interest shortfalls, and those with near-
term maturities. The class C notes have been upgraded to reflect
the likelihood of continued delevering over the next year; however
the upgrade was limited due to increased risk for interest
shortfall as a result of increased concentration and adverse
selection.
For the class D notes, Fitch analyzed each class' sensitivity to
the default of the distressed assets ('CCC' and below). Given the
high probability of default of the underlying assets and the
expected limited recovery prospects upon default, the class D
notes have been affirmed at 'Csf', indicating that default is
inevitable.
Rating Sensitivity
In addition to those sensitivities discussed above, further
negative migration and defaults beyond those projected by SF PCM
as well as increasing concentration in assets of a weaker credit
quality could lead to downgrades. The senior notes are expected
to continue to amortize as 17% of the collateral are senior
positions in their respective underlying transactions. The Stable
Outlook on the class C notes reflects Fitch's view that the
transaction will continue to delever.
Crest 2003-1 is a static cash flow collateralized debt obligation
(CDO), which closed March 13, 2003. The collateral is composed of
100% commercial mortgage backed securities (CMBS). The
transaction is collateralized by 24 assets from 13 obligors.
Fitch has taken the following actions:
-- $7,367,465 class C-1 notes upgraded to 'Bsf' from 'CCCsf';
assigned Outlook Stable;
-- $12,366,817 class C-2 notes upgraded to 'Bsf' from 'CCCsf';
assigned Outlook Stable;
-- $11,405,651 class D-1 notes affirmed at 'Csf';
-- $67,727,471 class D-2 notes affirmed at 'Csf'.
CSFB ADJUSTABLE: Moody's Lifts Rating on Cl. 7-A-2-2 Tranche to B3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches issued by CSFB Adjustable Rate Mortgage Trust 2005-7. The
tranches are backed by Alt-A RMBS loans issued in 2005.
Complete rating actions are as follows:
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-7
Cl. 7-A-1-2, Upgraded to B2 (sf); previously on Aug 8, 2012
Upgraded to Caa1 (sf)
Cl. 7-A-2-1, Upgraded to Ba3 (sf); previously on Aug 8, 2012
Upgraded to B2 (sf)
Cl. 7-A-2-2, Upgraded to B3 (sf); previously on Aug 8, 2012
Upgraded to Caa2 (sf)
RATINGS RATIONALE
The rating actions come as a result of stable performance and
build up of credit enhancement through excess spread in the deal.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in December 2013 from
7.9% in December 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector. House
prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2014. Lower increases
than Moody's expects or decreases could lead to negative rating
actions. Finally, 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.
CVP CASCADE CLO-1: S&P Assigns 'BB' Rating to Class D Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CVP
Cascade CLO-1 Ltd./CVP Cascade CLO-1 LLC's $380.75 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
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 primarily
comprises 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 0.2419%-13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of up to 50% of the
excess interest proceeds that are available before paying
uncapped administrative expenses, subordinated and incentive
management fees, and subordinated note payments into
principal proceeds to purchase additional collateral assets
during the reinvestment period.
RATINGS ASSIGNED
CVP Cascade CLO-1 Ltd./CVP Cascade CLO-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 255.25
A-2 AA (sf) 40.50
B (deferrable) A (sf) 34.50
C (deferrable) BBB (sf) 21.00
D (deferrable) BB (sf) 18.25
E (deferrable) B (sf) 11.25
Subordinated NR 38.60
notes
NR-Not rated.
DBCCRE 2014-ARCP: S&P Assigns Prelim. BB Rating on Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to DBCCRE 2014-ARCP Mortgage Trust's $620 million
commercial mortgage pass-through certificates.
The certificate issuance is a commercial mortgage-backed
securities transaction backed by first mortgage liens on the fee
and leasehold interests in 82 single-tenanted commercial
properties.
The preliminary ratings are based on information as of Jan. 16,
2014. 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
economics, the collateral pool's relative diversity, the sponsor's
experience, the trustee-provided liquidity, the transaction's
structure, and our overall qualitative assessment of the
transaction.
PRELIMINARY RATINGS ASSIGNED
DBCCRE 2014-ARCP Mortgage Trust
Class Rating Amount
(mil. $)
A AAA (sf) $345.400
X AA- (sf) $417.390(i)
B AA- (sf) $71.990
C A- (sf) $53.970
D BBB- (sf) $59.077
E BB (sf) $63.733
F BB- (sf) $25.830
(i) Notional balance.
DLJ COMMERCIAL 1999-CG2: Fitch Affirms 'Dsf' Ratings on B-7 Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed four classes of DLJ Commercial Mortgage
Corp., series 1999-CG2.
Key Rating Drivers
The affirmations are the result of sufficient credit enhancement
due to significant paydown which offsets the pool's increased
concentrations. Fitch modeled losses of 9.4% of the remaining
pool; expected losses on the original pool balance total 4.2%,
including $61.9 million (4% of the original pool balance) in
realized losses to date. Fitch has designated seven loans (22.3%)
as Fitch Loans of Concern, which includes one specially serviced
asset (5.1%).
As of the December 2013 distribution date, the pool's aggregate
principal balance has been reduced by 98.1% to $30.3 million from
$1.6 billion at issuance. Nineteen of the original 343 loans
remain. Five loans (85.1%) have anticipated repayment dates, with
final maturity dates ranging from 2023 through 2028 and fourteen
loans (14.9%) have maturity dates between 2014 and 2024. One loan
(1.5%) is currently defeased. Interest shortfalls are currently
affecting classes B-6 through C.
The largest contributor to Fitch's modeled losses is an 84 unit
multifamily property (5.1%) located in Columbus, OH. The loan
transferred to the special servicer due to imminent monetary
default. Occupancy at the property decreased to 71%, as of
December 2013, from 89%, as of June 2012. There are several
deferred maintenance issues at the property which are currently
being addressed.
Rating Sensitivities
The rating on the class B-5 notes is expected to remain stable.
The rating on the class B-6 notes may be subject to further
downgrades as losses are realized.
Fitch has affirmed the following classes as indicated:
-- $10.8 million class B-5 at 'BBBsf'; Outlook Stable;
-- $19.4 million class B-6 at 'Csf'; RE 85%;
-- $88,262 class B-7 at 'Dsf'; RE 0%.
Class B-8 remains at 'Dsf'; RE 0% and has been reduced to zero due
to realized losses. Class C, which is not rated by Fitch has been
reduced to zero from $31 million at issuance due to realized
losses.
The class A-1A, A-1B, A-2, A-3, A-4, B-1, B-2, B-3, and B-4 notes
have paid in full. Fitch previously withdrew the rating on the
interest-only class S certificates.
DRYDEN XXII: S&P Affirms 'BB' Rating on Class D Notes
-----------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
original class A-1, A-2, B-1, B-2, and C notes from Dryden XXII
Senior Loan Fund, a collateralized loan obligation transaction
managed by Prudential Investment Management Inc., after the notes
were redeemed in full. At the same time, S&P assigned ratings to
the replacement class A-1-R, A-2-R, B-R, and C-R notes, whose
proceeds were used to redeem the original notes as outlined by
provisions in the transaction documents. S&P also affirmed its
rating on the class D notes, which were not refinanced.
The replacement notes were issued via a supplemental indenture, at
a lower spread over LIBOR than the original notes. All of the
proceeds from the replacement notes were used to redeem the
original notes.
The supplemental indenture did not make any other substantive
changes to the transaction. The ratings assigned to the
replacement notes are the same as those on the redeemed notes
because all other aspects of the transaction remained unchanged
from S&P's last rating action.
RATINGS WITHDRAWN
Dryden XXII Senior Loan Fund
Rating
Original Notes To From
Class Coupon
A-1 L + 1.525% NR AAA (sf)
A-2 L + 2.600% NR AA (sf)
B-1 L + 4.000% NR A (sf)
B-2 L + 3.300% NR A (sf)
C L + 5.000% NR BBB (sf)
RATINGS ASSIGNED
Dryden XXII Senior Loan Fund
Replacement class Coupon Rating
A-1-R L + 1.170% AAA (sf)
A-2-R L + 1.750% AA (sf)
B-R L + 2.850% A (sf)
C-R L + 4.000% BBB (sf)
RATING AFFIRMED
Dryden XXII Senior Loan Fund
Class Coupon Rating
D L + 5.200% BB (sf)
L--Three-month LIBOR. NR--Not rated.
TRANSACTION INFORMATION
Issuer: Dryden XXII Senior Loan Fund
Co-issuer: Dryden XXII Senior Loan Fund Corp.
Collateral manager: Prudential Investment Management Inc.
Refinancing arranger: RBS Securities Inc.
Trustee: Deutsche Bank Trust Co. Americas
Transaction type: Cash flow CLO
CLO-Collateralized loan obligation.
FLAGSHIP CLO IV: S&P Raises Rating on Class D Notes to 'BB+'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes of notes from Flagship CLO IV, a U.S. cash flow
collateralized loan obligation (CLO) transaction, and removed them
from CreditWatch, where S&P had placed them with positive
implications on Nov. 14, 2013. At the same time S&P affirmed its
ratings on two classes of notes from the same transaction.
The transaction is currently in the amortization period since its
reinvestment period ended in May 2012. The upgrades reflect
paydowns of more than $53 million to the class A notes since S&P's
June 2013 rating actions, which have increased
overcollateralization ratios for each of the rated tranches.
Flagship CLO IV has had consistently low defaults, currently
totaling only 0.05% of the total collateral as of the monthly
trustee report dated Nov. 11, 2013. This transaction also has
significant exposure to long-dated assets. According to the
November 2013 trustee report, 13.31% of the collateral matures
after the notes' stated maturity. S&P's analysis considered the
potential market value and settlement-related risk from the
remaining securities' potential liquidation on the transaction's
legal final maturity date.
S&P's ratings on the class C and class D notes are driven by its
largest obligor default test, which is intended to address
potential concentrated exposure to obligors in the transaction's
portfolio.
The affirmations on the class A notes reflect sufficient credit
support available to the notes at their 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.
RATING AND CREDITWATCH ACTIONS
Rating
Class To From
A Funded AAA (sf) AAA (sf)
A Revolver AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf)/Watch Pos
C A+ (sf) BBB (sf)/Watch Pos
D BB+ (sf) B+ (sf)/Watch Pos
G-FORCE 2005-RR: Fitch Affirms 'Dsf' Rating on Class N Notes
------------------------------------------------------------
Fitch Ratings has upgraded one, downgraded two, and affirmed 10
classes issued by G-Force 2005-RR, LLC (G-Force 2005-RR).
Key Rating Drivers
The downgrade is a result of additional principal losses on the
underlying portfolio. The upgrade and affirmations are a result
of paydowns to the senior notes. Since the last rating action in
January 2013, approximately 20% of the collateral has been
upgraded and 24.7% has been downgraded. Currently, 73.5% of the
portfolio has a Fitch derived rating below investment grade and
38.1% has a rating in the 'CCC' category and below, compared to
54% and 25.7%, respectively, at the last rating action. Over this
period, the transaction has received $145.9 million in pay downs
which has significantly reduced the balance of class A-2. In
addition, the transaction has experienced $20.5 million in
principal losses, which has impacted classes E through G.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Additionally, a deterministic analysis was performed
where the recovery estimate on the distressed collateral was
modeled in accordance with the principal waterfall. An asset by
asset analysis was then performed for the remaining assets to
determine the collateral coverage for the remaining liabilities.
Based on this analysis, the credit enhancement levels for the
class A-2 and B notes are consistent with the ratings indicated
below.
For the class C and D notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
the class C and D notes have been affirmed at 'Csf', indicating
that default is inevitable.
The class E notes have realized principal losses of approximately
29.9% of their original principal balance while the class F
through N notes have experienced full principal losses. The class
E and F notes have been downgraded, and the class G through N
notes have been affirmed at 'Dsf'.
Rating Sensitivities
The Stable Outlook on the class A-2 notes reflects Fitch's view
that the notes will continue to delever. Further losses may cause
downgrades to the class C and D notes. G-FORCE 2005-RR is backed
by 19 tranches from 10 commercial mortgage backed security (CMBS)
transactions and is considered a CMBS B-piece resecuritization
(also referred to as a first-loss commercial real estate
collateralized debt obligation [CRE CDO]/ReREMIC) as it includes
the most junior bonds of CMBS transactions. The transaction
closed Feb. 22, 2005.
Fitch has taken the following actions as indicated:
-- $14,788,539 class A-2 notes upgraded to 'BBBsf' from 'Bsf';
Outlook to Stable from Negative;
-- $40,230,000 class B notes affirmed at 'CCCsf';
-- $25,144,000 class C notes affirmed at 'Csf'
-- $5,029,000 class D notes affirmed at 'Csf'
-- $11,896,900 class E notes downgraded to 'Dsf' from 'Csf';
-- $0 class F notes downgraded to 'Dsf' from 'Csf';
-- $0 class G notes affirmed at 'Dsf';
-- $0 class H notes affirmed at 'Dsf';
-- $0 class J notes affirmed at 'Dsf';
-- $0 class K notes affirmed at 'Dsf';
-- $0 class L notes affirmed at 'Dsf';
-- $0 class M notes affirmed at 'Dsf';
-- $0 class N notes affirmed at 'Dsf'.
GALLATIN CLO III: S&P Affirms B+ Rating on Class B-2L Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1L, A-1LR, A-2L, A-3L, and B-1L notes from Gallatin CLO III
2007-1 Ltd., a U.S. collateralized loan obligation (CLO)
transaction managed by UrsaMine Credit Advisors. At the same
time, S&P affirmed its rating on the class B-2L note and removed
the ratings on class A-1L and A-1LR notes from CreditWatch with
positive implications.
The upgrades mainly reflect paydowns to the class A-1L and A-1LR
notes, which are pari passu, and a subsequent increase in the
overcollateralization (O/C) available to support the notes since
S&P's May 2012 rating actions. Since then, the transaction ended
its reinvestment period in May 2013 and commenced paying down the
class A-1L and A-1LR notes. The paydowns have left these notes at
62.5% of their original balances, down from 100% in May 2012.
The senior notes' lower balances increased the O/C available to
support the notes. The trustee reported the following O/C ratios
in the December 2013 monthly report:
-- The senior class A O/C ratio, measured at the class A-2
level, was 132.5%, compared with a 122.0% ratio reported in
May 2012;
-- The class A O/C ratio, measured at the class A-3 level, was
119.7%, compared with a 113.9% ratio reported in May 2012;
-- The class B-1L O/C ratio was 112.8%, compared with a 109.4%
ratio reported in May 2012; and
-- The class B-2L O/C ratio was 106.6%, compared with a 105.1%
ratio reported in May 2012.
In addition, as reported in the December 2013 monthly trustee
report, the transaction has no defaults in its portfolio.
The upgrades reflect the increased credit support to the notes at
the previous rating levels. The affirmation reflects the
availability of adequate credit support at the current rating
level.
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.
RATING AND CREDITWATCH ACTIONS
Gallatin CLO III 2007-1 Ltd.
Rating
Class To From
A-1L AAA (sf) AA+ (sf)/Watch Pos
A-1LR AAA (sf) AA+ (sf)/Watch Pos
A-2L AA+ (sf) AA (sf)
A-3L A+ (sf) A (sf)
B-1L BBB+ (sf) BBB (sf)
RATING AFFIRMED
Gallatin CLO III 2007-1 Ltd.
Class Rating
B-2L B+ (sf)
GREENWICH CAPITAL: Firms Affirms 'Csf' Rating on Class K Notes
--------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed the remaining
classes of Greenwich Capital Commercial Funding Corporation
commercial mortgage pass-through certificates series 2007-GG11 due
to stable performance.
Key Rating Drivers
Fitch modeled losses of 13.9% of the remaining pool; expected
losses on the original pool balance total 13.5%, including $89.3
million (3.3% of the original pool balance) in realized losses to
date. Fitch has designated 48 loans (72.9%) as Fitch Loans of
Concern, which includes 12 specially serviced assets (18.4%).
While loss expectations have decreased slightly since Fitch's last
review, there remains significant uncertainty about the ultimate
resolution of several large loans in special servicing.
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 26.7% to $1.97 billion from
$2.69 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes C through S.
The largest contributor to expected losses is the specially-
serviced Bush Terminal loan (12.3% of the pool), which is secured
by a portfolio of 16 buildings totaling six million sf of
industrial/flex/office space located in Brooklyn, NY. At
origination the loan was underwritten by the lender on pro-forma
basis with the expectation that the re-development of the property
and conversion of a portion of the space from industrial to office
(690,000 sf) and loft/showroom space (2.5 million sf) would
achieve higher rents. Occupancy at the property has been
gradually declining to 61.4% as of YE 2012 from 87.2% at issuance,
which partly reflects space being kept vacant for conversion.
The loan transferred to the special servicer in January 2011 due
to payment default. The loan was subsequently modified in April
2012 and split into an A-Note of $190 million and a B-Note of $110
million.
The collateral sustained significant damage from Superstorm Sandy
and was transferred back to the special servicer where it was
again modified and the reduced interest rate of 4.68% extended
through September 2015. A new equity partner has been brought in
which is expected to finally execute on the conversion plans.
The next largest contributor to expected losses is the specially-
serviced Diamond Run Mall (1.8%), which is secured by a 383,987 sf
regional mall in Rutland, VT. The loan transferred to special
servicing in May 2010 for payment default and subsequently became
REO in December 2012.
The property is one of only three malls in Vermont and the only
mall in Rutland County, and is anchored by JC Penney, Sears and
Kmart. Property performance has deteriorated as a result of
higher vacancy and higher expenses relative to issuance. Occupancy
dropped to 81% as of August 2012 from 91.5% at YE 2008 and 92.8%
at issuance. The servicer-reported DSCR for August 2012, the most
recent available figure, was 0.37 times (x) down from 1.20x at
issuance. The asset was sold at auction in late 2013. Fitch
expects a loss of nearly 100% after fees and expenses.
The third largest contributor to expected losses is the specially-
serviced Eola Park center loan (1.8%), which is secured by a
166,497-sf 14-story office building located in Orlando, FL.
Occupancy and rental rates have gradually declined since issuance
due to a soft Orlando office market. The special servicer is
dual-tracking foreclosure, while modification negotiations with
the borrower are ongoing. The loan remains current.
Rating Sensitivity
Rating Outlooks on the senior classes remain Stable due to
increasing credit enhancement and continued paydown. Should cash
flows deteriorate further on the performing loans, or if realized
losses exceed current expectations on the specially serviced
loans, downgrades of subordinate classes are possible. Upgrades
are unlikely unless the Bush Terminal loan shows a sustained
performance turn around.
Fitch downgrades the following class as indicated:
-- $1.4 million class L to 'Dsf' from 'Csf', RE 0%;
Fitch affirms the following classes and assigns or revises Rating
Outlooks and REs as indicated:
-- $211.6 million class A-J at 'CCCsf', RE 85%;
-- $20.2 million class B at 'CCCsf', RE 0%.
Fitch affirms the following classes as indicated:
-- $13.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $41.2 million class A-AB at 'AAAsf'; Outlook Stable;
-- $995.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $201.9 million class A-1-A at 'AAAsf'; Outlook Stable;
-- $268.7 million class A-M at 'BBBsf'; Outlook Stable;
-- $26.9 million class C at 'CCsf', RE 0%;
-- $20.2 million class D at 'CCsf', RE 0%;
-- $33.6 million class E at 'CCsf', RE 0%;
-- $13.4 million class F at 'Csf', RE 0%;
-- $33.6 million class G at 'Csf', RE 0%;
-- $23.5 million class H at 'Csf', RE 0%;
-- $26.9 million class J at 'Csf', RE 0%;
-- $37 million class K at 'Csf', RE 0%;
Classes A-1 and A-2 have paid in full. Classes M through Q have
been reduced to zero due to realized losses and remain at 'Dsf',
RE0%. Fitch does not rate class S.
GS MORTGAGE 2014-GC18: Fitch Affirms 'Bsf' Rating on Class F Notes
------------------------------------------------------------------
Fitch Ratings has issued a presale report on GS Mortgage
Securities Trust 2014-GC18 Commercial Mortgage Pass-Through
Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $56,812,000 class A-1 'AAAsf'; Outlook Stable;
-- $116,213,000 class A-2 'AAAsf'; Outlook Stable;
-- $216,747,000 class A-3 'AAAsf'; Outlook Stable;
-- $301,979,000 class A-4 'AAAsf'; Outlook Stable;
-- $87,793,000 class A-AB 'AAAsf'; Outlook Stable;
-- $847,754,000a class X-A 'AAAsf'; Outlook Stable;
-- $68,210,000 class A-S 'AAAsf'; Outlook Stable;
-- $76,563,000 class B 'AA-sf'; Outlook Stable;
-- $189,318,000c class PEZ 'A-sf'; Outlook Stable;
-- $44,545,000 class C 'A-sf'; Outlook Stable;
-- $22,273,000a,b class X-B 'BBsf'; Outlook Stable;
-- $55,682,000b class D 'BBB-sf'; Outlook Stable;
-- $22,273,000b class E 'BBsf'; Outlook Stable;
-- $12,528,000b class F 'Bsf'; Outlook Stable.
a Notional amount and interest-only.
b Privately placed pursuant to Rule 144A.
c Class A-S, B, and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for up
to the full certificate principal amount of the class A-S, B and C
certificates.
The expected ratings are based on information provided by the
issuer as of Jan. 15, 2014. Fitch does not expect to rate the
$54,290,128 class G or the $66,818,128 interest-only class X-C.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 74 loans secured by 141 commercial
properties having an aggregate principal balance of approximately
$1.113 billion as of the cutoff date. The loans were contributed
to the trust by Goldman Sachs Mortgage Company, Citigroup Global
Markets Realty Corp., Starwood Mortgage Funding I LLC, and Cantor
Commercial Real Estate Lending, L.P.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.2% of the properties
by balance and cash flow analysis and asset summary reviews on
81.2% of the pool.
Key Rating Drivers
High Fitch Leverage: The pool's Fitch DSCR and LTV of 1.15x and
106.2%, respectively, are worse than the 2013 and 2012 averages of
1.29x and 101.6% and 1.24x and 97.2%, respectively.
Limited Lodging Exposure: The pool's hotel concentration of 8.1%
is lower than the 2013 average hotel concentration of 14.7%. Two
of the 15 largest loans in the pool are collateralized by hotel
properties. Hotels have a higher probability of default in Fitch's
multiborrower model.
Malls Located in Secondary Markets and High Retail Concentration:
Two of the five largest loans, The Crossroads (9% of the pool) and
Wyoming Valley Mall (7%), are collateralized by regional malls
located in secondary markets. Retail properties represent the
largest property type concentration at 40.5% of the pool,
including five of the top 10 loans. This is higher than the 2013
average retail concentration of 33.2%.
Secondary Markets: Six of the 10 largest loans are collateralized
by properties located in secondary markets, including Portage, MI,
Wilkes-Barre, PA, Toledo, OH, Anchorage, AK, and Bangor, ME. The
largest state concentrations are Pennsylvania (16.7%), Michigan
(12.9%), and Louisiana (11.7%).
Rating Sensitivities
For this transaction, Fitch's NCF was 9.9% below the full-year
2012 NOI (for properties that 2012 NOI was provided, excluding
properties that were stabilizing during this period).
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severity on defaulted loans, and could
result in potential rating actions on the certificates. Fitch
evaluated the sensitivity of the ratings assigned to GSMS 2014-
GC18 certificates and found that the transaction displays average
sensitivity to further declines in NCF. In a scenario in which
NCF declined a further 20% from Fitch's NCF, a downgrade of the
junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
GSAA HOME 2005: Moody's Hikes Rating on $106MM of Alt-A RMBS
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five
tranches in three transactions issued by Goldman Sachs in 2005.
The tranches are backed by Alt-A RMBS loans issued in 2005.
Complete rating actions are as follows:
Issuer: GSAA Home Equity Trust 2005-3
-- Cl. M-2, Upgraded to B2 (sf); previously on Jul 24, 2013
Upgraded to Caa1 (sf);
Issuer: GSAA Home Equity Trust 2005-9
-- Cl. 1A2, Upgraded to Ba2 (sf); previously on Jul 24, 2013
Upgraded to B1 (sf);
Issuer: GSAA Home Equity Trust 2005-MTR1
-- Cl. A-3, Upgraded to Baa3 (sf); previously on Jul 24, 2013
Upgraded to Ba3 (sf);
-- Cl. A-4, Upgraded to Ba3 (sf); previously on Jul 24, 2013
Upgraded to B1 (sf);
-- Cl. A-5, Upgraded to Caa3 (sf); previously on Jul 24, 2013
Upgraded to Ca (sf)
Ratings Rationale
The rating actions come as a result of stable performance and
faster than anticipated build up of credit enhancement through
excess spread in the deals. The principal methodology used in
these ratings was "US RMBS Surveillance Methodology" published in
November 2013.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in December 2013 from
7.9% in December 2012. Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2014. Lower
increases than Moody's expects or decreases could lead to negative
rating actions.
Finally, 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.
HEWETT'S ISLAND: S&P Raises Rating on Class E Notes to CCC
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on all notes
from Hewett's Island CLO VI Ltd., a U.S. collateralized loan
obligation (CLO) managed by CIFC Asset Management LLC. At the
same time, S&P removed them from CreditWatch with positive
implications, where S&P placed them in November 2013.
The upgrades reflect paydowns to class A-R and A-T notes. Since
S&P's January 2013 rating actions, principal amortization has
resulted in $163.11 million in paydowns to the class A-R and A-T
notes. The transaction's overall overcollateralization (O/C)
ratio tests have benefited from the principal paydowns as follows:
-- The class A/B O/C ratio is 138.79%, up from 118.67%;
-- The class C O/C is 125.03%, up from 112.91%;
-- The class D O/C is 113.76%, up from 107.69%; and
-- The class E O/C is 105.53%, up from 103.54%.
S&P also noted that the credit quality of the underlying portfolio
has improved over the same period. According to the December 2013
trustee report the transaction held no defaulted assets, compared
with the $5.94 million noted in the January 2013 trustee report.
In addition, the transaction held $12.18 million of 'CCC' rated
collateral as of December 2013, down from $22.80 million as of
S&P's January 2013 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.
RATING AND CREDITWATCH ACTIONS
Hewett's Island CLO VI Ltd.
Class Rating
To From
A-R AAA (sf) AA+ (sf)/Watch Pos
A-T AAA (sf) AA+ (sf)/Watch Pos
B AAA (sf) AA- (sf)/Watch Pos
C AA (sf) A (sf)/Watch Pos
D BBB+ (sf) BBB (sf)/Watch Pos
E CCC (sf) CCC- (sf)/Watch Pos
IRWIN WHOLE: Moody's Upgrades Rating on Class B Notes to 'B1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Class B from
Irwin Whole Loan Home Equity Trust 2003-B, backed primarily by
HELOCs.
Complete rating action is as follows:
Issuer: Irwin Whole Loan Home Equity Trust 2003-B
B, Upgraded to B1 (sf); previously on Jun 30, 2010 Confirmed at B3
(sf)
RATINGS RATIONALE
The action is a result of the recent performance of HELOCs loans
backed pools and reflect Moody's updated loss expectations on
these pools. The rating upgraded is primarily due to the build-up
in credit enhancement due to non-amortizing overcollateralization
and excess spread. Performance has remained generally stable from
our last review.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in December 2013 from
7.9% in December 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2014. Lower
increases than Moody's expects or decreases could lead to negative
rating actions.
Finally, 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 this transaction.
JP MORGAN 2001-CIBC1: Fitch Affirms Junk Rating on Cl. G Notes
--------------------------------------------------------------
Fitch Ratings has affirmed six classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp. series 2001-CIBC1 commercial
mortgage pass-through certificates.
Fitch modeled losses of 16.0% of the remaining pool; expected
losses on the original pool balance total 6.2%, including $58.3
million (5.8% of the original pool balance) in realized losses to
date. Fitch has designated four loans (46.2%) as Fitch Loans of
Concern, which includes one specially serviced asset (10.4%).
As of the December 2013 distribution date, the pool's aggregate
principal balance has been reduced by 97.2% to $28.9 million from
$1 billion at issuance. Nine of the original 165 loans remain.
Six loans (85.1%) have anticipated repayment dates, with final
maturity dates ranging from 2026 through 2030. Three loans
(14.9%) have maturity dates between 2015 and 2020. One loan
(1.6%) is currently defeased. Interest shortfalls are currently
affecting classes H through NR.
The largest contributor to Fitch's modeled losses is a 45,000
square foot (sf) retail property (10.4%) located in Akron, OH.
The property was previously 100% occupied by Dicks Sporting Goods
which vacated the property upon their lease expiration in November
2013. The property remains completely vacant.
The rating on the class G notes may be subject to further
downgrades as losses are realized.
Fitch has affirmed the following classes as indicated:
-- $24.7 million class G notes at 'CCCsf'; RE 90%;
-- $2.6 million class H notes at 'Dsf'; RE 0%;
-- $0 class J notes at 'Dsf'; RE 0%;
-- $0 class K notes at 'Dsf'; RE 0%;
-- $0 class L notes at 'Dsf'; RE 0%;
-- $0 class M notes at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, B, C, D, E, F, and X2 notes have paid in
full. Fitch previously withdrew the rating on the interest-only
class X1 certificates.
JP MORGAN 2007-C1: S&P Lowers Ratings on 4 Note Classes to D
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1, a
U.S. commercial mortgage-backed securities transaction.
The downgrades reflect current and potential interest shortfalls.
S&P lowered its ratings to 'D (sf)' on the class B, C, D, and E
certificates to reflect accumulated interest shortfalls
outstanding between seven and 12 consecutive months, and S&P's
expectation they will remain outstanding for the foreseeable
future.
S&P also lowered its rating on the class A-J certificates to 'CCC
(sf)' due to the decreased liquidity support available to them
because of interest shortfalls and S&P's expectation that this
class will be susceptible to future interest shortfalls from the
five assets ($142.1 million, 13.4%) with the special servicer, LNR
Partners LLC .
As of the Dec. 16, 2013, trustee remittance report, the current
reported monthly interest shortfalls totaled $763,621 and resulted
primarily from:
-- Interest reduction due to a $716,468 nonrecoverability
determination for two ($126.1 million, 11.9%) of the five
specially serviced assets ($142.1 million, 13.4%): the Westin
Portfolio loan ($103.4 million, 9.8%) and the Landmark Office
Center loan ($22.7 million, 2.1%). The master servicer,
Berkadia Commercial Mortgage LLC, determined advances to be
nonrecoverable for both of these loans;
-- Appraisal subordinate entitlement reduction amounts totaling
$14,250, related to appraisal reduction amounts totaling
$2.6 million, on two specially serviced assets: the Canton
Road Distribution Center real estate owned asset
($4.9 million, 0.5%) and the PCTC Medical Building loan
($4.8 million, 0.5%);
-- Special servicing fees totaling $29,684;
-- Workout fees totaling $2,178; and
-- Reimbursement of $1,137 in advances.
The current reported monthly interest shortfalls have affected all
classes subordinate to and including class B.
RATINGS LOWERED
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1
Commercial mortgage pass-through certificates
Reported
Rating Credit interest shortfalls
Class To From enhancement(%) Current Accumulated
A-J CCC (sf) B (sf) 14.52 0 0
B D (sf) CCC (sf) 12.99 72,117 369,359
C D (sf) CCC (sf) 11.60 78,984 563,058
D D (sf) CCC- (sf) 10.48 63,191 477,408
E D (sf) CCC- (sf) 9.23 71,090 864,597
KINGSLAND VI: S&P Affirms 'BB' Rating on Class E Notes
------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Kingsland VI/Kingsland VI LLC's $333.0 million floating-rate notes
following the transaction's effective date as of Nov. 30, 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 our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P added.
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 added.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as S&P deems
necessary.
RATINGS AFFIRMED
Kingsland VI/Kingsland VI LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.00
A-1 AAA (sf) 170.00
A loans(i) AAA (sf) 50.00
A-2(i) AAA (sf) 0.00
B AA (sf) 44.00
C (deferrable) A (sf) 25.00
D (deferrable) BBB (sf) 19.00
E (deferrable) BB (sf) 15.00
F (deferrable) B (sf) 8.00
(i) The class A-2 notes have a $50 million rated principal amount,
which includes the class A loans' $50 million rated principal
amount. The aggregate outstanding class A loans can be converted
to class A-2 notes, which would cancel the corresponding amount of
converted class A loans.
KKR FINANCIAL: Moody's Assigns (P)Ba3 Rating to $22MM Cl. D Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
eight classes of Notes to be issued by KKR Financial CLO 2013-2,
Ltd. (the "Issuer" or "KKR CLO").
Moody's rating action is as follows:
-- U.S. $100,000,000 Class A-1A Senior Secured Floating Rate
Notes due 2026 (the "Class A-1A Notes"), Assigned
(P)Aaa (sf);
-- U.S. $10,000,000 Class A-1B Senior Secured Fixed Rate Notes
due 2026 (the "Class A-1B Notes"), Assigned (P)Aaa (sf);
-- U.S. $115,000,000 Class A-1C Senior Secured Floating Rate
Notes due 2026 (the "Class A-1C Notes"), Assigned (P)Aaa
(sf);
-- U.S. $38,000,000 Class A-2A Senior Secured Floating Rate
Notes due 2026 (the "Class A-2A Notes"), Assigned
(P)Aa2 (sf);
-- U.S. $10,000,000 Class A-2B Senior Secured Fixed Rate Notes
due 2026 (the "Class A-2B Notes"), Assigned (P)Aa2 (sf);
-- U.S. $18,500,000 Class B Senior Secured Deferrable Floating
Rate Notes due 2026 (the "Class B Notes"), Assigned
(P)A2 (sf);
-- U.S. $25,750,000 Class C Senior Secured Deferrable Floating
Rate Notes due 2026 (the "Class C Notes"), Assigned
(P)Baa3 (sf);
-- U.S. $22,000,000 Class D Senior Secured Deferrable Floating
Rate Notes due 2026 (the "Class D Notes"), Assigned
(P)Ba3 (sf)
The Class A-1A Notes, the Class A-1B Notes, the Class A-1C Notes,
the Class A-2A Notes, the Class A-2B Notes, the Class B Notes, the
Class C Notes and the Class D 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
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
KKR CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 10.0% of the portfolio may consist of second lien loans,
senior secured bonds, senior unsecured bonds, senior secured
floating rate notes, and unsecured loans. The portfolio is
expected to be at least 35% ramped as of the closing date.
KKR Financial Advisors II, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period.
LANDGROVE SYNTHETIC: Moody's Lifts Rating on Cl. C1 Notes to Caa3
-----------------------------------------------------------------
Moody's Investors Service announced the following rating actions
on Landgrove Synthetic CDO SPC Series 2007-2 and 7 CDS entered by
Goldman Sachs referencing the Landgrove Synthetic CDO SPC Series
2007-2 Segregated Portfolio Class 7A1 Notes:
Issuer: GS CDS (Ref. # SDB506494104)
U.S. $5,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Upgraded to Baa3
(sf); previously on October 26, 2010 Upgraded to Ba2 (sf)
Issuer: GS CDS (Ref. # SDB506546906)
U.S. $6,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Upgraded to Baa3
(sf); previously on October 26, 2010 Upgraded to Ba2 (sf)
Issuer: GS CDS (Ref. # SDB506546935)
U.S. $5,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Upgraded to Baa3
(sf); previously on October 26, 2010 Upgraded to Ba2 (sf)
Issuer: GS CDS (Ref. # SDB506546943)
U.S. $5,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Upgraded to Baa3
(sf); previously on October 26, 2010 Upgraded to Ba2 (sf)
Issuer: GS CDS (Ref. # SDB506546950)
U.S. $3,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Upgraded to Baa3
(sf); previously on October 26, 2010 Upgraded to Ba2 (sf)
Issuer: GS CDS (Ref. # SDB506546955)
U.S. $3,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Upgraded to Baa3
(sf); previously on October 26, 2010 Upgraded to Ba2 (sf)
Issuer: GS CDS (Ref. # SDB506547004)
U.S. $3,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Upgraded to Baa3
(sf); previously on October 26, 2010 Upgraded to Ba2 (sf)
Issuer: Landgrove Synthetic CDO SPC Series 2007-2
U.S. $101,000,000 Class B Floating Rate Notes due 2017 Notes
(current outstanding balance of $60,000,000), Upgraded to Caa1
(sf); previously on July 22, 2011 Downgraded to Caa3 (sf)
CLP 4,200,000,000 Class C1 CLP Fixed Income Notes due 2017 Notes,
Upgraded to Caa3 (sf); previously on August 18, 2009 Downgraded to
Ca (sf)
These transactions are corporate synthetic collateralized debt
obligations (CSOs) referencing a portfolio of corporate senior
unsecured and subordinated bonds originally rated in 2007.
RATINGS RATIONALE
The rating action is due to the shortened time to maturity of the
CSO and the level of credit enhancement remaining in the
transaction.
The portfolio's ten-year weighted average rating factor (WARF) is
754, excluding settled credit events. Moody's rates the majority
of the reference credits investment-grade, with 0.97% rated Caa
(sf) or lower.
Based on the trustee's December 2013 report, 7 credit events,
equivalent to 6.4% of the portfolio based on the portfolio's
notional value at closing, have taken place. Since inception, the
subordination of the rated tranches has declined by 3% due to
credit events on Fannie Mae, Freddie Mac, Lehman Brothers,
Washington Mutual, Capmark Financial Group, CIT Group and Ambac
Assurance Corporation.
The average gap between Market Implied Ratings (MIRs) and Moody's
senior unsecured ratings is -1.05 notches for over-concentrated
sectors and 0.02 notches for non-over concentrated sectors.
Currently, the over-concentrated sector is Banking, Finance,
Insurance and Real Estate comprising 36.17% of the portfolio.
The Class B and C1 notes have remaining lives of 3.7 years and the
CDSs referencing the Class 7A1 notes have remaining lives of 0.7
years.
The current subordination of the CDSs referencing the Class 7A1
notes, Class B and C1 notes are 5.24%, 3.94%, and 2.86% ,
respectively; these notes and swaps are likely to reach scheduled
maturity without incurring a loss.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating Corporate Synthetic Collateralized Debt
Obligations" published in November 2013.
Factors that Would lead to an Upgrade or Downgrade of the Rating
These transactions are subject to a high level of uncertainty,
primarily because of 1) unexpected volatility in the credit and
macroeconomic environment; 2) divergence in the legal
interpretation of documentation by different transactional parties
because of embedded ambiguities; and 3) unexpected changes in the
portfolio composition as a result of the actions of the
transaction parties.
For CSOs, the performance of the credit default swaps can be
affected either positively or negatively by 1) variations over
time in default rates for instruments with a given rating; 2)
variations in recovery rates for instruments with particular
seniority/security characteristics; and 3) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Given the tranched nature of CSO liabilities, rating
transitions in the reference pool can have leveraged rating
implications for the ratings of the CSO liabilities that could
lead to a high degree of rating volatility, which is likely to be
higher for the more junior or thinner liabilities.
In addition to the base case analysis described above, Moody's
also conducted sensitivity analyses, discussed below. Results are
in the form of the difference in the number of notches from the
base case, in which a higher number of notches corresponds to
lower expected losses, and vice-versa.
- Moody's ran a scenario in which it reduced the maturity of the
CSO by six months, keeping all other things equal. The result of
this run for the Class B and C1 notes was one notch higher to that
of the base case and for the CDSs referencing the Class 7A1 notes,
it was two notches higher than in the base case.
- This transaction has a 6.1% exposure to references in the
Banking, Finance, Insurance and Real estate sector in Europe.
Moody's ran a stress scenario in which it applied a default
probability to these references derived from the issuer's
subordinated rating and assigned a recovery rate of 70% if the
reference was a senior unsecured bond, or 10% if the reference was
a subordinated bond. The result of this run was one notch lower
for Class B and comparable for Class C1 to that of the base case
and for the CDSs referencing the Class 7A1 notes, it was one notch
lower than in the base case.
In addition to the quantitative factors Moody's models explicitly,
rating committees also consider qualitative factors in the rating
process. These qualitative factors include a transaction's
structural protections, recent deal performance in the current
market environment, the legal environment, specific documentation
features and the portfolio manager's track record. All information
available to rating committees, including macroeconomic forecasts,
input from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, can influence the final rating decision.
LEGACY BENEFITS: Moody's Lowers Rating on Cl. B Notes to Ba1
------------------------------------------------------------
Moody's has downgraded the Class A and Class B Notes issued by
Legacy Benefits Life Insurance Settlements 2004-1 LLC. The
underlying collateral consists of a pool of universal life
insurance policies and annuity contracts purchased on the lives of
the insured individuals, with U.S. Bank National Association as
the administrator. Amounts received under the fixed payment
annuity contracts are designated to cover the future premium
payments on the corresponding insurance policy, as well as the
interest and principal on the notes.
The complete rating actions are as follows:
Issuer: Legacy Benefits Life Insurance Settlement 2004-1 LLC
-- Cl. A, Downgraded to A3 (sf); previously on Oct 21, 2013 A1
(sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Ba1 (sf); previously on Oct 21, 2013
Baa2 (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The downgrade is prompted by increased risk of potential insurance
policy lapses, which occur when the account value for a policy
depletes completely and there are no funds remaining to apply to
the cost of insurance. The risk of policy lapses increases as the
insured individuals age and the annuities may not be able to keep
up with the rise in the cost of insurance of the corresponding
insurance policies, thus depleting the account values. Moody's
anticipates that several policies are at risk of lapsing over the
next few years assuming a continued rising cost of insurance as
the insured age and the potential for continued decreased
mortality. There have been three policy lapses so far in a pool
of 39 policies as of closing.
The current pool consists of 28 policies with a total
$52.1 million face amount. The credit enhancement for the Class A
and the Class B Notes from subordination and overcollateralization
(total face amount of the outstanding policies minus the total
outstanding principal balance) is 28.7% and 12.4% respectively as
of January 2014 payment date. The current ratings reflect the
probability of temporary missed interest payments, potential
principal losses to notes due to policy lapses, and increased
volatility in performance of the deal given small number of
policies outstanding. Class A notes benefit from a seniority in
the capital structure as they get preference over Class B notes
for interest and principal payments. Principal payments to Class
B shall begin only when Class A is completely paid off.
LIGHTPOINT CLO VIII: Moody's Affirms Ba2 Rating on $19.2MM Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Lightpoint CLO VIII, Ltd.:
-- U.S. $24,500,000 Class C Floating Rate Deferrable Notes Due
2018, Upgraded to Aaa (sf); previously on August 16, 2013
Upgraded to Aa1 (sf);
-- U.S. $25,000,000 Class D Floating Rate Deferrable Notes Due
2018, Upgraded to A1 (sf); previously on August 16, 2013
Upgraded to Baa1 (sf)
Moody's also affirmed the ratings on the following notes:
-- U.S. $299,000,000 Class A-1-A Floating Rate Notes Due 2018
(current outstanding balance of $57,600,492), Affirmed Aaa
(sf); previously on August 16, 2013 Affirmed Aaa (sf) U.S.
$74,750,000 Class A-1-B Floating Rate Notes Due 2018,
Affirmed Aaa (sf); previously on August 16, 2013 Affirmed
Aaa (sf)
-- U.S. $18,750,000 Class B Floating Rate Notes Due 2018,
Affirmed Aaa (sf); previously on August 16, 2013 Affirmed
Aaa (sf)
-- U.S. $19,250,000 Class E Floating Rate Deferrable Notes Due
2018, Affirmed Ba2 (sf); previously on August 16, 2013
Upgraded to Ba2 (sf)
Lightpoint CLO VIII, Ltd. issued in August 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The portfolio is managed by
Neuberger Berman Fixed Income LLC. The transaction's reinvestment
period ended in October 2012.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since the last rating action in August
2013. The Class A-1-A notes have been paid down by approximately
34% or $29 million since the last rating action. Based on the
latest trustee report dated December 7, 2013, the Class A/B, Class
C, Class D, and Class E overcollateralization ratios are reported
at 157.43%, 135.47%, 118.59% and 108.20%, respectively, versus
July 2013 levels of 134.41%, 122.60%, 112.52%, and 105.82%,
respectively.
LOOMIS SAYLES: Moody's Ups Rating on $15MM Class E Notes to 'Ba3'
-----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Loomis Sayles CLO I,
Ltd.:
U.S.$20,000,000 Class B Floating Rate Notes Due October 26, 2020,
Upgraded to Aaa (sf); previously on September 3, 2013 Upgraded to
Aa2 (sf)
U.S.$20,000,000 Class C Deferrable Floating Rate Notes Due
October 26, 2020, Upgraded to Aa1 (sf); previously on September 3,
2013 Upgraded to A3 (sf)
U.S.$21,000,000 Class D Deferrable Floating Rate Notes Due
October 26, 2020, Upgraded to Baa3 (sf); previously on
September 3, 2013 Affirmed Ba2 (sf)
U.S.$15,000,000 Class E Deferrable Floating Rate Notes Due
October 26, 2020 (current outstanding balance of $9,968,976.60),
Upgraded to Ba3 (sf); previously on September 3, 2013 Affirmed B1
(sf)
Moody's also affirmed the ratings of the following notes:
U.S.$296,000,000 Class A Floating Rate Notes Due October 26, 2020
(current outstanding balance of $123,238,041), Affirmed Aaa (sf);
previously on September 3, 2013 Upgraded to Aaa (sf)
Loomis Sayles CLO I, Ltd., issued in October 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
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 2013. Moody's notes that the Class A Notes have been
paid down by approximately 58% or $168.4 million since September
2013. Based on the latest trustee report dated December 20, 2013,
the Class A/B, Class C, Class D and Class E overcollateralization
ratios are reported at 142.5%, 125.1%, 110.8%, and 105.1%,
respectively, versus September 2013 levels of 120.3%, 113.0%,
106.3% and 103.4%, respectively.
Moody's also notes that the deal had accumulated a large principal
proceeds balance prior to the end of the deal's reinvestment
period on October 26, 2013. This entire amount was used to pay
down the Class A notes on the October 28, 2013 payment date as the
proceeds were not used for reinvestment.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
November 2013.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings
Moody's notes that this transaction is subject to a number of
factors and circumstances that could lead to either an upgrade or
downgrade of the ratings, as described below:
1) Macroeconomic uncertainty: CLO performance may be negatively
impacted by a) uncertainties of credit conditions in the general
economy and b) the large concentration of upcoming speculative-
grade debt maturities which may create challenges for issuers to
refinance.
2) Collateral Manager: Performance may also be impacted, either
positively or negatively, by a) the manager's investment strategy
and behavior and b) divergence in legal interpretation of CLO
documentation by different transactional parties due to embedded
ambiguities.
3) Collateral credit risk: A shift towards holding collateral of
better credit quality, or better than expected credit performance
of the underlying assets collateralizing the transaction, can lead
to positive CLO performance. Conversely, a negative shift in
credit quality or performance of the underlying collateral can
have adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
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. Faster than expected note repayment
will usually have a positive impact on CLO notes, beginning with
those having the highest payment priority.
5) 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. Realization of higher than assumed recoveries would
positively impact the CLO.
In addition to the base case analysis, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities. 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% (2041)
Class A: 0
Class B: 0
Class C: +1
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3062)
Class A: 0
Class B: 0
Class C: -2
Class D: -1
Class E: -1
Loss and Cash Flow Analysis
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, and the weighted
average recovery rate, are based on its published methodology and
could be different from the trustee's reported numbers. In its
base case, Moody's analyzed the underlying collateral pool as
having a performing par and principal proceeds balance of $200.7
million, defaulted par of $7.1 million, a weighted average default
probability of 14.05% (implying a WARF of 2551), a weighted
average recovery rate upon default of 48.75%, a diversity score of
34 and a weighted average spread of 3.25%.
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.
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 2013.
ML-CFC COMMERCIAL 2007-7: S&P Affirms B- Ratings on 2 Note Classes
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on eight
classes of commercial mortgage pass-through certificates,
including the class X interest-only (IO) certificates, from ML-CFC
Commercial Mortgage Trust 2007-7, a U.S. commercial mortgage-
backed securities (CMBS) transaction.
S&P's affirmations of the principal and interest paying classes'
ratings follow its analysis of the transaction, primarily using
its criteria for rating U.S. and Canadian CMBS transactions.
S&P's analysis included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, interest shortfalls, and the liquidity available to the
trust. The affirmations reflect S&P's expectation that the
available credit enhancement for these classes are within its
estimated necessary credit enhancement requirement for the current
outstanding ratings.
While available credit enhancement levels may suggest positive
rating movements on classes A-4, A-4FL, and A-1A, S&P's analysis
also considered the magnitude of assets with the special servicer
(29 assets, $318.0 million, 15.2%), the loans on the master
servicer's watchlist (68 loans, $477.5 million, 22.9%), and
corrected mortgage loans (20 loans, $275.1 million, 13.2%). S&P
also considered that seven of the corrected mortgage loans
($108.1 million, 5.2%) were modified into A/B structures, where
the senior A notes' balances totaled $77.7 million and the
subordinate B "hope" notes' balances totaled $30.4 million.
S&P affirmed its 'AAA (sf)' rating on the class X IO certificates
reflecting its current criteria for rating IO securities.
RATINGS AFFIRMED
ML-CFC Commercial Mortgage Trust 2007-7
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-3FL AAA (sf) 27.48
A-SB AAA (sf) 27.48
A-4 A- (sf) 27.48
A-4FL A- (sf) 27.48
A-1A A- (sf) 27.48
AM B- (sf) 14.15
AM-FL B- (sf) 14.15
X AAA (sf) N/A
N/A-Not applicable.
ML-CFC COMMERCIAL 2007-9: Fitch Affirms CCC Ratings on 2 Certs.
---------------------------------------------------------------
Fitch Ratings has affirmed 20 classes of ML-CFC Commercial
Mortgage Trust, series 2007-9 (ML-CFC 2007-9), commercial mortgage
pass-through certificates.
The affirmations represent overall stable performance of the
transaction since the last rating action. Fitch modeled losses of
18.9% of the remaining pool; expected losses on the original pool
balance total 16.6%, including $110.9 million (3.9% of the
original pool balance) in realized losses to date. Fitch has
designated 96 loans (58.2% of the pool) as Fitch Loans of Concern,
which includes 21 specially serviced assets (17.7% of the pool).
As of the December 2013 distribution date, the pool's aggregate
principal balance has been reduced by 32.8% to $1.89 billion from
$2.81 billion at issuance. Per the servicer reporting, three
loans (0.6% of the pool) are defeased. Interest shortfalls are
currently affecting classes F through T.
The largest contributor to expected losses is the specially-
serviced DLJ West Coast Hotel Portfolio loan (4.3% of the pool).
The loan was transferred to special servicing in May 2009 due to
imminent default. The loan was initially secured by six cross-
collateralized and cross-defaulted hotel properties totaling 1,159
rooms located in California and Oregon. The hotels operated under
the Residence Inn, Hawthorne Suites, Courtyard Marriot, and Hilton
Garden Inn flags. To date, five of the six properties have been
sold. A sale date for remaining property has not been determined.
The second largest contributor to expected losses is the
specially-serviced St. Louis Flex Office Portfolio loan (2.7% of
the pool). The loan was transferred to special servicing in
November 2010 for imminent default due to cash flow issues. The
asset consists of a portfolio of six industrial/flex properties
totaling 864,540 square feet located in the St. Louis, Missouri
metropolitan statistical area (MSA). All six properties became
real-estate owned in May 2012. The special servicer has been
pursuing a lease-up strategy and will evaluate the market and
property performance before listing for sale.
The third largest contributor to expected losses is the specially-
serviced Morgan 7 RV Park Portfolio loan (1.9% of the pool). The
loan was transferred to special servicing in October 2011 for
delinquent payments. The loan is secured by a portfolio of seven
RV parks (totaling 1,586 RV sites) of various vintages ranging
from 1960-1990 located on a total of 306 acres in Maine, Michigan,
New Jersey and New York. Two of the three Maine properties were
foreclosed on in March 2013, the third in June 2013 and the
Michigan property was foreclosed in April 2013. Receivers have
been appointed on the remaining New York and New Jersey
properties.
Rating Outlooks on classes A-2, A-3, A-SB, and A-4 remain Stable
due to sufficient credit enhancement and continued paydown.
Negative Outlooks on classes AM and AM-A are due to volatility
surrounding values and future losses on the specially serviced
assets. In addition, various loans within the top 15 have
stressed loan to values (LTVs) in excess of 100%, which can impact
a loan's ability to refinance at maturity, and four of the top 15
are in special servicing.
Fitch affirms the following classes as indicated:
-- $37 million class A-2 at 'AAAsf', Outlook Stable;
-- $134.8 million class A-3 at 'AAAsf', Outlook Stable;
-- $67.6 million class A-SB at 'AAAsf', Outlook Stable;
-- $931 million class A-4 at 'AAAsf', Outlook Stable;
-- $210 million class AM at 'BBBsf', Outlook Negative;
-- $56.8 million class AM-A at 'BBBsf', Outlook Negative;
-- $168 million class AJ at 'CCCsf', RE 65%;
-- $56.8 million class AJ-A at 'CCCsf', RE 65%;
-- $31.6 million class B at 'CCsf', RE 0%;
-- $21.1 million class C at 'CCsf', RE 0%;
-- $28.1 million class D at 'Csf', RE 0%;
-- $24.6 million class E at 'Csf', RE 0%;
-- $24.6 million class F at 'Csf', RE 0%;
-- $28.1 million class G at 'Csf', RE 0%;
-- $28.1 million class H at 'Csf', RE 0%;
-- $24.6 million class J at 'Csf', RE 0%;
-- $15.6 million 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%.
The class A-1 and A-1A certificates have paid in full. Fitch does
not rate the class P, Q, S and T certificates. Fitch previously
withdrew the ratings on the interest-only class XP and XC
certificates.
MORGAN STANLEY 2007-HQ13: S&P Cuts Rating on Cl. A-M Certs to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-M commercial mortgage pass-through certificates from Morgan
Stanley Capital I Trust 2007-HQ13, a U.S. commercial mortgage-
backed securities (CMBS) transaction, to 'D (sf)' from 'CCC- sf)'.
The downgrade reflects accumulated interest shortfalls totaling
$2.6 million (as of the Dec. 17, 2013, trustee remittance report)
that S&P expects will remain outstanding in the foreseeable
future. The class A-M certificates had accumulated interest
shortfalls outstanding for 10 consecutive months. According to
the Dec. 17, 2013, trustee remittance report, the current monthly
interest shortfalls from the underlying collateral totaled
$2.6 million, of which $803,637 was reported as interest
shortfalls to the certificate classes and $1.8 million was
reported as principal losses. Interest shortfalls were primarily
from:
-- Reimbursement of advances to the servicer of $1,853,441 in
regards to The Pier At Caesars and Lake Bryant RV & MHP
assets;
-- Interest reductions totaling $413,138 due to
nonrecoverability determinations on The Pier At Caesars
($80.5 million, 10.9%) and Lake Bryant RV & MHP
($1.6 million, 0.2%) real estate-owned assets;
-- Reimbursement for interest on advances of $328,718;
-- Special servicing and workout fees totaling $37,137; and
-- Appraisal subordinate entitlement reduction amounts totaling
$24,874 related to appraisal reduction amounts totaling
$5.0 million on two ($9.9 million, 1.3%) of the seven assets
($165.7 million, 22.5%) that are currently with the special
servicer, Torchlight Loan Services LLC.
The current reported interest shortfalls have affected all classes
subordinate to and including class A-M. According to the December
2013 trustee remittance report, the class A-M certificates
incurred interest shortfalls of $134,548.
N-STAR REAL: Fitch Affirms Csf Ratings on 3 Note Classes
--------------------------------------------------------
Fitch Ratings has affirmed seven classes issued by N-Star Real
Estate CDO I, Ltd (N-Star CDO).
The rating actions are a result of the de-leveraging of the
capital structure offsetting the negative credit migration of the
underlying collateral. Since Fitch's last rating action in
January 2013, approximately 26.40% of the underlying collateral
has been downgraded and 12.25% has been upgraded. Currently,
approximately 80.94% of the collateral has a Fitch derived rating
below investment grade and 43.30% has a rating in the 'CCC'
category or below, compared to 49.32% and 23.32%, respectively, at
the time of the last rating action. Over this period, the
transaction has received $68.5 million in paydowns which has
resulted in the full repayment of the class A-2 notes and $12.6
million in paydowns to the class B-1 notes.
Collateral experiencing interest shortfalls has decreased to 8.61%
from 33.03% at the last rating action. Since last review, the
transaction has continued to delever which has caused the credit
enhancement for all classes to increase. However, significant
obligor and concentration risk exists as the remaining collateral
consists primarily of assets that are below investment grade.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. The default levels were then
compared to the breakeven levels generated by Fitch's cash flow
model of the CDO under the various default timing and interest
rate stress scenarios. Fitch also analyzed the structure's
sensitivity to the assets that are distressed, experiencing
interest shortfalls, and those with near-term maturities. Based
on this analysis, the class B through D notes' breakeven rates are
generally consistent with the ratings assigned below.
The Stable Outlook on the class B notes reflects Fitch's view that
the transaction will continue to delever.
The Negative Outlook on the class C through D notes reflects the
increasing concentration risk and adverse selection potential with
the remaining collateral.
N-Star CDO I is a cash flow collateralized debt obligation (CDO),
which closed Aug. 21, 2003. The collateral is composed of 13
assets consisting of 57.35% commercial mortgage backed securities
(CMBS), 12.25% real estate investment trusts (REIT), and 30.40% of
structured finance CDOs (SF CDOs).
Fitch has affirmed the following classes and revised the Rating
Outlooks as indicated:
-- $2,352,815 class B-1 notes at 'Asf'; Outlook to Stable from
Negative;
-- $10,000,000 class B-2 notes at 'BBBsf'; Outlook to Stable
from Negative;
-- $5,041,948 class C-1A notes at 'BBsf'; Outlook Negative;
-- $5,096,200 class C-1B notes at 'BBsf'; Outlook Negative;
-- $24,420,540 class C-2 notes at 'Csf'';
-- $10,198,058 Class D-1A notes at 'Csf';
-- $4,123,976 Class D-1B notes at 'Csf'.
NORTHWOODS CAPITAL VI: S&P Raises Rating on Cl. C Notes From 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, and C notes from Northwoods Capital VI Ltd., a
collateralized loan obligation (CLO) transaction managed by
Angelo, Gordon, & Company L.P., and removed them from CreditWatch,
where S&P placed them with positive implications on Nov. 14, 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 transaction's reinvestment period ended in April 2013. Since
then, it has paid down significantly to the class A notes. Since
S&P's last rating action in September 2012, it has paid down
approximately $145.99 million to the class A-1 notes. Its note
balance is now 63.68% of its original balance, down from 100% as
of S&P's September 2012 rating actions.
The note paydowns have increased the transaction's
overcollateralization (O/C) ratios. According to the
December 2013 monthly trustee report, the O/C ratios increased for
each class of notes as follows:
-- The class A-2 O/C ratio is 162.51%, up from 140.40% in the
August 2012 trustee report that we used for our August 2012
analysis;
-- The class B O/C ratio is 138.74%, up from 126.10% in August
2012; and
-- The class C O/C ratio is 122.88%, up from 115.70% in August
2012.
As of the Dec. 5, 2013, trustee report, the transaction had no
defaulted assets and approximately $18.12 million in assets from
obligors with ratings in the 'CCC' range. This was down from
$8.42 million in defaults and approximately $23.02 million in
assets from obligors with ratings in the 'CCC' range as noted in
the August 2012 trustee report, which S&P referenced for its
September 2012 rating actions.
The rating affirmation on 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 further
rating actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Northwoods Capital VI 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 BBB+ (sf) BB (sf)/Watch Pos
TRANSACTION INFORMATION
Issuer: Northwoods Capital VI Ltd.
Co-issuer: Northwoods Capital VI Inc.
Collateral manager: Angelo, Gordon, & Company L.P.
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
OAKTREE CLO 2014-1: S&P Assigns Prelim. BB Rating on Class D Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Oaktree CLO 2014-1 Ltd./Oaktree CLO 2014-1 LLC's
$462.0 million floating-rate notes.
The note issuance is a collateralized loan obligation backed by a
revolving pool consisting primarily of broadly syndicated senior-
secured loans.
The preliminary ratings are based on information as of Jan. 15,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting the 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 primarily
comprises 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 preliminary rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.2429%-13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of excess interest
proceeds that are available before paying uncapped
administrative expenses, incentive management fees, and
subordinated note payments into principal proceeds for
additional collateral asset purchases during the
reinvestment period.
PRELIMINARY RATINGS ASSIGNED
Oaktree CLO 2014-1 Ltd./Oaktree CLO 2014-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 310.000
A-2 AA (sf) 70.000
B (deferrable) A (sf) 35.000
C (deferrable) BBB (sf) 25.000
D (deferrable) BB (sf) 22.000
Subordinated notes NR 54.875
NR-Not rated.
OCTAGON INVESTMENT XVII: S&P Affirms 'BB' Rating on Class E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Octagon
Investment Partners XVII Ltd./Octagon Investment Partners XVII
LLC's $376.50 million floating- and fixed-rate notes following the
transaction's effective date as of Nov. 12, 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 our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
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 S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
Octagon Investment Partners XVII Ltd./
Octagon Investment Partners XVII LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 141.00
A-2 AAA (sf) 85.00
A-3 AAA (sf) 25.00
B-1 (deferrable) AA (sf) 40.00
B-2 (deferrable) AA (sf) 5.00
C (deferrable) A (sf) 31.75
D (deferrable) BBB (sf) 21.75
E (deferrable) BB (sf) 17.75
F (deferrable) B (sf) 9.25
PACIFIC BAY: Interest Shortfalls Cue Fitch to Affirm Ratings
------------------------------------------------------------
Fitch Ratings has affirmed the ratings for four classes of notes
issued by Pacific Bay CDO Ltd./Inc. and placed one class on Rating
Watch Positive as follows:
-- $66,560,963 class A-2 notes at 'Dsf'; placed on Rating Watch
Positive;
-- $40,114,810 class B notes at 'Dsf';
-- $7,976,312 class C notes at 'Csf';
-- $17,000,000 preference shares at 'Csf'.
The affirmations of the class A-2 and B notes reflect the fact
that both of these non-deferrable classes continue to experience
interest shortfalls. Pacific Bay entered an event of default
(EOD) in December 2008 when the senior overcollateralization ratio
fell below 100% and subsequently accelerated beginning with the
May 2009 payment date. As a result, all of the rated classes
junior to the A-1 notes have been cut off from receiving any
interest or principal proceeds. Since Fitch's last annual review
in January 2013, however, the $24.6 million outstanding balance of
the class A-1 notes has been paid in full (PIF) and the class A-2
notes have become the senior most class in the capital structure.
On the November 2013 payment date, the class A-2 notes received
approximately $1.3 million in distributions toward the repayment
of previously defaulted interest amounts. Although this has led
to an increase in the credit enhancement (CE) available to these
notes and they are now able to pass the 'CCCsf' rating loss rate
(RLR) projected by Fitch's Structured Finance Portfolio Credit
Model (SF PCM), an additional $2.6 million of the previously
defaulted interest due on the class A-2 notes remains outstanding.
As such, these notes are still considered to be in default.
Nevertheless, Fitch has placed the class A-2 notes on a Positive
Watch to reflect the agency's expectation for these notes becoming
current on their interest payments, including a full repayment of
the remaining previously defaulted interest amounts, on the next
semi-annual payment date in May 2014. The class B notes are
projected to remain in default until the balance of the class A-2
notes is paid in full.
For the class C notes and the preference shares, the deferrable
classes, default continues to appear inevitable prior to or at
maturity. Although the class C notes' current CE level has
increased slightly over the last 12-months due to deleveraging, it
remains significantly below the amount of expected losses from the
distressed and defaulted collateral (rated 'CCsf' and lower) in
the underlying portfolio. The preference shares have not received
any distributions over the last year and are not expected to going
forward as they remain undercollaterlized.
Pacific Bay has limited sensitivity to further negative migration
given the distressed ratings of the notes. However, there is a
potential for classes rated 'Csf' to be downgraded to 'Dsf' should
they experience any payment default provided by the transaction's
governing documents.
This review was conducted under the framework described in the
report titled 'Global Rating Criteria for Structured Finance CDOs'
using the SF PCM to project future loss levels for the underlying
portfolio. A cash flow model framework was not used in the review
of this transaction, as due to the acceleration, the impact of
structural features was considered to be minimal. Instead, for
classes rated above 'Dsf', Fitch compared the respective CE levels
of the notes to the expected losses from the distressed and
defaulted assets in the portfolio.
Pacific Bay is a cash flow structured finance collateralized debt
obligation (SF CDO) that closed on Nov. 4, 2003. The portfolio is
monitored by Pacific Investment Management Company LLC. (PIMCO).
As per the November 2013 Trustee report, the portfolio is composed
of 81.6% residential mortgage-backed securities, 13.9% corporate
bonds, 2.9% asset-backed securities, and 1.6% commercial mortgage-
backed securities, primarily from 1998 through 2005 vintage
transactions.
PRUDENTIAL COMMERCIAL 2003-PWR-1: S&P Cuts F Certs Rating to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
F commercial mortgage pass-through certificates from Prudential
Commercial Mortgage Trust 2003-PWR1, a U.S. commercial mortgage-
backed securities (CMBS) transaction, to 'D (sf)' from 'CCC-
(sf)'.
The downgrade reflects accumulated interest shortfalls outstanding
for seven months. Based on S&P's analysis, it expects interest
shortfalls to continue in the near term. According to the
Dec. 11, 2013, trustee remittance report, the current monthly
interest shortfalls totaled $173,882 and were primarily due
to:
-- A modified interest rate reduction of $53,571 related to the
Brandywine Office Building & Garage loan;
-- Reimbursement of advances to the servicer of $47,192 in
regards to the Holley Mason Building asset;
-- Nonrecoverable interest of $34,428 for the Holley Mason
Building asset, whose advances have been deemed
nonrecoverable ($6.7 million, 13.3%); and
-- Appraisal subordinate entitlement reduction amounts totaling
$29,730 related to appraisal reduction amounts totaling
$10.2 million on two assets ($20.5 million, 40.7%) that are
currently with the special servicer, LNR Partners LLC.
The current reported interest shortfalls have affected all classes
subordinate to and including class F.
RACE POINT III: Moody's Upgrades Rating on Class E Notes to Ba1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Race Point III CLO:
U.S. $25,200,000 Class B Senior Secured Floating Rate Notes Due
2020, Upgraded to Aaa (sf); previously on May 2, 2013 Upgraded to
Aa3 (sf);
U.S. $42,000,000 Class C Secured Deferrable Floating Rate Notes
Due 2020, Upgraded to Aa3 (sf); previously on May 2, 2013 Upgraded
to A3 (sf);
U.S. $31,200,000 Class D Secured Floating Rate Notes Due 2020,
Upgraded to Baa1 (sf); previously on May 2, 2013 Upgraded to Ba1
(sf);
U.S. $10,800,000 Class E Secured Floating Rate Notes Due 2020,
Upgraded to Ba1 (sf); previously on May 2, 2013 Upgraded to Ba3
(sf).
Moody's also affirmed the ratings of the following notes:
U.S. $451,200,000 Class A Senior Secured Floating Rate Notes Due
2020 (current outstanding balance of $363,275,856), Affirmed Aaa
(sf); previously on May 2, 2013 Upgraded to Aaa (sf).
Race Point III CLO issued in April 2006, is a multi-currency
collateralized loan obligation ("CLO") backed primarily by a
portfolio of senior secured loans denominated in US Dollars,
Euros, and Pounds Sterling. The portfolio is managed by Sankaty
Advisors, LLC. The transaction's reinvestment period ended in
April 2013.
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
May 2013. Moody's notes that the Class A Notes have been paid down
by approximately 20% or $87.9 million since May 2013. Based on the
latest trustee report dated November 15, 2013, the Class A/B,
Class D and Class E overcollateralization ratios are reported at
136.6%, 115.0% and 112.3%, respectively, versus April 2013 levels
of 130.6%, 113.2% and 111.0%, respectively.
Moody's also notes that the deal has benefited from an improvement
in the credit quality of the underlying portfolio since May 2013.
In particular, Moody's modeled a weighted average rating factor
("WARF") of 2404 compared to the May 2013 level of 2594. Moody's
adjusted WARF has improved since the last rating action due to a
decrease in the percentage of securities with ratings on "Review
for Possible Downgrade" or with a "Negative Outlook."
The rating actions also reflect a correction to Moody's modeling
of the currency swap notional adjustment strategy. Due to an input
error, the swap notional balance used in the previous rating
action did not decrease consistently with that of the non-USD
assets. This has been corrected, resulting in a lower degree of
currency mismatch between the assets and the liabilities that is
credit positive for the rated notes.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
November 2013.
Factors that would lead to an upgrade or downgrade of the rating
Moody's notes that this transaction is subject to a number of
factors and circumstances that could lead to either an upgrade or
downgrade of the ratings, as described below:
1) Macroeconomic uncertainty: CLO performance may be negatively
impacted by a) uncertainties of credit conditions in the general
economy and b) the large concentration of upcoming speculative-
grade debt maturities which may create challenges for issuers to
refinance.
2) Collateral Manager: Performance may also be impacted, either
positively or negatively, by a) the manager's investment strategy
and behavior and b) divergence in legal interpretation of CLO
documentation by different transactional parties due to embedded
ambiguities.
3) Collateral credit risk: A shift towards holding collateral of
better credit quality, or better than expected credit performance
of the underlying assets collateralizing the transaction, can lead
to positive CLO performance. Conversely, a negative shift in
credit quality or performance of the underlying collateral can
have adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
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. Faster than expected note repayment
will usually have a positive impact on CLO notes, beginning with
those having the highest payment priority.
5) 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. Realization of higher than assumed recoveries would
positively impact the CLO.
6) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be negatively impacted by
any default probability adjustments Moody's may assume in lieu of
updated credit estimates
7) Currency Risk: The deal has significant exposure to non-USD
denominated assets. Volatilities in foreign exchange rate will
have a direct impact on interest and principal proceeds available
to the transaction, which may affect the expected loss of rated
tranches.
In addition to the base case analysis, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities. 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% (1923)
Class A: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (2885)
Class A: 0
Class B: -1
Class C: -3
Class D: -2
Class E: -1
Loss and Cash Flow Analysis
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 2013.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, and the weighted
average recovery rate, are based on its published methodology and
could be different from the trustee's reported numbers. In its
base case, Moody's analyzed the underlying collateral pool as
having a performing par and principal proceeds balance of USD
407.1 million, EUR 59.3 million, and GBP 8.2 million, defaulted
par of USD 10.9 million, a weighted average default probability of
14.7% (implying a WARF of 2404), a weighted average recovery rate
upon default of 49.5%, a diversity score of 58 and a weighted
average spread of 3.1%.
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.
RED RIVER: S&P Raises Rating on Class E Notes to BB+
----------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, C, D, and E notes from Red River CLO Ltd. At the same time,
S&P removed its ratings on the class A, B, C, and D notes from
CreditWatch with positive implications, where they were placed on
Nov. 14, 2013. Red River CLO Ltd. is a collateralized loan
obligation transaction managed by Highland Capital Management L.P.
The transaction's reinvestment period ended in August 2013, and
since then, the class A notes have paid down over $34.8 million.
The upgrades reflect the paydowns to the class A notes, which
helped create additional support for the subordinate notes. The
improvements are also evident in the increased class A/B, C, D,
and E overcollateralization ratios since our February 2012 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.
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Red River CLO Ltd.
Rating
Class To From
A 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
E BB+ (sf) B+ (sf)
SANTANDER CONSUMER: Moody's Lifts Ratings on Two Tranches From Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded 12 tranches and affirmed an
additional six tranches from 2012-6, 2012-A and 2013-2
securitizations sponsored by Santander Consumer USA Inc. (SCUSA).
Complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2012-6
Class A-2, Affirmed Aaa (sf); previously on Oct 15, 2012
Definitive Rating Assigned Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on Oct 15, 2012
Definitive Rating Assigned Aaa (sf)
Class B, Upgraded to Aaa (sf); previously on Oct 22, 2013 Aa1 (sf)
Placed Under Review for Possible Upgrade
Class C, Upgraded to Aa1 (sf); previously on Oct 22, 2013 A1 (sf)
Placed Under Review for Possible Upgrade
Class D, Upgraded to A2 (sf); previously on Oct 22, 2013 Baa2 (sf)
Placed Under Review for Possible Upgrade
Class E, Upgraded to Baa2 (sf); previously on Oct 22, 2013 Ba2
(sf) Placed Under Review for Possible Upgrade
Issuer: Santander Drive Auto Receivables Trust 2012-A
Class A-2, Affirmed Aaa (sf); previously on Dec 7, 2012 Definitive
Rating Assigned Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on Dec 7, 2012 Definitive
Rating Assigned Aaa (sf)
Class B, Upgraded to Aaa (sf); previously on Oct 22, 2013 Aa1 (sf)
Placed Under Review for Possible Upgrade
Class C, Upgraded to Aa1 (sf); previously on Oct 22, 2013 A1 (sf)
Placed Under Review for Possible Upgrade
Class D, Upgraded to A2 (sf); previously on Oct 22, 2013 Baa2 (sf)
Placed Under Review for Possible Upgrade
Class E, Upgraded to Baa2 (sf); previously on Oct 22, 2013 Ba1
(sf) Placed Under Review for Possible Upgrade
Issuer: Santander Drive Auto Receivables Trust 2013-2
Class A-2, Affirmed Aaa (sf); previously on Mar 14, 2013
Definitive Rating Assigned Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on Mar 14, 2013
Definitive Rating Assigned Aaa (sf)
Class B, Upgraded to Aaa (sf); previously on Mar 14, 2013
Definitive Rating Assigned Aa1 (sf)
Class C, Upgraded to Aa2 (sf); previously on Mar 14, 2013
Definitive Rating Assigned A2 (sf)
Class D, Upgraded to A2 (sf); previously on Mar 14, 2013
Definitive Rating Assigned Baa2 (sf)
Class E, Upgraded to Baa2 (sf); previously on Mar 14, 2013
Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The upgrades are the result of reduction in the lifetime loss
expectations due to stronger performance of the underlying
collateral pools than originally expected as well as the build-up
of credit enhancement due to the sequential pay structure and non
declining reserve account. The stronger performance is in part due
to repurchases of early period defaulted loans by SCUSA, which
have lowered cumulative net loss levels in the securitized pools.
For the trusts to benefit from repurchases, the sponsor must be
willing to repurchase them and have the ability to do so, and
SCUSA has shown its willingness to repurchase the loans to date.
If Santander were no longer able to repurchase the loans, the ABS
trust would remain subject to this risk.
Below are key performance metrics (as of the December 2013
distribution date) and credit assumptions for each affected
transaction. Credit assumptions include Moody's expected lifetime
CNL expected loss which is expressed as a percentage of the
original pool balance; Moody's lifetime remaining CNL expectation
and Moody's Aaa (sf) level which are expressed as a percentage of
the current pool balance. The Aaa (sf) level is the level of
credit enhancement that would be consistent with a Aaa (sf) rating
for the given asset pool. Performance metrics include pool factor
which is the ratio of the current collateral balance to the
original collateral balance at closing; total credit enhancement,
which typically consists of subordination, overcollateralization,
and a reserve fund; and per annum excess spread.
Issuer: Santander Drive Auto Receivables Trust 2012-6
Lifetime CNL expected loss -- 12.00%, prior expectation (October)
-- 11.50% - 12.50%
Lifetime Remaining CNL expectation -- 14.30%
Aaa Level -- 42.00%
Pool factor -- 58.77%
Total credit enhancement (excluding excess spread ): Cl. A -
75.40%, Cl. B -- 57.11%, Cl. C - 36.69%, Cl. D - 23.51%, Cl. E -
18.40%
Excess spread -- Approximately 11.9% per annum
Issuer: Santander Drive Auto Receivables Trust 2012-A
Lifetime CNL expected loss -- 13.00%, prior expectation (October)
-- 12.00% - 13.00%
Lifetime Remaining CNL expectation -- 13.39%
Aaa Level -- 42.00%
Pool factor -- 69.28%
Total credit enhancement (excluding excess spread ): Cl. A -
64.80%, Cl. B -- 50.72%, Cl. C - 33.40%, Cl. D - 22.22%, Cl. E -
17.89%
Excess spread -- Approximately 12.3% per annum
Issuer: Santander Drive Auto Receivables Trust 2013-2
Lifetime CNL expected loss -- 14.00%, prior expectation (Closing)
-- 16.50%
Lifetime Remaining CNL expectation -- 15.15%
Aaa Level -- 44.00%
Pool factor -- 80.65%
Total credit enhancement (excluding excess spread ): Cl. A -
57.47%, Cl. B -- 45.38%, Cl. C - 30.50%, Cl. D - 23.68%, Cl. E -
17.48%
Excess spread -- Approximately 11.9% per annum
The principal methodology used in these ratings was "Moody's
Approach to Rating Auto Loan-Backed ABS" published in May 2013.
Factors that would lead to an upgrade or downgrade of the rating
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher
frequency of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
SDART 2014-1: Fitch Affirms 'BBsf' Rating on Class E Notes
----------------------------------------------------------
Fitch Ratings has assigned the following ratings to the Santander
Drive Auto Receivables Trust 2014-1 notes:
-- $334,000,000 class A-1 notes 'F1+sf';
-- $346,000,000 class A-2A notes 'AAAsf'; Outlook Stable;
-- $160,000,000 class A-2B notes 'AAAsf'; Outlook Stable;
-- $139,100,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $207,310,000 class B notes 'AAsf'; Outlook Stable;
-- $209,930,000 class C notes 'Asf'; Outlook Stable;
-- $103,660,000 class D notes 'BBBsf'; Outlook Stable;
-- $89,720,000 class E notes 'BBsf'; Outlook Stable.
Key Rating Drivers
Weaker Credit Quality: 2014-1 is backed by marginally weaker
collateral versus prior 2013 pools and non-SCUSA collateral totals
8.4%. The pool exhibits modestly weaker credit scores versus 2013-
5, an increase in loans with terms of 60+ months (89.8%) - the
highest level to date, a higher weighted average (WA) loan-to-
value (LTV), lower new vehicles (34.4%), and more trucks/SUVs
(43.8%).
Adequate Credit Enhancement: The cash flow distribution is a
sequential pay structure. Initial hard credit enhancement (CE) is
unchanged from 2013-5.
Stable Portfolio/Securitization Performance: Performance of
SCUSA's portfolio and 2010-2012 securitizations has been strong
with low losses, supported by the economic rebound, and strong
used vehicle values. However, recent 2013 portfolio and
securitization losses have risen and are tracking slightly above
the 2012 vintage, driven by marginally weaker collateral
underwritten combined with lower recoveries as used vehicle values
have softened.
Stable Corporate Health: SCUSA recorded solid financial results
recently and has been profitable since 2007. Fitch rates
Santander, majority owner of SCUSA, 'BBB+/F2' with a Stable Rating
Outlook.
Consistent Origination/Underwriting/Servicing: SCUSA demonstrates
adequate abilities as originator, underwriter, and servicer, as
evidenced by historical portfolio delinquency, loss experience,
and securitization performance.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of SCUSA would not impair the
timeliness of payments on the securities.
Rating Sensitivities
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce loss levels higher
than the base case and could result in potential rating actions on
the notes. Fitch evaluated the sensitivity of the ratings
assigned to SDART 2014-1 to increased credit losses over the life
of the transaction. Fitch's analysis found that the transaction
displays some sensitivity to increased defaults and credit losses,
showing a potential downgrade of one or two categories under
Fitch's moderate (1.5x base case loss) scenario, especially for
the subordinate bonds. The notes could experience downgrades of
up to three or more rating categories, under Fitch's severe (2.5x
base case loss) scenario.
SDART 2014-1: S&P Assigns 'BB+' Rating on Class E Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Santander Drive Auto Receivables Trust 2014-1's $1,589.72 million
automobile receivables-backed notes series 2014-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect S&P's view of:
-- The availability of 51.17%, 43.65%, 34.91%, 30.40%, and
25.62% of credit support for the class A, B, C, D, and E
notes, respectively, based on stress cash flow scenarios
(including excess spread), which provide coverage of more
than 3.50x, 3.00x, 2.30x, 1.93x, and 1.60x S&P's 13.00%-
14.00% expected cumulative net loss.
-- The timely interest and principal payments made under
stressed cash flow modeling scenarios appropriate to the
assigned ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A,
B, and C notes will remain within one rating category of the
assigned ratings during the first year, and its ratings on
the class D and E notes will remain within two rating
categories of the assigned ratings, which is within the
outer bounds of S&P's credit stability criteria.
-- The originator/servicer's history in the subprime/specialty
auto finance business.
-- S&P's analysis of eight years of static pool data on
Santander Consumer USA Inc.'s lending programs.
-- The transaction's payment/credit enhancement and legal
structures.
RATINGS ASSIGNED
Santander Drive Auto Receivables Trust 2014-1
Class Rating Type Interest Amount
Rate (mil. $)
A-1 A-1+ (sf) Senior Fixed 334.000
A-2-A AAA (sf) Senior Fixed 346.000
A-2-B AAA (sf) Senior Floating 160.000
A-3 AAA (sf) Senior Fixed 139.100
B AA (sf) Subordinate Fixed 207.310
C A (sf) Subordinate Fixed 209.930
D BBB+ (sf) Subordinate Fixed 103.660
E BB+ (sf) Subordinate Fixed 89.720
TIERS WOLCOTT: Moody's Raises $90MM Certs Rating to Caa3
--------------------------------------------------------
Moody's Investors Service announced on Jan. 14, 2014, the
following rating action on TIERS Wolcott Synthetic CDO Floating
Rate Credit Linked Trust, Series 2007-26:
USD $90,000,000 TIERS(R) Wolcott Synthetic CDO Floating Rate
Credit Linked Trust Certificates, Series 2007-26, Upgraded to Caa3
(sf); previously on August 14, 2009 Downgraded to Ca (sf)
Ratings Rationale
The rating action is due to the shortened time to maturity of the
CSO, which has a remaining life of 0.94 years. The current
subordination of the tranche is 1.31% and the tranche is likely to
reach the scheduled maturity without incurring a loss.
The portfolio's ten-year weighted average rating factor (WARF) is
601, excluding settled credit events. Moody's rates the majority
of the reference credits investment grade with none rated Ca (sf)
or lower.
Based on the trustee's December 2013 report, ten credit events,
equivalent to 11.0% of the portfolio based on the portfolio's
notional value at closing, have taken place. Since inception, the
subordination of the rated tranches has declined by 6.06% due to
credit events on Ambac Assurance Corporation, Capmark Financial
Group, CIT Group Inc., Federal Home Loan Mortgage Corporation,
Federal National Mortgage Association, Idearc Inc., Lehman
Brothers Holdings Inc., R H Donnelley, The PMI Group Inc. and
Washington Mutual, Inc.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating Corporate Synthetic Collateralized Debt
Obligations" published in November 2013.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings
These transactions are subject to a high level of uncertainty,
primarily because of 1) unexpected volatility in the credit and
macroeconomic environment; 2) divergence in the legal
interpretation of documentation by different transactional parties
because of embedded ambiguities; and 3) unexpected changes in the
portfolio composition as a result of the actions of the
transaction parties.
For CSOs, the performance of the credit default swaps can be
affected either positively or negatively by 1) variations over
time in default rates for instruments with a given rating; 2)
variations in recovery rates for instruments with particular
seniority/security characteristics; and 3) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Given the tranched nature of CSO liabilities, rating
transitions in the reference pool can have leveraged rating
implications for the ratings of the CSO liabilities that could
lead to a high degree of rating volatility, which is likely to be
higher for the more junior or thinner liabilities.
In addition to the base case analysis described above, Moody's
also conducted sensitivity analyses, discussed below. Results are
in the form of the difference in the number of notches from the
base case, in which a higher number of notches corresponds to
lower expected losses, and vice-versa.
- Moody's conducted a sensitivity analysis in which the adverse
selection adjustment is removed. The result of this run was one
notch higher than in the base case.
In addition to the quantitative factors Moody's models explicitly,
rating committees also consider qualitative factors in the rating
process. These qualitative factors include a transaction's
structural protections, recent deal performance in the current
market environment, the legal environment, specific documentation
features and the portfolio manager's track record. All information
available to rating committees, including macroeconomic forecasts,
input from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, can influence the final rating decision.
VIBRANT CLO II: S&P Affirms 'BB' Rating on Class D Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Vibrant
CLO II Ltd./Vibrant CLO II LLC's $335.40 million floating- and
fixed-rate notes following the transaction's effective date as of
Dec. 13, 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 our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
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 S&P's assumptions about
the transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
Vibrant CLO II Ltd./Vibrant CLO II LLC
Class Rating Amount
(mil. $)
A-1(i) AAA (sf) 214.800
A-2A AA (sf) 35.100
A-2B AA (sf) 10.000
B (deferrable) A (sf) 28.900
C (deferrable) BBB (sf) 18.800
D (deferrable) BB (sf) 16.400
E (deferrable) B (sf) 11.400
(i) The class A-1 notes are broken up between the class A-1a and
A-1b notes. Currently, the aggregate outstanding amount of the
class A-1b notes is $0, and the aggregate outstanding amount of
the class A-1a notes is $214.800 million. However, the aggregate
outstanding amount of the class A-1b notes can be converted to
class A-1b notes, at which point the corresponding amount of
converted class A-1a notes will be cancelled.
WACHOVIA BANK 2006-C28: Fitch Affirms 'Dsf' Rating on Cl. P Notes
-----------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed 19 classes
of Wachovia Bank Commercial Mortgage Trust (WBCMT 2006-C28)
commercial mortgage pass-through certificates series 2006-C28.
Key Rating Drivers
Downgrades reflect an increase in overall expected losses for the
pool primarily associated with loans in special servicing in
addition to deteriorating performance of the largest loan in the
pool. The affirmations reflect sufficient credit enhancement in
light of increasing Fitch expected losses. Fitch modeled losses
of 17.8% of the remaining pool; expected losses on the original
pool balance total 17.0%, including $86.1 million (2.4% of the
original pool balance) in realized losses to date. Fitch has
designated 51 loans (28.1%) as Fitch Loans of Concern, which
includes 20 specially serviced assets (20.1%). Of the 20 assets
in special servicing, 16 of the assets are REO, accounting for
19.8% of the total pool balance.
As of the December 2013 distribution date, the pool's aggregate
principal balance has been reduced by 18.1% to $2.95 billion from
$3.6 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes E through Q.
The largest contributor to expected losses is the specially-
serviced Four Seasons Resort and Club - Dallas asset (5.9% of the
pool) which is a 431 room full-service hotel located in Irving,
TX. The collateral includes two 18-hole golf courses and a 176,000
sf members-only sports complex. Smith Travel Research (STR)
reported a September 2013 TTM occupancy of 63.2% with an average
daily rate of (ADR) $246.70. The asset transferred to special
servicing in October 2009 for imminent default and subsequently
became REO in June 2010. The asset is being included in the
pending bulk asset sale by the servicer, CWCapital.
The next largest contributor to expected losses is The Gas Company
Tower loan (7.8%), which is secured by a 1.3 million sf class A
office tower located in downtown Los Angeles, CA. As of October
2013, occupancy declined to 72% from 82% in June 2013. DSCR as of
June 2013 was 0.99x. Morrison & Forrester LLP (11% of the NRA)
vacated the premises at lease expiration in September 2013 and
Sidley Austin (15% of the NRA) downsized by approximately 27,800
SF in December 2013. The loan was current as of the December 2013
remittance date. The loan is sponsored by Brookfield Office
Properties.
The third largest contributor to expected losses is the specially-
serviced Montclair Plaza asset (6.4%), which is a 1.4 million
square foot regional mall located in Montclair, CA, approximately
30 miles east of Los Angeles. The mall is anchored by Nordstrom,
Macy's, JC Penney and Sears. As of November 2013, the mall was
72% occupied with DSCR of 1.25x. The asset is being included in
the pending bulk asset sale by the servicer.
Rating Sensitivity
Rating Outlooks on classes A-2 through A-M remain Stable due to
sufficient credit enhancement and continued paydown. Distressed
classes (those rated below 'B') may be subject to further
downgrades as additional losses are realized. Losses on the
majority of REO assets may be realized in the coming months due to
the pending bulk asset sale by CWCapital.
Fitch downgrades the following classes and revises Rating Outlooks
as indicated:
-- $359.5 million class A-M to 'BBsf' from 'BBB-sf'; Outlook to
Stable from Negative;
-- $22.5 million class B to 'CCsf' from 'CCCsf', RE 0%;
-- $58.4 million class C to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes but assigns REs as indicated:
-- $278.6 million class A-J at 'CCCsf', RE 40%.
Fitch affirms the following classes as indicated:
-- $67.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $119 million class A-PB at 'AAAsf'; Outlook Stable;
-- $215 million class A-3 at 'AAAsf', Outlook Stable;
-- $802.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $504.5 million class A-1A at 'AAAsf'; Outlook Stable;
-- $250 million class A-4FL at 'AAAsf'; Outlook Stable;
-- $31.5 million class D at 'Csf', RE 0%;
-- $49.4 million class E at 'Csf', RE 0%;
-- $40.4 million class F at 'Csf', RE 0%;
-- $40.4 million class G at 'Csf', RE 0%;
-- $40.4 million class H at 'Csf', RE 0%;
-- $44.9 million class J at 'Csf', RE 0%;
-- $18 million class K at 'Csf', RE 0%;
-- $8.4 million class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the class Q and FS certificates. Fitch previously withdrew the
rating on the interest-only class IO certificates.
* Moody's Takes Action on $646-Mil. of RMBS Issued 2003-2007
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 33
tranches and upgraded the ratings of 10 tranches backed by Prime
Jumbo RMBS loans, issued by miscellaneous issuers.
Complete rating actions are as follows:
Issuer: Banc of America Funding 2006-2 Trust
-- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 30,
2010 Downgraded to Caa1 (sf);
-- Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Apr 30,
2010 Downgraded to Caa1 (sf);
-- Cl. 1-A-3, Downgraded to Caa2 (sf); previously on Apr 30,
2010 Downgraded to Caa1 (sf);
-- Cl. 2-A-11, Downgraded to Caa1 (sf); previously on Apr 30,
2010 Downgraded to B3 (sf);
-- Cl. 2-A-12, Downgraded to Caa1 (sf); previously on Apr 30,
2010 Downgraded to B3 (sf);
-- Cl. 2-A-13, Downgraded to Caa1 (sf); previously on Apr 30,
2010 Downgraded to B3 (sf);
-- Cl. 2-A-15, Downgraded to B3 (sf); previously on Apr 30,
2010 Downgraded to B1 (sf);
-- Cl. 2-A-16, Downgraded to Ca (sf); previously on Apr 30,
2010 Downgraded to Caa3 (sf);
-- Cl. 2-A-17, Downgraded to Caa1 (sf); previously on Apr 30,
2010 Downgraded to B2 (sf);
-- Cl. 2-A-18, Downgraded to Caa1 (sf); previously on Apr 30,
2010 Downgraded to B2 (sf);
-- Cl. 3-A-1, Downgraded to B2 (sf); previously on Aug 6, 2012
Downgraded to Ba3 (sf);
-- Cl. 3-A-2, Downgraded to Ca (sf); previously on Aug 6, 2012
Downgraded to Caa3 (sf);
-- Cl. 6-A-1, Downgraded to Caa2 (sf); previously on Apr 30,
2010 Downgraded to B3 (sf);
-- Cl. 6-A-2, Downgraded to Caa1 (sf); previously on Apr 30,
2010 Downgraded to B2 (sf);
-- Cl. X-IO, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-17
-- Cl. III-A-3, Downgraded to Baa2 (sf); previously on Jul 25,
2013 Confirmed at A3 (sf);
-- Cl. B-2, Downgraded to Caa2 (sf); previously on Apr 10, 2012
Downgraded to Caa1 (sf);
-- Cl. B-3, Downgraded to Ca (sf); previously on Apr 10, 2012
Downgraded to Caa3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2003-D
-- Cl. A, Downgraded to Baa3 (sf); previously on Jul 25, 2013
Downgraded to Baa1 (sf);
-- Cl. B-1, Downgraded to Ba1 (sf); previously on Apr 18, 2011
Downgraded to Baa2 (sf);
-- Cl. B-2, Downgraded to B3 (sf); previously on Apr 18, 2011
Downgraded to B1 (sf);
-- Cl. X-A-2, Downgraded to Baa3 (sf); previously on Jul 25,
2013 Downgraded to Baa1 (sf);
-- Cl. X-B, Downgraded to B3 (sf); previously on Apr 13, 2012
Confirmed at B1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust, Series MLCC 2007-3
-- Cl. II-A-1, Downgraded to Ba1 (sf); previously on Jul 2,
2013 Downgraded to Baa2 (sf);
-- Cl. III-A-1, Downgraded to B1 (sf); previously on Jul 2,
2013 Downgraded to Ba3 (sf);
-- Cl. III-A-2, Downgraded to Caa3 (sf); previously on Jul 2,
2013 Downgraded to Caa2 (sf)
Issuer: Provident Funding Mortgage Loan Trust 2005-1
-- Cl. 1A-1, Upgraded to Ba2 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
-- Cl. 2A-2, Upgraded to Ba3 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf);
-- Cl. 3A-1, Upgraded to Baa3 (sf); previously on Apr 12, 2010
Downgraded to Ba1 (sf);
-- Cl. 3A-2, Upgraded to Ba3 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf);
-- Cl. X, Upgraded to Ba1 (sf); previously on Feb 22, 2012
Downgraded to Ba2 (sf)
Issuer: Sequoia Mortgage Trust 2005-2
-- Cl. A-1, Upgraded to Ba1 (sf); previously on Jul 18, 2011
Downgraded to Ba3 (sf);
-- Cl. A-2, Upgraded to Ba1 (sf); previously on Jul 18, 2011
Downgraded to Ba3 (sf);
-- Cl. B-1, Upgraded to Caa2 (sf); previously on Jul 18, 2011
Downgraded to Ca (sf);
-- Cl. X-A, Upgraded to Ba1 (sf); previously on Jul 18, 2011
Downgraded to Ba3 (sf);
-- Cl. X-B, Upgraded to Caa3 (sf); previously on Feb 22, 2012
Downgraded to C (sf)
Issuer: Thornburg Mortgage Securities Trust 2003-6
-- Cl. A-1, Downgraded to A1 (sf); previously on Jun 15, 2012
Confirmed at Aa2 (sf)
Issuer: Thornburg Mortgage Securities Trust 2007-2
-- Cl. A-1, Downgraded to Caa1 (sf); previously on Mar 26, 2010
Confirmed at B3 (sf)
Issuer: Thornburg Mortgage Trust 2006-2
-- Cl. A-1-A, Downgraded to Caa1 (sf); previously on Mar 26,
2010 Confirmed at B3 (sf);
-- Cl. A-1-C, Downgraded to Caa1 (sf); previously on Mar 26,
2010 Confirmed at B3 (sf);
-- Cl. A-2-A, Downgraded to Caa1 (sf); previously on Mar 26,
2010 Confirmed at B3 (sf);
-- Cl. A-2-B, Downgraded to Ba3 (sf); previously on Mar 26,
2010 Downgraded to Ba1 (sf); and
-- Cl. A-2-C, Downgraded to Ca (sf); previously on Mar 26, 2010
Downgraded to Caa2 (sf)
* S&P Lowers Ratings on 24 Classes From 20 RNBS Deals to 'Dsf'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 24
classes from 20 U.S. residential mortgage-backed securities (RMBS)
transactions to 'D (sf)'. In addition, Standard & Poor's placed
its ratings on 15 classes from 15 additional U.S. RMBS
transactions on CreditWatch with negative implications.
The complete ratings list is available in "U.S. RMBS Classes
Affected By The Jan. 10, 2014, Rating Actions," published on
RatingsDirect, at http://www.globalcreditportal.com. The list is
also available on Standard & Poor's Web site at
http://www.standardandpoors.com. On the home page, select
"Ratings Actions" on the left side of the page, then locate the
document on the Press Releases tab.
The downgrades reflect S&P's assessment of the interest shortfalls
on the affected classes during recent remittance periods.
Additionally, S&P believes it is unlikely that certificate holders
will be reimbursed.
The CreditWatch placements reflect the potential interest
shortfalls on those classes in recent remittance periods the
trustee reported, which S&P believes would likely negatively
affect those ratings. S&P is currently verifying these possible
interest shortfalls and will adjust the ratings as it considers
appropriate upon the reported data's confirmation, according to
S&P's criteria.
These transactions are supported by mixed collateral of fixed- and
adjustable-rate mortgage loans. A combination of subordination,
excess spread, and overcollateralization (where applicable)
provide credit enhancement for all of the transactions in this
review.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com by e-mail.
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 the nation's bankruptcy courts. The
list includes links to freely downloadable of these small-dollar
petitions in Acrobat PDF documents.
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.
*********
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
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez,
Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2014. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
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are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-241-8200.
*** End of Transmission ***