/raid1/www/Hosts/bankrupt/TCR_Public/140209.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, February 9, 2014, Vol. 18, No. 39
Headlines
ARLINGTON CLASSICS: S&P Raises Rating on 2010A-C Bonds to 'BB+'
ATTENTUS CDO III: Moody's Hikes Rating on $34MM Notes to Caa2
BANC OF AMERICA 2002-PB2: Moody's Affirms C Ratings on 5 Certs
BANC OF AMERICA 2004-1: Fitch Hikes Class G Certs Rating to 'Bsf'
BANC OF AMERICA 2005-1: Fitch Lowers Class D Certs Rating to 'CC'
BEAR STEARNS 2004-PWR5: Fitch Affirms 'CCC' Rating on 2 Certs
BEAR STEARNS 2004-TOP16: Fitch Cuts Rating on Cl. J Certs to CCsf
CIFC FUNDING 2014: Moody's Rates $14MM Class F Notes '(P)B2'
CITIGROUP 2005-EMG: Fitch Affirms 'Dsf' Rating of Class M Notes
CLARENDON STREET: Fitch Affirms 'CCsf' Rating on Class D Notes
CREDIT SUISSE 2006-C: Fitch Cuts Rating on 2 Certificate Classes
CREDIT SUISSE 2007-C1: Fitch Affirms CCC Rating on Cl. A-J Certs
COMM 2012-LC4: Fitch Affirms 'Bsf' Rating on Class F Certs
COMM 2013-GAM: Fitch Affirms BB-sf Rating on Class F Securities
EMERSON PARK: S&P Affirms 'BBsf' Rating on Class E Notes
EXETER AUTOMOBILE 2014-1: DBRS Assigns BB Rating on Class D Notes
FIRST UNION 2001-C3: Fitch Affirms D Rating on $4.1MM Cl. N Notes
FLAGSHIP VII: S&P Assigns 'BBsf' Rating on $18.6MM Class E Notes
FOXE BASIN 2003: Moody's Cuts Rating on $22MM Cl. C Notes to Caa2
GE CAPITAL 2002-3: Fitch Affirms B+sf Rating on Class N Certs
GOLDENTREE LOAN: Moody's Affirms Ba2 Rating on $25.5MM Notes
GOLDMAN SACHS 2013-GC10: Fitch Affirms 'Bsf' Rating on Cl. F Notes
GMAC COMMERCIAL 1997-C1: Fitch Hikes Rating on Cl. G Certs From BB
GMAC COMMERCIAL 1998-C1: Fitch Affirms C Rating on 5 Cert Classes
GREENWICH CAPITA 2006-GG7L: S&P Cuts Rating on 2 Notes to 'D'
GS MORTGAGE 2012-GC6: Fitch Affirms Bsf Rating on Class F Notes
GS MORTGAGE 2014-GC18: Fitch Rates $12.5MM Class F Certs 'Bsf'
GS MORTGAGE 2014-GC18: Fitch Rates $22MM Class X-C Certs 'BBsf'
GTP CELLULAR: Fitch Affirms BB- Rating on Class C Certificates
HARBOR SERIES 2006-2: Moody's Affirms Caa3 Rating on 4 Notes
IMPAC CMB 2004-6: S&P Lowers Rating on 2 Note Classes to 'CCC'
IMSCI COMMERCIAL 2013-3: Fitch Affirms B Rating on Class G Certs
JER CRE 2005-1: Moody's Affirms Csf Ratings on 8 Note Classes
JFIN CLO 2014: S&P Assigns Preliminary BB Rating on Class E Notes
JP MORGAN 2007-CIBC20: Fitch Lowers Class K Certs Rating to 'Dsf'
KODIAK CDO II: Moody's Hikes Ratings on 2 Note Classes to Caa3
KVK CLO 2014-1: S&P Assigns Prelim. BB Rating on Class E Notes
LNR CDO 2002-1: Fitch Affirms 'Csf' Rating on 7 Note Classes
LNR CDO 2003-1: Fitch Affirms 'Csf' Rating on 5 Note Classes
MARATHON STRUCTURED: Fitch Cuts & Withdraws Class A-1 Notes Rating
MORGAN STANLEY: S&P Raises Rating on Class E Notes to 'CCC+'
MORGAN STANLEY 2003-IQ4: Fitch Hikes Rating on Cl. J Certs to 'B'
MORGAN STANLEY 2003-TOP9: Fitch Hikes Cl. K Certs Rating to CCC
MORGAN STANLEY 2004-TOP13: Fitch Affirms CC Rating on Cl. O Notes
MORGAN STANLEY 2007-XLC1: Fitch Cuts Rating on Cl. C Certs to CCC
NAUTIQUE FUNDING: S&P Affirms 'BB-' Rating on Class D Notes
OCEAN TRAILS IV: S&P Affirms 'BB' Rating on Class E Notes
OCP CLO 2013-4: S&P Affirms BB- Rating on Class D Notes
PEGASUS 2007-1: Fitch Cuts Ratings on 2 CMBS Classes to 'CCCsf'
PREFERRED TERM IX: S&P Raises Ratings on 2 Note Classes to BB+
PRUDENTIAL 2003-PWR-1: Fitch Cuts Rating on Class G Certs to 'Csf'
R.E. REPACK 2002-1: Fitch Hikes Rating on A Notes From 'BBsf'
TIAA 2007-C4: Fitch Cuts $15.7MM Class F Notes Rating to 'CCCsf'
TPREF FUNDING II: S&P Affirms 'BB+' Rating on Class A-2 Notes
TRAPEZA CDO IV: Moody's Raises Rating on $14MM Cl. D Notes to Ca
UBS COMMERCIAL 2007-FL1: Fitch Cuts Rating on O-MD Secs. to 'BBsf'
US AIRWAYS: S&P Lowers Rating on Equipment Trust Certs to B+
WFRBS COMMERCIAL 2012-C6: Fitch Affirms Bsf Rating on Cl. F Certs
WFRBS COMMERCIAL 2013-C11: Fitch Affirms B Rating on Cl. F Certs
WFRBS COMMERCIAL 2013-C12: Fitch Affirms B Rating on $16.9MM Certs
* Fitch Takes Rating Actions on 17 SF CDOs From 2000-2005 Vintages
* Moody's Cuts Ratings on $608MM of RMBS Issued 2005-2007
* Moody's Ups Ratings on $592MM of Subprime RMBS Issued 2005-2006
* S&P Lowers 6 Ratings from 5 U.S. RMBS Transactions
* S&P Lowers Ratings on 25 Classes From 18 RMBS Deals to 'Dsf'
*********
ARLINGTON CLASSICS: S&P Raises Rating on 2010A-C Bonds to 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its long-term rating on
Arlington Higher Education Finance Corp., Texas' series 2010A
education revenue bonds, series 2010B education revenue and
refunding bonds, and series 2010C taxable education revenue bonds
issued for Arlington Classics Academy (ACA) to 'BB+' from 'BB'.
The outlook is stable.
"The rating reflects our assessment of ACA's improvements in
operating performance and liquidity over the past two years," said
Standard & Poor's credit analyst Luke Gildner. "It also reflects
our view of ACA's management and policy changes that have remedied
prior operational performance issues, and we believe there are now
clearer reporting lines and more formalized, enforced policies in
place to ensure budgeted expectations are met." S&P expects ACA
will maintain strong operations over time while growing upper
grades to fill out its second campus, which it recently opened.
"The rating further reflects our view of the charter school's
improved maximum annual debt service coverage of 1.5x, good
overall student demand, good liquidity, and strong student test
scores, offset by the school's high debt burden and the need to
grow demand and enrollment in sixth through eighth grades," added
Mr. Gildner.
The stable outlook reflects S&P's expectation that during the next
year management will continue to meet enrollment and financial
projections. S&P expects operations will be about break even and
liquidity will be stable. Furthermore, S&P expects capital plans
will be funded from restricted internal funds and will not result
in the issuance of additional debt.
S&P may take a positive action if the charter school can maintain
its strong operating performance on a more consistent basis while
growing middle school enrollment and liquidity. S&P could lower
the rating if enrollment declines lead to below 1x MADS coverage,
or deterioration in the balance sheet results in less than 45
days' cash on hand.
ATTENTUS CDO III: Moody's Hikes Rating on $34MM Notes to Caa2
-------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Attentus CDO III Ltd.:
$100,000,000 Class A-2 Third Priority Senior Secured Floating Rate
Notes Due 2042, Upgraded to B2 (sf); previously on April 9, 2009
Downgraded to Caa2 (sf)
$34,000,000 Class B Fourth Priority Deferrable Secured Floating
Rate Notes Due 2042, Upgraded to Caa2 (sf); previously on April 9,
2009 Downgraded to Ca (sf)
$16,000,000 Class C-1 Fifth Priority Deferrable Secured Floating
Rate Notes Due 2042 (current balance of $16,739,415.08, including
deferred interest), Upgraded to Caa3 (sf); previously on April 9,
2009 Downgraded to C (sf)
$15,000,000 Class C-2 Fifth Priority Deferrable Secured
Fixed/Floating Rate Notes Due 2042 (current balance of
$17,072,715.96, including deferred interest), Upgraded to Caa3
(sf); previously on April 9, 2009 Downgraded to C (sf)
Attentus CDO III Ltd., issued in January 2007, is a collateralized
debt obligation backed by a portfolio of REIT trust preferred
securities (TruPS).
Ratings Rationale
The rating actions taken on the notes are primarily a result of
deleveraging of the Class A-1 notes and an increase in the
transaction's overcollateralization ratios since January 2013.
The Class A-1a notes have been paid off in full and the Class A-1b
have been paid down by approximately 7.5% or $7.5 million since
January 2013, due to disbursement of principal proceeds from
redemptions of underlying assets, sales of defaulted assets and
diversion of excess interest proceeds. Based on the latest trustee
report dated January 6, 2014, the Class A, Class B and Class C
overcollateralization ratios have improved to 152.8% (limit
122.86%), 129.3% (limit 114.21%) and 112.4% (limit 110.48%),
respectively, versus January 2013 levels of 140.5%, 122.2% and
107.8%, respectively. Going forward, the notes will continue to
benefit from the use of the proceeds from redemptions of any
assets in the collateral pool.
The Class C notes are current on their interest payments and are
also receiving their previously deferred interest. Going forward
the deferred interest on the Class C notes will continue to be
paid down.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs" published in May 2011.
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: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's current expectations could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Note
repayments that are faster than Moody's current expectations could
have a positive impact on the notes' ratings, beginning with the
notes with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) or
credit estimates. Moody's evaluates the sensitivity of the ratings
of the notes to the volatility of these credit assessments.
Loss and Cash Flow Analysis
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, are based on its published
methodology and may be different from the trustee's reported
numbers. In its base case, Moody's analyzed the underlying
collateral pool to have a performing par of $277.3 million,
defaulted/deferring par of $86.4 million, a weighted average
default probability of 52.47% (implying a WARF of 3831), Moody's
Asset Correlation of 15%, and a weighted average recovery rate
upon default of 10%. In addition to the quantitative factors that
are explicitly modeled, qualitative factors are part of rating
committee considerations. Moody's considers the structural
protections in the transaction, the risk of triggering an Event of
Default, recent deal performance under current market conditions,
the legal environment, and specific documentation features. All
information available to rating committees, including
macroeconomic forecasts, inputs from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision
The transaction's portfolio was modeled using CDOROM v.2.10.15 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge. CDOROM v.2.10.15
is available on moodys.com under Products and Solutions --
Analytical models, upon return of a signed free license agreement.
The portfolio of this CDO is mainly comprised of trust preferred
securities issued by small to medium sized REIT companies that are
generally not publicly rated by Moody's. For REIT TruPS that do
not have public ratings, Moody's REIT group assesses their credit
quality using the REIT firms annual financials.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 410 points from the
base case of 3831, the model-implied rating of the Class A-1b
notes is one notch worse than the base case result. Similarly, if
the WARF is decreased by 200 points, the model-implied rating of
the Class A-1b notes is one notch better than the base case
result.
BANC OF AMERICA 2002-PB2: Moody's Affirms C Ratings on 5 Certs
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes
of Banc of America Commercial Mortgage Pass-Through Certificates,
Series 2002-PB2 as follows:
Cl. E, Affirmed B2 (sf); previously on Mar 1, 2013 Downgraded to
B2 (sf)
Cl. F, Affirmed Caa1 (sf); previously on Mar 1, 2013 Downgraded to
Caa1 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Mar 1, 2013 Downgraded to
Caa3 (sf)
Cl. H, Affirmed C (sf); previously on Mar 1, 2013 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Mar 1, 2013 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Mar 1, 2013 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Mar 1, 2013 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Mar 1, 2013 Affirmed C (sf)
Cl. XC, Affirmed Caa3 (sf); previously on Mar 1, 2013 Downgraded
to Caa3 (sf)
Ratings Rationale
The ratings on the P&I classes were affirmed because the ratings
are consistent with expected recovery of principal and interest
from liquidated and troubled loans.
The rating on the IO class, Class XC, was affirmed based on the
credit performance of the referenced classes.
Moody's rating action reflects a base expected loss of 77.7% of
the current balance, compared to 69.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 12.1% of
the original pooled balance, compared to 11.7% at the last review.
Factors That Would Lead To A 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 96% of the pool is in
special servicing and the performing conduit loan only represents
4% of the pool. In this approach, Moody's determines a probability
of default for each specially serviced loan that it expects will
generate a loss and estimates a loss given default based on a
review of broker's opinions of value (if available), other
information from the special servicer, available market data and
Moody's internal data. The loss given default for each loan also
takes into consideration repayment of servicer advances to date,
estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected
loss estimate, Moody's then applies the aggregate loss from
specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
Description of Models Used
Moody's review used the excel-based Large Loan Model v 8.6. The
large loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, property type and sponsorship.
Moody's also further adjusts these aggregated proceeds for any
pooling benefits associated with loan level diversity and other
concentrations and correlations.
Deal Performance
As of the January 13, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 89% to $123.5
million from $1.12 billion at securitization. The certificates are
collateralized by four mortgage loans. The pool does not contain
any defeased loans or loans on the master servicer's watchlist.
Twenty-five loans have been liquidated from the pool, contributing
to the aggregate certificate realized loss of $38.5 million. Three
loans, constituting 96% of the pool, are currently in special
servicing. The largest specially serviced loan is the Regency
Square Loan ($69.9 million -- 55.6% of the pool), which is secured
by a 465,000 square foot (SF) enclosed regional mall located in
Richmond, Virginia. The property's anchors include Macy's (lease
expiration in 2015), Sears and J.C. Penney (both of which are not
part of the loan collateral). The property was considered the
dominant mall at securitization, but newer competing retail
properties have since entered the subject's trade area. The former
sponsor, Taubman Properties, turned the property over via a deed-
in-lieu of foreclosure in December 2011 after unsuccessfully
jointly marketing the property for sale with the servicer.
Excluding the anchors, the property was 81% leased as of November
2013, with many of these tenants on temporary leases. An October
2013 appraisal valued the property at $25 million. The property is
real estate owned (REO) and has been deemed non-recoverable by the
master servicer. The special servicer indicated that it is working
to stabilize the rent roll and plans to begin marketing the
property in early 2014.
The remaining two specially serviced loans are secured by adjacent
suburban office buildings located in Troy, Michigan. 880 Troy
Corporate Center ($26.3 million -- 20.9% of the pool) is currently
completely vacant and 840 Troy Corporate Center ($24.0 million --
19.1% of the pool) was only 30% leased as of December 2013. Both
of these loans have been deemed non-recoverable by the master
servicer. Moody's has estimated a $98 million loss (81% expected
loss on average) for all of the specially serviced loans.
The sole performing loan remaining in the pool is the Robertson
Business Park Loan ($5.5 million -- 4.4% of the pool). The
property is secured by an 85,000 SF industrial property in Culver
City, California. The loan has amortized 26% since securitization
and matures in December 2016. The property's performance has
improved due to an increase in rental revenue. Moody's LTV and
stressed DSCR are 54% and 1.80X, respectively, compared to 61% and
1.60X at last review. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stressed rate applied to the loan balance.
Based on the most recent remittance statement, Classes E through Q
have experienced cumulative interest shortfalls totaling $15.8
million and the interest only class, Class XC, experienced a
$49,720 shortfall. Since, the monthly payments collected on the
sole performing loan are not enough to pay the accrued interest
due on Class XC, the majority of available distributions to pay
any accrued interest or principal on the certificates are
dependent upon the recoveries from loan liquidations and/or any
excess cash flow distributed from the loans in special servicing.
Moody's anticipates that the pool will continue to experience
interest shortfalls because of the high exposure to specially
serviced loans. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
subordinate entitlement reductions (ASERs), extraordinary trust
expenses, loan modifications that include either an interest rate
reduction or a non-accruing note component, and non-recoverability
determinations by the servicer that involve either a clawback of
previously made advances or a decision to stop making future
advances.
BANC OF AMERICA 2004-1: Fitch Hikes Class G Certs Rating to 'Bsf'
-----------------------------------------------------------------
Fitch Ratings has upgraded five and affirmed 9 classes of Banc of
America Commercial Mortgage Inc. (BACM 2004-1) commercial mortgage
pass-through certificates series 2004-1.
Key Rating Drivers
The upgrades reflect a significant increase in credit enhancement
as a result of paydowns and stable performance of the underlying
collateral. Overall expected losses for the pool based on
original pool balance have decreased from Fitch's prior rating
action primarily due to better than expected resolutions to
specially serviced and maturing loans. Fitch modeled losses of
4.3% of the remaining pool; expected losses on the original pool
balance total 4.4%, including $51.1 million (3.9% of the original
pool balance) in realized losses to date. Fitch has designated
four loans (23.1%) as Fitch Loans of Concern, which includes two
specially serviced assets (6.3%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 86.4% to $181.1 million from
$1.33 billion at issuance. Since the last rating action the
transaction was paid down by $711.5 million representing 53.6% of
the original pool balance. Per the servicer reporting, three
loans (34.4% of the pool) are defeased. Interest shortfalls are
currently affecting classes H through P.
The largest contributor to expected losses is a 74,031 square foot
(sf) office property (4.2% of the pool) located in Federal Way,
WA. The asset is real estate owned (REO) as of December 2013.
The asset suffers from occupancy issues due to the weakness of the
submarket. As of December 2013, occupancy for the property was
66% and is expected to decline further with several tenants
anticipated to vacate upon lease expiration. Fitch expects
significant losses upon disposition of the asset.
The next largest contributor to expected losses is a 97,186 sf
office property (2.1%) located in Cleveland, OH. The loan
transferred to special servicing in November 2013 due to maturity
default. As of YE 2012, occupancy for the property was 80% with
debt service coverage ratio (DSCR) of 0.97x compared to 91%
occupancy at issuance. Property performance remains weak due to
several month-to-month leases at lower rental rates coupled with
soft market conditions. The servicer is working with the borrower
on a potential resolution while dual-tracking foreclosure.
Rating Sensitivity
Rating Outlooks on the remaining classes remain Stable due to
substantial paydown since Fitch's last rating action, contributing
to increased credit enhancement of the classes. Fitch performed
additional stresses when considering upgrades. Although credit
enhancement remains high relative to the rating category, further
upgrades were limited given the high concentration of upcoming
loan maturities and exposure to assets in tertiary markets. Any
increase in modeled losses may have a greater impact on credit
enhancement. The Distressed classes (those rated below 'B') may
be subject to further downgrades as additional losses are
realized.
Fitch upgrades the following classes and revises or assigns Rating
Outlooks as indicated:
-- $13.3 million class C to 'AAAsf' from 'AAsf', Outlook to
Stable from Negative;
-- $29.9 million class D to 'Asf' from 'BBBsf', Outlook to Stable
from Negative;
-- $13.3 million class E to 'BBBsf' from 'BBsf', Outlook to
Stable from Negative;
-- $18.2 million class F to 'BBsf' from 'Bsf', Outlook to Stable
from Negative;
-- $11.6 million class G to 'Bsf' from 'CCCsf', Outlook Stable.
Fitch affirms the following classes but revises Rating Outlooks
and REs as indicated:
-- $31.5 million class B at 'AAAsf', Outlook to Stable from
Negative;
-- $19.9 million class H at 'CCsf', RE 100%.
-- $6.6 million class J at 'Csf', RE 30%.
Fitch affirms the following classes as indicated:
-- $36.1 million class A-1A at 'AAAsf', Outlook Stable;
-- $670,553 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%.
Classes A-1, A-2, A-3, A-4 and X-P have paid in full. Fitch does
not rate the class P certificates. Fitch previously withdrew the
rating on the interest-only class XC certificates.
BANC OF AMERICA 2005-1: Fitch Lowers Class D Certs Rating to 'CC'
-----------------------------------------------------------------
Fitch Ratings has downgraded two distressed classes and affirmed
16 classes of Banc of America Commercial Mortgage Inc., commercial
mortgage pass-through certificates, series 2005-1.
Key Rating Drivers
The downgrades reflect more certainty of losses for the specially
serviced loans; therefore, the already distressed bonds are being
downgraded. The affirmations are due to the relatively stable
performance of the pool and loss expectations consistent with the
prior rating action. Fitch modeled losses of 8.6% of the remaining
pool; expected losses on the original pool balance total 9.4%,
including $138.9 million (5.9% of the original pool balance) in
realized losses to date. Fitch has designated 30 loans (38.4%) as
Fitch Loans of Concern, which includes two specially serviced
assets (11.8%).
As of the December 2013 distribution date, the pool's aggregate
principal balance has been reduced by 58.7% to $958.5 million from
$2.36 billion at issuance. Per the servicer reporting, nine loans
(11.8% of the pool) are defeased. Interest shortfalls are
currently affecting classes E, F, and H through P.
The largest contributor to expected losses is the specially-
serviced The Mall at Stonecrest loan (10.1% of the pool), which is
secured by the 396,840 square foot (sf) portion of a regional mall
totaling 1.2 million sf located in Lithonia, GA, approximately 20
miles east of downtown Atlanta. The loan transferred to the
special servicer in January 2013 for imminent payment default.
Despite the transfer to the special servicer the loan has remained
current. The collateral consists of a 16-screen AMC Theater,
approximately 140 in-line tenants, a food court, kiosk space and
strip space. As of March 2013, the mall had a collateral occupancy
of approximately 85% and a total occupancy of 93%. The January
2013 trailing 12-month net operating income debt service coverage
ratio (NOI DSCR) was 1.01x.
The next largest contributor to expected losses is a specially-
serviced loan (1.7%) which is secured by a 637,531 sf industrial
warehouse located in Fishers, IN, approximately 30 minutes NE of
Indianapolis. As of December 2013, the property is 100% vacant
with foreclosure anticipated to occur in 2014.
The third largest contributor to expected losses is the Indian
River Mall & Commons loan (7.4%), which is secured by 302,456 sf
of the 748,008 sf enclosed regional mall and 132,121 sf of the
adjacent 260,868 sf power center located in Vero Beach, Florida.
The year-to-date net operating income debt service coverage ratio
(NOI DSCR) as of third quarter 2013 was 1.09x. The DSCR decreased
when compared with prior year analysis which reported a DSCR of
1.22x. The property was 80.1% occupied as of third quarter 2013.
RATING SENSITIVITY
Rating Outlooks on classes A-1A through A-J remain Stable due to
the payment priority in the capital structure with continued
paydown and stable performance. The Rating Outlook on class B is
Negative as the class may be subject to a downgrade if there is
further deterioration to the pool's cash flow performance and/or
decrease in value of the specially serviced loans. Additional
downgrades to the distressed classes (those rated below 'B') are
expected as losses are realized.
Fitch downgrades the following classes and assigns or revises
Recovery Estimates (REs) as indicated:
-- $43.5 million class D to 'CCsf' from 'CCCsf', RE 5%;
-- $20.3 million class E to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes and assigns Recovery Estimates
(RE) as indicated:
-- $98.2 million class A-1A at 'AAAsf', Outlook Stable;
-- $141.4 million class A-4 at 'AAAsf', Outlook Stable;
-- $381.2 million class A-5 at 'AAAsf', Outlook Stable;
-- $14.2 million class A-SB at 'AAAsf', Outlook Stable;
-- $168.4 million class A-J at 'Asf', Outlook Stable;
-- $61 million class B at 'BBsf', Outlook Negative;
-- $20.3 million class C at 'CCCsf', RE 100%.
-- $9.9 million class F at 'Dsf', RE 0%;
-- $0 class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
The class A-1, A-2, A-3, SM-A, SM-B, SM-C, SM-D, SM-E, SM-F, SM-G,
SM-H, FM-A, FM-B, FM-C, and FM-D certificates have paid in full.
Fitch previously withdrew the rating on the interest-only class XW
certificates. Fitch does not rate class P, which has been reduced
to zero due to realized losses. Additionally, Fitch did not rate
the SM-J and LM rake classes.
BEAR STEARNS 2004-PWR5: Fitch Affirms 'CCC' Rating on 2 Certs
-------------------------------------------------------------
Fitch Ratings has affirmed all classes of Bear Stearns Commercial
Mortgage Securities Trust (BSCMSI) commercial mortgage pass-
through certificates series 2004-PWR5 as a result of stable
performance since issuance.
Key Rating Drivers
Fitch modeled losses of 3.1% of the remaining pool; expected
losses on the original pool balance total 2.9%, including $13.6
million (1.1% of the original pool balance) in realized losses to
date. Fitch has designated 30 loans (16%) as Fitch Loans of
Concern, which does not include any specially serviced loans.
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 44% to $691.3 million from
$1.23 billion at issuance. Per the servicer reporting, 11 loans
(31.8% of the pool) are defeased. Interest shortfalls are
currently affecting class Q; 84 loans or 88.8% of the pool matures
in 2014.
The three largest contributors to expected losses represent
approximately 70% of total modeled losses.
The largest contributor to expected losses is the Bald Hill Plaza
loan (1.6% of the pool), which is secured by a 128,840 square foot
(sf) retail property located in Warwick, RI. The loan is current
through the January 2014 remittance date. Net operating income
(NOI) has dropped 34% since origination. The servicer -reported
NOI debt service coverage ratio (DSCR) has decreased to 0.84x as
of third quarter 2013, down from 0.86x at YE 2012, and from 1.24x
at origination. The property's occupancy is reported at 91%, down
from 99% at origination. Tenants maturing in 2014 represent 13%
of the property. The loan matures in July 2014.
The next largest contributor to expected losses is the
Centerpointe Tech Center loan (1%), which is secured by a 152,679
sf flex office property located in San Diego, CA. The loan was
assumed by a new Sponsor in June 2012 and performance has improved
with occupancy increasing from 45% at YE 2012 to 68% through third
quarter 2013. The servicer reported NOI DSCR is improving from
0.10x at YE 2012 to 0.70x through third quarter 2013. The loan
matures in July 2014.
The third largest contributor to expected losses is the largest
loan in the pool, 2941 Fairview Park Drive loan (9.4%), which is
secured by a 352,583 sf office property in Falls Church, VA. The
property is current through the January remittance. The YE 2012
servicer-reported DSCR is 1.20x, down from 1.58x at origination.
Occupancy at YE 2012 was 85%, in line with the 87% occupancy at
origination. General Dynamics (rated 'A' by Fitch) occupies 48%
with a lease expiring in March 2019. No other tenant occupies
more than 10% of the net rentable area.
Rating Sensitivity
Rating Outlooks on classes A-5, B, as well as classes D through H
are Stable due to increasing credit enhancement and continued
paydown. The Rating Outlook on Class C is Positive. Should
payoffs occur as expected, upgrade could be possible for this
class.
Fitch affirms the following classes and assigns or revises REs as
indicated:
-- $4.6 million class J at 'CCCsf', RE 100%;
-- $4.6 million class K at 'CCCsf', RE 50%.
Fitch affirms the following classes as indicated, and revises
Outlooks as indicated:
-- $547.5 million class A-5 at 'AAAsf', Outlook Stable;
-- $29.3 million class B at 'AAAsf', Outlook Stable;
-- $9.3 million class C at 'AAsf', Outlook Positive;
-- $20 million class D at 'AAsf', Outlook Stable;
-- $13.9 million class E at 'Asf', Outlook Stable;
-- $15.4 million class F at 'BBB+sf', Outlook Stable;
-- $9.3 million class G at 'BBBsf', Outlook Stable;
-- $18.5 million class H at 'Bsf', Outlook Stable;
-- $6.2 million class L at 'CCsf', RE 0%;
-- $4.6 million class M at 'CCsf', RE 0%;
-- $4.6 million class N at 'CCsf', RE 0%;
-- $3.1 million class P at 'Csf', RE 0%.
Fitch does not rate the class Q certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
BEAR STEARNS 2004-TOP16: Fitch Cuts Rating on Cl. J Certs to CCsf
-----------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed 11 classes
of Bear Stearns Commercial Mortgage Securities Trust 2004-TOP16
commercial mortgage pass-through certificates series.
Key Rating Drivers
The downgrades reflect a decrease in credit enhancement from
incurred losses since the last rating action. The affirmations
are the result of stable performance of the underlying collateral
and sufficient credit enhancement relative to the ratings.
Fitch modeled losses of 2.8% of the remaining pool; expected
losses on the original pool balance total 2.8%, including $11.8
million (1% of the original pool balance) in realized losses to
date. Fitch has designated nine loans (13.5%) as Fitch Loans of
Concern, which includes two specially serviced assets (0.7%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 36.1% to $738.2 million from
$1.16 billion at issuance. Per the servicer reporting, 17 loans
(31% of the pool) are defeased. Interest shortfalls are currently
affecting classes L through P.
The largest contributor to expected losses is the Congress Center
Office Development loan (9.7% of the pool), which is secured by a
524,784 square foot (sf) office building located in Chicago, IL.
The loan is performing under its modification from November 2012.
Terms of the modification included an extended maturity until
October 2017 with interest-only (IO) payments through the term.
The loan was also assumed by a new borrower and paid down by $15.6
million. The property's occupancy has remained unchanged since the
loan modification at 73.9% as of year-end 2013. The servicer
reported NOI debt service coverage ratio (DSCR) has increased due
to reduced principal balance and IO to 1.29 times (x) as of the
second-quarter 2013 from 0.91x as of year-end 2012.
The next largest contributor to expected losses is the specially-
serviced asset (0.6%), Wal-Mart- Carlyle Plaza, which is secured
by a 126,846 single retail center located in Belleville, IL,
approximately 20 miles southwest of St. Louis. The loan
transferred to special-servicing in August 2013 for maturity
default. The sole tenant, Wal-Mart, vacated the property in 2010
and continued to pay rent until their lease expiration, which was
coterminous with the loan maturity. In addition, the special
servicer reports there may be environmental issues associated with
an adjacent property and has ordered third-party reports.
The third largest contributor to expected losses is the Western
New York Medical Park loan (1.6%), which is secured by 81,204 sf
medical office park located in West Seneca, NY, south of Buffalo.
The property has been suffering from poor performance over the
last several years due to increased expenses. The servicer
reports that the increase in expenses are primarily a result of
higher real estate taxes, property insurance, utilities and
repairs and maintenance. The property's occupancy and DSCR were
84% and 0.86x, respectively, as of the third-quarter 2013.
Rating Sensitivity
Rating Outlooks on classes A-6 through F remain Stable due to
increasing credit enhancement and continued paydown. Rating
Outlooks on class G is Negative due to the relatively thin class
size of the majority of the subordinate classes.
Fitch downgrades the following classes and assigns Recovery
Estimates (REs) as follows:
-- $2.9 million class J to 'CCsf' from 'CCCsf', RE 40%;
-- $4.3 million class K to 'Csf' from 'CCsf', RE 0%;
-- $5.8 million class L to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes, maintains Outlooks and
assigns REs as indicated:
-- $630 million class A-6 at 'AAAsf', Outlook Stable;
-- $20.2 million class B at 'AA+sf', Outlook Stable;
-- $13 million class C at 'AAsf', Outlook Stable;
-- $13 million class D at 'Asf', Outlook Stable;
-- $15.9 million class E at 'BBBsf', Outlook Stable;
-- $10.1 million class F at 'BBsf', Outlook to Stable;
-- $11.6 million class G at 'Bsf', Outlook Negative;
-- $10.1 million class H at 'CCCsf', RE 100%;
-- $1.3 million class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
Fitch does not rate the class P certificates. Fitch previously
withdrew the rating on the interest-only class X-1 certificates.
Classes A-1, A-2, A-3, A-4, A-5 and X-2 have all paid in full.
CIFC FUNDING 2014: Moody's Rates $14MM Class F Notes '(P)B2'
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of notes to be issued by CIFC Funding 2014, Ltd.
(the "Issuer" or "CIFC Funding 2014").
Moody's rating action is as follows:
$372,250,000 Class A Floating Rate Notes due 2025 (the "Class A
Notes"), Assigned (P)Aaa (sf)
$52,750,000 Class B-1 Floating Rate Notes due 2025 (the "Class B-1
Notes"), Assigned (P)Aa2 (sf)
$ 20,000,000 Class B-2 Fixed Rate Notes due 2025 (the "Class B-2
Notes"), Assigned (P)Aa2 (sf)
U.S.$ 47,500,000 Class C Deferrable Floating Rate Notes due 2025
(the "Class C Notes"), Assigned (P)A2 (sf)
$ 31,750,000 Class D Deferrable Floating Rate Notes due 2025 (the
"Class D Notes"), Assigned (P)Baa3 (sf)
$ 30,000,000 Class E Deferrable Floating Rate Notes due 2025 (the
"Class E Notes"), Assigned (P)Ba3 (sf)
$ 14,250,000 Class F Deferrable Floating Rate Notes due 2025 (the
"Class F Notes"), Assigned (P)B2 (sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes, the Class E Notes, and the Class
F Notes are referred to herein, collectively, as the "Rated
Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
CIFC Funding 2014 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 and unsecured loans. The underlying collateral
pool is expected to be approximately 70% ramped as of the closing
date.
CIFC Asset Management 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. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in November 2013.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 62
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.85%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8.0 years.
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. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
Factors That Would Lead to an Upgrade or Downgrade of the Rating
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2700 to 3105)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: 0
Class B-2 Notes: 0
Class C Notes: -1
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2700 to 3510)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
Class F Notes: -2
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction,
rather than individual tranches.
CITIGROUP 2005-EMG: Fitch Affirms 'Dsf' Rating of Class M Notes
---------------------------------------------------------------
Fitch Ratings has upgraded one class of Citigroup Commercial
Mortgage Securities Inc. Series 2005-EMG mortgage pass-through
certificates, series 2005-EMG.
Key Rating Drivers:
The upgrade reflects stable collateral performance and paydown of
approximately 90% since Fitch's last review. The paydown provides
increased credit support to the remaining senior classes. The
pool has become increasingly concentrated with only nine loans
remaining, all of which are located in New York.
Rating Sensitivity:
The majority of the loans remaining in the pool have at least 10
years of seasoning and are secured by properties that exhibit a
strong, stable operating history. As such, ratings are likely to
remain stable throughout the remaining life of the deal as
additional paydown will be offset by an increasingly concentrated
pool.
The pool consists of seasoned loans originated by Emigrant Savings
Bank from 1976 to 2004. In most cases, the loans were originated
in higher interest rate environments with prepayment lockouts.
Due to the lockout provisions, the borrowers have been unable to
take advantage of the lower interest rates; therefore, they are
less likely to default as their loans approach maturity and more
attractive financing options become available. Of the nine
remaining loans in the pool, seven (85% of the pool balance)
mature in 2014. The other two loans mature in 2018 and 2020,
respectively, and are fully amortizing. The average debt service
coverage ratio for the pool was 3.35x.
As of the January 2014 distribution date, the pool's aggregate
principal balance has paid down by 98% to $14.2 million from
$772.1 million at issuance. Interest shortfalls are currently
affecting classes K through M. There are no loans in special
servicing or on the watchlist.
Fitch has upgraded the following class:
-- $7.9 million class J to 'BBBsf' from 'BBsf'; Outlook Stable.
Fitch has affirmed the following classes:
-- $2.7 million class K at 'Bsf'; Outlook Stable;
-- $1.8 million class L at 'CCCsf'; RE 100%;
-- $1.8 million class M at 'Dsf'; RE 70%.
Classes A-1 through H have paid in full. Fitch previously
withdrew the rating of the interest-only class X.
CLARENDON STREET: Fitch Affirms 'CCsf' Rating on Class D Notes
--------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed one class issued by
Crest Clarendon Street 2002-1, Ltd./Corp. (Crest Clarendon Street
2002-1).
Key Rating Drivers
The upgrade is a result of deleveraging of the transaction due to
collateral paydowns. Since the last rating action in January
2013, approximately 28.4% of the collateral has been downgraded
and 14.4% has been upgraded. Currently, 71.8% of the portfolio
has a Fitch derived rating below investment grade and 65.7% has a
rating in the 'CCC' category and below, compared to 47% and 40.4%,
respectively, at the last rating action. Over this period, the
transaction has received $23.9 million in paydowns which has
resulted in the full repayment of the class B notes and $9.9
million in paydowns to the class C 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. 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.
While the class C notes ratings pass above the below assigned
rating within the PCM, the rating below reflects the passing
rating in the deterministic scenario as well as consideration for
increasing concentration and the potential for interest shortfalls
as the portfolio continues to amortize.
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 'CCsf', indicating that default is
probable.
Rating Sensitivities
The Stable Outlook on the class C notes reflects Fitch's view that
the notes will continue to delever. Further losses may cause
downgrades to the class D notes.
Crest Clarendon Street 2002-1 is a cash flow commercial real
estate collateralize debt obligations (CRE CDO) issued in
September 2002. The current portfolio consists of six bonds from
six obligors, all of which are commercial mortgage backed
securities (CMBS) from the 1998 through 2002 vintages.
Fitch has taken the following actions:
-- $5,114,680 class C notes upgraded to 'BBsf' from 'Bsf';
Outlook to Stable from Negative;
-- $11,124,167 class D notes affirmed at 'CCsf'.
CREDIT SUISSE 2006-C: Fitch Cuts Rating on 2 Certificate Classes
----------------------------------------------------------------
Fitch Ratings has downgraded two distressed classes and affirmed
18 classes of Credit Suisse Commercial Mortgage Trust (CSMC 2006-
C4) commercial mortgage pass-through certificates series 2006-C4.
Key Rating Drivers
Fitch modeled losses of 11.8% of the remaining pool; expected
losses on the original pool balance total 16%, including $281.2
million (6.6% of the original pool balance) in realized losses to
date. Fitch has designated 95 loans (35.4%) as Fitch Loans of
Concern, which includes 19 specially serviced assets (4.7%) and
five loans within the Top 15 (20.8%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 20.3% to $3.41 billion from
$4.27 billion at issuance. Per the servicer reporting, four loans
(1.4% of the pool) are defeased. Interest shortfalls are
currently affecting classes C through S.
The largest contributor to expected losses is The Ritz-Carlton
South Beach loan (5.3% of the pool), which is secured by a 376
room full-service hotel located in Miami, FL. Debt service
coverage ratio (DSCR) remained relatively flat at year-end (YE)
2012 (1.08x) compared to YE 2011 (1.06x). Per the latest Smith
Travel Report as of November 2013, the trailing 12 month (TTM)
revenue per available room (RevPAR) is trending downward at
$369.59 compared to $494.91 at YE 2012; even though occupancy has
increased, average daily rate (ADR) is significantly lower.
However, the property continues to outperform its competitive set
in terms of RevPAR.
The next largest contributor to expected losses is the Carlton
Hotel on Madison loan (2.8%), which is secured by a 316-room full
service hotel located in New York, NY. The property is
underperforming relative to the market. However, the TTM
September 2013 DSCR is showing signs of improvement at 0.69x ,
compared to 0.55x and 0.17x as of YE 2012 and YE 2011,
respectively.
The third largest contributor to expected losses is the 280 Park
Avenue loan (8.8%), which is secured by a 1.2 million square foot
office tower located in New York, NY. Following significant
tenant rollover experienced in early 2012, the property was 55.7%
occupied as of June 2013. The year-to-date (YTD) June 2013
servicer reported DSCR was 0.66x compared to 0.70x at YE 2012 and
1.28x at YE 2011.
The largest loan in the pool is the 11 Madison Avenue loan
(23.7%). As of the September 2013 rent roll, occupancy was down
to 89% from 99% as of YE 2012 and YE 2011. Credit Suisse, which
currently occupies 81% of the property, recently announced its
plan downsize to 54% under a new 20 year lease (existing lease
scheduled to expire in 2017). Sony will reportedly occupy 23% of
total space, thereby reducing total current occupancy by
approximately 4%. The YTD September 2013 DSCR was 0.88x compared
to 1.11x at YE 2012 and 1.06x at YE 2011.
Rating Sensitivity
Rating Outlooks on classes A-3 through A-1A remain Stable due to
increasing credit enhancement and continued paydown. Rating
Outlook on class A-M remains Negative due to significant maturity
concentration in 2016 (89.4%) and the high concentration of Fitch
LOCs.
Fitch downgrades the following classes as indicated:
-- $37.4 million class D to 'Csf' from 'CCsf', RE 0%;
-- $21.4 million class E to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes as indicated:
-- $1.7 billion class A-3 at 'AAAsf', Outlook Stable;
-- $150 million class A-4FL at 'AAAsf', Outlook Stable;
-- $558.1 million class A-1A at 'AAAsf', Outlook Stable;
-- $427.3 million class A-M at 'BBB-sf', Outlook Negative;
-- $341.8 million class A-J at 'CCCsf', RE 50%;
-- $26.7 million class B at 'CCsf', RE 0%;
-- $64.1 million class C at 'CCsf', RE 0%;
-- $48.1 million class F at 'Csf', RE 0%;
-- $34.1 million class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%;
-- $0 class Q at 'Dsf', RE 0%.
Fitch does not rate the class S certificates.
CREDIT SUISSE 2007-C1: Fitch Affirms CCC Rating on Cl. A-J Certs
----------------------------------------------------------------
Fitch Ratings affirms 24 classes of Credit Suisse Commercial
Mortgage Trust (CSMC), series 2007-C1 commercial mortgage pass-
through certificates and revises the Rating Outlook to Stable from
Negative on classes A-3 and A-1-A. A detailed list of rating
actions follows at the end of this release.
KEY RATING DRIVERS
The affirmations are based on the overall stable to improved
performance of the underlying collateral pool relative to the
previous rating action. Fitch modeled losses of 17.44% for the
remaining pool; expected losses as a percentage of the original
pool balance are at 18.59%, including losses already incurred to
date. Fitch has designated 85 loans (56.2%) as Fitch Loans of
Concern, which includes 16 specially serviced loans (8.26%).
As of the January 2013 distribution date, the pool's aggregate
principal balance has been reduced by approximately 22.6% to $2.60
billion from $3.37 billion at issuance, due to a combination of
paydown (16.3%) and realized losses (6.3%). Interest shortfalls
totaling $57.9 million are affecting classes T through A-J. Since
Fitch's previous rating action, approximately 8.5%, or $285.8
million, of the original balance has paid down.
RATINGS SENSITIVITY
The revision of the Outlook for classes A-3 and A-1-A to Stable is
the result of the slight improvement in Fitch expected losses,
including better than expected resolutions of specially serviced
assets. Additionally, the pool has experienced paydown from prior
modified loans where Fitch modeled losses on loans with B notes.
The B notes had minimal losses incurred. The largest contributor
to Fitch's modeled losses is the City Place (5.12% of the pool)
loan. The loan is collateralized by a 731,886 square foot (sf)
mixed use center located in West Palm Beach, FL. The loan was
transferred to the special servicer in April 2010 and a
modification consisting of an A/B note structure was completed in
January of 2012. Occupancy has declined to 89% from 95% at
issuance. However, the tenant roster is stable for the next few
years with limited lease roll over until 2015. Additionally,
several major retail tenants have renewed leases over the past 12
months, and the sponsor is making capital improvements.
The second largest contributor to modeled losses is Savoy Park
(7.2%). The loan is secured by a multifamily complex consisting of
1,802 units, located in the Harlem neighborhood of New York, NY.
The loan was previously in special servicing beginning in July
2010 due to imminent default. The loan was assumed by the
mezzanine lender and a loan modification was completed in 2012.
The modification includes an A/B note split of $160 million A note
and $50 million B note, and extension to Dec. 11, 2017. Per the
master servicer, the complex's occupancy rate is 95%. The loan has
returned to the master servicer and remains current.
The third largest contributor to Fitch's model losses is the 717
N. Harwood Street (2.46%), a 828,314 sf office building located in
the central business district of Dallas, TX. The real estate owned
asset has been with the special servicer since April 2010. The
property has consistently underperformed its competitive set due
to the weak office fundamentals in the Dallas CBD submarket. The
subject's current vacancy is 51% and the asking rate is $16.50
psf. Fitch expects performance to continue to decline as the
largest tenant KPMG, 31.7% of the net rentable area, has indicated
their intention to vacate upon their lease expiration in June
2015. A purchase and sale agreement has been executed for the
asset and the special servicer is anticipating that the
transaction will close during the first quarter of 2014.
Fitch affirms the following classes and revises Outlooks as
indicated:
--$44.1 million class A-AB at 'AAAsf'; Outlook Stable;
--$738.5 million class A-3 at 'AAAsf'; Outlook to Stable from
Negative;
--$1 billion class A-1A at 'AAAsf'; Outlook to Stable from
Negative;
--$212.1 million class A-M at 'Bsf'; Outlook Negative;
--$125 million class A-MFL at 'Bsf'; Outlook Negative;
--$286.6 million class A-J at 'CCCsf'; RE0%;
--$25.3 million class B at 'CCsf'; RE 0%;
--$37.9 million class C at 'Csf'; RE 0%;
--$33.7 million class D at 'Csf'; RE 0%;
--$21.1 million class E at 'Csf'; RE 0%;
--$29.5 million class F at 'Csf'; RE 0%;
--$26.5 million class G at 'Dsf'; RE 0%;
Classes H, J, K, L, M, N, O, P, Q, and S remain at 'Dsf' due to
realized losses. Classes A-1 and A-2 have paid in full. Fitch has
previously withdrawn the ratings in the interest-only classes A-SP
and A-X.
COMM 2012-LC4: Fitch Affirms 'Bsf' Rating on Class F Certs
----------------------------------------------------------
Fitch Ratings has affirmed 11 classes of German American Capital
Corp.'s COMM 2012-LC4 commercial mortgage pass-through
certificates.
Key Rating Drivers
The affirmations are based on overall stable performance of the
underlying collateral pool. There have been no loan defaults since
issuance. Fitch has identified two loans (1.5%) as Fitch loans of
concern (LOC).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 2% to $922.6 million from
$951.3 million at issuance.
Rating Sensitivity
The Rating Outlooks for all classes remain Stable. Due to the
recent issuance of the transaction and stable performance, Fitch
does not foresee positive or negative ratings migration until a
material economic or asset level event changes the transaction's
overall portfolio-level metrics.
The first Fitch LOC (0.8% of the pool) is secured by a 68,090 SF
office property located in Melbourne, FL. Based on the 3rd
quarter (3Q) 2013 rent roll, the property was 97% occupied. The
property is facing significant lease rollover risk. Two leases,
which represent 22% and 10% of the property's net rentable area
(NRA), respectively, are scheduled to expire at the end of first
quarter and second quarter 2014. The servicer reported 3Q13 debt
service coverage ratio (DSCR) was 1.82x, compared to 1.83x at year
end (YE) 2012 and 1.77x at issuance.
The second Fitch LOC (0.7%) is secured by a 152-unit, Class B
student housing community located in Nacogdoches, TX. The
property suffered significant occupancy decline due to poor
property management. The occupancy dropped from 99.3% at issuance
to 89% at YE 2012 and further declined to 60% in August 2013. The
borrower has since actively managed the property and reduced
asking rents, resulting in an increase in occupancy to 80%. The
loan has been 30 to 60 days delinquent since July 2013. The
borrower intends to use funds from the replacement reserve to
bring the loan current. The servicer reported YE2012 DSCR was
1.15x, compared to 1.51x at issuance.
The largest loan in the pool is secured by 541,128 square foot
(sf) of a 928,667 sf two-level regional mall located in Saugus, MA
(10.5%), approximately 10 miles north of Boston. The collateral
is shadow anchored by Sears and Macy's, which own their own
stores. The largest tenants include Dick's Sporting Goods (12.7%
of NRA) and Best Buy (11.1%), which has extended its lease for
five years till Feb. 28, 2018. As of 3Q'13 the property was 89%
occupied, compared to 87% at YE2012 and 90% at UW. The servicer
reported 3Q'13 DSCR was 2.31x, compared to 1.93x at issuance.
The second largest loan is secured by the leasehold interest in a
236,215 sf multi-level anchored retail center located in the Union
Square area of Manhattan (8%). The property is 100% occupied by
seven tenants, including a 14-screen Regal Cinemas theater
(50.3%), Best Buy (19.5%), and Nordstrom Rack (13.6%). The
earliest lease expiration date is January 2017. The loan has an
investment grade credit opinion by Fitch. The servicer reported
3Q'13 DSCR was 4.29x, compared to 4.34x at issuance.
Fitch affirms the following classes and maintains the Stable
Outlook:
-- $30.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $77.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $115.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $416.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $93 million class A-M at 'AAAsf'; Outlook Stable;
-- Interest-Only class X-A at 'AAA'; Outlook Stable;
-- $44.7 million class B at 'AAsf'; Outlook Stable;
-- $32.9 million class C at 'Asf'; Outlook Stable;
-- $52.9 million class D at 'BBB-sf'; Outlook Stable;
-- $15.3 million class E at 'BBsf'; Outlook Stable;
-- $11.8 million class F at 'Bsf'; Outlook Stable.
Fitch does not rate the class G and HP certificates, or the
interest-only class X-B.
COMM 2013-GAM: Fitch Affirms BB-sf Rating on Class F Securities
---------------------------------------------------------------
Fitch Ratings has affirmed all classes of COMM 2013-GAM Mortgage
Trust as follows:
-- $55,145,000 class A-1 'AAAsf'; Outlook Stable;
-- $154,855,000 class A-2 'AAAsf'; Outlook Stable;
-- $210,000,000* class X-A 'AAAsf'; Outlook Stable;
-- $26,000,000 class B 'AA-sf'; Outlook Stable;
-- $17,000,000 class C 'Asf'; Outlook Stable;
-- $24,754,000 class D 'BBBsf'; Outlook Stable;
-- $19,024,000 class E 'BBB-sf'; Outlook Stable;
-- $27,642,482 class F 'BB-sf'; Outlook Stable.
Key Rating Drivers
The affirmations and Stable Rating Outlooks are the result of
stable property performance. The annualized Sept. 30, 2013
servicer-reported net operating income (NOI) was consistent with
Fitch's issuance analysis. Occupancy was also stable at 97%
compared to 96% at issuance. Comparable in-line increased to $548
psf as of the trailing twelve months (TTM) November 2013.
Rating Sensitivities
The Outlook remains Stable for all classes. No rating actions are
expected unless there are material changes in property occupancy
or cash flow. The property performance is consistent with
issuance. The transaction is secured by a single retail property
and is therefore more susceptible to single event risk related to
the market.
Initial Key Rating Drivers and Rating Sensitivity is further
described in the New Issue report titled 'COMM 2013-GAM' (August
2013)' which is available at www.fitchratings.com.
The transaction represents a securitization of the beneficial
interests in the mortgage loan securing the Green Acres Mall
property located in Valley Stream, NY. Proceeds of the loan were
used to pay down existing debt, pay closing costs, and fund
reserve accounts. The certificates will follow a sequential-pay
structure.
The Green Acres Mall is a 1,811,441-sf enclosed two-level regional
mall located on Sunrise Highway in Valley Stream, NY. The mall
was built in 1956 and last renovated in 2007 when the previous
owner completed an expansion at a total cost of approximately
$31.3 million. The sponsor acquired the property in January 2013
at a cost of $507 million.
As of September 2013, the mall was 97% leased and is anchored by
BJ's Wholesale Club, JC Penney, Kohl's, Macy's, Macy's
Men's/Furniture, Sears, and Wal-Mart, all of which are part of the
collateral. The Wal-Mart parcel is subject to a ground lease
whereby the sponsor leases the ground from a third party but owns
the improvements. In addition to the anchors, major tenants
include Michael's, Modell's Sporting Goods, Old Navy, H&M,
Express, and Victoria's Secret.
The property is located within a densely populated trade area that
supports a population of 434,530 with an average household income
of $74,452. The property benefits from an average daily traffic
count of 64,000 vehicles along Sunrise Highway
The loan sponsor is an entity controlled by The Macerich Company
(MAC). As of December 2013, MAC owned 57 million sf of real
estate consisting primarily of interests in 55 regional shopping
centers. At loan closing, MAC invested approximately $182 million
of cash equity in the property.
EMERSON PARK: S&P Affirms 'BBsf' Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Emerson
Park CLO Ltd./Emerson Park CLO Corp.'s $470.50 million fixed- and
floating-rate notes following the transaction's effective date as
of Dec. 10, 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 said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
On an ongoing basis after 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
Emerson Park CLO Ltd./Emerson Park CLO Corp.
Class Rating Amount
(mil. $)
A-1a AAA (sf) 210.70
A-1b AAA (sf) 14.30
A-2 AAA (sf) 90.00
B-1 AA (sf) 49.50
B-2 AA (sf) 8.00
C-1 (deferrable) A (sf) 30.00
C-2 (deferrable) A (sf) 12.00
D (deferrable) BBB (sf) 26.50
E (deferrable) BB (sf) 23.50
F (deferrable) B (sf) 6.00
EXETER AUTOMOBILE 2014-1: DBRS Assigns BB Rating on Class D Notes
----------------------------------------------------------------
DBRS Inc. has assigned final ratings to the following classes
issued by Exeter Automobile Receivables Trust 2014-1:
-- Series 2014-1 Notes, Class A rated AAA (sf)
-- Series 2014-1 Notes, Class B rated 'A' (sf)
-- Series 2014-1 Notes, Class C rated BBB (sf)
-- Series 2014-1 Notes, Class D rated BB (sf)
FIRST UNION 2001-C3: Fitch Affirms D Rating on $4.1MM Cl. N Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed five classes of First Union National
Bank Commercial Mortgage Trust 2001-C3, commercial mortgage pass-
through certificates.
Key Rating Drivers
The affirmations are due to stable performance of the remaining
collateral since the last rating action. Fitch modeled losses of
19.4% of the remaining pool; expected losses on the original pool
balance total 4%, including $28.6 million (3.5% of the original
pool balance) in realized losses to date. Fitch has designated
three (53.3% of the pool) of the remaining eight loans as Fitch
Loans of Concern, which includes two specially serviced assets
(35.8% of the pool).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 97.5% to $20.8 million from
$818.8 million at issuance. Per the servicer reporting, one loan
(20.3% of the pool) is defeased. Interest shortfalls are
currently affecting classes M through P.
The largest contributor to expected losses is the specially-
serviced 103,665 square foot (sf) suburban office property located
in Wheaton, IL within the Chicago MSA (25.3% of the pool). The
loan was transferred to special servicing in 2010 due to imminent
default and matured in 2011. The subject became REO as of October
2012. Occupancy was 58.1% as of December 2013.
The second largest contributor to expected losses is the
specially-serviced 59,065 sf suburban office building located in
Schaumburg, IL within the Chicago MSA (10.5% of the pool). The
loan transferred to special servicing in 2011 due to maturity
default. The REO title date was in July 2013. Occupancy was 56.6%
as of December 2013.
Rating Sensitivity
Although credit enhancement remains high relative to the rating
category for classes K and L, concerns regarding pool
concentration and potential losses from the specially-serviced
loans and Fitch Loans of Concern remain. Any increase in modeled
losses may have a greater impact on credit enhancement.
Fitch affirms the following classes:
-- $6.4 million class K at 'BBBsf', Outlook Stable;
-- $6.1 million class L at 'BBsf', Outlook Stable;
-- $4.1 million class M at 'CCCsf', RE 100%;
-- $4.1 million class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
The class A-1, A-2, A-3, B, C, D, E, F, G, H and J, and interest-
only class IO-II certificates have paid in full. Fitch does not
rate the class P certificates. Fitch previously withdrew the
rating on the interest-only class IO-I certificates.
FLAGSHIP VII: S&P Assigns 'BBsf' Rating on $18.6MM Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Flagship VII Ltd./Flagship VII LLC's $402.10 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 0.2419%-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 and fees, subordinated
hedge termination payments, collateral manager deferred
subordinated and incentive fees, and subordinated note
payments, to principal proceeds during the reinvestment
period to purchase additional collateral assets.
RATINGS ASSIGNED
Flagship VII Ltd./Flagship VII LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 241.10
A-2 AAA (sf) 20.00
B AA (sf) 60.55
C (deferrable) A (sf) 29.20
D (deferrable) BBB (sf) 23.10
E (deferrable) BB (sf) 18.60
F (deferrable) B (sf) 9.55
Subordinated notes NR 39.71
NR-Not rated.
FOXE BASIN 2003: Moody's Cuts Rating on $22MM Cl. C Notes to Caa2
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Foxe Basin CLO 2003, Ltd.:
$22,000,000 Class C Floating Rate Subordinate Notes Due December
15, 2015 (current outstanding balance of $1,984,448.76),
Downgraded to Caa2 (sf); previously on September 19, 2013
Downgraded to B1 (sf)
Moody's also affirmed the rating on the following notes:
$10,000,000 Class D Floating Rate Junior Subordinate Notes Due
2015 (current outstanding balance of $8,988,694.65), Affirmed C
(sf); previously on November 1, 2011 Confirmed at C (sf)
Foxe Basin CLO 2003, Ltd. issued in December 2003, is a
collateralized loan obligation (CLO) backed by five senior secured
loans, of which only one is performing and four are non-
performing. The deal is also backed by cash collections from
principal proceeds. The portfolio is managed by GSO/Blackstone
Debt Funds Management LLC. The transaction's reinvestment period
ended in December 2008.
Ratings Rationale
These rating actions are primarily a result of the deterioration
in the credit quality of the loans remaining in the portfolio. Out
of five remaining assets ($7,500,949.19) in the portfolio four
($7,085,043.96) are currently defaulted by the trustee. Since the
majority of the assets backing the deal are non-performing, the
over-collateralization ratios for the Class C and Class D notes
are now highly dependent on assumptions about the timing and
amount of recoveries to be received on these assets.
Today's rating actions also reflect growing concerns about the
uncertainty should an event of default occur due to a failure to
continue to make interest payments on the Class C notes. The deal
has been relying on principal proceeds to make interest payments
on the Class C notes, which are currently the senior most
outstanding notes. Based on our analysis of expected cash flows,
the transaction will not have sufficient proceeds to make the
Class C note interest payments within the next few payment
periods.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
November 2013. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the 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
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty.
Loss and Cash Flow Analysis
Owing to the deal's low diversity score and lack of granularity,
Moody's did not use a cash flow model to analyze the default and
recovery properties of the collateral pool. Instead, Moody's
analyzed the transaction by assessing the ratings impact of, and
the deal's sensitivity to, jump-to-default by large obligors.
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 differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $1.23 million, defaulted par
of $7.09 million, a WARF of 2720, a weighted average recovery rate
upon default of 60%, a diversity score of 1 and a weighted average
spread of 2.50%.
GE CAPITAL 2002-3: Fitch Affirms B+sf Rating on Class N Certs
-------------------------------------------------------------
Fitch Ratings upgrades one class and affirms the remaining two
classes of GE Capital Commercial Mortgage Corp.'s (GECCMC)
commercial mortgage pass-through certificates, series 2002-3.
Key Rating Drivers
The upgrade is due to increased enhancement as the result of loan
payoffs and continued amortization since Fitch's last rating
action. Of the remaining six loans, two (13%) are defeased with
maturities in 2014. The affirmations are based on classes having
sufficient credit enhancement as a result of paydown despite the
concentration risk with only four non-defeased loans remaining in
the pool, as well as the largest loan being a Fitch Loan of
Concern (76.2%).
The pool's aggregate principal balance has been paid down by 97.1%
to $34.5 million from $1.2 billion at issuance with only 0.2% in
realized losses. Interest shortfalls of $1.1 million are affecting
the non-rated class P.
Ratings Sensitivity
The Rating Outlooks remain Stable. While the credit enhancement
continues to increase, the pool is increasingly concentrated. In
addition, a default of the largest loan in the pool is possible
which may result in interest shortfalls to the rated classes.
The affirmation of classes N and O are based on the performance
volatility of the largest loan and the single tenant nature of the
three remaining non-defeased loans leased to Walgreens.
The largest loan of the pool is secured by Carroll's Creek Landing
Apartments (68.7% of the pool), a 288 unit multifamily complex
located in Arlington, WA, 20 miles north of Seattle. The complex
has an agreement with the U.S. Navy that provides subsidized and
preferred housing to the service men and women located at the
nearby installation. The complex has a unique offering of
townhomes and has no direct competitors within a nine-mile radius.
Occupancy fluctuates due to ship deployments but the most recent
reported occupancy was 92% as of second quarter 2013. The loan
was modified in 2011 with a reduced rate and interest-only
payments. The original loan rate and terms are scheduled to resume
in July 2014. Although the property is covering debt service under
the modified terms, Fitch calculates that the property could
default under the original loan terms based on the property's
current performance.
Fitch upgrades the following class as indicated:
-- $4.8 million class M to 'BBBsf' from 'BBsf'; Outlook Stable;
Fitch has affirmed the following classes:
-- $8.8 million class N at 'B+sf'; Outlook Stable;
-- $5.9 million class O at 'B-sf'; Outlook Stable.
Classes A-1, A-2, B, C, D, E, F, G, H, J, K, L, and X-2 have
repaid in full. Fitch does not rate the $15.2 million class P. The
rating on class X-1 was previously withdrawn.
GOLDENTREE LOAN: Moody's Affirms Ba2 Rating on $25.5MM Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by GoldenTree Loan Opportunities III,
Limited:
$25,000,000 Class A-1A-J Senior Secured Floating Rate Notes due
2022, Upgraded to Aaa (sf); previously on August 23, 2011 Upgraded
to Aa1 (sf)
$39,500,000 Class A-1B-J Senior Secured Floating Rate Notes due
2022, Upgraded to Aaa (sf); previously on August 23, 2011 Upgraded
to Aa1 (sf)
$34,500,000 Class A-2 Senior Secured Floating Rate Notes due 2022,
Upgraded to Aaa (sf); previously on August 23, 2011 Upgraded to
Aa2 (sf)
$43,500,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2022, Upgraded to Aa3 (sf); previously on August 23, 2011
Upgraded to A2 (sf)
$52,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2022, Upgraded to Baa2 (sf); previously on August 23, 2011
Upgraded to Baa3 (sf)
Moody's also affirmed the ratings on the following notes:
$100,000,000 Class A-1A-S Senior Secured Revolving Floating Rate
Notes due 2022, Affirmed Aaa (sf); previously on March 23, 2007
Assigned Aaa (sf)
$354,500,000 Class A-1B-S Senior Secured Floating Rate Notes due
2022, Affirmed Aaa (sf); previously on March 23, 2007 Assigned Aaa
(sf)
$25,500,000 Class D Secured Deferrable Floating Rate Notes due
2022, Affirmed Ba2 (sf); previously on August 23, 2011 Upgraded to
Ba2 (sf)
GoldenTree Loan Opportunities III, Limited issued in March 2007,
is a collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The portfolio is managed by
GoldenTree Asset Management LP. The transaction's reinvestment
period will end in May 2014.
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
May 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from lower weighted
average rating factor (WARF) and higher weight average spread
(WAS) levels compared to their covenant levels. Based on the
December 2013 trustee report, WARF and WAS are reported at 2716
and 4.42%, respectively, compared to the covenant levels of 3279
and 2.75%, respectively. Moody's also notes that the transaction's
reported overcollateralization ratios are stable.
Methodology Used for 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
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the 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 commence and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. 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) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal can reinvest certain proceeds after the end
of the reinvestment period, and as such the manager has the
ability to erode some of the collateral quality metrics to the
covenant levels. Such reinvestment could affect the transaction
either positively or negatively.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Moody's Adjusted WARF -- 20% (2320)
Class A-1A-S: 0
Class A-1A-J: 0
Class A-1B-S: 0
Class A-1B-J: 0
Class A-2: 0
Class B: +2
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3480)
Class A-1A-S: 0
Class A-1A-J: 0
Class A-1B-S: 0
Class A-1B-J: 0
Class A-2: -1
Class B: -2
Class C: -2
Class D: 0
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," published in November 2013.
The key model inputs Moody's used in its analysis, such as par,
WARF, diversity score and the weighted average recovery rate
(WARR), are based on its published methodology and could differ
from the trustee's reported numbers. In its base case, Moody's
analyzed the collateral pool as having a performing par and
principal proceeds balance of $743.6 million, defaulted par of
$6.4 million, a weighted average default probability of 20.8%
(implying a WARF of 2900), a WARR upon default of 50.3%, a
diversity score of 49 and a weighted average spread of 3.7%.
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of
the assets in the collateral pool. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
GOLDMAN SACHS 2013-GC10: Fitch Affirms 'Bsf' Rating on Cl. F Notes
------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Goldman Sachs Mortgage
Company's GS Mortgage Securities Trust (GSMS) commercial mortgage
pass-through certificates, series 2013-GC10.
Key Rating Drivers
The affirmations are the result of stable performance of the
underlying pool since issuance. As of the January 2014
distribution date, the pool's aggregate principal balance has been
reduced by 1% to $850.3 million from $859.4 million at issuance.
There are currently no delinquent or special serviced loans.
Sixty (99.6% of the pool) out of the 61 loans in the pool reported
partial year or trailing 12 month (TTM) 2013 financials. Based on
the annualized 2013 net operating income (NOI), the pool's overall
NOI has been stable with a 1% NOI increase over the portfolio NOI
at issuance.
The largest loan in the pool, Empire Hotel & Retail (12.9% of the
pool), is secured by a 423-room hotel located on Manhattan's Upper
West Side, adjacent to Lincoln Center and two blocks from Columbus
Circle and Central Park. The property includes 61,223 square feet
(sf) of retail space leased to five third party tenants including
the Rooftop Lounge. As of the TTM ended September 2013, occupancy
reported at 88.4%, compared to 87.2% at year-end (YE) December
2012, and 87.5% at issuance. The YE 2012 average daily rate (ADR)
and revenue per available room (RevPAR) reported at $243 and
$214.81, respectively; updated TTM September 2013 ADR or RevPAR
information was unavailable. NOI has been stable to improving,
with TTM September 2013 NOI 6.7% above YE 2012, and 2.3% below NOI
at issuance. The NOI debt service coverage ratio (DSCR) reported
at 1.67x for TTM September 2013, compared to 1.56x at YE 2012, and
1.71x at issuance.
The second largest loan in the pool, National Harbor (12.7%), is
secured by a 10-building, 405,720-sf mixed use property in
National Harbor, MD. The property is 11-miles south of Washington
D.C. and situated on the Maryland side of the Potomac River. The
buildings contain a diverse mix of tenants including restaurants,
retailers, and office tenants. The September 2013 rent roll
reported occupancy at 91.4%, compared to 90.8% at issuance. NOI
has improved since issuance, with annualized YTD September 2013
NOI 6.6% above YE 2012, and 1% above NOI at issuance. The NOI
DSCR reported at 1.72x for YTD September 2013 compared to 1.70x at
issuance.
The third largest loan in the pool, Nut Tree Center (7.9%), is
secured by 323,322-sf retail power center in Vacaville, CA,
approximately 35 miles south east of the Sacramento CBD. The
property consists of 283,992-sf of retail space, 39,330-sf of
office space, and the Nut Tree Plaza, a children's play area.
Collateral also includes a leasehold interest in 1.32 acres of
vacant land located across the street from the main portion of the
center. Anchor and major tenants include Sport Chalet (12.9% net
rentable area [NRA]), Best Buy (9.3% NRA), HomeGoods (7.8% NRA),
PetSmart (6.2% NRA), and Old Navy (5.8% NRA). The October 2013
rent roll reported occupancy at 94%, compared to 91.6% at
issuance. The NOI DSCR reported at 1.51x for YTD September 2013
compared to 1.61x at issuance.
Rating Sensitivity
All classes maintain Stable Outlooks. Due to the recent issuance
of the transaction and stable performance, Fitch does not foresee
positive or negative ratings migration until a material economic
or asset level event changes the transaction's portfolio-level
metrics. Additional information on rating sensitivity is
available in the report 'GS Mortgage Securities Trust' (May 21,
2013), available at www.fitchratings.com.
Fitch affirms the following classes as indicated:
-- $44.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $35.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $21 million class A-3 at 'AAAsf'; Outlook Stable;
-- $110 million class A-4 at 'AAAsf'; Outlook Stable;
-- $300.5 million class A-5 at 'AAAsf'; Outlook Stable;
-- $81.4 million class A-AB at 'AAAsf'; Outlook Stable;
-- $54.8 million class A-S at 'AAAsf'; Outlook Stable;
-- $647.3 million* class X-A at 'AAAsf'; Outlook Stable;
-- $103.1 million* class X-B at 'Asf'; Outlook Stable;
-- $63.4 million class B at 'AAsf'; Outlook Stable;
-- $39.7 million class C at 'Asf'; Outlook Stable;
-- $34.4 million class D at 'BBB-sf'; Outlook Stable;
-- $22.6 million class E at 'BB+sf'; Outlook Stable;
-- $16.1 million class F at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
Fitch does not rate the class G certificates.
A comparison of the transaction's Representations, Warranties, and
Enforcement (RW&E) mechanisms to those of typical RW&Es for the
asset class is available in the following report:
--' GS Mortgage Securities Trust 2013-GC10 -- Appendix ' (May 21,
2013).
GMAC COMMERCIAL 1997-C1: Fitch Hikes Rating on Cl. G Certs From BB
------------------------------------------------------------------
Fitch Ratings has upgraded one class of GMAC Commercial Mortgage
Securities, Inc. commercial mortgage pass-through certificates
series 1997-C1.
Key Rating Drivers
The upgrade is due to increased credit enhancement, defeasance,
and continued paydown. Fitch modeled losses of 5.6% of the
remaining pool; expected losses on the original pool balance total
3.8%, including $60.9 million (3.6% of the original pool balance)
in realized losses to date. Fitch has designated seven loans (39%)
as Fitch Loans of Concern, which includes one specially serviced
asset (5.5%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 95.9% to $69.5 million from
$1.7 billion at issuance. Per the servicer reporting, two loans
(32.8% of the pool) are defeased. The remaining non-defeased loans
mainly consist of retail (80%) and are located in secondary and
tertiary markets. Interest shortfalls are currently affecting
classes H and K.
RATING SENSITIVITY
The rating on class G was upgraded to 'BBBsf' with a Positive
Outlook, as an upgrade is likely if performance continues to
remain stable as the transaction delevers. Although the defeased
collateral would be able to pay back the class in full, the
defeased loans do not mature until 2019 and 2020; should
additional loans become specially serviced, interest shortfalls
may be possible. Given the concentration within the pool and the
possibility for interest shortfalls, this rating is likely to be
capped at 'A'. According to Fitch's global criteria for rating
caps, Fitch will not assign or maintain 'AAAsf' or 'AAsf' ratings
for notes that it believes have a high level of vulnerability to
interest shortfalls or deferrals, even if permitted under the
terms of the documents.
Fitch upgrades the following class:
-- $22.9 million class G to 'BBBsf' from 'BBsf'; Outlook revised
to Positive from Stable.
The class A-1, A-2, A-3, B, C, D, E and F certificates have paid
in full. Fitch does not rate the class H and K certificates. Fitch
previously withdrew the rating on the class J and interest-only
class X certificates.
GMAC COMMERCIAL 1998-C1: Fitch Affirms C Rating on 5 Cert Classes
-----------------------------------------------------------------
Fitch Ratings has affirmed six classes of GMAC Commercial Mortgage
Securities, Inc.'s commercial mortgage pass-through certificates
series 1998-C1.
Key Rating Drivers
The affirmations reflect continued expected losses from the
largest loan in the pool. As of the January 2014 distribution
date, the pool's aggregate principal balance has been reduced by
91.6% to $121 million from $1.44 billion at issuance with two
loans remaining. The pool has experienced $11.7 million (0.8% of
the original pool balance) in realized losses to date.
The largest remaining loan is the specially-serviced Senior Living
Properties Portfolio (92.6% of the pool), which is currently
secured by 42 healthcare properties located in Texas. The
portfolio originally consisted of 87 properties located in both
Illinois and Texas and experienced extensive operating losses
beginning in 2000. Operating losses were a result of lower
revenues due to changes in the Medicare and Medicaid reimbursement
rates. The loan transferred to special servicing in 2001 and
subsequently 30 properties located in Illinois were liquidated in
2005 and 2006. The borrower continues to sell the remaining
assets in the portfolio and is currently in negotiations to sell
15 of the 42 remaining properties. Based on recent valuations of
the properties and increasing fees and expenses as the pool takes
longer to liquidate, Fitch expects significant losses upon
disposition of the assets.
Rating Sensitivity
The remaining classes are expected to be subject to further
downgrades as losses are realized.
Fitch affirms the following classes as indicated:
-- $28.5 million class G at 'CCsf', RE 30%;
-- $25.2 million class H at 'Csf', RE 0%;
-- $14.4 million class J at 'Csf', RE 0%;
-- $25.2 million class K at 'Csf', RE 0%;
-- $14.4 million class L at 'Csf', RE 0%;
-- $10.8 million class M at 'Csf', RE 0%.
The class A-1, A-2, B, C, D, E and F certificates have paid in
full. Fitch does not rate the class N certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
GREENWICH CAPITA 2006-GG7L: S&P Cuts Rating on 2 Notes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-4 and A-1-A commercial mortgage pass-through certificates from
Greenwich Capital Commercial Funding Corp.'s series 2006-GG7, a
U.S. commercial mortgage-backed securities (CMBS) transaction. In
addition, S&P lowered its ratings on five classes and affirmed its
ratings on three classes from the same transaction.
S&P's rating actions 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 structure, and the liquidity available to
the trust.
S&P's raised ratings on the class A-4 and A-1-A certificates
reflect its expected available credit enhancement for these
classes, which S&P believes is greater than its most recent
estimate of necessary credit enhancement for the respective rating
levels. Based on the financial data provided to date, S&P's
ratings also consider its view that these classes are susceptible
to potential losses prior to the full repayment of these classes.
S&P affirmed its ratings on the principal and interest paying
class A-M, A-J, and B certificates because S&P expects that the
available credit enhancement for these classes will be within its
estimate of the necessary credit enhancement required for the
current outstanding ratings. S&P also affirmed the ratings to
reflect the credit characteristics and performance of the
remaining assets, as well as the transaction-level changes.
S&P downgraded classes C, D, and E to reflect the credit support
erosion that it anticipates will occur upon the eventual
resolution of the eight assets ($236.2 million, 8.7%) currently
with the special servicer, LNR Partners LLC.
S&P lowered its ratings on the class F and G certificates to 'D
(sf)' because it believes the accumulated interest shortfalls will
remain outstanding for the foreseeable future. As of the Jan. 10,
2014, trustee remittance report, the trust experienced monthly
interest shortfalls totaling $225,376, primarily related to
appraisal subordinate entitlement reduction amounts of $173,150
(net of non-recurring recovery in the amount of $18,155) on five
($78.2 million, 2.9%) of the eight specially serviced assets
($236.3, 8.6%), special servicing fees of $49,563, and workout
fees of $2517. The interest shortfalls affected all the classes
subordinate to and including class F.
RATING RAISED
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2006-GG7
Rating Rating
Class To From Credit enhancement (%)
A-4 A+ (sf) A- (sf) 30.54
A-1-A A+ (sf) A- (sf) 30.54
RATINGS LOWERED
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2006-GG7
Rating Rating
Class To From Credit enhancement (%)
C B- (sf) B (sf) 4.76
D CCC (sf) B- (sf) 3.77
E CCC- (sf) B- (sf) 2.95
F D (sf) CCC+ (sf) 1.30
G D (sf) CCC- (sf) 0.14
RATINGS AFFIRMED
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2006-GG7
Class Rating Credit enhancement (%)
A-M BB+ (sf) 17.32
A-J B+ (sf) 7.74
B B+ (sf) 6.75
GS MORTGAGE 2012-GC6: Fitch Affirms Bsf Rating on Class F Notes
---------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Goldman Sachs Mortgage
Company's GS Mortgage Securities Trust (GSMS) commercial mortgage
pass-through certificates series 2012-GC6 due to stable
performance since issuance.
Key Rating Drivers
The affirmations are based on the stable performance of the
underlying collateral pool. As of the December distribution, the
pool's aggregate principal balance has been paid down by 2.13% to
$1.13 billion from $1.15 billion at issuance. All of the loans
reported partial year 2013 financials. Based on the annualized
2013 NOIs, the pool's overall net operating income (NOI) has been
stable with a 4.9% NOI increase over the portfolio NOI at
issuance.
There is currently one asset in special servicing (0.44% of the
pool), which was transferred from the master servicer in February
2013. While Fitch is modeling losses on this asset, the expected
losses are not anticipated to significantly impact credit
enhancement.
Ratings Sensitivity
The Rating Outlook for all classes remains Stable. Additional
information on rating sensitivity is available in the report 'GS
Mortgage Securities Trust 2012-GC6' (Feb. 29, 2012).
The asset in special servicing is the real estate owned (REO),
Lockaway Self Storage, an 82,875-sf storage facility located in
Killeen, TX. The facility is located close to the military base
of Fort Hood and experienced a significant drop in occupancy
during the first quarter of 2013 when soldier's stationed at the
base returned after an overseas deployment. The property has
experienced a rebound in occupancy and the special servicer is
currently evaluating disposition options.
The largest contributor to Fitch's modeled losses is Audubon
Crossing and Audubon Commons (4.01% of the pool). The loan is
collateralized by a 449,170-sf anchored retail center located in
Audubon, NJ. The retail center experienced a significant drop in
net operating income during the 2013 calendar year although
occupancy remains relatively stable. Additionally, the sponsor is
attempting to secure a significant reimbursement for repairs
undertaken which were the responsibility of a tenant.
The second largest contributor to modeled losses is the Mansards
Apartments (4.41%). The loan is secured by a multifamily complex
consisting of 1,337 units, located in Griffith, IN. The property
is located in a submarket of the Gary-Hammond, IN and it continues
to struggle from the effects of the last recession. The
property's NOI decreased 14% during 2012 and was attributable to a
drop in the occupancy rate during the second half of the year.
The borrower is working to improve occupancy, with the latest
reported occupancy at 81%.
Fitch affirms the following classes:
-- $40.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $82.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $570.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $89.9 million class A-AB at 'AAAsf'; Outlook Stable;
-- $903.2 million class X-A at 'AAAsf'; Outlook Stable;
-- $119.8 million class A-S at 'AAAsf'; Outlook Stable;
-- $63.5 million class B at 'AA-sf'; Outlook Stable;
-- $44.7 million class C at 'A-sf'; Outlook Stable;
-- $49.1 million class D at 'BBB-sf'; Outlook Stable;
-- $21.6 million class E at 'BBsf'; Outlook Stable;
--$11.5 million class F at 'Bsf'; Outlook Stable.
GS MORTGAGE 2014-GC18: Fitch Rates $12.5MM Class F Certs 'Bsf'
--------------------------------------------------------------
Fitch Ratings assigns the following ratings and Rating Outlooks to
GS Mortgage Securities Trust 2014-GC18 Commercial Mortgage Pass-
Through Certificates:
-- $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;
-- $76,563,000a class X-B 'AA-sf'; Outlook Stable;
-- $68,210,000c class A-S 'AAAsf'; Outlook Stable;
-- $76,563,000c class B 'AA-sf'; Outlook Stable;
-- $189,318,000c class PEZ 'A-sf'; Outlook Stable;
-- $44,545,000c class C 'A-sf'; Outlook Stable;
-- $22,273,000a,b class X-C '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.
Fitch does not rate the $54,290,128 class G or the $66,818,128
interest-only class X-D.
Following the issuance of the expected ratings on Jan. 17, 2014,
two interest-only certificates were renamed and one interest-only
certificate was added. The classes above reflect the final ratings
and deal structure.
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 cut-off 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 for which 2012 NOI was provided,
excluding properties that were stabilizing during this period).
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severity on defaulted loans, and could
result in potential rating actions on the certificates. Fitch
evaluated the sensitivity of the ratings assigned to 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.
The presale report includes a detailed explanation of additional
stresses and sensitivities in the Rating Sensitivity and Rating
Stresses sections of the presale.
The master servicer will be Wells Fargo Bank, N.A., rated 'CMS1-'
by Fitch. The special servicer will be LNR Partners LLC, rated
'CSS1-' by Fitch.
GS MORTGAGE 2014-GC18: Fitch Rates $22MM Class X-C Certs 'BBsf'
---------------------------------------------------------------
Fitch Ratings has updated ratings on three classes of GS Mortgage
Securities Trust 2014-GC18 Commercial Mortgage Pass-Through
Certificates.
Following the issuance of the expected ratings on Jan. 17, 2014,
two interest-only certificates were renamed and one interest-only
certificate was added. Fitch expects to rate these interest-only
certificates and assign Rating Outlooks as follows:
-- $76,563,000a class X-B 'AA-sf'; Outlook Stable;
-- $22,273,000a,b class X-C 'BBsf'; Outlook Stable.
a Notional amount and interest-only.
b Privately placed pursuant to Rule 144A.
Fitch does not expect to rate the $66,818,128 interest-only class
X-D.
GTP CELLULAR: Fitch Affirms BB- Rating on Class C Certificates
--------------------------------------------------------------
Fitch Ratings has affirmed the GTP Cellular Sites, LLC commercial
mortgage pass-through certificates, series 2012-1 and 2012-2 as
follows:
-- $98.9 million 2012-1 class A at 'Asf'; Outlook Stable;
-- $114 million 2012-2 class A at 'Asf'; Outlook Stable;
-- $41 million 2012-2 class B at 'BBB-sf'; Outlook Stable;
-- $27 million 2012-2 class C at 'BB-sf'; Outlook Stable.
Key Rating Drivers
The affirmations are due to the stable performance of the
collateral since issuance with no significant changes to the
collateral composition. The Stable Outlooks reflect the limited
prospect for upgrades given the provision to issue additional
notes.
Sensitivity/Rating Drivers
The classes are expected to remain stable based on continued cash
flow growth due to annual rent escalations and automatic renewal
clauses resulting in higher debt service coverage ratios since
issuance. The 2012-1 class A certificate benefits from
amortization. The ratings have been capped at 'A' due to the
specialized nature of the collateral and the potential for changes
in technology to affect long-term demand for wireless tower space.
As part of its review, Fitch analyzed the financial and site
information provided by the master servicer, Midland Loan
Services. As of January 2014, aggregate annualized run rate net
cash flow increased 3.1% from issuance to $33.1 million with a
Fitch stressed debt service coverage ratio (DSCR) of 1.15 times
(x).
The tenant type concentration is stable. As of January 2014, total
revenue contributed by telephony tenants was 99.1%. Lease revenues
from telephony tenants have more stable income characteristics
than other tenant types due to the strong end-use customer demand
for wireless services.
The certificates represent beneficial ownership interest in the
cellular sites, primary assets of which are 1,177 wireless
communication sites leased to 2,192 cellular tower tenants. As of
the January 2014 distribution date, the aggregate principal
balance of the notes has been reduced by 0.4% to $280.9 million
from $282 million at issuance.
The series 2012-1 class A and series 2012-2 class A notes were
interest only for the first year and have commenced amortization
expected to total 6% of the total principal amount through year
five. No other principal will be required to be paid prior to the
anticipated repayment date of the applicable series, which is in
March 2017 for 2012-1 class A and March 2019 for the remaining
classes.
American Tower Corporation, rated 'BBB' by Fitch, acquired 100% of
the outstanding common membership interests of MIP Tower Holdings
LLC, a private real estate investment trust, which is the parent
company of Global Tower Partners (GTP) and assumed the existing
GTP debt in October 2013.
HARBOR SERIES 2006-2: Moody's Affirms Caa3 Rating on 4 Notes
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following notes issued by Harbor Series 2006-2 LLC:
Cl. A, Affirmed Caa3 (sf); previously on Mar 1, 2013 Downgraded to
Caa3 (sf)
Cl. B, Affirmed Caa3 (sf); previously on Mar 1, 2013 Affirmed Caa3
(sf)
Cl. C, Affirmed Caa3 (sf); previously on Mar 1, 2013 Affirmed Caa3
(sf)
Cl. D, Affirmed Caa3 (sf); previously on Mar 1, 2013 Affirmed Caa3
(sf)
Ratings Rationale
Moody's has affirmed the ratings on the transaction because its
key transaction metrics are commensurate with the existing
ratings. The affirmations are the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO Synthetic) transactions.
Harbor Series 2006-2 LLC is a static synthetic transaction backed
by a portfolio of credit default swaps on commercial mortgage
backed securities (CMBS) (100% of the reference obligation pool
balance). As of the January 21, 2014 trustee report, the aggregate
Note balance of the transaction is $119.9 million from $120
million at issuance, with the funded notes amortization paid on a
pro-rata basis. Payment will switch to senior-sequential subject
to certain trigger events.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the reference obligations
it does not rate. The rating agency modeled a bottom-dollar WARF
of 1385, compared to 1154 at last review. The current ratings on
the Moody's-rated reference obligations and the assessments of the
non-Moody's rated reference obligations follow: Aaa-Aa3 (20% the
same as at last review), A1-A3 (18.7% compared to 21.2% at last
review), Baa1-Baa3 (20.7% compared to 23.7% at last review), Ba1-
Ba3 (24.9% compared to 24.5% at last review), B1-B3 (6.1% compared
to 3.5% at last review), and Caa1-C (9.7% compared to 7.2% at last
review).
Moody's modeled a WAL of 2.0 years, compared to 3.0 years at last
review. The WAL is based on assumptions about extensions on the
underlying reference obligations.
Moody's modeled a fixed WARR of 35.0%, compared to 36.3% at last
review.
Moody's modeled a MAC of 13.4%, compared to 18.9% at last review.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012. Please see the
Credit Policy page on www.moodys.com for a copy of this
methodology.
Factors that would lead to an upgrade or downgrade of the rating
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will
also affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
recovery rate of the underlying collateral and credit assessments.
The rated notes are particularly sensitive to changes in the
ratings of the underlying collateral and credit assessments.
Notching down the collateral pool by one notch would result in no
modeled rating movement on the rated notes. Notching up the
collateral pool by one notch would result in no modeled rating
movement on the rated notes.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
IMPAC CMB 2004-6: S&P Lowers Rating on 2 Note Classes to 'CCC'
--------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
classes 1-A-2 and 1-A-3 from Impac CMB Trust Series 2004-6 by
lowering the rating on class 1-A-2 to 'B- (sf)' from 'BBB (sf)'
and raising the rating on class 1-A-3 to 'AAA (sf)' from
'BB+ (sf)'. Additionally, S&P lowered its ratings on four classes
(two by more than three notches) and affirmed its ratings on four
additional classes from this transaction.
S&P is correcting the ratings on classes 1-A-2 and 1-A-3 because
of an analytical error regarding the allocation of losses.
The downgrades primarily stem from higher projected losses because
of recent performance changes in this transaction. The 'CCC (sf)'
and 'CC (sf)' affirmations reflect S&P's current view that the
projected credit enhancement for these classes will remain
insufficient to cover its base-case projected losses.
This transaction is supported by Alternative-A collateral secured
primarily by first liens on one- to four-family residential
properties. Credit support is provided by subordination,
overcollateralization (when available), and excess interest.
ECONOMIC OUTLOOK
When analyzing U.S. residential mortgage-backed securities (RMBS)
collateral pools to determine their relative credit quality and
the potential impact on rated securities, the degree of remaining
losses stems, to a certain extent, from S&P's outlook regarding
the behavior of such loans in conjunction with expected economic
conditions. Overall, Standard & Poor's baseline macroeconomic
outlook assumptions for variables it believes could affect
residential mortgage performance are as follows:
-- S&P's unemployment rate forecast is 7.4% for 2013 and 6.9%
for 2014, compared with the actual 8.1% rate in 2012.
-- Home prices will increase 13% in 2013, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index.
-- Real GDP growth will be 1.7% in 2013 and 2.6% in 2014.
-- The 30-year mortgage rate will average 4.0% for 2013 and
4.6% for 2014.
-- The inflation rate will be 1.4% in both 2013 and 2014.
Overall, S&P's outlook for RMBS is stable. Although S&P views
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve mildly. However, if a downside
scenario were to occur in the U.S. in line with Standard & Poor's
forecast, it believes that the credit quality of U.S. RMBS would
weaken. S&P's downside scenario incorporates the following key
assumptions:
-- Home prices once again decline as a result of higher
defaults, additional shadow inventory, and less purchase
activity.
-- Total unemployment is 7.5% for the rest of 2013 but rises to
7.6% in 2014, and job growth slows to almost zero in 2013
and 2014.
-- Downward pressure causes 1.6% GDP growth in 2013 and 0.6%
growth in 2014, fueled by increased unemployment levels.
-- Thirty-year fixed mortgage rates fall back to 4.0% in 2013
and increase to 4.1% in 2014, but capitalizing on such lower
rates could be hampered by limited access to credit and
pressure on home prices.
RATINGS CORRECTED
Impac CMB Trust Series 2004-6
Rating
Class CUSIP To From Pre-11/9/12
1-A-2 45254NKD8 B- (sf) BBB (sf) AAA (sf)/Watch Neg
1-A-3 45254NKE6 AAA (sf) BB+ (sf) AAA (sf)/Watch Neg
RATINGS LOWERED
Impac CMB Trust Series 2004-6
Rating
Class CUSIP To From
1-A-1 45254NJV0 B- (sf) BB+ (sf)
2-A 45254NJW8 B- (sf) BB+ (sf)
M-1 45254NJX6 CCC (sf) B+ (sf)
M-2 45254NJY4 CCC (sf) B- (sf)
RATINGS AFFIRMED
Impac CMB Trust Series 2004-6
Class CUSIP Rating
M-3 45254NJZ1 CCC (sf)
M-4 45254NKA4 CCC (sf)
M-5 45254NKB2 CCC (sf)
M-6 45254NKC0 CC (sf)
IMSCI COMMERCIAL 2013-3: Fitch Affirms B Rating on Class G Certs
----------------------------------------------------------------
Fitch Ratings has affirmed Institutional Mortgage Capital, LP's
(IMSCI) commercial mortgage pass-through certificates, series
2013-3.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 38 loans secured by 43 Canadian
commercial properties. The loans were contributed to the trust by
Institutional Mortgage Capital, LP.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral pool. As of the January 2014 remittance, the
pool has had no delinquent or specially serviced loans. The pool's
aggregate principal balance has been paid down by approximately
2.1% since issuance. Per the PSA, annual reporting of operating
statements begins with the year ending Dec. 31, 2013.
RATINGS SENSITIVITY
All rated classes maintain Stable Outlooks. Due to the recent
issuance of the transaction and stable performance, Fitch does not
foresee positive or negative ratings migration until a material
economic or asset level event changes the transaction's portfolio-
level metrics.
The largest loan of the pool (10.2% of the pool balance) is
secured by a 362,577 square foot (sf) enclosed shopping center
located in Dollard-des-Ormeaux (Montreal), Quebec. The property is
anchored by Canadian Tire and Super C grocery. The pari passu loan
is full recourse to the borrowing entity and its owner and is
partial recourse to the sponsor.
The second largest loan (8.8%) is secured by the 225,082 sf
enclosed shopping center located in Ottawa, Ontario. The property,
which was built in 1977 and renovated in 1994, is anchored by Farm
Boy and Sport Chek. Sport Chek, which represents approximately 14%
of the base rent, has a lease expiration in July 2014. The pari
passu loan is full recourse to the borrowing entity and partial
recourse to the sponsor.
The third largest loan (8.6%) is the Shoppers Drug Mart Portfolio
which consists of eight cross-collateralized and cross-defaulted
loans. Each loan is secured by a retail property fully leased by
Shoppers Drug Mart. The portfolio consists of 141,093 sf and is
located across Ontario in Ottawa, London, and Windsor.
Fitch affirms the following classes as indicated:
-- C$32.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- C$96.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- C$81.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- C$5.3 million class B at 'AAsf'; Outlook Stable;
-- C$8.5 million class C at 'Asf'; Outlook Stable;
-- C$6.9 million class D at 'BBBsf'; Outlook Stable;
-- C$3.8 million class E at 'BBB-sf'; Outlook Stable;
-- C$3.1 million class F at 'BBsf'; Outlook Stable;
-- C$2.5 million class G at 'Bsf'; Outlook Stable.
All currencies are in Canadian dollars (CAD).
Fitch does not rate the $5 million class H and the interest-only
class X.
JER CRE 2005-1: Moody's Affirms Csf Ratings on 8 Note Classes
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following notes issued by JER CRE CDO 2005-1 Ltd:
Cl. A, Affirmed C (sf); previously on Apr 5, 2013 Affirmed C (sf)
Cl. B-1, Affirmed C (sf); previously on Apr 5, 2013 Affirmed C
(sf)
Cl. B-2, Affirmed C (sf); previously on Apr 5, 2013 Affirmed C
(sf)
Cl. C, Affirmed C (sf); previously on Apr 5, 2013 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Apr 5, 2013 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Apr 5, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Apr 5, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Apr 5, 2013 Affirmed C (sf)
Ratings Rationale
Moody's has affirmed the ratings on the transaction because its
key transaction metrics are commensurate with existing ratings.
The affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
ReRemic) transactions.
JER CRE CDO 2005-1 is a static cash transaction backed by a
portfolio of commercial mortgage backed securities (CMBS) (80.8%
of collateral pool balance) and CRE CDOs (19.2%). As of the
trustee's January 21, 2014 report, the aggregate note balance of
the transaction, including preferred shares, has decreased to
$292.1 million from $416.0 million at issuance. This was primarily
due to: (i) implied losses allocable to the preferred shares; (ii)
recoveries on defaulted assets; (iii) interest re-classified as
principal on defaulted assets; and (iv) interest re-classified as
principal as a result of failing certain par value triggers.
Previously, the transaction entered into an event of default on
June 25, 2010 due to an interest shortfall to certain non-PIKable
notes. The controlling party delivered an acceleration notice on
April 10, 2012 but the matter is currently under litigation. All
interest and principal proceeds received from the collateral,
after making interest payment to the senior most outstanding
class, are being escrowed by the trustee pending resolution of the
litigation.
The pool contains fifteen assets totaling $68.0 million (92.3% of
the collateral pool balance) that are listed as defaulted
securities as of the trustee's January 21, 2014 report. Twelve of
these assets (79.2% of the defaulted balance) are CMBS and three
assets are CRE CDOs (20.8%). Moody's does expect significant
losses to occur on the defaulted securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 8938,
compared to 9468 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Baa1-Baa3 (7.7% compared to 4.1% at last
review) and Caa1-C (92.3% compared to 95.9% at last review).
Moody's modeled a WAL of 2.9 years, compared to 3.2 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral.
Moody's modeled a fixed WARR of 2.7%, compared to 1.4% at last
review.
Moody's modeled a MAC of 0.0%, the same as last review.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
Factors that would lead to an upgrade or downgrade of the rating
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will
also affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the
rated notes, although a change in one key parameter assumption
could be offset by a change in one or more of the other key
parameter assumptions. The rated notes are particularly sensitive
to changes in the recovery rates of the underlying collateral and
credit assessments. However in the light of performance indicators
noted above, increasing the recovery rate assumption from 2.7% to
7.7% would not result in any modeled rating movement on the rated
notes.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
JFIN CLO 2014: S&P Assigns Preliminary BB Rating on Class E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to JFIN CLO 2014 Ltd./JFIN CLO 2014 LLC's $369.75 million
floating-rate notes.
The note issuance is CLO securitization backed by a revolving pool
consisting primarily of broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Jan. 31,
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 excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the 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 0.24%-12.84%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of a
certain amount of excess interest proceeds, that are
available prior to paying uncapped administrative expenses
and fees; subordinated hedge termination payments;
collateral manager incentive fees; and subordinated note
payments, to principal proceeds for the purchase of
additional collateral assets during the reinvestment period.
PRELIMINARY RATINGS ASSIGNED
JFIN CLO 2014 Ltd./JFIN CLO 2014 LLC
Class Rating Amount
(mil. $)(i)
A AAA (sf) 239.50
B AA (sf) 41.00
C (deferrable) A (sf) 40.50
D (deferrable) BBB (sf) 22.00
E (deferrable) BB (sf) 18.75
F (deferrable) B (sf) 8.00
Subordinated notes NR 40.10
(i)NR--Not rated.
JP MORGAN 2007-CIBC20: Fitch Lowers Class K Certs Rating to 'Dsf'
-----------------------------------------------------------------
Fitch Ratings has downgraded one distressed class and affirmed 18
classes of J.P. Morgan Chase Commercial Mortgage Securities Trust
(JPMCC) commercial mortgage pass-through certificates series 2007-
CIBC20.
Key Rating Drivers
Fitch modeled losses of 8.5% of the remaining pool; expected
losses on the original pool balance total 10.5%, including $98.2
million (3.9% of the original pool balance) in realized losses to
date. Fitch has designated 39 loans (27.1%) as Fitch Loans of
Concern, which includes seven specially serviced assets (7.5%).
The downgrade is a result of principal losses incurred due to
recent loan liquidations. The affirmations are due to increasing
credit enhancement and continued paydown. As of the January 2014
distribution date, the pool's aggregate principal balance has been
reduced by 21.6% to $1.99 billion from $2.54 billion at issuance.
No loans are defeased. Interest shortfalls are currently
affecting classes M through NR.
The largest contributor to expected losses is the Colony Portfolio
VII loan (5.4% of the pool), which is secured by five industrial
properties and 4 office properties located in MO, GA, IL, KS, CA,
CO. The loan was specially serviced at the time of Fitch's last
rating action in February 2013 due to a maturity default. The
loan was modified in November 2012 to a single note with three
component notes/tranches and its maturity extended to Oct. 1, 2014
from Oct. 1, 2012 for Note A, and from Oct. 1, 2013 to Oct. 1,
2014 for Note B; Note C remains a maturity of Oct. 1, 2014. The
portfolio has suffered declines in occupancy and base rent since
2011. As of September 2013 the portfolio is 89.3% occupied down
from 96.4% at issuance. The property has experienced a 25%
decline in net operating income (NOI) as of year-end (YE) 2012
compared with YE 2011.
The next largest contributor to expected losses is the North Hills
Mall loan (7.1%), which is secured by a 577,383 sf regional
lifestyle center located in Raleigh, NC within the Raleigh-Durham-
Chapel Hill MSA, referred to as 'The Research Triangle'. The
property is anchored by J.C. Penney, Regal Entertainment, REI,
Gold's Gym, and a non-collateral Target. In addition to the
retail component, there is a 101,423 sf office component. A 200-
room Renaissance Hotel that is not party of the collateral opened
in 2008 at the eastern end of the center. Property performance
has struggled since issuance, but YE 2012 DSCR has improved to
1.18x from 1.06x YE 2011. As of As of October 2013, the mall is
96.3% occupied or 96.9% including the office component. There are
approximately 11% of the leases rolling in 2014 and 18% in 2015.
Per REIS as of 3Q 2013, the Raleigh-Durham retail market had a
vacancy rate of 8.8% with asking rents at $19.41.
The third largest contributor to expected losses is the specially-
serviced STF Portfolio loan (2.1%), originally secured by a
portfolio of 19 properties totaling 1.2 million sf located in TX,
and NM. The loan was transferred to special servicing in August
2010 for payment default. Per the special servicer, 18 of the 19
properties have been sold. The only remaining property is 2660
Airport Road located in San Theresa, NM. As of November 2013, the
property is 61.3% occupied by Anamarc Enterprises through April
2015. The special servicer is currently reevaluating their
marketing strategy and has ordered a new appraisal.
Rating Sensitivity
Rating Outlooks on classes A-3 through A-MFX remain Stable, and
class B is revised to Stable from Negative due to increasing
credit enhancement and continued paydown. Although credit
enhancement is increasing, Fitch is closely monitoring several
Loans of Concern including single-tenant retail properties.
Fitch downgrades the following class:
-- $315,196 class K to 'Dsf' from 'Csf', RE 0%.
Fitch affirms the following classes:
-- $39.1 million class A-3 at 'AAAsf', Outlook Stable;
-- $991.7 million class A-4 at 'AAAsf', Outlook Stable;
-- $55.9 million class A-SB at 'AAAsf', Outlook Stable;
-- $278.3 million class A-1A at 'AAAsf', Outlook Stable;
-- $219.3 million class A-M at 'Asf', Outlook Stable;
-- $35 million class A-MFX at 'Asf', Outlook Stable;
-- $152.6 million class A-J at 'Bsf', Outlook to Stable from
Negative;
-- $31.8 million class B at 'CCCsf', RE 100%;
-- $25.4 million class C at 'CCCsf', RE 100%;
-- $28.6 million class D at 'CCsf', RE 10%;
-- $22.3 million class E at 'CCsf', RE 0%;
-- $22.3 million class F at 'CCsf', RE 0%;
-- $25.4 million class G at 'CCsf', RE 0%;
-- $35 million class H at 'Csf', RE 0%;
-- $31.8 million class J at 'Csf', 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-2 certificates have paid in full. Fitch does
not rate the class P, Q, T and NR certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
KODIAK CDO II: Moody's Hikes Ratings on 2 Note Classes to Caa3
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Kodiak CDO II, Ltd.:
$338,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2042
(current outstanding balance of $192,886,260.98), Upgraded to B1
(sf); previously on December 8, 2010 Downgraded to B2 (sf)
$53,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2042,
Upgraded to Caa1 (sf); previously on December 8, 2010 Downgraded
to Caa2 (sf)
$80,000,000 Class A-3 Senior Secured Floating Rate Notes Due 2042,
Upgraded to Caa2 (sf); previously on April 9, 2009 Downgraded to
Caa3 (sf)
$81,000,000 Class B-1 Senior Secured Floating Rate Notes Due 2042,
Upgraded to Caa3 (sf); previously on April 9, 2009 Downgraded to
Ca (sf)
$5,000,000 Class B-2 Senior Secured Fixed/Floating Rate Notes Due
2042, Upgraded to Caa3 (sf); previously on April 9, 2009
Downgraded to Ca (sf)
Kodiak CDO II, Ltd., issued in June 2007, is a collateralized debt
obligation backed primarily by a portfolio of REIT trust preferred
securities ("TruPS") and CMBS securities.
Ratings Rationale
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's over-
collateralization ratios since February 2013.
The Class A-1 notes have paid down by approximately 21.1% or $51.7
million since February 2013, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest. The Class A-1 notes' par coverage has thus improved to
240.30% from 203.95% since February 2013, by Moody's calculations.
Based on the trustee's December 2013 report, the over-
collateralization ratio of the Class A/B was 109.61% (limit
124.00%), versus 105.82% in February 2013. The Class A-1 notes
will continue to benefit from the diversion of excess interest and
the use of proceeds from redemptions of any of the assets in the
collateral pool.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par and
principal proceeds balance of $463.5 million, defaulted/deferring
par of $146 million, a weighted average default probability of
62.15% (implying a WARF of 4748), a Moody's Asset Correlation of
15%, and a weighted average recovery rate upon default of 10%. In
addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs," published in May 2011.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings
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: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
currently expects could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's currently expects could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Faster
deleveraging than Moody's expects could have a significant impact
on the notes' ratings.
4) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc TM or
credit estimates. Moody's evaluates the sensitivity of the ratings
of the notes to the volatility of these credit assessments.
Loss and Cash Flow Analysis
Moody's modeled the transaction's portfolio using CDOROM v.2.10.15
to develop the default distribution from which it derives the
Moody's Asset Correlation parameter.
The portfolio of this CDO contains primarily trust preferred
securities issued by REIT firms that Moody's does not rate
publicly. Moody's REIT group assesses their credit quality using
the REIT firms' annual financials.
In addition to the base case, Moody's conduct a number of
sensitivity analyses of the results to certain key factors driving
the ratings. Moody's analyzed the sensitivity of the model results
to changes in the portfolio WARF (representing an improvement or
deterioration in the credit quality of the collateral pool).
Increasing the WARF by 300 points from the base case of 4748
lowers the model-implied rating on the Class A-1 notes by one
notch from the base case result; decreasing the WARF by 420 points
raises the model-implied rating on the Class A-1 notes by one
notch from the base case result.
KVK CLO 2014-1: S&P Assigns Prelim. BB Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to KVK CLO 2014-1 Ltd./KVK CLO 2014-1 LLC's
$376.80 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 preliminary ratings are based on information as of Feb. 5,
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
(excluding excess spread) and cash flow structure, which can
withstand the default rate projected by Standard & Poor's
Rating Services' CDO Evaluator model, as assessed by
Standard & Poor's using the assumptions and methods outlined
in its corporate collateralized debt obligation (CDO)
criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The portfolio 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% to 12.8177%.
-- 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 preliminary rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of up to 50.00% of
excess interest proceeds that are available before paying
uncapped administrative expenses and fees, deferred
subordinated portfolio management fees, portfolio manager
incentive fees, and payments to the subordinated notes to
principal proceeds for the purchase of additional collateral
assets during the reinvestment period.
-- The weighted average spread of the identified portfolio is
below the minimum weighted average spread covenanted to in
the transaction documents. If the collateral manager cannot
acquire portfolio collateral during the ramp-up period with
characteristics in-line with the transaction's covenants,
the break-even default rates (BDRs) may decrease and the
cushion outlined in the preliminary ratings table -- the
difference between the BDRs and the scenario default rates
-- could be diminished. If this difference becomes
negative, S&P may not affirm the ratings on the effective
date.
PRELIMINARY RATINGS ASSIGNED
KVK CLO 2014-1 Ltd./KVK CLO 2014-1 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 249.20
B AA (sf) 47.60
C (deferrable) A (sf) 34.40
D (deferrable) BBB (sf) 21.60
E (deferrable) BB (sf) 19.20
F (deferrable) B (sf) 4.80
Subordinated notes NR 36.40
NR-Not rated.
LNR CDO 2002-1: Fitch Affirms 'Csf' Rating on 7 Note Classes
------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed nine classes issued by
LNR CDO 2002-1 Ltd./Corp (LNR 2002-1).
Key Rating Drivers:
The upgrades are a result of deleveraging of the transaction due
to collateral paydowns. Since the last rating action in February
2013, approximately 17.2% of the collateral has been downgraded
and 7.3% has been upgraded. Currently, 16.5% of the portfolio has
a Fitch derived rating of 'A' or better, and 78.4% of the
portfolio has a Fitch derived rating below investment grade,
including 72.9% in the 'CCC' category and below. Over the last
year, the class B notes have received $36.2 million in paydowns.
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 report 'Global Criteria
for Cash Flow Analysis in CDOs'. 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 and C notes'
breakeven rates are generally consistent with the ratings assigned
below.
For the class D through H 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 'CCsf', indicating that
default is probable. Similarly, the class E through H notes have
been affirmed at 'Csf', indicating that default is inevitable.
Rating Sensitivities
The Stable Outlook on the class B and C notes reflects Fitch's
view that the transaction will continue to delever. Further
losses may cause downgrades to the class D notes. LNR 2002-1 is
backed by 37 tranches from 18 commercial mortgage backed security
(CMBS) transactions and is considered a CMBS B-piece
resecuritization (also referred to as first loss commercial real
estate collateralized debt obligation [CRE CDO]) as it includes
the most junior bonds of CMBS transactions. The transaction closed
in July 2002.
Fitch has taken the following actions:
-- $4,459,514 class B notes upgraded to 'AAAsf' from 'BBsf';
Outlook Stable;
-- $25,000,000 class C notes upgraded to 'Asf' from 'Bsf';
Outlook Stable;
-- $40,150,000 class D-FX notes affirmed at 'CCsf';
-- $45,000,000 class D-FL notes affirmed at 'CCsf';
-- $22,000,000 class E-FX notes affirmed at 'Csf';
-- $33,059,000 class E-FXD notes affirmed at 'Csf';
-- $21,000,000 class E-FL notes affirmed at 'Csf';
-- $25,000,000 class F-FX notes affirmed at 'Csf';
-- $27,041,000 class F-FL notes affirmed at 'Csf';
-- $40,032,000 class G notes affirmed at 'Csf';
-- $54,042,000 class H notes affirmed at 'Csf'.
LNR CDO 2003-1: Fitch Affirms 'Csf' Rating on 5 Note Classes
------------------------------------------------------------
Fitch Ratings has affirmed 11 classes issued by LNR CDO 2003-1,
Ltd. (LNR 2003-1).
KEY RATING DRIVERS:
Since the last rating action in March 2013, approximately 17.2% of
the collateral has been downgraded and 1.4% has been upgraded.
Currently, 87.4% of the portfolio has a Fitch derived rating below
investment grade with 68.7% of the portfolio having a rating in
the 'CCC' category and below, compared to 89.3% and 57.3%,
respectively, at the last rating action. Over this period, the
transaction has received $81.3 million in paydowns which has
resulted in the full repayment of the class B notes and $19.4
million in paydowns to the class C 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 report 'Global Criteria
for Cash Flow Analysis in CDOs'. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. While the class C and D notes' ratings pass above
their current ratings within the cash flow model, the ratings
below reflect the passing rates as well as the concern of
potential interest shortfalls and concentration risk as the
portfolio continues to amortize.
For the class E through J 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 E notes have been affirmed at 'CCCsf', indicating that
default is possible. Similarly, the classes F through J notes have
been affirmed at 'Csf', indicating that default is inevitable.
RATING SENSITIVITIES
The Stable Outlook on the class C and D notes reflects Fitch's
view that the transaction will continue to delever. LNR 2003-1 is
a static collateralized debt obligation (CDO) that closed on July
2, 2003. The portfolio consists of 68 bonds from 28 obligors, all
of which are CMBS from 1999 through 2003 vintage transactions.
Fitch has affirmed the following classes and revised the Outlooks
as indicated:
-- $14,559,537 class C-FL notes at 'BBsf'; Outlook to Stable from
Negative;
-- $4,222,266 class C-FX notes at 'BBsf'; Outlook to Stable from
Negative;
-- $5,000,000 Class D-FL notes at 'Bsf'; Outlook to Stable from
Negative;
-- $40,766,000 Class D-FX notes at 'Bsf'; Outlook to Stable from
Negative;
-- $48,000,000 class E-FL notes at 'CCCsf';
-- $41,626,000 class E-FX notes at 'CCCsf';
-- $6,000,000 class F-FL notes at 'Csf';
-- $44,724,000 class F-FX notes at 'Csf';
-- $12,204,000 class G notes at 'Csf';
-- $30,511,000 class H notes at 'Csf';
-- $43,478,000 class J notes at 'Csf'.
MARATHON STRUCTURED: Fitch Cuts & Withdraws Class A-1 Notes Rating
------------------------------------------------------------------
Fitch Ratings has downgraded and withdrawn the rating on one class
of notes issued by Marathon Structured Funding I, LLC, as follows:
-- $83,304,054 class A-1 notes to 'Dsf' from 'Csf' and withdrawn.
Key Rating Drivers
The rating action on the class A-1 notes is due to the
insufficient distribution proceeds from liquidation available to
pay in full the outstanding balance of this class. As such,
their rating was downgraded to 'Dsf' and subsequently withdrawn.
Marathon I entered an Event of Default on Oct. 15, 2008 after the
class A-1 overcollateralization ratio fell below 103%. In
December 2013, at the direction of 100% of the noteholders, the
Trustee declared the principal of the class A-1 notes to be
immediately due and subsequently liquidated the transaction. The
underlying collateral was distributed in-kind to the class A-1
noteholders in accordance with the written direction received from
such holders.
The collateral, including funds available to be distributed on the
final payment date on Dec. 30, 2013 was insufficient to cover the
class A-1 notes' outstanding balance in full. The remaining
collections of $0.3 million were distributed to pay miscellaneous
administrative fees and collateral expenses. Following these
payments, there were no funds available to pay the class A-1
notes.
Marathon I was a structured finance collateralized debt obligation
(SF CDO) that closed in March 2005 and was managed by Marathon
Asset Management, LLC. Before the December 2013 liquidation,
Marathon I's underlying portfolio was composed of approximately
69.4% subprime residential mortgage-backed securities (RMBS), and
30.6% of SF CDOs.
MORGAN STANLEY: S&P Raises Rating on Class E Notes to 'CCC+'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, and E notes from Morgan Stanley Investment Management Croton
Ltd., a cash flow collateralized loan obligation transaction
managed by INVESCO Senior Secured Management Inc. At the same
time, S&P affirmed its ratings on the class A and D notes. In
addition, S&P removed its ratings on five classes from CreditWatch
with positive implications.
Since S&P's May 2013 rating actions, the transaction has paid down
the class A-1 and A-2 notes by $53 million to 16% of their initial
issuance amounts. As a result, the senior overcollateralization
(O/C) test ratio has increased to 157% as of January 2014 from
128% as of April 2013. The upgrades on the class B and C notes,
and the 'AAA (sf)' rating affirmations on the class A notes
reflect the increase in credit support available to these notes.
S&P notes there is concentration risk: the two largest obligors
now account for over 10% of the portfolio. The ratings on the
class D and E notes are both driven by the top obligor test. The
rating affirmation on the class D notes reflects the availability
of credit support at the existing rating level.
As part of S&P's May 2013 rating actions, it affirmed the previous
'CCC-' rating on the class E notes due to the long-dated assets
that totaled $27 million as of the April 2013 trustee report.
Since then, the balance of long-dated assets has fallen to
$23 million as of the January 2014 trustee report. In addition,
S&P notes that most of the long-dated assets mature within one
year of the transaction's legal final maturity. Given this and
the increase in O/C ratios, S&P raised the rating on the class E
notes to 'CCC+'.
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 rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Morgan Stanley Investment Management Croton Ltd.
Rating
Class To From
A-1 AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf)
B (Fltg) AAA (sf) AA+ (sf)/Watch Pos
B (Fxd) AAA (sf) AA+ (sf)/Watch Pos
C AA- (sf) BBB+ (sf)/Watch Pos
D B+ (sf) B+ (sf)/Watch Pos
E CCC+ (sf) CCC- (sf)/Watch Pos
MORGAN STANLEY 2003-IQ4: Fitch Hikes Rating on Cl. J Certs to 'B'
-----------------------------------------------------------------
Fitch Ratings has upgraded five classes and affirmed four classes
of Morgan Stanley Capital I Trust's (MSCI) commercial mortgage
pass-through certificates series 2003-IQ4.
Key Rating Drivers
The upgrades are the result of increasing credit enhancement from
continued paydown and seasoned loans with low leverage.
Fitch modeled losses of 12% of the remaining pool; expected losses
on the original pool balance total 1.7%, including $7.1 million
(1% of the original pool balance) in realized losses to date.
Fitch has designated 10 loans (42.5%) as Fitch Loans of Concern,
which includes three specially serviced assets (28.6%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 93.9% to $44 million from
$727.8 million at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes N through O.
The largest contributor to expected losses is the specially-
serviced Spinnaker Plaza loan (9.8% of the pool, second largest
remaining loan), which is secured by a mixed-use property with
22,000 square foot (sf) ground floor office and retail and 32
apartment units above on a ground lease located in Milford, CT.
The loan transferred to special servicing in November 2012 due to
monetary default. The special servicer appointed a receiver in
March 2013 and has been pursuing foreclosure, which is expected to
occur in the near future. The special servicer also reports the
occupancy was 88% as of year-end 2013.
The next largest contributor to expected losses is the specially-
serviced North Mayfair loan (12.7% and largest loan in the pool),
which is secured by a 101,286 sf office building located in
Wauwatosa, WI. The loan transferred to special servicing in August
2009 due to imminent default. The property has struggled with
occupancy issues since it transferred and the borrower has been
trying to lease it up. The special servicer reports that a nine-
month forbearance has been granted to the borrower with the
expectation the sale proceeds will pay off the loan in full.
The third largest contributor to expected losses is the specially-
serviced Executive Tower loan (6.1%), which is secured by a 51,854
sf office building located in Omaha, NE. The loan transferred to
special servicing upon maturity default in December 2012. The
borrower has been remitting excess cash flow from the property,
which has been insufficient to cover debt service payments. In
addition, the borrower is working on leasing the property and is
expected to sign a new lease for approximately 19.3% of the net
rentable are. The special servicer reports the occupancy was 18%
as of January 2014.
Rating Sensitivity
Rating Outlooks on classes E through H remain Stable due to
increasing credit enhancement and continued paydown. Fitch ran
additional stresses when considering upgrades. Although credit
enhancement remains high relative to the rating category, further
upgrades were limited due to increasing pool concentration and
smaller than average subordinate class sizes. Any increase in
expected losses may have a greater impact on credit enhancement.
Fitch upgrades the following classes and assigns Recovery
Estimates (REs) as indicated:
-- $5.6 million class E to 'AAAsf' from 'A-sf', Outlook Stable;
-- $7.3 million class F to 'Asf' from 'BBBsf', Outlook Stable;
-- $8.2 million class G to 'BBBsf' from 'BBsf', Outlook Stable;
-- $8.2 million class H to 'BBsf' from 'B-sf', Outlook Stable;
-- $3.6 million class J to 'Bsf' from 'CCCsf', Outlook Stable.
Fitch affirms the following classes and assigns (REs) as
indicated:
-- $1.8 million class K at 'CCCsf', RE 100%;
-- $5.5 million class L at 'CCsf', RE 70%;
-- $1.8 million class M at 'CCsf', RE 0%;
-- $1.8 million class N at 'Csf', RE 0%.
The class A-1, A-2, B, C and D certificates have paid in full.
Fitch does not rate the class O certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
MORGAN STANLEY 2003-TOP9: Fitch Hikes Cl. K Certs Rating to CCC
---------------------------------------------------------------
Fitch Ratings has upgraded six and affirmed five classes of Morgan
Stanley Dean Witter Capital I Trust (MSDWC) commercial mortgage
pass-through certificates series 2003-TOP 9.
Key Rating Drivers
The upgrades are due to deleveraging of the pool due to paydowns.
Fitch modeled losses of 9.3% of the remaining pool; expected
losses on the original pool balance total 1%, including $3.4
million (0.3% of the original pool balance) in realized losses to
date. The pool is concentrated with only 16 loans remaining, of
which four have been designated as Fitch Loans of Concern (FLOC)
(67.8%), and includes one specially serviced asset (8.7%). Two
loans are defeased (1.5%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 92.5% to $80.3 million from
$1.08 billion at issuance, including 16.7% since last rating
action. Interest shortfalls are currently affecting class O.
The largest loan (47.3% of the pool) is secured by a 258,685 sf
office building located in Washington D.C. The property's sole
tenant is General Services Administration (GSA) which currently
occupies 83.9% after previously downsizing its space in third-
quarter 2012. This loan is considered a FLOC due to GSA's plan to
vacate the property after its August 2014 lease expiration.
However, the property is well-located within the Capitol Hill
submarket and has a relatively loan low exposure relative to
recent sale comparables.
The largest contributor to expected losses (11.3% of the pool) is
secured by a 121,618 sf neighborhood shopping center located in
North Highlands, CA. The center is anchored by Raley's grocery
store (50% of GLA). While occupancy has increased to 85.6% as of
September 2013 from 74.9% at year-end (YE) 2012, the loan remains
a FLOC due to its low servicer-reported DSCR of 0.56x and 0.82x at
YE 2012 and YE 2011, respectively. However, the servicer has
reported an improved DSCR of 1.04x as of year- to- date (YTD) June
30, 2013.
The next largest contributor to expected losses is the specially-
serviced loan (8.7%), which is secured by 93,354 sf retail
property located in Indianapolis, IN. The loan matured in 2012,
and negotiations to resolve its delinquent status are ongoing.
Occupancy improved to 95.7% as of Sept. 30, 2013 compared to 88.7%
at YE 2012. However, YTD Sept. 30, 2013 DSCR was 1.07x compared to
1.44x at YE 2012.
RATING SENSITIVITY
Fitch ran additional stresses when considering upgrades. Although
credit enhancement remains high relative to the rating category
for some classes, further upgrades were limited due to increasing
pool concentration and re-tenanting concerns regarding the largest
loan. Due to smaller than average subordinate class sizes, any
increase in realized losses may have a greater impact on credit
enhancement.
Rating Outlooks on classes C through E and classes H through L
remain Stable, and the Rating Outlook on class F has been revised
to Positive from Stable due to increasing credit enhancement and
continued paydown. Should performance remain stable, without risk
for interest shortfall to this class, future upgrades are
possible.
Fitch upgrades the following classes and assigns or revises Rating
Outlooks as indicated:
--$12.1 million class D to 'AAAsf' from 'AAsf'; Outlook Stable;
--$14.8 million class E to 'AAsf' from 'Asf'; Outlook Stable;
--$6.7 million class F to 'Asf' from 'BBB+sf'; Outlook to Positive
from Stable;
--$5.4 million class G to 'Asf' from 'BBBsf'; Outlook Stable;
--$10.8 million class H to 'BBBsf' from 'BBsf'; Outlook Stable;
--$5.4 million class K to 'BBsf' from 'Bsf'; Outlook Stable.
Fitch affirms the following classes as indicated:
--$2.8 million class C at 'AAAsf'; Outlook Stable;
--$4 million class J at 'BBsf'; Outlook Stable;
--$5.4 million class L at 'Bsf'; Outlook Stable;
--$2.7 million class M at 'CCCsf'; RE 100%;
--$2.7 million class N at 'CCsf'; RE 95%.
Fitch does not rate the class O certificates. Fitch previously
withdrew the rating on the interest-only class X-1 certificates.
In addition, class A-1, A-2, B, and X-2 have been paid in full.
MORGAN STANLEY 2004-TOP13: Fitch Affirms CC Rating on Cl. O Notes
-----------------------------------------------------------------
Fitch Ratings has upgraded seven classes and affirmed six classes
of Morgan Stanley Capital I Trust commercial mortgage pass-through
certificates, series 2004-TOP13. A detailed list of rating
actions follows at the end of this press release.
Key Rating Drivers
The upgrades are due to increased credit enhancement and continued
paydown. Fitch modeled losses of 15.1% of the remaining pool;
expected losses on the original pool balance total 2%, including
$7.8 million (0.6% of the original pool balance) in realized
losses to date. Fitch has designated six loans (22.1% of the
pool) as Fitch Loans of Concern, which includes three specially
serviced assets (11% of the pool).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 90.9% to $110.2 million from
$1.21 billion at issuance. Per the servicer reporting, two loans
(3.7% of the pool) are defeased. Interest shortfalls are
currently affecting class P.
The largest contributor to expected losses is a specially-serviced
loan (4.1% of the pool) secured by a 344,273 square foot (sf)
anchored community shopping center located in Columbus, OH.
Occupancy was 67% per the September 2013 rent roll. However, in
December 2013, one tenant (40,800 sf, 11.9% of net rentable area
[NRA]) vacated, and another (19,000 sf, 5.5% of NRA) gave notice
that it will vacate in April 2014. Also, the largest tenant,
Shoppers World (74,000 sf, 21.5% NRA, lease expiration in March
2022) recently requested a rent reduction. Cash flow is currently
negative, however, net operating income (NOI) was positive as of
year-to-date (YTD) third quarter 2013 (3Q'13). The loan was
transferred to the special servicer for imminent default after
Borrower notified the Master Servicer that it would not be making
the January 2014 payment.
The second largest contributor to expected losses is a specially-
serviced loan (3.5% of the pool) secured by an 85,381 sf
industrial property located in Carrollton, TX (Dallas-Fort Worth
MSA). Per the special servicer, the property is 100% vacant and
the initial goal had been to lease the building. Subject is
currently in the early stages of marketing for sale.
Rating Sensitivity
Fitch ran additional stresses when considering upgrades. Although
credit enhancement remains high relative to the rating category,
further upgrades were limited due to increasing pool concentration
and smaller than average subordinate class sizes. Any increase in
modeled losses may have a greater impact on credit enhancement.
Fitch upgrades the following classes:
-- $24.2 million class D to 'AAAsf' from 'AAsf', Outlook Stable;
-- $12.1 million class E at 'AAsf' from 'Asf', Outlook Stable;
-- $9.1 million class F to 'Asf' from 'BBBsf', Outlook Stable;
-- $10.6 million class G to 'BBBsf' from 'BBsf', Outlook Stable;
-- $9.1 million class H to 'BBsf' from 'Bsf', Outlook Stable;
-- $9.1 million class J to 'BBsf' from 'CCCsf', assign Outlook
Stable;
-- $3 million class K to 'Bsf' from 'CCCsf', assign Outlook
Stable.
Fitch affirms the following classes as indicated:
-- $2.9 million class B at 'AAAsf', Outlook Stable;
-- $12.1 million class C at 'AAAsf', Outlook Stable;
-- $3 million class L at 'CCCsf', RE 100%;
-- $3 million class M at 'CCCsf', RE 100%;
-- $4.5 million class N at 'CCCsf', RE 100%;
-- $3 million class O at 'CCsf', RE 40%.
The class A-1, A-2, A-3 and A-4 certificates have paid in full.
Fitch does not rate the class P certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
MORGAN STANLEY 2007-XLC1: Fitch Cuts Rating on Cl. C Certs to CCC
-----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed four classes of
Morgan Stanley 2007-XLC1, Ltd. and Morgan Stanley 2007-XLC1, LLC,
(Morgan Stanley 2007-XLC1) reflecting Fitch's base case loss
expectation of 58%. Fitch's performance expectation incorporates
prospective views regarding commercial real estate market value
and cash flow declines.
Key Rating Drivers:
The portfolio is very concentrated with only three assets
remaining. Current collateral consists of mezzanine debt on the
Crowne Plaza Times Square (63.4% of the pool), an A-note secured
by land in Las Vegas, NV (25.4%), and REO land in Hawaii (11.3%).
The downgrades to the senior classes reflect the extreme
concentration of the pool and the declining performance of the
assets.
Since Fitch's last rating action, class A-2 paid in full and class
B received additional pay down of approximately $7 million
primarily from the disposal of three assets, including two loans
paid in full, and interest diversion. Over the same period, the
CDO realized losses of approximately $66 million. The current
percentage of defaulted assets and Loans of Concern is 11.3% and
88.7%, respectively, compared to 38.2% and 23.2% at last review.
As of the January 2014 trustee report, the CDO is failing its
C/D/E and F/G/H overcollateralization tests resulting in the
diversion of interest payments for classes F and below towards
principal of the senior class. The transaction is also failing
its F/G/H interest coverage test.
Because the collateral pool is concentrated, Fitch assumed that
100% of the portfolio will default in the base case stress
scenario, defined as the 'B' stress. Modeled recoveries were
average at 42%.
The largest component of Fitch's base case loss expectation is
related to a mezzanine loan (63.4% of the pool) backed by
interests in the Crowne Plaza Times Square in Manhattan. The
hotel contains 795-rooms, and approximately 226,000 sf of office
and retail space. The loan was recently extended through December
2014. Year end (YE) 2010 and 2011 performance significantly
improved from YE 2009, which had offline rooms. However, cash
flow has declined over the last two years primarily due to an
increased ground lease payment, the loss of some commercial
revenue, and new franchise fee obligations. Fitch modeled a
substantial loss on this subordinate position in its base case
scenario.
The next largest component of Fitch's base case loss expectation
is related to an A-note (25.4%) secured by approximately 60 acres
of land located in Las Vegas, NV. The property, which is in the
process of being master planned and rezoned for development, is
currently comprised of improved land with 457 apartments and
615,000 sf of office/industrial space, and 20 acres of vacant
land. Fitch modeled a term default and significant loss on this
position in its base case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio (DSCR) tests to project future default
levels for the underlying portfolio. Recoveries for the loan
assets are based on stressed cash flows and Fitch's long-term
capitalization rates. Fitch compared the credit enhancement of
the classes to the expected losses generated by the model. The
credit enhancement of class B is consistent with the rating listed
below. This CDO is highly concentrated. Cash flow modeling was
not performed as part of this analysis as the impact of structural
features was expected to be minimal.
The 'CCC' and below ratings for classes C through G are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern factoring in anticipated
recoveries relative to each classes credit enhancement.
Rating Sensitivities
The Negative Outlook on class B was assigned based on the
potential for further negative credit migration of this highly
concentrated portfolio. All classes are subject to further
downgrades should additional losses be realized.
Morgan Stanley 2007-XLC1 is a static CRE CDO originated in 2007.
Principal proceeds were applied pro-rata to the liabilities until
sequential pay was triggered in November 2008. The portfolio is
specially serviced by CT Investment Management Co., LLC, an
affiliate of The Blackstone Group.
Fitch downgrades the following classes:
-- $51.6 million class B downgrade to 'Bsf' from 'BBsf'; Outlook
Negative;
-- $25.5 million class C downgrade to 'CCCsf' from 'Bsf'; RE 50%.
Fitch affirms the following classes:
-- $12 million class D at 'CCCsf'; RE 0%;
-- $9.8 million class E at 'CCCsf'; RE 0%;
-- $20.6 million class F at 'CCsf'; RE 0%;
-- $14.6 million class G at 'C'; RE 0%.
NAUTIQUE FUNDING: S&P Affirms 'BB-' Rating on Class D Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, and C notes from Nautique Funding Ltd., a cash flow
collateralized loan obligation transaction managed by INVESCO
Senior Secured Management Inc. At the same time, S&P affirmed its
rating on the class D notes. In addition, S&P removed all nine
ratings from CreditWatch with positive implications.
Since S&P's February 2012 rating actions, the transaction has
exited its reinvestment period and paid down the class A-1 and A-2
notes by $119 million. As a result, the class A
overcollateralization (O/C) ratio has increased to 128% as of
January 2014 from 124% as of January 2012. During the same time
period, the credit quality of the underlying assets has also
improved. The percentage of 'CCC' rated assets has decreased to
3.22% of the portfolio from 5.34%. The upgrades on the eight
classes of notes reflect the increase in credit support available
to these notes.
Although there have been liability paydowns and credit improvement
within the underlying portfolio, S&P notes that the transaction
has over 5% exposure to long-dated assets. The rating affirmation
on the class D notes reflects the sensitivity to market value
stresses due to the transaction's long-dated assets.
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 rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Nautique Funding Ltd.
Rating Rating
Class To From
A-1A AAA (sf) AA+ (sf)/Watch Pos
A-1B AAA (sf) AA+ (sf)/Watch Pos
A-2A AAA (sf) AA+ (sf)/Watch Pos
A-2B AAA (sf) AA+ (sf)/Watch Pos
A-3 AA+ (sf) AA (sf)/Watch Pos
B-1 A+ (sf) A (sf)/Watch Pos
B-2 A+ (sf) A (sf)/Watch Pos
C BBB- (sf) BB+ (sf)/Watch Pos
D BB- (sf) BB- (sf)/Watch Pos
OCEAN TRAILS IV: S&P Affirms 'BB' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Ocean
Trails CLO IV/Ocean Trails CLO IV LLC's $366.65 million floating-
rate notes following the transaction's effective date as of
Nov. 8, 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 noted.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
On an ongoing basis after 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
Ocean Trails CLO IV/Ocean Trails CLO IV LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.65
A AAA (sf) 242.50
B AA (sf) 51.00
C (deferrable) A (sf) 25.75
D (deferrable) BBB (sf) 20.25
E (deferrable) BB (sf) 16.50
F (deferrable) B (sf) 8.00
OCP CLO 2013-4: S&P Affirms BB- Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on OCP CLO
2013-4 Ltd./OCP CLO 2013-4 Corp.'s $474.5 million floating- and
fixed-rate notes following the transaction's effective date as of
Dec. 17, 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 added.
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 said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P added.
"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 noted.
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
OCP CLO 2013-4 Ltd./OCP CLO 2013-4 Corp.
Class Rating Amount
(mil. $)
A-1A AAA (sf) 294.125
A-1B AAA (sf) 14.500
A-2 AA (sf) 56.500
B (deferrable) A (sf) 45.125
C (deferrable) BBB- (sf) 31.125
D (deferrable) BB- (sf) 20.625
E (deferrable) B (sf) 12.500
PEGASUS 2007-1: Fitch Cuts Ratings on 2 CMBS Classes to 'CCCsf'
---------------------------------------------------------------
Fitch Ratings has downgraded two classes issued by Pegasus 2007-1
Ltd. due to negative credit migration of the commercial mortgage
backed securities (CMBS).
Key Rating Drivers
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 reference portfolio. The degree of correlated
default risk of this reference collateral is high given the single
sector and vintage concentration. Based on this analysis and the
credit enhancement available to class A-1 and A-2, the credit
characteristics of the bonds are consistent with a 'CCCsf' rating.
Approximately 14.3% of the portfolio has been downgraded an
average of 4.8 notches and the weighted average rating factor
(WARF) has declined to 'BBB/BBB-' from ' BBB+/BBB' since the last
rating review. Currently, 14.3% is rated below investment grade,
with the lowest rated asset in the reference portfolio carrying a
Fitch-derived rating of 'CCC' category.
Rating Sensitivities
Further deterioration of the reference portfolio could lead to
further downgrades for the class A-1 and A-2 notes. Pegasus 2007-
1, issued in April 2007, is a synthetic securitization referencing
a portfolio of 28 $100 million class A-M CMBS bonds. The
transaction is designed to provide credit protection for realized
losses on the reference portfolio through a credit default swap
between the issuer and the swap counterparty, FMS Wertmanagement
(FMSW) rated 'AAA/F1+' with a Stable Outlook by Fitch. An amount
equal to $20 million minus the aggregate amount of any actual
principal writedowns is available as subordination with respect to
each reference obligation. Until the writedowns related to a
reference obligation exceed $20 million the issuer will not be
required to pay any cash settlements upon the trigger of a credit
event. To date, there have been no principal writedowns.
Fitch has downgraded the following classes:
-- $112 million class A-1 notes to 'CCCsf' from 'Bsf';
-- $1 million class A-2 notes to 'CCCsf' from 'Bsf'.
PREFERRED TERM IX: S&P Raises Ratings on 2 Note Classes to BB+
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, and A-3 notes from Preferred Term Securities IX Ltd., a
U.S. collateralized debt obligation (CDO) backed by bank trust
preferred securities. In addition, S&P removed its rating on the
class A-1 notes from CreditWatch, where it placed them with
positive implications on Sept. 25, 2013.
The upgrades reflect a large paydown on the class A-1 notes since
S&P's February 2013 rating actions.
The rating actions follow S&P's review of the transaction's
performance using data from the Dec. 30, 2013, trustee report.
The transaction is current on its interest payments on all of the
tranches and is continuing to divert excess interest proceeds to
pay down the rated notes in order to cover losses to the
underlying collateral from defaults and deferrals of the
underlying bank trust preferred securities.
According to the December 2013 trustee report, the transaction
held $64.78 million in underlying collateral obligations that the
transaction considers defaulted. The transaction holds an
additional $36.50 million in underlying collateral that is
currently deferring its interest payments.
The underlying collateral's principal amortization combined with
the diversion of excess interest proceeds has resulted in
$73.99 million in paydowns to the class A-1 notes since S&P's
rating actions last year. Consequently, the transaction's senior
principal coverage test has improved by 20.06% to 182.37%,
compared with 162.31% reported in the December 2012 trustee
report, which S&P used for its February 2013 rating actions.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with our criteria, our cash flow scenarios applied forward-
looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The cash flow analysis
results demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
CAPITAL STRUCTURE COMPARISON
Notional balance (mil. $)
Class Dec 2012 Dec 2013
A-1 110.37 36.39
A-2 42.00 42.00
A-3 33.00 33.00
B-1 86.00 86.00
B-2 16.25 16.25
B-3 66.25 66.25
RATING AND CREDITWATCH ACTIONS
Preferred Term Securities IX Ltd.
Rating Rating
Class To From
A-1 A- (sf) BB+ (sf)/Watch Pos
A-2 BB+ (sf) B+ (sf)
A-3 BB+ (sf) B+ (sf)
PRUDENTIAL 2003-PWR-1: Fitch Cuts Rating on Class G Certs to 'Csf'
------------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed seven classes of
Prudential Commercial Mortgage Trust 2003-PWR1 (PCMT 2003-PWR1)
commercial mortgage pass-through certificates.
Key Rating Drivers
The downgrades are a result of an increase in expected losses.
The affirmation of the remaining investment grade class is due to
sufficient credit enhancement that offsets the increased loan
concentration and adverse selection with only three assets
remaining.
Fitch modeled losses of 67.8% of the remaining pool; expected
losses on the original pool balance total 7.6%, including $38.6
million (4% of the original pool balance) in realized losses to
date. Fitch considers the three remaining assets to be Fitch
Loans of Concern, two of which are specially serviced (40.7%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 94.8% to $50.4 million from
$960 million at issuance. Interest shortfalls are currently
affecting classes F through P.
The largest loan in the pool is the Brandywine Office Building &
Garage loan (59.3% of the pool), which is secured by a 405,844
square foot (sf) office building with a 660 parking space garage
located in Wilmington, DE. The loan underwent a modification in
June 2011, which included a $15.1 million write-off of principal;
an interest rate reduction with periodic rate increases until
December 2015; and interest-only payments until maturity May 2020.
The property's performance has continued to suffer due to
declining occupancy and deteriorating cash flows. The servicer
reported property's debt service coverage ratio (DSCR) was 0.98x
as of the third-quarter 2013. As per the property's rent roll,
occupancy declined to 34.3% as of the third-quarter 2013 from 43%
as of year-end 2012.
The next largest asset is The Landings (27.4%), a 112,861-sf
anchored retail center located in Bolingbrook, IL. The loan
transferred to special servicing in February 2012 due to monetary
default after its largest tenant, Borders (22.2%), vacated the
property. The loan became real estate owned (REO) in December 2013
and the special servicer expects the property to be divested
around July 2014. The special servicer reports that the occupancy
was 49% as of year-end 2013.
The third largest asset is the Holley Mason Building (13.3%), a
107,259-sf office building located in Spokane, WA. The loan
transferred to special servicing in June 2011 for monetary default
and became REO in August 2012. Disposition of the property is
unknown pending resolution of a parking easement at the property.
The special servicer reports occupancy was 83% as of year-end
2013.
Rating Sensitivity
Rating Outlooks on classes E and F are Negative due to increasing
interest shortfalls and insufficient cash flows from the remaining
assets to pay the bonds without servicer advances.
Fitch downgrades the following classes and assigns Recovery
Estimates (REs) as indicated:
-- $10.8 million class F to 'Bsf' from 'BBsf'; Outlook Negative;
-- $12 million class G to 'Csf' from 'CCCsf'; RE 15%.
Fitch affirms the following classes, and revises Rating Outlooks
and REs as indicated:
-- $8.6 million class E at 'BBB-sf'; Outlook to Negative from
Stable;
-- $16.8 million class H at 'Csf'; RE 0%.
-- $2.2 million class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf';
-- $0 class L at 'Dsf';
-- $0 class M at 'Dsf';
-- $0 class N at 'Dsf'.
The class A-1, A-2, B, C, D and X-2 certificates have paid in
full. Fitch does not rate the class P certificates. Fitch
previously withdrew the rating on the interest-only class X-1
certificates.
R.E. REPACK 2002-1: Fitch Hikes Rating on A Notes From 'BBsf'
-------------------------------------------------------------
Fitch Ratings has upgraded class A of R.E. Repack Trust 2002-1
(R.E. Repack 2002-1) in conjunction with its rating actions on the
trust's underlying security.
Rating Sensitivities/Key Rating Drivers:
The rating of class A of R.E. Repack 2002-1 is based on the credit
quality of its underlying security which is the $4,459,514 class B
issued by LNR CDO 2002-1, Ltd./Corp. (LNR 2002-1).
Fitch has upgraded the following class as indicated:
--$4,459,514 class A notes to 'AAAsf' from 'BBsf'; Outlook Stable.
TIAA 2007-C4: Fitch Cuts $15.7MM Class F Notes Rating to 'CCCsf'
----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 17 classes of
commercial mortgage pass-through certificates of TIAA Seasoned
Commercial Mortgage Trust, series 2007-C4. In addition, Fitch has
revised the Outlook on class E to Negative from Stable.
Key Rating Drivers
The affirmations are due to overall stable pool performance since
Fitch's last review. The downgrade of class F and the revised
rating Outlook for class E are primarily due to an increase in
expected losses on two of the top 15 loans. Fitch modeled losses
of 12.12% of the remaining pool; expected losses on the original
pool balance total 5.6%, including losses already incurred to date
(1%). Fitch has identified 10 loans (20.7%) as Fitch loans of
concern (LOC), which includes three specially serviced assets
(12%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 62.3% to $789.1 million from
$2.09 billion at issuance. Currently, there is one defeased loan
(0.5%). Interest shortfalls in the amount of $3.3 million are
affecting classes K through T.
Rating Sensitivity
The ratings on all investment grade classes are expected to remain
stable due to sufficient credit enhancement and continued paydown.
Future downgrades on class E are possible if the outcome of the
final resolution on the specially serviced assets results in lower
than expected recoveries. The distressed classes (rated below
'B') may be subject to further rating actions as losses are
realized.
The largest contributor to expected losses consists of two pari-
passu notes that are secured by two phases of a shopping center in
Algonquin, IL (11% of the pool, collectively). The loans, which
were cross collateralized and cross defaulted at issuance, were
transferred to special servicing in August 2009 due to imminent
default. The Phase I loan was modified and both loans returned to
the master servicer as corrected mortgage loans in September 2010.
Ultimately, both loans were transferred back to special servicing
in June 2012 due to imminent default. The loans are now over 90-
days delinquent. The special servicer rejected a discounted
payoff offer from the borrower, and a foreclosure complaint was
recorded in December 2012. A receiver has been appointed by the
court. Foreclosure proceedings have not yet progressed due to
ongoing litigation initiated by the special servicer. The
servicer reported second-quarter (2Q) 2012 Debt Service Coverage
Ratio (DSCR) for Phase I and Phase II were 0.67x and 0.89x,
respectively. Per the November 2013 rent roll, Phase I was 88.8%
occupied, compared to 97% at issuance; Phase II was 100% occupied,
compared to 89.8% at issuance.
The second largest contributor to expected losses is a loan
secured by two adjacent office properties in Greenbelt, MD (2.6%).
Both properties are expected to face a significant decline in
rental revenue.
Park East is an 84,630 square foot (SF) office building. Per the
2Q'2013 rent roll, the property was 96.7% occupied. The former
largest tenant, University of Phoenix (which represented 22% of
the property) vacated six month after its lease expiration date of
Feb. 29, 2012. A new tenant, Lancaster Bible College, took over
the space effective March 2013 at a much lower rental rate ($12 sf
vs $27.14 sf). Although the tenant leases an additional 7% of the
property at $24 sf, the total rental revenue is expected to
decline significantly. The servicer reported 3Q'13 DSCR was
1.24x.
Park West is an 84,581 sf office building. Per the 3Q'2013 rent
roll, the property was 100% leased. The largest tenant, Bozzuto &
Associates, occupies 88% of the property. The tenant's leases are
scheduled to expire in August 2014. Per the servicer, the tenant
will vacate upon lease expiration. T he servicer reported 3Q'13
DSCR was at 2.0x.
The third largest contributor to expected losses is a loan secured
by a 117,936 sf office property in White Plains, NY (1.5%). The
loan transferred to special servicing in June 2009 for imminent
default. A loan modification closed in June 2011, splitting the
loan into a $7.5 million interest-only A-note and a $4.2 million
zero interest B-note. Fitch expects zero recovery on the $4.2
million B-note. The loan returned to the master servicer in
January 2012.
Fitch downgrades the following class and assigns Recovery
Estimates (REs) as indicated:
-- $15.7 million class F to 'CCCsf' from 'Bsf'; RE 75%.
Fitch affirms the following classes, revised Outlooks and Recovery
Estimates (REs) as indicated:
-- $324.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $67.1 million class A-1A at 'AAAsf'; Outlook Stable;
-- $227.5 million class A-J at 'AAsf'; Outlook Stable;
-- $10.5 million class B at 'Asf'; Outlook Stable;
-- $28.8 million class C at 'BBBsf'; Outlook Stable;
-- $18.3 million class D at 'BBsf'; Outlook Stable;
-- $5.2 million class E at 'BBsf'; Outlook to Negative from
Stable;
-- $20.9 million class G at 'CCCsf'; RE 0%;
-- $13.1 million class H at 'CCsf'; RE 0%;
-- $23.5 million class J at 'Csf'; RE 0%;
-- $7.8 million class K at 'Csf'; RE 0%;
-- $7.8 million class L at 'Csf'; RE 0%.
-- $7.9 million class M at 'Csf'; RE 0%;
-- $2.6 million class N at 'Csf'; RE 0%;
-- $7.7 million class P at 'Dsf'; RE 0%.
The class A-1 and A-2 certificates have paid in full. Classes Q
and S have been depleted due to realized losses and remain at
'Dsf' RE 0%. Fitch does not rate the class T certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
TPREF FUNDING II: S&P Affirms 'BB+' Rating on Class A-2 Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its rating on the
class A-2 notes from TPref Funding II Ltd., a U.S. collateralized
debt obligation (CDO) backed by bank trust preferred securities.
In addition, S&P removed the rating from CreditWatch, where it had
placed it with positive implications on Sept. 25, 2013.
The affirmation reflects S&P's opinion that the credit support
available is commensurate with the current rating level.
The rating action follows S&P's review of the transaction's
performance, using data from the trustee report dated Nov. 8,
2013.
The transaction is current on its interest payments on all of the
tranches, and it continues to divert excess interest proceeds in
connection with the failure of the senior subordinated principal
coverage test.
According to the November 2013 trustee report, the transaction
held $126.60 million in underlying collateral obligations that are
either considered by the transaction to be defaulted or are
currently deferring their interest payments. This compares with
$134.10 million as reported in the February 2012 trustee report,
which S&P used for its May 2012 rating actions.
Principal amortization of the underlying collateral, combined with
the diversion of excess interest proceeds in connection with the
coverage test failure, has resulted in $38.60 million in paydowns
to the rated notes since S&P's last rating action. This has
resulted in the complete redemption of the outstanding portion of
the class A-1 notes and a partial redemption of the class A-2
notes, which stand at 70.32% of their original balance at
issuance. Consequently, the transaction's senior (class A-2)
principal coverage test has improved to 257.83%, compared with
196.46% as reported in the February 2012 trustee report. However,
the transaction has seen a drop in the senior subordinated (class
B) principal coverage test of 1.40%, currently reporting 68.80%,
versus a required minimum of 106.20%.
A feature of this transaction payment structure is that none of
the tranches, including the class B notes, are allowed to miss an
interest payment without causing an event of default. After an
event of default occurs, a two-thirds majority of the most senior
rated class (currently, the A-2 notes) could vote in favor of an
acceleration of payments, which would alter the priority of
payments in favor of the class A-2 notes.
The transaction holds $927.81 thousand in a reserve account, which
can be used to cover any shortfalls in interest to any of the
tranches.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied forward-
looking assumptions to the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches.
Although the transaction has started paying down the tranches and
experienced a drop in defaulted/deferring obligations, the results
of the cash flow analysis showed that under certain stressed
interest rate environments, cash flows available to the class A-2
notes come under pressure. The results of the cash flow analysis
demonstrated, in S&P's view, that the outstanding rated class has
adequate credit enhancement available at the rating level
associated with this rating action.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them, and take further
rating actions as it deems necessary.
CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON
Class Feb 2012 Nov 2013
Notional Balance (mil. $)
A-1 8.92 0.00
A-2 100.00 70.32
B 196.00 196.00
Coverage tests (%)
A-2 O/C 196.46 257.83
B O/C 70.20 68.80
A-2 I/C 754.29 1457.66
B I/C 189.57 252.01
O/C--Overcollateralization test.
I/C--Interest coverage test.
RATING AND CREDITWATCH ACTIONS
TPref Funding II Ltd.
Rating
Class To From
A-2 BB+ (sf) BB+ (sf)/Watch Pos
TRAPEZA CDO IV: Moody's Raises Rating on $14MM Cl. D Notes to Ca
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Trapeza CDO IV, LLC:
$95,000,000 Class A1B Second Priority Senior Secured Floating Rate
Notes due May 24, 2034, Upgraded to Aa1 (sf); previously on July
22, 2013 Upgraded to Aa2 (sf)
$33,000,000 Class B Third Priority Senior Secured Floating Rate
Notes due May 24, 2034, Upgraded to Aa2 (sf); previously on July
22, 2013 Upgraded to A2 (sf)
$44,500,000 Class C-1 Fourth Priority Secured Floating Rate Notes
Due May 24, 2034 (current outstanding balance of $51,514,065,
including deferred interest), Upgraded to Caa3 (sf); previously on
November 12, 2008 Downgraded to Ca (sf)
$44,500,000 Class C-2 Fourth Priority Secured Fixed/Floating Rate
Notes Due May 24, 2034 (current outstanding balance of
$51,645,689, including deferred interest), Upgraded to Caa3 (sf);
previously on November 12, 2008 Downgraded to Ca (sf)
$14,000,000 Class D Mezzanine Secured Floating Rate Notes Due May
24, 2034 (current outstanding balance of $11,778,139, including
deferred interest), Upgraded to Ca (sf); previously on November
12, 2008 Downgraded to C (sf)
Moody's also affirmed the rating on the following notes:
$145,000,000 Class A1A First Priority Senior Secured Floating Rate
Notes due May 24, 2034 (current balance of $16,361,303), Affirmed
Aaa (sf); previously on July 22, 2013 Upgraded to Aaa (sf)
Trapeza CDO IV, LLC, issued in October 2013, is a collateralized
debt obligation backed by a portfolio of bank trust preferred
securities (TruPS).
Ratings Rationale
The rating actions taken are primarily a result of the
deleveraging of the Class A1A notes, an increase in the
transaction's over-collateralization ratios and resumptions of
interest payments on previously deferring assets since the last
rating action in July 2013.
The Class A1A notes have been paid down by approximately 22.0% or
$4.6 million since July 2013 from diversion of excess interest
proceeds. Further, $12 million of cash in the principal
collections account, originating from redemptions of two assets,
will be used to paydown the Class A1A notes on the next payment
date. The par coverage for the Class A1A notes has thus improved
to 186.3% from 154.7% since July 2013 by Moody's calculations.
Based on the trustee's January 2014 report, the over-
collateralization (OC) ratio of the Class A and B notes was 144.8%
(limit 141.5%), versus 121.9% in June 2013, and that of the Class
C and D notes, 80.6% (limit 102.0%), versus 69.2% in June 2013.
The Class A1A notes will continue to benefit from the diversion of
excess interest and the use of proceeds from future redemptions of
any of the assets in the collateral pool. Because the A/B OC ratio
is no longer in breach of its limit, Moody's expects that the
Class C and D notes, which have been deferring interest since
November 2008, will likely start to receive current interest
payments, so long as the A/B OC ratio continues to satisfy the
limit.
In addition, the total par amount that Moody's treated as having
defaulted or deferring declined to $80.7 million from $108.7
million on July 2013. Since July 2013, three previously deferring
banks with a total par of $28.0 million have resumed making
interest payments on their TruPS; two assets with a total par of
$12.0 million have redeemed at par. The credit quality of the
underlying portfolio has deteriorated slightly since the last
rating action. Based on Moody's calculations, the weighted average
rating factor (WARF) increased to 787 from 719 in July 2013.
The actions on the Class A1B and Class B notes also reflect
corrections to the weighted average spread and the target rating
hurdle used in the July 2013 rating action. Due to an input error,
Moody's overstated the weighted average spread and also evaluated
a target rating hurdle for the Class B notes that was one notch
higher than appropriate.The forementioned errors have been
corrected and the rating action reflects these corrections.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par and
principal proceeds balance of $207.5 million, defaulted/deferring
par of $80.7 million, a weighted average default probability of
17.47% (implying a WARF of 787), a Moody's Asset Correlation of
19.53%, and a weighted average recovery rate upon default of
10.0%. In addition to the quantitative factors Moody's explicitly
models, qualitative factors are part of rating committee
considerations. Moody's considers the structural protections in
the transaction, the risk of an event of default, recent deal
performance under current market conditions, the legal environment
and specific documentation features. All information available to
rating committees, including macroeconomic forecasts, inputs from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs," published in May 2011.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
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: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
currently expects could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's currently expects could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Faster
deleveraging than Moody's expects could have a significant impact
on the notes' ratings.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant
positive impact on the transaction's over-collateralization ratios
and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) or
credit estimates. Moody's evaluates the sensitivity of the ratings
of the notes to the volatility of these credit assessments.
Loss and Cash Flow Analysis
Moody's modeled the transaction's portfolio using CDOROM
v.2.10.15 to develop the default distribution from which it
derives the Moody's Asset Correlation parameter.
The portfolio of this CDO contains mainly trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks and insurance companies that Moody's does not rate publicly.
To evaluate the credit quality of bank TruPS that do not have
public ratings, Moody's uses RiskCalc(TM), an econometric model
developed by Moody's KMV, to derive credit scores. Moody's
evaluation of the credit risk of most of the bank obligors in the
pool relies on FDIC Q3-2013 financial data.
In addition to the base case, Moody's conduct a number of
sensitivity analyses of the results to certain key factors driving
the ratings. Moody's analyzed the sensitivity of the model results
to changes in the portfolio WARF (representing an improvement or
deterioration in the credit quality of the collateral pool).
Increasing the WARF by 133 points from the base case of 787 lowers
the model-implied rating on the Class A1B notes by one notch from
the base case result; decreasing the WARF by 187 points raises the
model-implied rating on the Class A1B notes by one notch from the
base case result.
Moody's also conducted an additional sensitivity analyses, as
described in "Sensitivity Analyses on Deferral Cures and Default
Timing for Monitoring TruPS CDOs," published in August 2012. In
the analysis, Moody's ran alternative default-timing profile
scenarios to reflect the lower likelihood of a large spike in
defaults. Below is a summary of the impact on all of the rated
notes (in terms of the difference in the number of notches versus
the current model-implied output, in which a positive difference
corresponds to a lower expected loss):
Sensitivity Analysis : Alternative Default Timing Profile
Class A1A: 0
Class A1B: 0
Class B: 0
Class C-1: +1
Class C-2: +1
Class D: 0
UBS COMMERCIAL 2007-FL1: Fitch Cuts Rating on O-MD Secs. to 'BBsf'
------------------------------------------------------------------
Fitch Ratings has downgraded one class and upgraded six classes of
UBS Commercial Mortgage Trust, series 2007-FL1. The transaction
has paid down by 42% since Fitch's last rating action. All of the
remaining loans have been modified and extended, but will reach
their final maturity dates within the next 18 months. One asset is
REO.
Key Rating Drivers
The upgrades reflect increased credit enhancement as a result of
paydown of approximately 42% since Fitch's last rating action.
There are four remaining assets in the pool, two of which are
secured by two undeveloped land parcels (61.3%) and two are
secured by hotels (38.7%). One of the land assets is real estate
owned (REO). The other three loans were previously modified and
extended. Two of the modified loans will reach their final
extended maturity date in mid-2015 with the remaining loan
maturing in July 2016. Fitch remains concerned about the ability
of the modified loans to refinance at the final modified maturity
date as lending standards have changed from the time these loans
were originated and many of the borrowers have not been able to
successfully execute their initial business plans.
The downgrade of class O-MD reflects continuing performance
declines from the underlying Marriott Washington DC loan.
Rating Sensitivities
The Stable Outlooks reflect the high credit enhancement of the
deal. No rating changes to the pooled classes are expected
throughout the remaining life of the deal as additional credit
enhancement through paydown will be offset by adverse selection
and an increasingly concentrated pool. Further downgrades to
class O-MD are possible if the performance of the underlying
collateral continues to decline.
The Maui Prince loan is secured by a 310-room full service hotel,
two 18-hole golf courses and 1,194 acres of undeveloped land
located in Maui, Hawaii. The loan was transferred to special
servicing on June 12, 2009 due to imminent default at its maturity
date. The loan has been assumed, paid down, modified and
extended. The final maturity date is now July 2015. Despite the
paydown and infusion of new capital by the sponsors, Fitch remains
concerned about viability of the business plan to develop the
vacant land as luxury residential housing given the continued
weakness in the housing market. The loan remains with the special
servicer.
The Hilton Long Beach loan is collateralized by a 393-room full-
service hotel in downtown Long Beach, CA. The loan transferred to
the special servicer in June 2012 due to imminent maturity
default. The loan reached its final extended maturity in July
2012. The loan was subsequently modified and extended and the
previous mezzanine lender acquired ownership of the borrower. The
new borrower is required to extend the current franchise agreement
and complete a property improvement plan (PIP) of approximately
$11 million. The new final maturity date is July 2016. The loan
is expected to be transferred back to the master servicer in the
next few months.
The Washington DC Marriott is secured by a 471-room full-service
hotel located in Washington, DC. The property was built in 1981
and remodeled and expanded in 2007. Property performance has been
lower than underwritten expectations. The loan transferred to the
special servicer in February 2012 due to imminent maturity
default. A modification was executed effective June 25, 2012
which extended the final maturity date to May 9, 2015 in exchange
by 4.3 million among other provisions. As of year-end 2012, NOI
had declined by approximately 11% from YE 2011 posting the worst
performance in four years. The trailing twelve month (TTM) Sept.
30, 2013 NOI showed a slight improvement over YE 2012. The loan is
current and with the master servicer.
The RexCorp Land portfolio consists of 205 acres of commercial
development land located in Morris County New Jersey. The loan
defaulted at maturity in February 2010 and has been in special
servicing since that time. Modification discussions were not
successful and the special servicer foreclosed on the property in
September 2012. The special servicer is marketing the property
for sale in the near future.
Fitch has downgraded the following class as indicated:
-- $1.7 million class O-MD to 'BBsf' from 'BBB-sf'; Outlook to
Negative from Stable;
Fitch has upgraded the following classes as indicated:
-- $10 million class C to 'Asf' from 'BBsf'; Outlook Stable;
-- $27.2 million class D to 'BBBsf' from 'CCCsf'; Outlook Stable;
-- $27.2 million class E to 'BBsf' from 'CCCsf'; Outlook Stable;
-- $27.2 million class F to 'Bsf' from 'CCsf'; Outlook Stable;
-- $27.2 million class G to 'CCCsf' from 'CCsf'; RE 100%;
-- $29.1 million class H to 'CCsf' from 'Csf'; RE 50%.
Fitch has affirmed the following classes as indicated:
-- $27.2 million class J at 'Csf'; RE 0%;
-- $27.2 million class K at 'Csf'; RE 0%.
Classes A-1, A-2, B, O-WC, O-BH and O-HW have paid in full. Fitch
does not rate classes O-SA and O-HA. Classes L, M-MP, N-MP and O-
MP all remain at 'D' RE 0% due to realized losses. Fitch withdrew
the rating of the interest-only class X.
US AIRWAYS: S&P Lowers Rating on Equipment Trust Certs to B+
------------------------------------------------------------
Standard & Poor's Ratings Services said that it corrected its
ratings on certain US Airways Inc. pass through trust certificates
by lowering them to 'B+' (sf) from 'BB-' (sf). As a result of an
error, S&P inadvertently raised the ratings on four 'C' classes on
Dec. 10, 2013, when it raised ratings on other pass through trust
certificates based on the effect of US Airways' Dec. 9, 2013,
merger with AMR Corp. (the combined entity is now known as
American Airlines Group Inc.).
The pass through trust certificates are:
-- US Airways Inc. 2010-1 pass through trust certificates,
Class C
-- US Airways Inc. 2011-1 pass through trust certificates,
Class C
-- US Airways Inc. 2012-1 pass through trust certificates,
Class C
-- US Airways Inc. 2012-2 pass through trust certificates,
Class C
RATINGS LIST
Downgraded
To From
US Airways Inc.
Equipment Trust Certificates B+ BB-
WFRBS COMMERCIAL 2012-C6: Fitch Affirms Bsf Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Wells Fargo Commercial
Mortgage Securities, Inc. (WFRBS) commercial mortgage pass-through
certificates series 2012-C6 due to stable performance since
issuance.
Key Rating Drivers
The affirmations are based on continued stable performance of the
underlying pool since issuance. The pool has experienced no
realized losses to date. Fitch has designated two loans (4.4%) as
Fitch Loans of Concern, which does not include any specially
serviced loans.
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 2.3% to $904 million from
$925 million at issuance. No loans are defeased.
The largest loan of the pool (8.4%) is secured by National Cancer
Institute (NCI) Center, a 341,271-square foot (sf) office and lab
facility in Frederick, MD approximately 50 miles northwest of
Washington, D.C. and 50 miles west of Baltimore. The three-story
building, which was constructed in 2011, is 100% leased to the
Science Applications International Corporation-Frederick (SAIC-F)
until the year 2021.
The second largest loan (7.2%), Windsor Hotel Portfolio II, is
secured by four full-service hotels, located in California,
Nevada, Georgia, and North Carolina, totaling 901 rooms.
The third largest loan (5.3%), WPC Self Storage Portfolio, is
secured by 26 self-storage properties, encompassing 16,101 units.
The properties are located throughout California, Illinois,
Hawaii, and Texas. The sponsor of the loan is WP Carey Storage.
Occupancy at the properties was 72% in September 2013 compared to
69% in December 2012.
Rating Sensitivity
The Rating Outlook for all classes remain Stable. Due to the
recent issuance of the transaction and stable performance, Fitch
does not foresee positive or negative ratings migration until a
material economic or asset level event changes the transaction's
overall portfolio-level metrics.
Fitch affirms the following classes and Outlooks:
-- $36.4 million class A1 at 'AAAsf'; Outlook Stable;
-- $136.8 million class A2 at 'AAAsf'; Outlook Stable;
-- $67.8 million class A3 at 'AAAsf'; Outlook Stable;
-- $385.4 million class A4 at 'AAAsf'; Outlook Stable;
-- $727.1 million class X-A at 'AAAsf'; Outlook Stable;
-- $100.6 million class AS at 'AAAsf'; Outlook Stable;
-- $42.8 million class B at 'AAsf'; Outlook Stable;
-- $31.2 million class C at 'Asf'; Outlook Stable;
-- $47.4 million class D at 'BBB-sf'; Outlook Stable;
-- $13.9 million class E at 'BBsf'; Outlook Stable;
-- $13.9 million class F at 'Bsf'; Outlook Stable.
Fitch does not rate the classes X-B or G certificates.
WFRBS COMMERCIAL 2013-C11: Fitch Affirms B Rating on Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of WFRBS Commercial Mortgage
Trust 2013-C11 certificates due to stable performance since
issuance.
Key Rating Drivers
The affirmations are based on the stable performance of the
underlying collateral pool. As of the January distribution, the
pool's aggregate principal balance has been paid down by 0.58% to
$1.43 billion from $1.44 billion at issuance. 76% of the loans
reported partial year 2013 financials. Based on the annualized
2013 NOIs, the pool's overall net operating income (NOI) has been
stable with a -0.5% NOI decrease over the portfolio NOI at
issuance.
There are currently no assets in special servicing or Fitch loans
of concern designated within the pool.
RATINGS SENSITIVITY
The Rating Outlook for all classes remains Stable. Due to the
recent issuance of the transaction and stable performance, Fitch
does not foresee positive or negative ratings migration until a
material economic or asset level event changes the transaction's
portfolio-level metrics.
The largest loan of the pool is secured by Republic Plaza (10.85%
of the pool), a 1,302,107 square foot (sf) office building located
in the central business district (CBD) of Denver, CO. The loan is
sponsored by a wholly owned subsidiary of Brookfield Office
Properties, Inc. The two largest tenants of the buildings, Encana
(34.8% of the net rentable area) and DCP Midstream (11.8%), are
rated investment grade and generate 48% of the subject's gross
rent. The building is considered one of the premier assets in
Denver's CBD due to its LEED EB Gold certification and distinction
as the market's tallest office building.
The second largest loan is collateralized by a 1,285,834-sf super
regional mall located in Concord, NC. The property is located one
mile from Charlotte Motor Speedway and approximately 10 miles
northeast of downtown Charlotte, NC. The sponsor of the property
is Simon Property Group, which purchased the development in 2007.
The mall is the top outlet format in the state of North Carolina
and sales are second only to Southpark Mall (also owned by Simon)
that is located 23 miles southwest of the subject. The property is
performing in line with underwritten expectations and Fitch does
not foresee any adverse impacts from eventual completion of
Charlotte Premium outlet mall located 27 miles to the southwest.
The third largest loan is collateralized by a portfolio of 18
manufactured housing communities comprising of 3,302 home pads
located in the states of Colorado, Wyoming, Illinois, and
Arkansas. The sponsor of the loan is RHP Properties and Northstar
Realty Finance. RHP is the nation's second largest private owner-
operator of manufactured housing communities and Northstar is an
institutional investor with $7 billion of assets under management.
The portfolio continues to exhibit strong fundamentals with gross
receipts growing by more than 2% over issuance.
Fitch affirms the following classes:
-- $56.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $278.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $46.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $100.0 million class A-4 at 'AAAsf'; Outlook Stable;
-- $417.8 million class A-5 at 'AAAsf'; Outlook Stable;
-- $97.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $134.7 million class A-S at 'AAAsf'; Outlook Stable;
-- $1.1 billion class X-A at 'AAAsf'; Outlook Stable;
-- $152.6 million class X-B at 'A-sf'; Outlook Stable;
-- $93.4 million class B at 'AA-sf'; Outlook Stable;
-- $59.2 million class C at 'A-sf'; Outlook Stable;
-- $46.7 million class D at 'BBB-sf'; Outlook Stable;
-- $32.2 million class E at 'BBsf'; Outlook Stable;
-- $25.1 million class F at 'Bsf'; Outlook Stable.
Fitch does not rate the class G certificate.
WFRBS COMMERCIAL 2013-C12: Fitch Affirms B Rating on $16.9MM Certs
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of WFRBS Commercial
Mortgage Trust commercial mortgage pass-through certificates
series 2013-C12 due to stable performance since issuance.
Key Rating Drivers
As of the December 2013 distribution date, the pool's aggregate
principal balance has been reduced by 0.6% to $1.22 billion from
$1.23 billion at issuance. Eighty one percent of the loans
reported partial year 2013 financials. Based on the annualized
2013 net operating incomes (NOIs), the pool's overall NOI has been
stable with approximately a 5% NOI increase over the pool NOI at
issuance.
The largest loan in the pool is the Grand Beach Hotel loan (10.2%
of the pool), which is secured by a 424-room, 20-story, full-
service oceanfront hotel located in Miami Beach, Florida.
Amenities at the property include a fitness center, three pools,
full service restaurant, meeting facilities, a business center,
and valet parking including 560 spaces. The debt service coverage
ratio (DSCR) based on annualized 2013 NOI was 2.81x compared to
2.13x at issuance.
The next largest loan in the pool is the RHP Portfolio II loan
(9.5% of the pool). The loan is collateralized by 18 manufactured
housing communities comprising 2,967 home pads with nine
properties in Colorado (1,814 pads), six in Wyoming (737 pads),
two in Illinois (351 pads), and one in Arizona (65 pads). The DSCR
based on annualized 2013 NOI was 1.53x compared to 1.47x at
issuance.
The third largest loan in the pool is the One South Wacker Drive
loan (7.8% of the pool), which is secured by a 40-story, 1.2
million square foot class B office tower located in Chicago, IL.
The property includes a 135-car subterranean parking garage and is
occupied by a mix of 45 office and retail tenants (including 11
investment-grade tenants occupying 21.2% of net rentable area).
The DSCR based on annualized 2013 NOI has increased to 2.77x from
2.62x at issuance.
Rating Sensitivity
The Rating Outlook for all classes remains Stable.
Fitch affirms the following classes as indicated:
-- $56.6 million class A-1 at 'AAAsf', Outlook Stable;
-- $143 million class A-2 at 'AAAsf', Outlook Stable;
-- $165 million class A-3 at 'AAAsf', Outlook Stable;
-- $298.2 million class A-4 at 'AAAsf', Outlook Stable;
-- $102 million class A-SB at 'AAAsf', Outlook Stable;
-- $0 class A-3FX at 'AAAsf', Outlook Stable;
-- $90 million class A-3FL at 'AAAsf', Outlook Stable;
-- $120.1 million class A-S at 'AAAsf', Outlook Stable;
-- $973.8 million class X-A at 'AAAsf', Outlook Stable;
-- $126.2 million class X-B at 'A-sf', Outlook Stable;
-- $75.4 million class B at 'AA-sf', Outlook Stable;
-- $50.8 million class C at 'A-sf', Outlook Stable;
-- $41.6 million class D at 'BBB-sf', Outlook Stable;
-- $27.7 million class E at 'BBsf', Outlook Stable;
-- $16.9 million class F at 'Bsf', Outlook Stable.
Fitch does not rate the classes X-C or G certificates.
* Fitch Takes Rating Actions on 17 SF CDOs From 2000-2005 Vintages
------------------------------------------------------------------
Fitch Ratings has upgraded one class, downgraded one class, and
affirmed 69 classes of notes from 17 structured finance
collateralized debt obligations (SF CDOs) with exposure to various
structured finance assets.
KEY RATING DRIVERS
Fitch has downgraded one class issued by ABSpoke 2005-VIA, Ltd. to
'Dsf' due the class writedowns that began in June 2013. Since
then, its balance has been written down to approximately $3.4
million or 15.7% of the original par, as per the January 2014
Trustee report.
For 60 classes from 15 transactions with expected losses from
distressed and defaulted assets already significantly exceeding
credit enhancement (CE) levels, the probability of the note's
default is evaluated without factoring potential further losses
from the currently performing portion of the portfolios. In the
absence of mitigating factors, default for these notes at or prior
to maturity appears inevitable. As such, these classes are
affirmed at 'Csf'.
The Certificates in Blue Heron Funding II Ltd. have been affirmed
at their current rating of 'AAAsf' with a Negative Rating Watch
maintained. The principal of these Certificates is protected by a
zero coupon bond million maturing in April 2030, issued by
Resolution Funding Corporation, a U.S. government sponsored
agency.
Three classes of notes that were affirmed at 'Dsf' are non-
deferrable classes that continue experiencing interest payment
shortfalls.
The upgrade of the class A-3L notes issued by Diversified Asset
Securitization Holdings III, L.P. to 'CCCsf' reflects the
continued deleveraging of the capital structure. The class A-3L
notes have become the senior most class in the capital structure
since last review and have received approximately $9.6 million in
principal amortizations. As a result, the class CE levels have
increased and they now pass the 'CCCsf' rating loss rate (RLR)
projected by Fitch's Structured Finance Portfolio Credit Model (SF
PCM).
The following three transactions continued to receive meaningful
excess spread as an additional source of deleveraging. Fitch
applied its Cash Flow Model (CFM) framework to the rating of the
notes issued by these transactions.
The affirmation of the class A notes issued by Independence CDO I,
Ltd. at 'Asf' is due to the transaction's stable performance over
the last year. The increased concentration and modest credit
deterioration in the underlying portfolio has been offset by the
continued deleveraging of the capital structure. The class A notes
have received approximately $11.2 million in principal proceeds
since the last review and are currently the only class receiving
interest and principal payments due to acceleration of the
transaction in October 2011. Fitch has affirmed the notes below
the passing ratings indicated by the CFM analysis due to portfolio
concentration. The Stable Outlook is maintained to reflect the
available cushion in the passing ratings to mitigate the risk of
further negative migration in the portfolio.
The agency has also affirmed the class B-1 and B-2 (collectively,
class B) notes from RFC CDO I, Ltd. at 'Bsf'. Over the last year,
the class A notes have received $7.4 million in principal and have
paid in full (PIF). As a result, the class B notes have become the
senior most class in the structure, and their CE level has
increased while they have received $4.7 million in principal
amortization. The current passing levels of the class B notes
correspond to a 'Bsf' rating in all scenarios of the cash flow
modeling analysis. Given the class' improved position in the
capital structure, Fitch believes the Outlook on this class has
improved to Stable from Negative.
The class A-1 and A-1L (collectively, class A-1) notes issued by
Diversified Asset Securitization Holdings II, L.P. have been
affirmed at 'BBsf'. Since the last review, the class A-1 notes
have received approximately $26.9 million in principal paydowns.
The 'BBsf' rating and Outlook Stable are in line with the CFM
results.
RATING SENSITIVITIES
For the four deals analyzed under the SF PCM and/or CFM, negative
migration and defaults beyond those projected could lead to
downgrades. The remaining 13 distressed transactions have limited
sensitivity to further negative migration given the highly
distressed rating levels of the outstanding notes. However, there
is potential for non-deferrable classes to be downgraded to 'Dsf'
should they experience any interest payment shortfalls.
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 individual rating actions for each rated CDO are detailed in
the report 'Fitch Takes Various Rating Actions on 17 SF CDOs from
2000-2005 Vintages', dated Feb. 3, 2014.
* Moody's Cuts Ratings on $608MM of RMBS Issued 2005-2007
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 60
tranches from 14 RMBS transactions, backed by Alt-A RMBS loans
issued by various trusts.
Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2005-HYB8
Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 15, 2010
Downgraded to B3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-4
Cl. 1-A1, Downgraded to Caa1 (sf); previously on Nov 19, 2010
Confirmed at B3 (sf)
Cl. 1-XS, Downgraded to Caa1 (sf); previously on Nov 19, 2010
Confirmed at B3 (sf)
Cl. 1-PO, Downgraded to Caa1 (sf); previously on Nov 19, 2010
Confirmed at B3 (sf)
Cl. 2-A3, Downgraded to Caa2 (sf); previously on Nov 19, 2010
Confirmed at Caa1 (sf)
Cl. 2-XS, Downgraded to Caa2 (sf); previously on Nov 19, 2010
Confirmed at Caa1 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-3
Cl. II-A4A-1, Downgraded to Caa2 (sf); previously on Nov 19, 2010
Downgraded to Caa1 (sf)
Cl. II-A4A-2, Downgraded to Caa2 (sf); previously on Nov 19, 2010
Downgraded to Caa1 (sf)
Issuer: CitiMortgage Alternative Loan Trust 2007-A4
Cl. IIA-1, Downgraded to Caa1 (sf); previously on Dec 14, 2010
Confirmed at B3 (sf)
Cl. IIA-IO, Downgraded to Caa1 (sf); previously on Dec 14, 2010
Confirmed at B3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-28CB
Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-2, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-5, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-6, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-8, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-10, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 3-A-5, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 4-A-1, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. 4-A-2, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. PO, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-30CB
Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-5, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-8, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-9, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-10, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-47CB
Cl. A-7, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-8, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-10, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-11, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-49CB
Cl. A-1, Downgraded to Caa1 (sf); previously on Mar 20, 2013
Affirmed B3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J10
Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-9, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-10, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-11, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-13, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-14, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-15, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-17, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-X, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. PO, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J12
Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J13
Cl. 1-A-1, Downgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-2, Downgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-3, Downgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-X, Downgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-11, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Confirmed at Caa1 (sf)
Cl. 2-X, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J14
Cl. A-1, Downgraded to Caa1 (sf); previously on Aug 27, 2012
Downgraded to B3 (sf)
Cl. A-2, Downgraded to Caa1 (sf); previously on Aug 27, 2012
Downgraded to B3 (sf)
Cl. A-8, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2005-4 Trust
Cl. 2-CB, Downgraded to Caa1 (sf); previously on Apr 8, 2010
Downgraded to B2 (sf)
Cl. 3-CB, Downgraded to Caa1 (sf); previously on Apr 8, 2010
Downgraded to B3 (sf)
Cl. D-X, Downgraded to Caa1 (sf); previously on Apr 8, 2010
Downgraded to B2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2007-2 Trust
Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Sep 1, 2010
Downgraded to Caa2 (sf)
Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Sep 1, 2010
Downgraded to Caa2 (sf)
Ratings Rationale
The ratings downgraded are a result of deteriorating performance
and higher than expected losses on bonds where the credit support
has been depleted.
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.
* Moody's Ups Ratings on $592MM of Subprime RMBS Issued 2005-2006
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 16 tranches
from seven transactions backed by subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Argent Securities Inc., Series 2005-W3
Cl. A-1, Upgraded to Ba2 (sf); previously on Aug 21, 2012
Downgraded to B1 (sf)
Cl. A-2D, Upgraded to Ba2 (sf); previously on Aug 21, 2012
Confirmed at B1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-12
Cl. 2-A-3, Upgraded to Ba2 (sf); previously on Jun 27, 2013
Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Ba2 (sf); previously on Jun 27,
2013 Upgraded to Ba3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3,
Outlook Positive on May 21, 2013)
Cl. 2-A-4, Upgraded to Ba2 (sf); previously on Jun 27, 2013
Upgraded to Ba3 (sf)
Cl. 2-A-5, Upgraded to Ba1 (sf); previously on Jul 20, 2012
Confirmed at Ba3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-8
Cl. M-2, Upgraded to Ba2 (sf); previously on Jun 27, 2013 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Jun 27, 2013
Upgraded to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH4
Cl. M-1, Upgraded to B1 (sf); previously on Sep 4, 2012 Confirmed
at Caa1 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: Specialty Underwriting and Residential Finance Series
2005-AB1
Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 15, 2013
Upgraded to Baa2 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Jul 15, 2013 Upgraded
to Caa1 (sf)
Issuer: Specialty Underwriting and Residential Finance Series
2006-BC1
Cl. A-2C, Upgraded to Baa1 (sf); previously on Jun 18, 2013
Upgraded to Baa3 (sf)
Cl. A-2D, Upgraded to Ba2 (sf); previously on Jun 18, 2013
Upgraded to B1 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Jun 18, 2013 Upgraded
to Caa2 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2005-BC1
Cl. M-3, Upgraded to Ba3 (sf); previously on Jul 15, 2013 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Jun 18, 2010
Downgraded to C (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools.
The 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.
* S&P Lowers 6 Ratings from 5 U.S. RMBS Transactions
----------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes and affirmed its ratings on 14 classes from five U.S.
residential mortgage-backed securities (RMBS) transactions.
The transactions in this review were issued between 2002 and 2006
and are backed by a mix of adjustable- and fixed-rate subprime
loans and scratch-and-dent loans, secured primarily by first-liens
on one- to four-family residential properties.
The downgrades reflect S&P's belief that projected credit
enhancement for the affected classes will be insufficient to cover
the projected losses S&P applied at the applicable rating
stresses.
Of the six downgrades, S&P lowered its ratings on three classes to
speculative-grade from investment-grade rating categories. None
of the classes S&P downgraded to speculative grade were rated 'AAA
(sf)' before the actions. One class remained investment grade
after being downgraded. The two remaining classes were already
speculative grade before being downgraded. Certain transactions
passed their cumulative-loss triggers, thereby making principal
payments to lower-rated subordinate classes and causing credit
support erosion.
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add a layer of volatility
to its loss assumptions when they are stressed at the rating
suggested by S&P's cash flow models. In these circumstances, S&P
affirmed its ratings on those classes to buffer against this
uncertainty and promote ratings stability. In general, the
certificates that were affected reflect the following:
-- Historical interest shortfalls.
-- Low priority in principal payments.
-- Significant growth in the delinquency pipeline.
-- A high proportion of modified or reperforming loans in the
pool.
-- Significant growth in observed loss severities.
-- Weak hard-dollar credit support.
S&P affirmed its 'AAA (sf)' rating on class IIA-2 from Chase
Funding Trust, Series 2003-1 because the transaction has more than
sufficient credit support to absorb the projected remaining losses
associated with this rating stress.
In addition, S&P affirmed its 'B- (sf)' rating on class IIM-1 from
Chase Funding Trust, Series 2003-1. The projected credit support
on this particular certificate remained relatively consistent with
previous projections.
The 'AA+ (sf)', 'AA (sf)', 'AA- (sf)', and 'A+ (sf)' affirmations
from four transactions are classes that are currently in first
payment priority.
S&P affirmed its 'CCC (sf)' and 'CC (sf)' ratings on eight classes
because it believes that the projected credit support for these
classes will remain insufficient to cover the revised projected
losses to these classes.
S&P will continue to monitor the rated securities for any further
interest shortfalls and make any adjustments to its ratings as it
thinks appropriate in accordance with its criteria.
According to S&P's counterparty criteria, it considered any
applicable hedges related to these securities when taking these
rating actions.
These transactions generally receive credit support from
subordination, overcollateralization (when available), and excess
interest.
ECONOMIC OUTLOOK
When analyzing U.S. RMBS collateral pools to determine their
relative credit quality and the potential impact on rated
securities, the degree of remaining losses stems, to a certain
extent, from S&P's outlook regarding the behavior of such loans in
conjunction with expected economic conditions. Overall, Standard
& Poor's baseline macroeconomic outlook assumptions for variables
that it believes could affect residential mortgage performance are
as follows:
-- S&P's unemployment rate forecast is 6.5% for 2014, compared
with the estimated 7.4% rate in 2013.
-- Home prices will increase 6% in 2014, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index.
-- Real GDP growth will be 2.8% in 2014 up from the estimated
1.9% rate in 2013.
-- The 30-year mortgage rate will average 4.6% for 2014.
-- The inflation rate will be 1.4% 2014 down slightly from the
estimated 1.5% rate in 2013.
Overall, S&P's outlook for RMBS is stable. Although S&P views
overall housing fundamentals positively, it believes RMBS
fundamentals still hinge on additional factors, such as the
ultimate fate of modified loans, the propensity of servicers to
advance on delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve mildly. However, if a downside
scenario were to occur in the U.S. in line with Standard & Poor's
forecast, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario incorporates the following key
assumptions:
-- Home prices once again decline as a result of higher
defaults, additional shadow inventory, and less purchase
activity.
-- Total unemployment rises to 7.6% in 2014, and job growth
slows to almost zero.
-- Downward pressure causes 0.6% GDP growth in 2014, fueled by
increased unemployment levels.
-- The 30-year fixed mortgage rates fall back to 4.1% in 2014,
but limited access to credit and pressure on home prices
could hamper consumers in capitalizing on such lower rates.
RATINGS LOWERED
Amortizing Residential Collateral Trust
Series 2002-BC8
Rating
Class CUSIP To From
A1 86359ACU5 B (sf) BBB+ (sf)
A3 86359ACW1 A (sf) A+ (sf)
Chase Funding Trust, Series 2003-1
Series 2003-1
Rating
Class CUSIP To From
IM-1 161546EB8 CCC (sf) BB+ (sf)
NovaStar Mortgage Funding Trust, Series 2004-3
Series 2004-3
Rating
Class CUSIP To From
M-5 66987XFT7 BB+ (sf) A+ (sf)
M-6 66987XFU4 B- (sf) BBB (sf)
Statewide Mortgage Loan Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
A-1 85765LAA7 B- (sf) BB+ (sf)
RATINGS AFFIRMED
Amortizing Residential Collateral Trust
Series 2002-BC8
Class CUSIP Rating
M1 86359ACZ4 CCC (sf)
M2 86359ADA8 CC (sf)
Chase Funding Trust, Series 2003-1
Series 2003-1
Class CUSIP Rating
IA-5 161546DZ6 AA+ (sf)
IM-2 161546EC6 CC (sf)
IB 161546ED4 CC (sf)
IIA-2 161546EF9 AAA (sf)
IIM-1 161546EG7 B- (sf)
NovaStar Mortgage Funding Trust, Series 2004-3
Series 2004-3
Class CUSIP Rating
M-3 66987XFR1 AA (sf)
M-4 66987XFS9 AA- (sf)
B-1 66987XFV2 CCC (sf)
Salomon Brothers Mortgage Securities VII Inc. Union Planters
Mortgage Loan
Trust 2003-UP1
Series 2003-UP1
Class CUSIP Rating
A 79549ASK6 A+ (sf)
M-1 79549ASM2 CCC (sf)
M-2 79549ASN0 CC (sf)
Statewide Mortgage Loan Trust 2006-1
Series 2006-1
Class CUSIP Rating
A-2 85765LAB5 CCC (sf)
* S&P Lowers Ratings on 25 Classes From 18 RMBS Deals to 'Dsf'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 25
classes from 18 U.S. residential mortgage-backed securities (RMBS)
transactions to 'D (sf)', and placed its ratings on 10 classes
from eight additional U.S. RMBS transactions on CreditWatch with
negative implications.
The downgrades reflect our assessment of the interest shortfalls
that the affected classes incurred during recent remittance
periods and S&P's belief that it is unlikely the
certificateholders will be reimbursed. All of the ratings were
either 'CCC (sf)' or 'CC (sf)' before S&P lowered them.
The CreditWatch placements reflect that the trustee reported
potential interest shortfalls for the affected classes in recent
remittance periods, which could negatively affect our ratings on
those classes. S&P is currently verifying these possible interest
shortfalls and, upon the reported data's confirmation, will adjust
the ratings as S&P considers appropriate, according to its
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
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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,
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Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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