/raid1/www/Hosts/bankrupt/TCR_Public/140330.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, March 30, 2014, Vol. 18, No. 88
Headlines
ABCLO 2007-1: S&P Affirms 'B+' Rating on Class D Notes
AIRPLANES PASS-THROUGH: S&P Cuts Class A-9 Certs Rating to CCC-
AIMCO CLO 2006-A: Moody's Hikes Rating on Class D Notes to Ba2
ARCAP 2005-1: S&P Lowers Rating on 9 Note Classes to 'D'
BABSON CLO 2005-III: S&P Affirms BB+ Rating on Class E Notes
BEAR STEARNS 2007-BBA8: Moody's Hikes Cl. L Notes' Rating to Caa1
BLUEMOUNTAIN CLO: S&P Assigns Prelim. BB Rating on Class E Notes
CABELA'S CREDIT: Fitch to Rate Class D Notes 'BBsf'
CANYON CAPITAL 2014-1: Moody's Rates Cl. E Notes '(P)B2'
CAPITAL LEASE 1997-CTL1: Fitch Hikes Class D Notes' Rating to 'B'
CARLYLE GLOBAL 2014-1: S&P Assigns BB- Rating on Class E Notes
COBALT 2007-C3: Fitch Affirms 'Dsf' Rating on Class H Certs
CHASE FUNDING 2004-1: Moody's Cuts Rating on Cl. IIB Tranche to C
COMM 2014-CCRE16: Fitch to Assign 'B' Rating to Class F Notes
CPS AUTO 2014-A: Moody's Assigns B2 Rating on Class E Notes
CREDIT SUISSE 2004-C1: Moody's Lowers Rating on Cl. J Notes to C
CREST G-STAR 2001-1: Moody's Ups Rating on Class C Notes to 'Ba3'
FIRST UNION 1998-C2: Moody's Cuts Rating on Cl. IO Certs to Caa1
FIRST UNION 2001-C1: Fitch Affirms Dsf Rating on Class K Certs
FRASER SULLIVAN: Moody's Affirms Ba2 Rating on Two Note Classes
GALAXY VIII: Moody's Raises Rating on Class E Notes to 'Ba1'
GMAC COMMERCIAL 2000-C2: S&P Raises Rating on Class G Certs to B+
GMAC COMMERCIAL 2002-C1: S&P Raises Rating on Class K Certs to BB
GMAC COMMERCIAL 2003-C1: Moody's Ups Cl. M Certs Rating to Caa2
GRAMERCY REAL 2007-1: Fitch Affirms CC Rating on Class A-1 Notes
GREENWICH CAPITAL 2002-C1: S&P Affirms 'CCC-' Rating on L Certs
GREENWICH CAPITAL 2004-FL2: Fitch Affirms D Rating on Cl. L Certs
GREYLOCK SYNTHETIC 2006: Moody's Takes Action on $174MM of CSOs
GS MORTGAGE 2014-GC20: Fitch to Assign BB- Rating on Class E Notes
GS MORTGAGE 2007-GG10: Moody's Lowers Rating on Cl. C Certs to C
GS MORTGAGE 2007-GKK1: Moody's Affirms Ca Rating on Cl. A-1 Certs
GULF STREAM-COMPASS 2007: Moody's Affirms Ba2 Rating on E Notes
H/2 ASSET 2014-1: Moody's Assigns 'Ba3' Rating on Class B Notes
HIGHBRIDGE LOAN: S&P Affirms 'BB' Rating on Class D Notes
ING IM 2012-1: S&P Withdraws BB Rating on Class D Notes
ING INVESTMENT CLO III: S&P Affirms B+ Rating on Class D Notes
JASPER CLO: Moody's Affirms 'Ba2' Rating on 2 Note Classes
JFIN CLO 2014: S&P Assigns 'BB' Rating on Class E Notes
JP MORGAN 2007-LDP11: Moody's Cuts Rating on 5 Certs to 'C'
JP MORGAN 2001-C1: Fitch Affirms Csf Rating on Class J Certs
JP MORGAN 2012-C6: Fitch Affirms Bsf Rating on Class H Certs
KMART FUNDING: Moody's Affirms 'C' Rating on Class G Notes
LB COMMERCIAL 2007-C3: S&P Affirms B Ratings on 2 Note Classes
LB-UBS COMMERCIAL 2004-C6: Fitch Rates Class F Certs 'BBsf'
LOOMIS SAYLES: S&P Raises Rating on Class D Notes to BB+
MADISON PARK II: Moody's Hikes Rating on Cl. D Notes to 'Ba1'
MARQUETTE US: Moody's Raises Rating on 2 Note Classes to B1
MERRILL LYNCH 2004-MKB1: Moody's Affirms C Rating on Class P Secs.
MERRILL LYNCH 2008-C1: Fitch Cuts Rating on 2 Note Classes to 'C'
MILLENNIUM PARK I: S&P Lowers Rating on Class D Notes to 'D'
MORGAN STANLEY 2004-HQ3: Moody's Cuts X-1 Certs' Rating to Caa2
MORGAN STANLEY 2004-TOP15: Moody's Cuts Rating on J Certs to C
MORGAN STANLEY 2005-RR6: Moody's Cuts Cl. X Secs' Rating to Caa3
N-STAR REAL IX: Moody's Affirms Ratings on 12 Note Classes
NATIONAL COLLEGIATE: Moody's Reviews 17 Senior Notes by 14 Trusts
NEW RESIDENTIAL: S&P Assigns B Ratings on 3 Note Classes
NEWSTAR COMMERCIAL 2014-1: Moody's Rates Class F Notes '(P)B2'
NON-PROFIT PREFERRED I: Fitch Affirms BB Rating on Class B Certs
ONE WALL II: Moody's Affirms B1 Rating on $10.5MM Class E Notes
PHH MORTGAGE 2007-SL1: Moody's Cuts Class M-1 Debt Rating to B1
RACE POINT V: S&P Withdraws BB Rating on Class E Notes
REGATTA III: Moody's Assigns B2 Rating on $10.7MM Class E Notes
RESIDENTIAL FUNDING: Moody's Takes Action on $618MM Subprime RMBS
SAGUARO ISSUER: Moody's Lowers Rating on Two Units to Ba3
SALOMON BROTHERS 2001-MM: Moody's Hikes Cl. X Certs Rating to Ba3
SARANAC CLO: Moody's Assigns (P)Ba3 Rating on $23MM Class E Notes
SDART 2013-A: Moody's Raises Rating on Cl. E Notes to Ba1
SEQUOIA MORTGAGE 2014-1: Fitch Expects to Rate Cl. B-4 Secs. 'BB'
SLM PRIVATE 2003-A: S&P Affirms 'CCC-' Rating on Class C Notes
SMART ABS 2014-1US: Fitch Assigns 'BBsf' Rating on Class E Notes
SOUTH COAST: Moody's Hikes Rating on $110MM Notes to Ca
SPRINGLEAF FUNDING 2014-A: S&P Assigns BB Rating on Class C Notes
STANIFORD STREET: S&P Assigns Prelim. BB Rating on Class E Notes
TALMAGE STRUCTURED 2005-2: Moody's Ups Cl. D Notes Rating to Caa1
TELEFONICA SA: Fitch Affirms 'BB+' Rating on Preference Shares
TRAINER WORTHAM: Moody's Lowers Rating on $295MM Notes to Caa3
VENTURE XVI CLO: Moody's Rates $27MM Class B-2L Notes 'Ba3'
WACHOVIA BANK 2003-C7: S&P Lowers Rating on Class J Certs to 'D'
WACHOVIA BANK 2003-C8: S&P Lowers Rating on Class J Certs to 'D'
WACHOVIA BANK 2006-C28: Fitch Affirms Dsf Rating on Class F Certs
WACHOVIA BANK 2006-WHALE7: S&P Cuts Ratings on 2 Note Classes to D
WACHOVIA BANK 2007-C30: Fitch Affirms CCCsf Rating on A-J Certs
WAMU MORTGAGE 2005-AR19: Moody's Ups 2 Certs' Rating to 'Ba3'
WELLS FARGO 2014-TISH: S&P Assigns BB Rating on Class WTS-2 Notes
WEST CLO 2013-1: S&P Affirms 'BB' Rating on Class D Notes
* Fitch Takes Various Rating Actions on 227 U.S. RMBS Deals
* Moody's Takes Action on $198MM of RMBS Issued by Various Trusts
* Moody's Takes Action on $210MM of Subprime RMBS Issued in 2005
* Moody's Takes Action on $29MM Prime Jumbo RMBS Issued 2003-2005
* Moody's Takes Action on $224MM of RMBS Issued 2002-2004
* Moody's Raises $74MM of Subprime RMBS Issued 2005-2006
* Moody's Takes Action on $32MM of RMBS Issued 2001-2004
* S&P Affirms Five 'CCC-' & 48 'D' Rating From 4 Securities Units
*********
ABCLO 2007-1: S&P Affirms 'B+' Rating on Class D Notes
------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1a, A-2, and B notes from ABCLO 2007-1 Ltd., a cash flow
collateralized loan obligation (CLO) transaction, affirmed its
ratings on the class A-1b, C, and D notes, and removed them all
from CreditWatch where they were placed with positive implications
on Jan. 22, 2014.
The transaction is currently in its amortization phase and has
commenced paying down the notes. The upgrades largely reflect
$91.32 million in paydowns to the class A-1a notes since S&P's
September 2012 rating actions, leading to the increased
overcollateralization (O/C) ratios for each class of notes since
August 2012, as follows:
-- The A O/C increased to 130.35%, up from 121.07%.
-- The B O/C ratio is 118.54%, up from 113.52%.
-- The C O/C ratio is 111.62%, up from 108.87%.
-- The D O/C ratio is 105.81%, up from 104.84%.
S&P will continue to review whether the ratings currently assigned
to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1a AA+ (sf)/Watch Pos AAA (sf) 14.21% AAA (sf)
A-1b AA+ (sf)/Watch Pos AA+ (sf) 14.15% AA+ (sf)
A2 AA (sf)/Watch Pos AA+ (sf) 4.68% AA+ (sf)
B A (sf)/Watch Pos A+ (sf) 5.74% A+ (sf)
C BBB- (sf)/Watch Pos BBB (sf) 0.66% BBB- (sf)
D B+ (sf)/Watch Pos B+ (sf) 4.28% B+ (sf)
(i) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each
tranche's weighted average recovery rate
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1a AA+ (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1b AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
A2 AA (sf) AA (sf) AA+ (sf) AA+ (sf) AA+ (sf)
B A (sf) A+ (sf) A+ (sf) AA- (sf) A+ (sf)
C BBB- (sf) BB+ (sf) BBB- (sf) BBB+ (sf) BBB- (sf)
D B+ (sf) B (sf) B+ (sf) B+ (sf) B+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1a AA+ (sf) AAA (sf) AAA (sf) AAA (sf)
A-1b AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
A2 AA (sf) AA+ (sf) A+ (sf) AA+ (sf)
B A (sf) A+ (sf) BBB+ (sf) A+ (sf)
C BBB- (sf) BBB- (sf) BB- (sf) BBB- (sf)
D B+ (sf) B+ (sf) CCC- (sf) B+ (sf)
RATING AND CREDITWATCH ACTIONS
ABCLO 2007-1 Ltd.
Rating
Class To From
A-1a AAA (sf) AA+ (sf)/Watch Pos
A-1b AA+ (sf) AA+ (sf)/Watch Pos
A-2 AA+ (sf) AA (sf)/Watch Pos
B A+ (sf) A (sf)/Watch Pos
C BBB- (sf) BBB- (sf)/Watch Pos
D B+ (sf) B+ (sf)/Watch Pos
AIRPLANES PASS-THROUGH: S&P Cuts Class A-9 Certs Rating to CCC-
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-9 certificates from Airplanes Pass-Through Trust to 'CCC- (sf)'
from 'CCC (sf)'. The securitization is an asset-backed securities
(ABS) transaction collateralized primarily by the lease revenue
znd sales proceeds from a portfolio of 28 aircraft and two
engines.
As of the Jan. 31, 2014, appraisal the portfolio has transitioned
to 28 aircraft and two engines with a $137.3 million average
appraised value, from 101 aircraft, five airframes, and 12 engines
with a $785.5 million average appraised value in March 2010.
Given the class A-9 certificates' $441.1 million current
outstanding balance, it is highly unlikely that the certificates
will be repaid in full, even if the current $127.9 million
maintenance reserve account was utilized. Although the
securitization is unlikely to pay full principal by its March 2019
final maturity, S&P assigned the 'CCC- (sf)' rating because the
current liquidity risk is low.
The aircraft have a weighted average age of nearly 23 years and
include eight A320-200, seven DHC8-300, six B737-400, three MD-83,
two B737-300SF and two B767-300ER. There are 24 aircraft leased
to 10 lessees operating in seven countries; the four other
aircraft and both engines are currently off lease. The engines
are CFM56-3C1s and we consider them to be in the final life cycle
phase.
The relative age and type of aircraft in the portfolio present
challenges to re-leasing prospects and S&P expects the aircraft
and engines to be sold upon lease expiration instead.
"In our analysis, we projected the cash flow by stressing each
aircraft's future depreciated value and lease rate; the
repossessed aircraft's time off lease; the lessees' default
frequency and default pattern; the remarketing, reconfiguration,
and repossession costs; the maintenance expenses; and the interest
rate risk," S&P said.
The class A-9 certificates had been receiving principal payments
since the class A-8 certificates paid down in full in November
2010. However, as of October 2013, Airplanes Ltd.'s board of
directors and controlling trustees resolved to increase the
liquidity reserve to $140 million from $110 million, regarding
ongoing litigation with Transbrasil, resulting in the principal
payments' discontinuation. Once the reserve account reaches $140
million, principal payments to class A-9 will re-commence. As of
the Feb. 18, 2014, payment date, the class A-9 principal balance
was $441.1 million. The transaction has not been able to make
payments to the class B, C, and D certificates since December
2003.
Standard & Poor's will continue to review whether, in its view,
the rating currently assigned to the certificates remains
consistent with the credit enhancement available to support them
and take rating actions as it deems necessary.
AIMCO CLO 2006-A: Moody's Hikes Rating on Class D Notes to Ba2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by AIMCO CLO, SERIES 2006-A:
$21,500,000 Class A-2 Senior Notes Due 2020, Upgraded to Aaa
(sf); previously on June 13, 2013 Upgraded to Aa1 (sf)
$20,000,000 Class B Deferrable Mezzanine Notes Due 2020, Upgraded
to Aa3 (sf); previously on June 13, 2013 Upgraded to A2 (sf)
$19,000,000 Class C Deferrable Mezzanine Notes Due 2020, Upgraded
to Baa3 (sf); previously on June 13, 2013 Affirmed Ba1 (sf)
$12,500,000 Class D Deferrable Mezzanine Notes Due 2020 (current
outstanding balance of $10,446,966), Upgraded to Ba2 (sf);
previously on June 13, 2013 Affirmed Ba3 (sf)
Moody's also affirmed the ratings on the following notes:
$305,000,000 Class A-1 Senior Notes Due 2020 (current outstanding
balance of $189,155,105), Affirmed Aaa (sf); previously on June
13, 2013 Affirmed Aaa (sf)
AIMCO CLO, SERIES 2006-A, issued in July 2006 and managed by
Allstate Investment Management Company, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in August 2013.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and/or an increase in the transaction's over-
collateralization ratios since the last rating action date in June
2013. The Class A-1 notes have been paid down by approximately 36%
or $111.2 million since the last rating action date. Based on the
trustee's March 5, 2014 report, the over-collateralization (OC)
ratios for the Class A, Class B, Class C and Class D notes are
reported at 132.03%, 120.58%, 111.41% and 106.93%, respectively,
versus 121.20%, 114.11%, 108.10% and 105.06%, respectively in May
2013.
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
February 2014.
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. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
In addition to the base case analysis, Moody's also 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% (1985)
Class A-1: 0
Class A-2: 0
Class B: +2
Class C: +3
Class D: +1
Moody's Adjusted WARF + 20% (2977)
Class A-1: 0
Class A-2: -1
Class B: -2
Class C: -1
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
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 $272.5 million, defaulted
par of $6.36 million, a weighted average default probability of
16.05% (implying a WARF of 2481), a weighted average recovery rate
upon default of 51.39%, a diversity score of 51 and a weighted
average spread of 3.00%.
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.
ARCAP 2005-1: S&P Lowers Rating on 9 Note Classes to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 29
classes from ARCap 2005-1 Resecuritization Trust, CT CDO IV Ltd.,
and LNR CDO III Ltd., all of which are commercial real estate
collateralized debt obligation (CRE CDO) transactions.
Concurrently, S&P affirmed its 'B- (sf)' rating on class A-1 from
CT CDO IV Ltd.
The downgrades and affirmation reflect S&P's analysis of the
transactions' liability structures and the underlying credit
characteristics of the collateral using S&P's global CDOs of
pooled structured finance assets criteria, S&P's rating
methodology and assumptions for U.S. and Canadian commercial
mortgage-backed securities (CMBS), and S&P's CMBS global property
evaluation methodology criteria. S&P also considered the amount
of defaulted assets in each of the transactions and their expected
recoveries in S&P's analysis.
S&P lowered the ratings on 27 classes from the three transactions
to 'D (sf)' because it expects that the classes are unlikely to be
repaid in full.
ARCAP 2005-1 RESECURITIZATION TRUST
According to the Feb. 21, 2014, trustee report, the transaction's
collateral totaled $179.2 million, while its liabilities,
including capitalized interest, totaled $645.7 million. This is
up from $568.3 million in liabilities at issuance. The
transaction's current asset pool includes 51 CMBS tranches from 13
distinct transactions issued between 1999 and 2005. Of the
underlying collateral, $69.8 million (39.0%) have ratings or
credit opinions that Standard & Poor's deems to be defaulted.
The following two transactions have the highest exposure in ARCap
2005-1 Resecuritization Trust:
-- Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6
(classes H, J, K, L, M, N, P, and Q; $28.5 million, 15.9%);
And
-- Morgan Stanley Capital I Trust 2005-TOP 19 (classes H, J,
K, L, M, O, and P; $27.0 million, 15.1%).
CT CDO IV Ltd.
According to the Feb. 20, 2014, trustee report, the transaction's
collateral totaled $200.9 million, while its liabilities,
including capitalized interest, totaled $211.9 million. This is
down from $483.8 million in liabilities at issuance. The
transaction's current asset pool includes the following:
-- Eighteen CMBS tranches ($127.5 million, 63.5%);
-- Six CRE CDOs ($45.2 million, 22.5%); and
-- Two subordinate mortgage interests ($28.1 million, 14.0%).
Of the underlying collateral, $85.6 million (42.6%) have ratings
or credit opinions that Standard & Poor's deems to be defaulted.
The trustee noted 17 defaulted assets ($116.2 million; 57.8%).
The following two transactions have the highest exposure in CT CDO
IV Ltd.:
-- CT CDO III Ltd. (classes G, H, J, and K; $32.0 million,
15.9%); and
-- GMAC Commercial Mortgage Securities Inc.'s series 2004-C2
(class B; $24.7 million, 12.3%).
LNR CDO III Ltd.
According to the Feb. 28, 2014, trustee report, the transaction's
collateral totaled $380.1 million, while its liabilities,
including capitalized interest, totaled $753.7 million. This is
down from $1,099.1 million in liabilities at issuance. The
transaction's current asset pool includes 104 CMBS tranches from
36 distinct transactions issued between 1997 and 2004.
The trustee noted 100 defaulted assets ($361.4 million; 95.1%).
The following two transactions have the highest exposure in LNR
CDO III Ltd.:
-- GE Commercial Mortgage Corp.'s series 2004-C2 (classes J,
K, L, M, N, O, and P; $44.4 million, 11.7%); and
-- Greenwich Capital Commercial Funding Corp.'s series 2003-C2
(classes K, L, M, N, O, and P; $44.0 million, 11.5%).
RATINGS LOWERED
ARCap 2005-1 Resecuritization Trust
Collateralized debt obligation certificates series 2005-1
Rating
Class To From
A CCC- (sf) CCC+ (sf)
C D (sf) CCC- (sf)
D D (sf) CCC- (sf)
E D (sf) CCC- (sf)
F D (sf) CCC- (sf)
G D (sf) CCC- (sf)
H D (sf) CCC- (sf)
J D (sf) CCC- (sf)
K D (sf) CCC- (sf)
L D (sf) CCC- (sf)
CT CDO IV Ltd.
Collateralized debt obligations series IV
Rating
Class To From
C CC (sf) CCC- (sf)
D-FL D (sf) CCC- (sf)
D-FX D (sf) CCC- (sf)
E D (sf) CCC- (sf)
F-FL D (sf) CCC- (sf)
F-FX D (sf) CCC- (sf)
G D (sf) CCC- (sf)
H D (sf) CCC- (sf)
J D (sf) CCC- (sf)
K D (sf) CCC- (sf)
L D (sf) CCC- (sf)
M D (sf) CCC- (sf)
LNR CDO III Ltd.
Collateralized debt obligations series 2005-1
Rating
Class To From
C D (sf) CCC- (sf)
D D (sf) CCC- (sf)
E-FX D (sf) CCC- (sf)
E-FL D (sf) CCC- (sf)
F-FX D (sf) CCC- (sf)
F-FL D (sf) CCC- (sf)
G D (sf) CCC- (sf)
RATING AFFIRMED
CT CDO IV Ltd.
Collateralized debt obligations series IV
Class Rating
A-1 B- (sf)
BABSON CLO 2005-III: S&P Affirms BB+ Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, and C notes from Babson CLO Ltd. 2005-III, a cash flow
collateralized loan obligation transaction managed by Babson
Capital Management LLC. At the same time, S&P affirmed its
ratings on the class D and E notes. In addition, S&P removed all
five of these ratings from CreditWatch, where they were placed
with positive implications on Jan. 22, 2014.
Since May 30, 2013, when S&P last took rating actions on this
transaction, it has paid down the class A note by $109 million to
47% of its initial issuance amount. As a result, the class A/B
overcollateralization (O/C) test ratio increased to 137% as of
Jan. 29, 2014, from 125% as of April 30, 2013. The upgrades
reflect the increase in credit support available to these notes.
Although the paydowns have increased subordination levels for all
classes, cash-flow analysis revealed that the class D notes were
sensitive to certain default patterns. As a result, S&P affirmed
its ratings on the class D and the class E notes to reflect the
availability of credit support at the current ratings.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and we will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Babson CLO Ltd 2005-III
Cash flow
Previous implied Cash-flow New
Class rating rating cushion (i) rating
A AA+(sf)/Watch Pos AAA (sf) 10.95% AAA (sf)
B AA+ (sf)/Watch Pos AAA (sf) 1.00% AAA (sf)
C A (sf)/Watch Pos A+ (sf) 3.64% A+ (sf)
D BBB- (sf)/Watch Pos BBB+ (sf) 0.45% BBB- (sf)
E BB+ (sf)/Watch Pos BB+ (sf) 4.81% BB+ (sf)
(i) The cash-flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash-flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated scenarios in
which it made negative adjustments of 10% to the current
collateral pool's recovery rates relative to each tranche's
weighted average recovery rate. S&P also generated other
scenarios by adjusting the intra- and inter-industry correlations
to assess the current portfolio's sensitivity to different
correlation assumptions assuming the correlation scenarios
outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
C A+ (sf) A+ (sf) A+ (sf) AA (sf) A+ (sf)
D BBB+ (sf) BB+ (sf) BBB- (sf) BBB+ (sf) BBB- (sf)
E BB+ (sf) BB (sf) BB+ (sf) BB+ (sf) BB+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf) AA+ (sf) AAA (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A+ (sf)
D BBB+ (sf) BBB- (sf) BB (sf) BBB- (sf)
E BB+ (sf) BB (sf) B+ (sf) BB+ (sf)
RATING AND CREDITWATCH ACTIONS
Babson CLO Ltd. 2005-III
Rating
Class To From
A AAA (sf) AA+ (sf)/Watch Pos
B AAA (sf) AA+ (sf)/Watch Pos
C A+ (sf) A (sf)/Watch Pos
D BBB- (sf) BBB- (sf)/Watch Pos
E BB+ (sf) BB+ (sf)/Watch Pos
BEAR STEARNS 2007-BBA8: Moody's Hikes Cl. L Notes' Rating to Caa1
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of ten classes,
including three non-pooled, or rake, classes and downgraded one
interest-only (IO) class of Bear Stearns Commercial Mortgage
Securities Inc. Commercial Mortgage Pass-Through Certificates,
Series 2007-BBA8 as follows:
Cl. E, Upgraded to Aaa (sf); previously on Jun 6, 2013 Upgraded to
A1 (sf)
Cl. F, Upgraded to A1 (sf); previously on Jun 6, 2013 Upgraded to
Baa2 (sf)
Cl. G, Upgraded to A3 (sf); previously on Jun 6, 2013 Upgraded to
Ba1 (sf)
Cl. H, Upgraded to Baa2 (sf); previously on Jun 6, 2013 Upgraded
to Ba3 (sf)
Cl. J, Upgraded to Ba2 (sf); previously on Jun 6, 2013 Affirmed B3
(sf)
Cl. K, Upgraded to B3 (sf); previously on Jun 6, 2013 Affirmed
Caa2 (sf)
Cl. L, Upgraded to Caa1 (sf); previously on Jun 6, 2013 Affirmed
Caa3 (sf)
Cl. PH-1, Upgraded to B1 (sf); previously on Jun 6, 2013 Affirmed
Caa2 (sf)
Cl. PH-2, Upgraded to B2 (sf); previously on Jun 6, 2013 Affirmed
Caa2 (sf)
Cl. PH-3, Upgraded to B3 (sf); previously on Jun 6, 2013 Affirmed
Caa3 (sf)
Cl. X-1B, Downgraded to B2 (sf); previously on Jun 6, 2013
Affirmed Ba3 (sf)
Ratings Rationale
The upgrades of the pooled principal and interest (P&I) classes
are primarily due to increased credit support resulting from loan
pay downs. The deal has paid down 54% since last review. The
upgrades of the rake classes, Class PH-1, Class PH-2 and Class PH-
3, are due to the deleveraging and improved performance of the
Prime Hospitality Portfolio Loan. The downgrade of the IO Class,
Class X-1B, is due to a decline in the weighted average rating
factor or WARF of its referenced classes due to the paydown of
highly rated classes.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause a downgrade of the ratings include a decline in the overall
performance of the pool, an increase in loan concentration,
increased 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.
Description of Models Used
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.6. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Deal Performance
As of the March 17, 2014 Payment Date, the transaction's aggregate
certificate balance has decreased by 91% to $153.4 million from
$1.8 billion at securitization. The certificates are
collateralized by two mortgage loans ranging in size from 49% to
51% of the pooled balance.
Moody's weighted average loan to value (LTV) ratio is 79% compared
to 82% at last review. Moody's stressed debt service coverage
ratio (DSCR) is 1.48x compared to 1.46x at last review. The pool
has incurred $43,926 in cumulative bond losses, affecting Class L.
The larger of the two remaining loans, the Westcore Colorado
Portfolio Loan ($72.5 million -- 51% of the pooled balance) is
secured by 13 office and office/R&D buildings with a total of 1.2
million square feet of net rentable area (NRA) located in the
Denver, Colorado MSA. Three buildings have been released from the
mortgage lien, including two buildings in Colorado Springs, CO. As
of September 2013 the portfolio was 88% leased compared to 89% at
last review and at securitization. The outstanding trust balance
has paid down by 26% since securitization due to the payment of
collateral release premiums and a cash flow sweep after payment of
debt service and the funding of a reserve for capital expenses and
leasing costs. The property also serves as collateral for a $65.6
million non-trust subordinate component. Moody's LTV is 90%
compared to 92% at last review. Moody's current credit assessment
is Caa1, the same as at last review.
The Prime Hospitality Portfolio Loan ($69.5 million -- 49%) is
secured by cross-collateralized and cross-defaulted mortgages on
two full-service and 11 limited-service hotels with a total of
1,814 rooms. The two full-service hotels are flagged by Hilton and
are located in Hasbrouck Heights, New Jersey (355-rooms) and
Saratoga Springs, New York (240-rooms). The remaining 11 hotels
have been re-reflagged as Wellesley Inns from La Quinta at
securitization. Since securitization four of the original 17
hotels in the portfolio were released. The outstanding trust
balance has declined by 44% since securitization due to the
payment of collateral release premiums, a partial loan pay down
and amortization. Revenue per Available Room (RevPAR) for the
year-to-date period ending in September 2013 was $76, a 9%
increase over RevPAR for full-year 2012. The outstanding trust
debt of $80.9 million includes an $11.5 million non-pooled
component, certificate Classes PH-1, PH-2 and PH-3. There is also
a $23.7 million non-trust subordinate component and $10.5 million
in mezzanine debt. Moody's LTV for the pooled debt is 69% compared
to 89% at last review. Moody's current credit assessment is Ba3
compared to Caa1 at last review.
BLUEMOUNTAIN CLO: S&P Assigns Prelim. BB Rating on Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings toBlueMountain CLO 2014-1 Ltd./BlueMountain CLO 2014-1
LLC's $475.625 million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of March 24,
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 to the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- The transaction's ability to make 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 0.2356%-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 reinvestment overcollateralization test, a
failure of which during the reinvestment period will lead to
the reclassification of principal proceeds of up to 50% of
the excess interest proceeds that are available before
paying uncapped administrative expenses and fees, hedge
payments, incentive management fees, and subordinate note
payments.
PRELIMINARY RATINGS ASSIGNED
BlueMountain CLO 2014-1 Ltd./BlueMountain CLO 2014-1 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 321.250
B-1 AA (sf) 30.000
B-2 AA (sf) 20.000
C (deferrable) A (sf) 41.250
D (deferrable) BBB (sf) 26.875
E (deferrable) BB (sf) 21.250
F (deferrable) B (sf) 15.000
Subordinated notes NR 37.600
NR-Not rated.
CABELA'S CREDIT: Fitch to Rate Class D Notes 'BBsf'
---------------------------------------------------
Fitch Ratings expects to assign the following ratings to Cabela's
Credit Card Master Note Trust's asset-backed notes, series 2014-I,
as follows:
-- $255,000,000 Class A floating-rate 'AAAsf'; Outlook Stable;
-- $24,000,000 Class B fixed-rate 'Asf'; Outlook Stable;
-- $12,750,000 Class C fixed-rate 'BBBsf'; Outlook Stable;
-- $8,250,000 Class D fixed-rate 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Fitch's expected ratings are based on the underlying receivables
pool, available credit enhancement, World's Foremost Bank's
underwriting and servicing capabilities, and the transaction's
legal and cash flow structures, which employ early redemption
triggers.
The transaction structure is similar to series 2013-II, with
credit enhancement totaling 15% for class A, credit enhancement of
7% for the class B, credit enhancement of 2.75% plus an amount
from a spread account for the class C, and credit enhancement of
an amount from a spread account for the class D notes only.
RATING SENSITIVITIES
Fitch models three different scenarios when evaluating the rating
sensitivity compared to expected performance for credit card
asset-backed securities transactions: 1) increased defaults; 2) a
reduction in monthly payment rate (MPR), and 3) a combination
stress of higher defaults and lower MPR.
Increasing defaults alone has the least impact on rating migration
even in the most severe scenario of a 75% increase in defaults.
The rating sensitivity to a reduction in MPR is more pronounced
with a moderate stress, of a 25% reduction, leading to possible
downgrades across all classes. The harshest scenario assumes both
stresses occur simultaneously. Similarly, the ratings would only
be downgraded under the moderate stress of a 40% increase in
defaults and 20% reduction in MPR; however the severe stress could
lead to more drastic downgrades to all classes.
To date, the transactions have exhibited strong performance with
all performance metrics within Fitch's initial expectations.
CANYON CAPITAL 2014-1: Moody's Rates Cl. E Notes '(P)B2'
--------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Canyon Capital CLO 2014-1, Ltd.
(the "Issuer" or "Canyon 2014-1").
Moody's rating action is as follows:
$260,000,000 Class A-1 Senior Secured Floating Rate Notes due
2025 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
$48,000,000 Class A-2 Senior Secured Floating Rate Notes due 2025
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
$28,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2025 (the "Class B Notes"), Assigned (P)A2 (sf)
$20,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2025 (the "Class C Notes"), Assigned (P)Baa3 (sf)
$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2025 (the "Class D Notes"), Assigned (P)Ba3 (sf)
$7,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2025 (the "Class E Notes"), Assigned (P)B2 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes and the Class E 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.
Canyon 2014-1 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% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans
and unsecured loans. The underlying portfolio is expected to be
approximately 80% ramped as of the closing date.
Canyon Capital Advisors 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 50% of
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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2550
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 7.5 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
February 2014.
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 2550 to 2933)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2550 to 3315)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
Class E Notes: -3
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.
CAPITAL LEASE 1997-CTL1: Fitch Hikes Class D Notes' Rating to 'B'
-----------------------------------------------------------------
Fitch Ratings upgrades one class and affirms the remaining three
distressed classes of Capital Lease Funding Securitization, L.P.,
Series 1997-CTL-1 corporate credit backed pass-through securities.
Key Rating Drivers
The upgrade reflects stable overall pool performance and continued
amortization. All remaining loans are current and there are no
loans on the watchlist.
Of the original 30 loans, six loans remain, each of which is a
credit tenant lease on a single-tenant property.
Currently, 100% of the underlying credit tenants are considered
below investment grade by Fitch, compared with 79.5% at the
previous review and 30.4% at issuance.
As of the March 2014 distribution, the pool balance has been
reduced by 94.8% to $6.7 million from $129.4 million at issuance.
RATINGS SENSITIVITY
The Rating Outlook on class G is Stable as future affirmations are
expected. While credit enhancement is high, upgrades are not
anticipated due to the significant concentration of the remaining
pool and the risks associated with single-tenant properties. In
addition, due to the nature of credit tenant leases, the master
servicer does not provide updated financial reporting, leasing
information or other performance details for the loans in the
pool.
The pool's listed tenants are: RadioShack Corp. (55.4% of the
pool; rated 'CCC' as of January 2014), Rite Aid Corp. (25.4%;
rated 'B-' with a Stable Outlook as of November 2013), Walgreen
Co. (7.2%; rated investment grade), Delhaize America Inc. (7.1%;
rated investment grade), and CVS Caremark Corporation (4.9%; rated
'BBB+' with a Stable Outlook as of January 2014).
The largest loan in the pool (55.4% of the pool) is collateralized
by a 184,000 square foot (sf) industrial building located directly
south of Salt Lake City, UT. The property was originally leased
to Radioshack; however, the last inspection report indicated that
the building is now occupied by Costco. The servicer was unable
to provide information on the new tenant, including lease or
sublease terms and rate. The building appeared to be well
maintained and fully utilized by the sub-tenant for its new
intended use.
Fitch upgrades the following class and revises the Outlook as
indicated:
-- $2.9 million class D to 'Bsf' from 'B-sf'; Outlook to Stable
from Negative;
Fitch affirms the following class and Recovery Estimate:
-- $3.8 million class E at 'Dsf'; RE 50%.
Classes A-1, A-2, A-3, B, and C have repaid in full. Classes F
and G, which remain at 'D'; RE 0%, have been reduced to zero due
to realized losses. Fitch previously withdrew its rating on the
interest-only class IO.
CARLYLE GLOBAL 2014-1: S&P Assigns BB- Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Carlyle
Global Market Strategies CLO 2014-1 Ltd./Carlyle Global Market
Strategies CLO 2014-1 LLC's $652.50 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding the excess spread), and cash flow structure,
which can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which S&P expects to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- The transaction's ability to make 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
0.2356%-13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
RATINGS ASSIGNED
Carlyle Global Market Strategies CLO 2014-1 Ltd./Carlyle Global
Market Strategies CLO 2014-1 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A AAA (sf) 448.00
B AA (sf) 67.00
C (deferrable) A (sf) 64.00
D (deferrable) BBB (sf) 34.00
E (deferrable) BB- (sf) 34.50
Y NR 3.50
Subordinated notes NR 74.00
NR-Not rated.
COBALT 2007-C3: Fitch Affirms 'Dsf' Rating on Class H Certs
---------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 17 classes of
Cobalt CMBS Commercial Mortgage Trust (COBALT) commercial mortgage
pass-through certificates series 2007-C3.
Key Rating Drivers
The upgrade and affirmations reflect increased credit enhancement
as a result of paydown of approximately $304.9 million (or 15.1%
of the original pool balance) since Fitch's last review. Fitch
modeled losses of 15.6% of the remaining pool; expected losses on
the original pool balance total 16%, including $72.1 million (3.6%
of the original pool balance) in realized losses to date. Fitch
has designated 40 loans (44.3%) as Fitch Loans of Concern, which
includes 11 specially serviced assets (9%).
Rating Sensitivities
The ratings of the 'AAA' rated classes are expected to remain
stable as these classes are expected to continue to receive
paydown. The distressed classes are subject to further rating
actions as losses are realized.
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 20.4% to $1.6 billion from
$2.02 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes F through P.
The largest contributor to expected losses is the Irvine EOP San
Diego Portfolio loan (8.5% of the pool), the second largest loan
in the pool. The loan is collateralized by seven properties
consisting of six class A and B office buildings and one single-
tenant restaurant all located in San Diego, CA. The aggregate
square footage for the portfolio is 380,954 square feet (sf). Per
the June 2013 rent rolls the portfolio's occupancy has improved to
95%, compared to 81% in December 2011, and 69% June 2010. Despite
occupancy improvements, property performance remains below
underwritten levels with the net operating income (NOI) debt
service coverage ratio (DSCR) reporting at 0.59x and 0.67x for
year to date (YTD) June 2013 and year end (YE) December 2012,
respectively. The loan remains current and is with the master
servicer.
The next largest contributor to expected losses is the Sheraton
Suites - Alexandria, VA loan (3.4%), the fourth largest loan in
the pool. The loan is secured by a 247-key full-service hotel
located in the Old Town section of Alexandria, VA, just outside of
Washington, D.C. The property has had declining occupancy and
room revenues since 2011. The trailing 12-months (TTM) ended
January 2014 reported occupancy of 71.9%, ADR of $135.33, and
RevPAR of $97.29, compared with 74.5%, $151.29, and $112.68,
respectively, at YE December 2011. Per the January 2014 Smith
Travel Research Report (STR), the property is underperforming its
competitive set which reports TTM occupancy at 71.3%, ADR at
$156.77, and RevPAR at $151.29. The YE 2013 NOI had declined 16%
from YE 2012, primarily due to a 10% decline in room revenues.
The loan, which has been amortizing since July 2012, reported an
NOI DSCR of 0.89x for YE 2013, compared to 1.16x at YE 2012 and
1.42x at YE 2011. The loan remains current and is with the master
servicer.
The third largest contributor to expected losses is the 90 John
Street loan (3.6%), which is secured by a 190,281-sf Class B
office building in downtown Manhattan. The property performance
has remained below underwritten expectations. Occupancy has
declined to 80.6% as of February 2014, compared to 85.6% at
December 2012, 87.5% at December 2011, and 89.6% in-place at
issuance; the loan was underwritten with a 95.1% economic
occupancy. The YE 2013 DSCR reported at 0.86x, compared to 0.95x
at YE 2012, and 1.0x in-place DSCR at issuance; the loan was
underwritten with a DSCR of 1.32x The property's largest tenant,
MCI (19% net rentable area [NRA]), recently executed a three-year
extension to September 2017 on its current lease which expires in
September 2014. Of the remaining tenants, leases for
approximately 10% of the property NRA are scheduled to expire in
the next 12 months. The loan remains current and is with the
master servicer.
Fitch upgrades the following class as indicated:
-- $201.7 million class A-M to 'BBB-sf' from 'BBsf', Outlook
Stable.
Fitch affirms the following classes as indicated:
-- $23.8 million class A-PB at 'AAAsf', Outlook Stable;
-- $783 million class A-4 at 'AAAsf', Outlook Stable;
-- $264.7 million class A-1A at 'AAAsf', Outlook Stable;
-- $153.8 million class A-J at 'CCCsf', RE 55%;
-- $40.3 million class B at 'CCCsf', RE 0%;
-- $20.2 million class C at 'CCsf', RE 0%;
-- $25.2 million class D at 'CCsf', RE 0%;
-- $20.2 million class E at 'Csf', RE 0%;
-- $25.2 million class F at 'Csf', RE 0%;
-- $22.7 million class G at 'Csf', RE 0%;
-- $23.7 million 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 and A-3 certificates have paid in full. Fitch
does not rate the class P certificates. Fitch previously withdrew
the rating on the interest-only class IO certificates.
CHASE FUNDING 2004-1: Moody's Cuts Rating on Cl. IIB Tranche to C
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches from two transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Chase Funding Trust, Series 2004-1
Cl. IIA-2, Downgraded to A3 (sf); previously on Mar 7, 2011
Downgraded to A1 (sf)
Cl. IIB, Downgraded to C (sf); previously on Jul 19, 2012 Upgraded
to Ca (sf)
Issuer: Metropolitan Asset Funding, Inc. II Series, 1998-A
X, Downgraded to Caa1 (sf); previously on Jun 27, 2013 Downgraded
to B3 (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 downgrades are a result of deteriorating
performance and/or structural features resulting in higher
expected losses for the bonds than previously anticipated.
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:
The primary source of assumption uncertainty is the uncertainty in
our central macroeconomic forecast and performance volatility due
to servicer-related issues. The unemployment rate fell from 7.9%
in February 2013 to 6.7% in February 2014. Moody's forecasts an
unemployment central range of 6.5% to 7.5% for the 2014 year.
Moody's expects house prices to continue to rise in 2014.
Performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
COMM 2014-CCRE16: Fitch to Assign 'B' Rating to Class F Notes
-------------------------------------------------------------
Fitch Ratings has issued a presale report on Deutsche Bank
Securities, Inc.'s COMM 2014-CCRE16 Commercial Mortgage Trust
Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $54,127,000 class A-1 'AAAsf'; Outlook Stable;
-- $144,926,000 class A-2 'AAAsf'; Outlook Stable;
-- $74,206,000 class A-SB 'AAAsf'; Outlook Stable;
-- $190,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $281,426,000 class A-4 'AAAsf'; Outlook Stable;
-- $819,153,000a class X-A 'AAAsf'; Outlook Stable;
-- $74,468,000b class A-M 'AAAsf'; Outlook Stable;
-- $58,513,000b class B 'AA-sf'; Outlook Stable;
-- $180,853,000b class PEZ 'A-sf'; Outlook Stable;
-- $47,872,000b class C 'A-sf'; Outlook Stable;
-- $160,906,000a,c class X-B 'BBB-sf'; Outlook Stable;
-- $54,521,000c class D 'BBB-sf'; Outlook Stable;
-- $25,266,000c class E 'BBsf'; Outlook Stable;
-- $10,639,000c class F 'Bsf'; Outlook Stable.
(a)Notional amount and interest only.
(b)Class A-M, B and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for
class A-M, B, and C certificates.
(c)Privately placed and pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of March 21, 2014. Fitch does not expect to rate the
$83,777,908 interest-only class X-C or the $47,872,908 class G.
The certificates represent the beneficial ownership interest in
the trust, primary assets of which are 56 loans secured by 84
commercial properties having an aggregate principal balance of
approximately $1.064 billion, as of the cutoff date. The loans
were contributed to the trust by Cantor Commercial Real Estate
Lending, L.P., German American Capital Corporation, and The
Bancorp Bank.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.1% of the properties
by balance, cash flow analysis of 87.7%, and asset summary reviews
on 93.1% of the pool.
Key Rating Drivers
High Fitch Leverage: The pool's Fitch DSCR and LTV of 1.13x and
108.5%, respectively, are worse than the 2013 and YTD 2014
averages of 1.29x and 101.6%, and 1.16x and 104.9%, respectively.
Traditional Property Type Mix: The pool contains a traditional mix
of property types with the largest property type in the pool being
office at 30.8%, followed by retail at 21.6%, hotel at 15.3%,
mixed use at 14.2%, and multifamily at 13.4% of the pool. No other
property type comprises more than 3.3% of the pool.
Limited Amortization: The pool is scheduled to amortize by 12.6%
of the initial pool balance prior to maturity. The pool's
concentration of partial interest loans (42.1%), which includes
five of the 10 largest loans, is higher than the 2013 average
(34.0%). However, the pool's concentration of full-term interest-
only loans (14.2%), including two of the 10 largest loans, is
slightly lower than the 2013 average (17.1%).
Geographic Concentration: The largest state concentrations are New
York (22.6%) and California (18.8%), which includes six of the 10
largest loans. No other state represents more than 9.2% of the
pool.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 5.7% below
the full-year 2013 net operating income (NOI; for properties that
provided 2013 NOI, excluding properties that were stabilizing
during this period). Unanticipated further declines in property-
level NCF could result in higher defaults and loss severities on
defaulted loans, and could result in potential rating actions on
the certificates. Fitch evaluated the sensitivity of the ratings
assigned to COMM 2014-CCRE16 certificates and found that the
transaction displays slightly above-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 'BBB+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 master servicer will be KeyBank National Association, rated
'CMS1' by Fitch. The special servicer will be LNR Partners, LLC,
rated 'CSS1-' by Fitch.
CPS AUTO 2014-A: Moody's Assigns B2 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by CPS Auto Receivables Trust 2014-A. This is the
first senior/subordinated transaction of the year for Consumer
Portfolio Services, Inc. (CPS).
Issuer: CPS Auto Receivables Trust 2014-A
$128,700,000, 1.21% Class A Asset-Backed Notes, Definitive Rating
Assigned Aa3 (sf)
$20,700,000, 2.40% Class B Asset-Backed Notes, Definitive Rating
Assigned A1 (sf)
$16,650,000, 3.29% Class C Asset-Backed Notes, Definitive Rating
Assigned Baa2 (sf)
$9,000,000, 5.11% Class D Asset-Backed Notes, Definitive Rating
Assigned Ba3 (sf)
$4,950,000, 6.38% Class E Asset-Backed Notes, Definitive Rating
Assigned B2 (sf)
Ratings Rationale
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, the experience and expertise of CPS as
servicer, and the backup servicing arrangement with Aa3-rated
Wells Fargo Bank, N.A.
The principal methodology used in this rating was "Moody's
Approach to Rating Auto Loan-Backed ABS" published in May 2013.
Moody's median cumulative net loss expectation for the underlying
pool is 15.00%. The loss expectation was based on an analysis of
CPS' portfolio vintage performance as well as performance of past
securitizations, and current expectations for future economic
conditions.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US job market and the market for used vehicles. Other
reasons for better-than-expected performance include changes to
servicing practices that enhance collections or refinancing
opportunities that result in prepayments.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US job market and the market for used vehicles. Other
reasons for worse-than-expected performance include poor
servicing, error on the part of transaction parties, inadequate
transaction governance and fraud.
CREDIT SUISSE 2004-C1: Moody's Lowers Rating on Cl. J Notes to C
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes,
upgraded the ratings on four classes and downgraded the ratings on
three classes in Credit Suisse First Boston Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-
C1 as follows:
Cl. D, Upgraded to Aaa (sf); previously on Sep 13, 2013 Upgraded
to Aa1 (sf)
Cl. E, Upgraded to Aa1 (sf); previously on Sep 13, 2013 Upgraded
to Aa3 (sf)
Cl. F, Upgraded to A2 (sf); previously on Sep 13, 2013 Upgraded to
Baa1 (sf)
Cl. G, Upgraded to Ba1 (sf); previously on Sep 13, 2013 Affirmed
Ba3 (sf)
Cl. H, Downgraded to Caa2 (sf); previously on Sep 13, 2013
Affirmed B3 (sf)
Cl. J, Downgraded to C (sf); previously on Sep 13, 2013 Affirmed
Caa3 (sf)
Cl. K, Affirmed C (sf); previously on Sep 13, 2013 Affirmed C (sf)
Cl. A-X, Downgraded to Caa2 (sf); previously on Sep 13, 2013
Affirmed Ba3 (sf)
Cl. A-Y, Affirmed Aaa (sf); previously on Sep 13, 2013 Affirmed
Aaa (sf)
Ratings Rationale
The rating Class K class was affirmed because the rating is
consistent with Moody's expected loss.
The ratings on Classes D through G were upgraded based primarily
on an increase in credit support resulting from loan paydowns,
amortization and anticipated paydowns. The deal has paid down 89%
since Moody's last review.
The ratings Classes H and J were downgraded due to realized and
anticipated losses from specially serviced and troubled loans that
were higher than Moody's had previously expected. The downgrades
also consider potential losses from the Northfield Square Mall
Loan, which recently transferred into special servicing.
The rating on the IO Class (Class A-X) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
The ratings on the IO Class (Class A-Y) was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced Co-op loans.
Moody's rating action reflects a base expected loss of 19.1% of
the current balance, compared to 2.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.1% of the
original pooled balance, compared to 3.9% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 6 compared to 22 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. 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 March 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $87.0
million from $1.62 billion at securitization. The certificates are
collateralized by 20 mortgage loans ranging in size from less than
1% to 28% of the pool, with the top ten loans constituting 81% of
the pool. Two loans, constituting 3% of the pool, are backed by
residential coops and have investment-grade credit assessments.
Two loans, constituting 10% of the pool, have defeased and are
secured by US government securities.
Three loans, constituting 25% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Twenty-four loans have been liquidated from the pool, resulting in
an aggregate realized loss of $50 million (for an average loss
severity of 59%). Seven loans, constituting 44% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Northfield Square Mall Loan ($24.7 million -- 28.4% of
the pool), which is secured by a regional mall located in
Bourbonnais, Illinois, approximately 50 miles southwest of
Chicago. The anchors tenants include Carson Pirie Scott, Sears, JC
Penney and a multiplex theater. The mall was 90% leased as of
year-end 2013 compared to 89% at the prior review. The mall
transferred to special servicing in January 2014 due to imminent
default. Simon Property Group is the loan sponsor. The special
servicer and Simon have agreed to an uncontested foreclosure. The
process has started and a receiver is to be appointed.
The remaining six specially serviced loans are secured by a mix of
multifamily and retail. Moody's estimates an aggregate $16.3
million loss for the specially serviced loans (43% expected loss
on average).
Moody's received full year 2012 operating results for 92% of the
pool, and full or partial year 2013 operating results for 83% of
the pool. Moody's weighted average conduit LTV is 75% compared to
76% at Moody's last review. Moody's conduit component excludes
loans with credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.31X and 1.54X,
respectively, compared to 1.47X and 1.46X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The credit assessments are associated with two residential
cooperative loans which represent $2.4 million in total loan
balance, or a 3% share of the overall pool. Moody's credit
assessment for these loans is Aaa.
The top three conduit loans represent 33% of the pool balance. The
largest loan is the Bank One Office Building Loan ($16.4 million -
- 19% of the pool), which is secured by secured by a 501,000
square foot office tower located in the central business district
of Oklahoma City, Oklahoma. The property was 65% leased as of
September 2013, compared to 60% at last review. Moody's LTV and
stressed DSCR are over 100% and 0.69X, respectively, compared to
over 100% and 0.85X at the last review.
The second largest loan is the Irving Towne Center Loan ($9.1
million -- 10% of the pool), which is secured by a Target-anchored
retail center located in Irving, Texas. The property was 72%
leased as of November 2013. The loan is fully amortizing. Moody's
LTV and stressed DSCR are 80% and 1.32X, respectively, compared to
75% and 1.41X at the last review.
The third largest loan is the Huntington Plaza Loan ($3.3 million
-- 4% of the pool), which is secured by a 48,000 SF office
building located in Huntington Beach, California. The property was
90% leased as of November 2013. Moody's LTV and stressed DSCR are
93% and 1.16X, respectively, compared to 106% and 1.02X at the
last review.
CREST G-STAR 2001-1: Moody's Ups Rating on Class C Notes to 'Ba3'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following note issued by Crest G-Star 2001-1, LP. ("Crest G-Star
2001-1"):
$20,000,000 Class C Third Priority Fixed Rate Term Notes, Due
2035, Upgraded to Ba3 (sf); previously on May 8, 2013 Affirmed
Caa3 (sf)
Moody's has also affirmed the rating on the following note:
$15,000,000 Class D Fourth Priority Fixed Rate Term Notes, Due
2035, Affirmed Ca (sf); previously on May 8, 2013 Affirmed Ca (sf)
Ratings Rationale
Moody's has upgraded the rating of one note due to improvement in
asset pool credit composition as evidenced by the weighted average
rating factor (WARF). This is the result of ratings upgrades on
approximately 70% of the underlying collateral since last review
as well as greater than expected recoveries on the underlying
defaulted collateral. 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.
Crest G-Star 2001-1 is a static pooled cash transaction. The
transaction is backed by a portfolio of commercial mortgage backed
securities (CMBS) (99.2% of the current pool balance) and one
whole loan (0.8%); all issued between 1999 and 2001. As of the
trustee's February 28, 2014 report, the aggregate note balance of
the transaction, including preferred shares, has decreased to
$76.5 million from 500.4 million at issuance as a result of pay-
downs to the senior notes.
The pool contains nine assets totaling $43.8 million (99.2% of the
collateral pool balance) that are listed as defaulted securities
as of the trustee's February 28, 2014 report. All of these assets
(100% of the defaulted balance) are CMBS. While there have been
limited realized losses on the underlying collateral to date,
Moody's does expect moderate losses to occur on the defaulted
securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: 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 2,968
compared to 4,230 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (0.0% compared to 11.7% at last
review), A1-A3 (18.1% compared to 0.0% at last review), Baa1-Baa3
(28.7% compared to 10.7% at last review), Ba1-Ba3 (0.0% compared
to 16.9% at last review), B1-B3 (24.1% compared to 14.1% at last
review), and Caa1-Ca/C (29.1% compared to 46.6% at last review).
Moody's modeled a WAL of 3.3 years, compared to 2.2 years at last
review. The WAL is based on assumptions about extensions on the
underlying loans within the CMBS collateral and the direct loan
collateral.
Moody's modeled a fixed WARR of 0.43%, compared to 13.1% at last
review.
Moody's modeled a MAC of 16.1%, compared to 17.3% 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 March 2014.
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 ratings of the underlying collateral and credit
assessments. Holding all other key parameters static, notching
down the collateral pool by one notch would result in an average
modeled rating movement on the rated notes of one notch downward
(e.g., one notch down implies a ratings movement of Baa3 to Ba1).
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.
FIRST UNION 1998-C2: Moody's Cuts Rating on Cl. IO Certs to Caa1
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one class
in First Union-Lehman Brothers-Bank of America Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 1998-
C2 as follows:
Cl. IO, Downgraded to Caa1 (sf); previously on Feb 27, 2014
Affirmed B3 (sf)
Ratings Rationale
The downgrade of First Union-Lehman Brothers-Bank of America
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 1998-C2 Class IO (CUSIP: 337367AG1) to
Caa1(sf) from B3(sf) is due to correction of a prior error. The
rating on the IO class is dependent upon the credit performance of
the referenced classes of the transaction. In the rating action
announced on February 27, 2014, there was an input error in the
current balance of one of the referenced classes. The error has
now been corrected, and the rating action reflects that change.
Factors that would lead to an upgrade or downgrade of the rating:
The rating of an IO class is based on the credit performance of
its referenced classes. An IO class may be upgraded based on a
lower weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000 and "Commercial Real Estate
Finance: Moody's Approach to Rating Credit Tenant Lease
Financings" published in November 2011.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 4 compared to 6 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v8.6 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
Moody's currently uses a Gaussian copula model, incorporated in
its public CDO rating model CDOROM v2.10-15, to generate a
portfolio loss distribution for the CTL component of the pool.
Deal Performance
As of the March 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $220 million
from $3.4 billion at securitization. The Certificates are
collateralized by 89 mortgage loans ranging in size from less than
1% to 25% of the pool, with the top ten loans (excluding
defeasance) representing 55% of the pool. Fourteen loans,
representing 8% of the pool, have defeased and are secured by US
Government securities.
The CTL component consists of 46 loans, totaling 36% of the pool,
secured by properties leased to 11 tenants.
FIRST UNION 2001-C1: Fitch Affirms Dsf Rating on Class K Certs
--------------------------------------------------------------
Fitch Ratings has affirmed eight classes of First Union National
Bank - Bank of America, N.A. Commercial Mortgage Trust, series
2001-C1 commercial mortgage pass-through certificates.
Key Rating Drivers
Fitch's affirmations are the result of continued stable
performance of the two remaining loans within the collateral pool.
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 98.2% to $24 million from
$1.31 billion at issuance. Interest shortfalls are currently
affecting classes H through Q.
Rating Sensitivity
No rating changes are expected as at this time, the pool is not
experiencing any principal amortization; principal payment to the
class H, the most senior class, will likely derive from
liquidation proceeds of the one REO property remaining.
The largest remaining loan is a $13.3 million loan (55.4% of the
pool) that is secured by a 280-unit multifamily project located in
Las Vegas, NV. The loan was transferred to the special servicer
in January 2011 and the borrower filed for bankruptcy protection
in October 2011. The debtor's plan of reorganization was
approved in December 2012 which extended the term on the secured
debt through June 2022 and reduced the interest rate from 8.1% to
4.3%. Payments are interest-only for the first 5 years then
reverting to principal and interest starting in year 6. Since the
modification was completed, the loan has performed as agreed and
was returned to master servicer in December 2012. As of year-end
2013, the property was 90% occupied. The 2013 net operating
income debt service coverage ratio (NOI DSCR) was 1.71x, an
increase from 2012's NOI DSCR (1.01x) as a result of the
property's improvement as well as the modification of payment
terms.
The second largest loan and the largest contributor to expected
losses is a specially-serviced industrial loan (44.6% of the pool)
which is secured by an 836k SF industrial complex comprised of 10
warehouse buildings located in Greenville, NC. The loan
transferred to special servicing in December 2010 and foreclosure
was completed in August 2012. As of year-end 2013 the properties
were 51% occupied and reported a net operating income of $846k.
It is anticipated that the property will be marketed for sale in
2014.
Fitch affirms the following classes as indicated:
-- $3.1 million class H at 'CCCsf', RE 100%;
-- $19.6 million class J at 'Csf', RE 75%.
-- $1.3 million class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%.
The class A-1, A-2, A-2F, B, C, D, E, F and G certificates have
paid in full. Fitch does not rate the class Q certificates.
Fitch previously withdrew the ratings on the interest-only class
IO-I, IO-II and IO-III certificates.
FRASER SULLIVAN: Moody's Affirms Ba2 Rating on Two Note Classes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Fraser Sullivan CLO I, Ltd.:
$31,000,000 Class C Senior Secured Deferrable Floating Rate Notes
Due March 15, 2020, Upgraded to Aaa (sf); previously on September
10, 2013 Upgraded to Aa1 (sf)
$22,800,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes Due March 15, 2020, Upgraded to A3 (sf); previously on
September 10, 2013 Upgraded to Baa2 (sf)
$10,200,000 Class D-2 Senior Secured Deferrable Fixed Rate Notes
Due March 15, 2020, Upgraded to A3 (sf); previously on September
10, 2013 Upgraded to Baa2 (sf)
$15,000,000 Composite Obligations Due March 15, 2020 (current
outstanding rated balance of $7,083,181), Upgraded to Aa1 (sf);
previously on September 10, 2013 Upgraded to Aa3 (sf)
Moody's also affirmed the ratings on the following notes:
$50,000,000 Class A-1 Senior Secured Floating Rate Revolving
Notes Due 2020 (current outstanding balance of $12,634,696),
Affirmed Aaa (sf); previously on September 10, 2013 Affirmed Aaa
(sf)
$298,000,000 Class A-2 Senior Secured Floating Rate Term Notes
Due 2020 (current outstanding balance of $75,302,788), Affirmed
Aaa (sf); previously on September 10, 2013 Affirmed Aaa (sf)
$32,000,000 Class B Senior Secured Floating Rate Notes Due 2020,
Affirmed Aaa (sf); previously on September 10, 2013 Affirmed Aaa
(sf)
$10,200,000 Class E-1 Senior Secured Deferrable Floating Rate
Notes Due 2020, Affirmed Ba2 (sf); previously on September 10,
2013 Upgraded to Ba2 (sf)
$4,800,000 Class E-2 Senior Secured Deferrable Fixed Rate Notes
Due 2020, Affirmed Ba2 (sf); previously on September 10, 2013
Upgraded to Ba2 (sf)
Fraser Sullivan CLO I, Ltd., issued in March 2006, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in March 2012.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since August 2013. The Class A notes have
been paid down by approximately 28% or $35 million since August
2013. Based on the trustee's February 2014 report, the over-
collateralization (OC) ratios for the Class A/B, Class C, Class D
and Class E notes are reported at 183.80%, 146.05%, 119.85% and
110.81%, respectively, versus August 2013 levels of 166.89%,
138.99%, 117.99% and 110.41%, respectively. Moody's also notes
that the rated balance of the Composite Obligations has decreased
7% or $537,456 since August 2013.
The deal has also benefited from an improvement in the credit
quality of the portfolio since August 2013. Based on Moody's
calculations, the weighted average rating factor is currently 2942
compared to 3104 in August 2013.
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
February 2014.
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. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
In addition to the base case analysis, Moody's also 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% (2353)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D-1: +2
Class D-2: +2
Class E-1: +1
Class E-2: +1
Composite Obligations: +1
Moody's Adjusted WARF + 20% (3530)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
Class D-1: -2
Class D-2: -2
Class E-1: -1
Class E-2: 0
Composite Obligations: -2
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 February 2014.
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 $219.6 million, defaulted
par of $3.8 million, a weighted average default probability of
19.03% (implying a WARF of 2942), a weighted average recovery rate
upon default of 51.05%, a diversity score of 31 and a weighted
average spread of 3.51%.
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.
GALAXY VIII: Moody's Raises Rating on Class E Notes to 'Ba1'
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Galaxy VIII CLO, Ltd.:
$24,400,000 Class C Deferrable Mezzanine Floating Rate Notes Due
2019, Upgraded to Aa1 (sf); previously on June 6, 2013 Upgraded to
A1 (sf)
$18,700,000 Class D Deferrable Mezzanine Floating Rate Notes Due
2019, Upgraded to A3 (sf); previously on June 6, 2013 Upgraded to
Baa3 (sf)
$12,500,000 Class E Deferrable Junior Floating Rate Notes Due
2019, Upgraded to Ba1 (sf); previously on June 6, 2013 Upgraded to
Ba2 (sf)
$10,000,000 Class X Combination Notes (current rated balance of
$2,383,594), Upgraded to Aa1 (sf); previously on June 6, 2013
Upgraded to A3 (sf)
Moody's also affirmed the ratings on the following notes:
$372,500,000 Class A Senior Term Notes Due 2019 (current
outstanding balance of $137,247,832), Affirmed Aaa (sf);
previously on June 6, 2013 Affirmed Aaa (sf)
$33,750,000 Class B Senior Floating Rate Notes Due 2019, Affirmed
Aaa (sf); previously on June 6, 2013 Upgraded to Aaa (sf)
Galaxy VIII CLO, Ltd., issued in March 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
April 2013.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since July 2013. The Class A notes have
been paid down by approximately 39% or $144.4 million since July
2013. Based on the trustee's February 2014 report, the over-
collateralization (OC) ratios for the Senior Class, Class C, Class
D and Class E notes are at 142.61%, 124.81%, 113.90% and 107.62%,
respectively, versus July 2013 levels of 123.49%, 114.63%, 108.65%
and 104.99%. Moody's also notes that the rated balance of Class X
combination notes decreased from $2.9 million to $2.4 million
since July 2013.
The deal has also benefited from improvement in credit quality of
the portfolio since July 2013. Based on the trustee's February
2014 report, the weighted average rating factor is currently 2250
compared to 2360 in July 2013.
Class X Combination Notes continue to benefit from proceeds
originating from its $4.0 million Subordinated Notes and $6.0
million Class D Notes components. Since July 2013, the proceeds
from its Subordinated Notes and Class D Notes components amounted
to $518,406 and $72,008, respectively, and have reduced the rated
balance of the notes by equal amounts.
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
February 2014.
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. 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. Such reinvestment could affect the
transaction either positively or negatively. In particular,
Moody's tested for a possible extension of the actual weighted
average life in its analysis given that the post-reinvestment
period reinvesting criteria has loose restrictions on the weighted
average life of the portfolio.
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% (1866)
Class A: 0
Class B: 0
Class C: +1
Class D: +2
Class E: +1
Class X: 0
Moody's Adjusted WARF + 20% (2798)
Class A: 0
Class B: 0
Class C: -2
Class D: -2
Class E: -1
Class X: -3
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 February 2014.
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 $243.3 million, defaulted
par of $1.1million, a weighted average default probability of
13.32% (implying a WARF of 2332), a weighted average recovery rate
upon default of 51.64%, a diversity score of 43 and a weighted
average spread of 2.91%.
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.
GMAC COMMERCIAL 2000-C2: S&P Raises Rating on Class G Certs to B+
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised to 'B+ (sf)' from 'CCC
(sf)' its rating on the class G commercial mortgage pass-through
certificates from GMAC Commercial Mortgage Securities Inc.'s
series 2000-C2, a U.S. commercial mortgage-backed securities
(CMBS) transaction.
The upgrade follows S&P's 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 loans in the pool, the transaction
structure, and the liquidity available to the trust.
The raised rating reflects Standard & Poor's expected credit
enhancement, which S&P believes is greater than its most recent
estimate of necessary credit enhancement for the respective
ratings levels. The raised rating also reflects S&P's views
regarding available liquidity support, the interest shortfall
history, the current and future performance of the transaction's
collateral, and the continued reduction of the trust balance since
issuance.
While available credit enhancement levels may suggest further
positive rating movement on class G, S&P's analysis also
considered the potential for interest shortfalls in the future
from the specially serviced asset and two loans on the master
servicer's watchlist, as well as this class's historical interest
shortfalls. Class G has experienced interest shortfalls for 10
periods historically, eight of which were in consecutive months.
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's debt service coverage (DSC) ratio of
1.29x and a loan-to-value (LTV) ratio of 43.2% for the three
($4.2 million, 32.7%) remaining performing loans in the pool,
which excludes the specially serviced O'Herron Portfolio asset.
As of the Feb. 18, 2014, trustee remittance report, the collateral
pool had an aggregate trust balance of $12.7 million, down from
$773.8 million at issuance. The pool comprises three loans and
one real estate owned (REO) asset, down from 130 loans at
issuance. Two loans ($2.9 million, 23.0%) are reported on the
master servicer's (Berkadia Commercial Mortgage LLC) watchlist,
and one loan ($8.6 million, 67.3%) is with the special servicer,
CW Capital Asset Management LLC. Details on the specially
serviced asset and remaining loans are as follows:
The O'Herron portfolio is the largest asset in the pool, with an
$8.56 million trust balance (67.3% of the pooled trust balance)
and $9.4 million in total reported exposure. The portfolio
consists of five anchored retail properties totaling 239,324 sq.
ft. Four of the properties are in North Carolina, and the fifth
is in Vinton, Va. The loan was transferred to special servicing
on May 3, 2012, due to monetary default and became REO in Feb.
2014. The DSC was 1.14x as of Dec. 31, 2013. S&P expects a
minimal loss upon this asset's disposition.
The Briarwood Manor Apartments loan ($2.6 million, 20.6%), the
second-largest loan, is on Berkadia's watchlist due to a low DSC
of 1.03x as of Sept 30, 2013. The loan is secured by a 98-unit
multifamily property in Deptford, N.J., which is just outside of
Philadelphia. The occupancy was 89.9% according to the Sept. 2013
rent roll, and Berkadia stated that it has reached out to the
borrower for a recent performance update.
The Across Lenox Shopping Center loan ($1.2 million, 9.7%) is the
third-largest loan in the pool and is secured by a 21,020-sq.-ft.
unanchored retail property in Atlanta, Ga. The DSC and occupancy
were 1.97x and 91.3%, respectively, as of June 30, 2013.
The Ralph's Moreno Valley Retail loan ($309,701, 2.4%), the
smallest loan in the pool and on Berkadia's watchlist, is secured
by a 37,712-sq.-ft. anchored retail property in Moreno Valley,
Calif. The loan appears on the watchlist due to the imminent
lease expiration of its sole tenant, Ralph's Grocery, on June 13,
2014. Berkadia stated that it has reached out to the borrower for
a leasing and performance update.
GMAC COMMERCIAL 2002-C1: S&P Raises Rating on Class K Certs to BB
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised to 'BB (sf)' from 'CCC-
(sf)' its rating on the class K commercial mortgage pass-through
certificates from GMAC Commercial Mortgage Securities Inc.'s
series 2002-C1, a U.S. commercial mortgage-backed securities
(CMBS) transaction.
The upgrade follows S&P's 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 loans in the pool, the transaction
structure, and the liquidity available to the trust.
The raised rating reflects Standard & Poor's expected credit
enhancement, which S&P believes is greater than its most recent
estimate of the necessary credit enhancement for the respective
ratings levels. The raised rating also reflects S&P's views
regarding available liquidity support, interest shortfall history,
the current and future performance of the transaction's
collateral, and the continued reduction of the trust balance since
issuance.
While available credit enhancement levels may suggest further
positive rating movement on class K, S&P's analysis also
considered the potential for interest shortfalls in the future
from the specially serviced asset as well as this class'
historical interest shortfalls. Class K has experienced interest
shortfalls for 17 periods historically, 10 of which were in
consecutive months.
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's debt service coverage (DSC) ratio of
1.00x and a loan-to-value (LTV) ratio of 51.9% for three of the
($5.0 million, 60.2%) remaining performing loans in the pool,
which excludes the specially serviced Whispering Pines Apartments
loan.
As of the Feb. 18, 2014, trustee remittance report, the collateral
pool had an aggregate trust balance of $8.4 million, down from
$710.1 million at issuance. The pool comprises four loans, down
from 109 loans at issuance. No loans are reported on the master
servicer's (Berkadia Commercial Mortgage LLC) watchlist, and one
loan ($3.3 million, 39.8%) is with the special servicer, CW
Capital Asset Management LLC (CW Capital). S&P discusses the
remaining loans below:
The Whispering Pines Apartments loan is the largest in the pool,
with a $3.3 million trust balance (39.8% of the pooled trust
balance) and $3.4 million in total reported exposure. The loan is
secured by a 207-unit multifamily property in Colorado Springs,
Colo. The loan was transferred to special servicing on Nov. 18,
2011, due to imminent maturity default. The reported occupancy as
of February 2014 was 95%, and according to CW Capital, the loan
remains in forbearance as the borrower seeks financing. S&P
expects a minimal loss upon this asset's disposition.
The Safeway Gaithersburg loan ($2.4 million, 29.1%) is the second-
largest loan in the pool. It is secured by a 324,000-sq.-ft.
anchored retail property in Gaithersburg, Md. The property is
fully leased to Safeway on a lease expiring Sept. 30, 2029. The
DSC was 1.00x as of Sept 30, 2013.
The Walgreens Oklahoma City loan ($1.4 million, 17.0%) is the
third-largest loan in the pool. It is secured by a 15,120-sq.-ft.
retail property in Oklahoma City. The property is fully leased to
Walgreens on a lease expiring on Dec. 31, 2020. The DSC was 1.07x
as of Sept 30, 2013.
The Walgreens Lafayette loan ($1.2 million, 14.2%), the smallest
in the pool, is secured by a 15,120-sq.-ft. retail property in
Lafayette, La. The property is fully leased to Walgreens on a
lease expiring on Oct. 31, 2060. The DSC was 1.14x as of Sept 30,
2013.
GMAC COMMERCIAL 2003-C1: Moody's Ups Cl. M Certs Rating to Caa2
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of four
classes, upgraded the ratings of three classes and downgraded the
ratings of one class in GMAC Commercial Mortgage Securities, Inc.,
Commercial Mortgage Pass-Through Certificates, Series
2003-C1 as follows:
Cl. K, Upgraded to Baa1 (sf); previously on Jul 18, 2013 Upgraded
to Baa3 (sf)
Cl. L, Upgraded to B3 (sf); previously on Jul 18, 2013 Affirmed
Caa2 (sf)
Cl. M, Upgraded to Caa2 (sf); previously on Jul 18, 2013 Affirmed
Ca (sf)
Cl. N-1, Affirmed Ca (sf); previously on Jul 18, 2013 Affirmed Ca
(sf)
Cl. N-2, Affirmed C (sf); previously on Jul 18, 2013 Affirmed C
(sf)
Cl. O, Affirmed C (sf); previously on Jul 18, 2013 Affirmed C (sf)
Cl. P, Affirmed C (sf); previously on Jul 18, 2013 Affirmed C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Jul 18, 2013
Downgraded to Caa2 (sf)
Ratings Rationale
The ratings on the P&I classes K through M were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 48% since
Moody's last review.
The ratings on the P&I classes N-1 through P were affirmed because
the ratings are consistent with Moody's expected loss.
The rating on the IO Class (Class X-1) was downgraded due to the
decline in the credit quality of its reference classes resulting
from paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 9.9% of the
current balance compared to 14.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.9% of the
original pooled balance compared to 2.2% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3 compared to 7 at prior review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. 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 March 10, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $26.7
million from $1.05 billion at securitization. The certificates are
collateralized by five mortgage loans ranging in size from 12% to
44% of the pool, with the top three loans constituting 74% of the
pool.
Two loans, constituting 31% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $17.7 million (for an average loss
severity of 25%). One loan, constituting 14% of the pool, is
currently in special servicing. This loan is the Horizon Ridge
Medical and Corporate Center Loan ($3.7 million -- 13.8% of the
pool), which is secured by a 27,000 square foot (SF) medical
office building located in Henderson, Nevada. The property was 95%
leased as of December 2013 compared to 89% at last review. The
special servicer indicated it is pursuing foreclosure. Moody's
assumes a significant loss for this loan.
Moody's received full year 2012 operating results for 100% of the
pool and full or partial year 2013 operating results for 100% of
the pool. Moody's weighted average conduit LTV is 63% compared to
64% at Moody's last review. Moody's conduit component excludes
loans with credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 24% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.77%.
Moody's actual and stressed conduit DSCRs are 1.46X and 2.00X,
respectively, compared to 1.52X and 1.86X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 86% of the pool balance. The
largest loan is the Hologic Facilities Loan ($11.6 million -- 44%
of the pool), which is secured by two suburban office buildings
totaling 269,000 SF. One building, representing 207,000 SF, is
located in Bedford, Massachusetts and the other, representing
62,000 SF, is in Danbury, Connecticut. Both buildings are fully
leased to Hologic, Inc. through August 2022. The loan is fully
amortizing and matures in May 2023, which is less than one year
after the lease expiration date. Due to the single tenant nature
of the loan Moody's performed a Lit / Dark analysis. Moody's LTV
and stressed DSCR are 42% and 2.56X, respectively, compared to 44%
and 2.44X at last review.
The second largest loan is the White Clay II Loan ($4.8 million
-- 18% of the pool), which is secured by a 90,000 SF single tenant
office building in Newark, Delaware. The property is fully leased
to Chase through July 2018. The loan is cross collateralized and
cross defaulted with White Clay III, the third largest loan.
Moody's LTV and stressed DSCR are 100% and 1.24X, respectively,
compared to 104% and 1.20X at the last review.
The third largest loan is the White Clay III Loan ($3.5 million
-- 13% of the pool), which is secured by a 63,000 SF office
building in Newark, Delaware. The property was 65% leased as of
January 2014. The property experienced a decline in occupancy due
to several tenants totaling vacating prior to their lease
expiration. Moody's LTV and stressed DSCR are 100% and 1.24X,
respectively, compared to 104% and 1.20X at the last review.
GRAMERCY REAL 2007-1: Fitch Affirms CC Rating on Class A-1 Notes
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Gramercy Real Estate CDO
2007-1 Ltd./LLC (Gramercy 2007-1).
KEY RATING DRIVERS
The affirmations at distressed levels reflect the probability of
default of the classes. Since the last rating action in April
2013, approximately 14.2% of the underlying commercial mortgage
backed security (CMBS) collateral has been downgraded and the
average Fitch derived rating for the collateral has remained at
'B-/CCC+'. Further, as of the February 2014 trustee report, 57.5%
of the CMBS collateral has a Fitch derived rating in the 'CCC'
category and below, compared to 68.8% at the last rating action.
Over this period, the class A-1 notes have received approximately
$85.8 million in paydowns from both principal amortization and
interest diversion due to the failure of the coverage tests.
The CDO continues to fail its overcollateralization tests
resulting in the capitalization of interest for classes C through
J. The transaction entered into an Event of Default (EOD) on
March 12, 2012 due to the class A/B Par Value Ratio falling below
89%; to date, the majority controlling class has waived the EOD
until January 30, 2015. In several recent payment periods,
interest proceeds have been insufficient to pay interest on the
senior classes. As a result, a portion of the interest due on the
timely classes has been paid using principal proceeds. Fitch
remains concerned about the CDO's ability to continue to make
timely interest payments to the timely classes given the
diminished amount of interest proceeds and significant swap
counterparty payments which are senior to these classes within the
waterfall.
Under Fitch's methodology, approximately 75.6% of the portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. Fitch estimates that average recoveries will be
21.8% reflecting low recovery expectations upon default of the
CMBS tranches and non-senior real estate loans. This results in a
Fitch base case loss of 59.1%, which is in line with the 59.7%
base case loss at the last rating action.
The largest component of Fitch's base case loss is the expected
losses on the CMBS bond collateral. The second largest
contributor to loss is a defaulted mezzanine loan (6.6%) on
Stuyvesant Town/Peter Cooper Village, a multifamily property
located in New York, NY. Fitch anticipates a loss on the A-note
and thus has modeled a term default for the mezzanine loan in the
base case and no recoveries.
The third largest component of Fitch's base case loss expectation
is a mezzanine loan (2.4%) secured by a 1,169,647 sf office
property located in New York, NY. The property is 87% occupied as
of September 2013 compared to 91% at year-end 2012. The decline
was a result of several smaller tenants vacating during 2013.
Fitch expects a moderate recovery on the mezzanine loan.
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 CREL collateral in the portfolio and
uses the Portfolio Credit Model (SF PCM) for the CMBS collateral.
Recoveries for the CREL collateral are based on stressed cash
flows and Fitch's long-term capitalization rates. The transaction
was not cash-flow modeled based on the limited available interest
received from the assets relative to the interest rate swap
payments due; unpredictable timing and availability of principal
proceeds; and given the distressed nature of the ratings. All
ratings 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 class' credit
enhancement as well as consideration for the likelihood of the CDO
to continue its ability to make timely payments on the senior
classes. Ultimate recoveries to the senior class, however, should
be significant.
RATING SENSITIVITIES
All classes are subject to further downgrades should the
collateral suffer from additional negative migration and defaults
beyond those projected as well as from increasing concentration in
assets of a weaker credit quality that could lead to further
interest shortfalls. Gramercy 2007-1 is a commercial real estate
collateralized debt obligation (CRE CDO) managed by CWCapital
Investments LLC. The transaction had a five-year reinvestment
period which ended in August 2012.
Fitch has affirmed the following classes:
-- $575.4 million class A-1 notes at 'CCsf/RE 80%';
-- $121 million class A-2 notes at 'Csf/RE 0%;
-- $116.6 million class A-3 notes at 'Csf/RE 0%;
-- $29.5 million class B-FL notes at 'Csf/RE 0%;
-- $20 million class B-FX notes at 'Csf/RE 0%;
-- $21.9 million class C-FL notes at 'Csf/RE 0%;
-- $4.6 million class C-FX notes at 'Csf/RE 0%;
-- $4.9 million class D notes at 'Csf/RE 0%;
-- $5.6 million class E notes at 'Csf/RE 0%;
-- $10.8 million class F notes at 'Csf/RE 0%';
-- $3.5 million class G-FL notes at 'Csf/RE 0%';
-- $2.7 million class G-FX notes at 'Csf/RE 0%';
-- $2.4 million class H-FL notes at 'Csf/RE 0%';
-- $6.9 million class H-FX notes at 'Csf/RE 0%';
-- $18.5 million class J notes at 'Csf/RE 0%'.
GREENWICH CAPITAL 2002-C1: S&P Affirms 'CCC-' Rating on L Certs
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'CCC- (sf)' rating
on the class L commercial mortgage pass-through certificates from
Greenwich Capital Commercial Funding Corp.'s series 2002-C1, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
The affirmation follows S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction's structure, and the liquidity available to
the trust.
The affirmation reflects S&P's expectation that the available
credit enhancement for this class will be within our estimate of
the necessary credit enhancement required for the current rating.
While the available credit enhancement level may suggest a
positive rating movement on class L, S&P's rating affirmation also
reflects the credit characteristics and performance of the
remaining assets, the transaction-level changes, S&P's view of the
lack of available liquidity support, and the fact that three
($14.1 million, 73.9%) of the five remaining assets ($19.1
million) in the pool are with the special servicer, LNR Partners
LLC. According to the March 2014 trustee remittance report, a
portion ($9,961) of class L's interest payment amounts was paid
from the principal proceeds on the underlying collateral,
resulting in $9,961 of principal losses reported on the class N
certificates.
TRANSACTION SUMMARY
As of the March 13, 2014, trustee remittance report, the
collateral pool had an aggregate trust balance of $19.1 million,
down from $1.16 billion at issuance. The pool comprises four
loans and one real estate-owned (REO) asset, down from 111 loans
at issuance. One of the remaining five assets, the Town Square
Shopping Center loan ($4.0 million, 20.9%), is defeased; three
assets ($14.1 million, 73.9%) are with the special servicer; and
no loans are reported on the master servicer's watchlist. To
date, the transaction has incurred principal losses totaling
$39.7 million, or 3.4% of its original certificate balance. S&P
expects losses to reach approximately 4.1% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution or
liquidation of the three specially serviced assets. Excluding the
defeased loan, details on the remaining four assets are as
follows:
-- The largest asset in the pool, the Hope Hotel & Conference
Center loan ($5.7 million, 30.1%), is the largest asset with
the special servicer.
-- The loan is secured by a 266-room full-service hotel in
Dayton, Ohio. The loan, with a reported exposure of $7.2
million, was transferred to the special servicer on Nov. 14,
2008, because of imminent default. The master servicer,
Wells Fargo Bank N.A., reported a 40.3% occupancy, a $74.68
average daily rate, and $30.07 revenue per available room
for the year ended Dec. 31, 2013. LNR stated that a
receiver is in place at the property and foreclosure has
been filed. S&P anticipates a significant loss upon this
loan's eventual resolution.
-- The second-largest asset in the pool, the Arapahoe Station
III REO asset ($4.9 million, 25.6%), is the second largest
asset with LNR. The asset, with a reported total exposure
of $5.2 million, consists of a 49,416-sq.-ft. mixed-use
(retail/office) property in Greenwood Village, Colo. The
loan was transferred to LNR on Aug. 6, 2012, due to imminent
default and the property became REO on Aug. 12, 2013.
Occupancy was 68.1% according to the Dec. 31, 2013, rent
roll. LNR stated that it is currently working on leasing up
the vacant space at the property. S&P expects a moderate
loss upon this asset's eventual resolution.
-- The third-largest asset in the pool, the Commodore Plaza
Shopping Center loan ($3.5 million, 18.2%), is the smallest
asset with LNR. The loan is secured by a 50,815-sq.-ft.
retail property in Gulfport, Miss. The loan, with a total
reported exposure of $3.7 million, was transferred to LNR on
Nov. 5, 2012, due to maturity default. The loan matured on
Nov. 1, 2012.
-- LNR stated that the property is currently 100% vacant and
foreclosure proceedings are scheduled within the next few
weeks. S&P anticipates a moderate loss upon the eventual
resolution of the loan.
-- The smallest asset in the pool, the Tarry Town Center loan
($987,076; 5.2%), is the sole nondefeased performing asset.
The loan is secured by a 66,273-sq.-ft. retail property in
Austin, Texas. Wells Fargo reported a debt service coverage
of 2.39x for year-end 2012, and occupancy was 91.7%
according to the Aug. 31, 2013, rent roll.
With respect to the three specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is between 26% and
59%, and a significant loss is 60% or greater.
GREENWICH CAPITAL 2004-FL2: Fitch Affirms D Rating on Cl. L Certs
-----------------------------------------------------------------
Fitch Ratings affirms all classes of Greenwich Capital Commercial
Funding Corp. commercial mortgage pass-through certificates,
series 2004-FL2 (GCCFC 2004-FL2).
Key Rating Drivers
There are two loans remaining in the pool, both collateralized by
Southfield Town Center, a 2.2 million square foot office complex
in Southfield, Michigan. According to the special servicer, the
property is under contract with closing anticipated in May 2014.
The contract amount was not disclosed; however, the servicer
reports that the proceeds from the sale are estimated to be
sufficient to repay the trust in full.
Tenancy at the property is diverse with no tenant comprising more
than 5% of the space. The three largest tenants are Fifth Third
Bank, Microsoft and Alix Partners LLP. Rollover averages about
10% per year over the next three years.
Occupancy at the property stabilized in 2013 at approximately 70%
after three years of declines. The steady drop in occupancy is
largely related to the challenges the Detroit commercial real
estate market has faced through the recession, with little
recovery. The market continues to be one of the slowest to
recover from trough performance. The Southfield submarket of
Detroit reported a vacancy of 30.2% as of year-end 2013, with no
material change from the 30.1% vacancy reported as of year-end
2012. The property, though down in performance when compared to
issuance, is performing in-line with the market.
The loan transferred to special servicing after being unable to
refinance at its July 2012 maturity. The loan has remained
current on payments and continues to demonstrate positive cash
flow. Additionally, in 2013 the loan was delevered with
approximately $20 million from excess cash flow and remaining
reserve proceeds, reducing the balance of the loan by
approximately 15% and repaying the class C in full since last
review.
Rating Sensitivities
The rated classes are highly dependent upon the performance of the
remaining loan. Fitch modeled the loan to a full recovery based on
a stressed value. In addition, the recent valuation of the asset
from the special servicer is in excess of the debt.
Fitch affirms the following classes and revises Rating Outlooks as
indicated:
-- $5.0 million class D at 'AAAsf'; Outlook Stable;
-- $12.4 million class E at 'AAAsf'; Outlook Stable;
-- $22.8 million class F at 'AAAsf'; Outlook Stable;
-- $19.5 million class G at 'AAsf'; Outlook Stable;
-- $14.5 million class H at 'Asf'; Outlook Stable;
-- $23.1 million class J at 'BBB-sf'; Outlook Stable;
-- $10.3 million class K at 'BBsf'; Outlook to Stable from
Negative;
-- $15.3 million class L at 'Dsf;' RE 90%';
-- $7.4 million class N-SO at 'B-sf'; Outlook to Stable from
Negative.
Classes A-1, A-2, X-1, B, C, H-ROSW, L-ROSW, N-ROSW, N-LH,N-MV, K-
NO, M-NO, and N-WV have been paid in full.
GREYLOCK SYNTHETIC 2006: Moody's Takes Action on $174MM of CSOs
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Greylock Synthetic CDO
2006:
Series 2 $51,000,000 Sub-Class A3-$LMS Notes Due 2017 (current
outstanding notional of $30,000,000), Upgraded to Ba1 (sf);
previously on January 28, 2014 Upgraded to Ba2 (sf)
Series 2 $5,000,000 Sub-Class A3-$FMS Notes Due 2017, Upgraded to
Ba1 (sf); previously on January 28, 2014 Upgraded to Ba2 (sf)
Series 2 $20,000,000 Sub-Class A3A-$FMS Notes Due 2017, Upgraded
to Ba1 (sf); previously on January 28, 2014 Upgraded to Ba2 (sf)
Series 2 $20,000,000 Sub-Class A3B-$LMS Notes Due 2017, Upgraded
to Ba1 (sf); previously on January 28, 2014 Upgraded to Ba2 (sf)
Series 2 $13,000,000 Sub-Class A6-$L Notes Due 2017 (current
outstanding notional of $5,500,000), Upgraded to B2 (sf);
previously on January 28, 2014 Upgraded to B3 (sf)
Moody's also affirmed the ratings of the following:
Series 2 $70,000,000 Sub-Class A4-$L Notes Due 2017, Affirmed Ba3
(sf); previously on January 28, 2014 Upgraded to Ba3 (sf)
Series 2 $20,000,000 Sub-Class A4-$F Notes Due 2017, Affirmed Ba3
(sf); previously on January 28, 2014 Upgraded to Ba3 (sf)
Series 2 $2,000,000 Sub-Class B2A-$L Notes Due 2017, Affirmed Caa2
(sf); previously on January n 28, 2014 Upgraded to Caa2 (sf)
Series 2 $1,500,000 Sub-Class B2B-$L Notes Due 2017, Affirmed Caa2
(sf); previously on January 28, 2014 Upgraded to Caa2 (sf)
This transaction is a corporate synthetic collateralized debt
obligation (CSO) referencing a portfolio of corporate senior
unsecured and subordinated bonds, originally rated in 2006.
Ratings Rationale
According to Moody's, the rating upgrades and affirmations result
in part from a correction to Moody's modeling of the adverse
selection adjustment. Due to an input error, the average gap
between Market Implied Ratings (MIRs) and Moody's senior unsecured
ratings was overstated in the modeling of the previous rating
action on January 28, 2014. This has been corrected, and the
rating actions reflect the appropriate modeling, as well as
improvements in the credit quality of the reference portfolio
since the last rating action.
Since the last rating review in January 2014, the credit quality
of the portfolio has improved. The portfolio's ten-year weighted
average rating factor (WARF) has declined to 776 from 844,
excluding settled credit events. Moody's rates the majority of the
reference credits investment-grade, with 2.7% rated Caa (sf) or
lower compared to 3.53% in January 2014.
The average gap between MIRs and Moody's senior unsecured ratings
has diminished, declining to -0.4 notches for over-concentrated
sectors and 0.5 notches for non-over concentrated sectors.
Currently, the over-concentrated sectors are Banking, Finance,
Insurance and Real Estate, comprising 27.1% of the portfolio,
respectively.
The CSO has a remaining life of 3 years.
Based on the trustee's February 2014 report, six credit events,
equivalent to 4.2% of the portfolio based on the portfolio's
notional value at closing, have taken place. Since inception, the
subordination of the rated tranche has declined by 1.7% due to
credit events on Fannie Mae, Freddie Mac, Lehman Brothers, Station
Casinos, CIT Group and Ambac Assurance Corp. Furthermore, the
portfolio is exposed to Harrah's Operating Company, Inc., which is
not a credit event, but has a senior unsecured rating of Ca.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating Corporate Synthetic Collateralized Debt
Obligations" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
These transactions are subject to a high level of uncertainty,
primarily because of 1) unexpected volatility in the credit and
macroeconomic environment; 2) divergence in the legal
interpretation of documentation by different transactional parties
because of embedded ambiguities; and 3) unexpected changes in the
portfolio composition as a result of the actions of the
transaction parties.
For CSOs, the performance of the credit default swaps can be
affected either positively or negatively by 1) variations over
time in default rates for instruments with a given rating; 2)
variations in recovery rates for instruments with particular
seniority/security characteristics; and 3) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Given the tranched nature of CSO liabilities, rating
transitions in the reference pool can have leveraged rating
implications for the ratings of the CSO liabilities that could
lead to a high degree of rating volatility, which is likely to be
higher for the more junior or thinner liabilities.
In addition to the base case analysis described above, Moody's
also conducted sensitivity analyses, discussed below. Results are
in the form of the difference in the number of notches from the
base case, in which a higher number of notches corresponds to
lower expected losses, and vice-versa.
Moody's ran a scenario in which it removed the adjustment for
forward-looking measures of reference credits that are on review
for upgrade or downgrade, or with a negative outlook, from the
calculation of the MIR gap. The result of this run was comparable
to the base case.
In addition to the quantitative factors Moody's models explicitly,
rating committees also consider qualitative factors in the rating
process. These qualitative factors include a transaction's
structural protections, recent deal performance in the current
market environment, the legal environment, specific documentation
features and the portfolio manager's track record. All information
available to rating committees, including macroeconomic forecasts,
input from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, can influence the final rating decision.
GS MORTGAGE 2014-GC20: Fitch to Assign BB- Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has issued a presale report on GS Mortgage
Securities Trust Series 2014-GC20 Commercial Mortgage Pass-Through
Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $62,817,000 class A-1 'AAAsf'; Outlook Stable;
-- $41,454,000 class A-2 'AAAsf'; Outlook Stable;
-- $176,814,000 class A-3 'AAAsf'; Outlook Stable;
-- $185,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $272,417,000 class A-5 'AAAsf'; Outlook Stable;
-- $88,897,000 class A-AB 'AAAsf'; Outlook Stable;
-- $899,797,000* class X-A 'AAAsf'; Outlook Stable;
-- $78,307,000* class X-B 'AA-sf'; Outlook Stable;
-- $72,398,000b class A-S 'AAAsf'; Outlook Stable;
-- $78,307,000b class B 'AA-sf'; Outlook Stable;
-- $200,940,000b class PEZ 'A-sf'; Outlook Stable;
-- $50,235,000b class C 'A-sf'; Outlook Stable;
-- $29,550,000*a class X-C 'BB-sf'; Outlook Stable;
-- $59,100,000a class D 'BBB-sf'; Outlook Stable;
-- $29,550,000a class E 'BB-sf'; Outlook Stable.
(*) Notional amount and interest-only.
(a) Privately placed pursuant to Rule 144A.
(b) Class A-S, B and C certificates may be exchanged for class PEZ
certificates; and class PEZ certificates may be exchanged for
class A-S, B and C certificates.
The expected ratings are based on information provided by the
issuer as of March 21, 2014. Fitch does not expect to rate the
$65,010,362*a class X-D, the $16,252,000a class F, the
$11,820,000a class G, or the $36,938,362a class H.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 63 loans secured by 127 commercial
properties having an aggregate principal balance of approximately
$1.18 billion as of the cutoff date. The loans were contributed
to the trust by Goldman Sachs Mortgage Company; Citigroup Global
Markets Realty Corp.; MC-Five Mile Commercial Mortgage Finance
LLC; Starwood Mortgage Funding I LLC; and Redwood Commercial
Mortgage Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.0% of the properties
by balance, cash flow analysis of 90.8%, and asset summary reviews
of 90.9% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch debt service coverage ratio
(DSCR) and loan to value (LTV) of 1.12x and 106.5%, respectively,
are worse than the 2013 and year to date (YTD) 2014 averages of
1.29x and 101.6% and 1.16x and 104.9%, respectively.
Limited Lodging Exposure: The pool's hotel concentration of 7.4%
is lower than the 2013 average hotel concentration of 14.7%. Two
of the 15 largest loans (Sheraton Suites Houston and the Oklahoma
Hotel Portfolio) in the pool are collateralized by hotel
properties.
Pool Diversity: The pool is less concentrated by loan size than
average transactions in 2013. The 10 largest loans represent
49.7% of the total pool balance, which is lower than the average
top 10 concentration for 2013 conduit transactions (54.5%).
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.5% below
the most recent net operating income (NOI) (for properties for
which historical NOI was provided, excluding properties that were
stabilizing during the most recent reporting 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-
GC20 certificates and found that the transaction displays slightly
above-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 'BBB+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 on pages 79 - 80.
The master servicer will be KeyBank National Association, rated
'CMS1' by Fitch. The special servicer will be LNR Partners, LLC,
LLC rated 'CSS1-' by Fitch.
GS MORTGAGE 2007-GG10: Moody's Lowers Rating on Cl. C Certs to C
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on five
classes and affirmed two classes in GS Mortgage Securities
Corporation II, Commercial Mortgage Pass-Through Certificates,
Series 2007-GG10 as follows:
Cl. A-1A, Affirmed A3 (sf); previously on Jun 28, 2013 Downgraded
to A3 (sf)
Cl. A-4, Affirmed A3 (sf); previously on Jun 28, 2013 Downgraded
to A3 (sf)
Cl. A-J, Downgraded to Caa3 (sf); previously on Jun 28, 2013
Affirmed Caa1 (sf)
Cl. A-M, Downgraded to B2 (sf); previously on Jun 28, 2013
Downgraded to Ba3 (sf)
Cl. B, Downgraded to Ca (sf); previously on Jun 28, 2013 Affirmed
Caa2 (sf)
Cl. C, Downgraded to C (sf); previously on Jun 28, 2013 Affirmed
Caa3 (sf)
Cl. X, Downgraded to B2 (sf); previously on Jun 28, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on four P&I classes were downgraded due to realized
and anticipated losses from specially serviced and troubled loans.
The rating on the IO Class (Class X) was downgraded due to a
decline in the credit performance (or the weighted average rating
factor or WARF) of its referenced classes.
The ratings on two P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges
Moody's rating action reflects a base expected loss of 13.7% of
the current balance compared to 18.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 20.7% of
the original pooled balance compared to 19.1% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 U.S. CMBS Conduit Transactions" published in
September 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 23 compared to 31 at Moody's last review.
Deal Performance
As of the March 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 31% to $5.2 billion
from $7.6 billion at securitization. The certificates are
collateralized by 151 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans constituting
53% of the pool.
Thirty-five loans, constituting 44% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Forty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $853 million (for an average loss
severity of 50%). Ten loans, constituting 3% of the pool, are
currently in special servicing. Moody's estimates an aggregate $73
million loss for specially serviced loans (73% expected loss on
average).
Moody's has assumed a high default probability for 38 poorly
performing loans, constituting 29% of the pool, and has estimated
an aggregate loss of $336 million (a 22% expected loss based on a
54% probability default) from these troubled loans.
Moody's received full year 2012 operating results for 97% of the
pool and full or partial year 2013 operating results for 94% of
the pool. Moody's weighted average conduit LTV is 121% compared to
120% at Moody's last review. Moody's conduit component excludes
loans with credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 7% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.27X and 0.84X,
respectively, compared to 1.63X and 0.86X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 29% of the pool balance. The
largest loan is the Shorenstein Portland Portfolio Loan ($697
million -- 13% of the pool), which is secured by a portfolio of 16
office properties in and around Portland, Oregon. The portfolio is
occupied by a diverse roster of tenants, with the average lease
covering just 4,000 square feet. The loan is on the watchlist
following several years of declining DSCR, after the leases for a
number of tenants expired in recent years and renewed at lower
base rents. There are strong signs that financial performance is
recovering: portfolio occupancy was 85% as of year-end 2013, up
from 82% the prior year and 74% the year before that. The loan is
interest only for the entire term, and matures in 2017. Moody's
LTV and stressed DSCR are 144% and 0.68X, respectively, compared
to 145% and 0.67X at the last review.
The second largest loan is the Wells Fargo Tower Loan ($550
million -- 11% of the pool), which is secured by a 1.4 million
square foot office skyscraper in downtown Los Angeles, California.
The loan transferred to special servicing in April 2011 for
imminent default, and was returned to the master servicer in June
2011 after the borrower made timely debt payments. The property
was 86% leased as of September 30, 2013, down from 87% at year end
2012 and 93% at year end 2011. The lead tenant, Wells Fargo,
signed a new lease, extending its tenancy at the property for ten
years through June 2023. Wells Fargo will give back approximately
40,000 square feet of the 302,000 square feet it formerly occupied
and the new lease will be triple-net instead of modified gross.
The loan sponsor is Brookfield Properties. Moody's has identified
this as a troubled loan. Moody's LTV and stressed DSCR are 166%
and 0.56X, respectively, compared to 158% and 0.58X at the last
review.
The third largest loan is the TIAA RexCorp New Jersey Portfolio
($270 million -- 5% of the pool), which is secured by a six-
building portfolio of Class A suburban office property in the
northern New Jersey towns of Madison, Morristown, and Short Hills.
Tenants include Dun & Bradstreet, The Bank of New York / Mellon,
Quest Diagnostics, and Bausch & Lomb. Portfolio occupancy was 80%
at year-end 2013 reporting, up from the 74% reported in 2011. The
properties have seen a flurry of new leasing activity in recent
months. The pharmaceuticals giant Pfizer has taken approximately
113,000 square feet (7% of property NRA; lease expiration April
2024) in a lease which commenced on April 15, 2013, and the
insurer AON signed a new lease for approximately 30,000 square
feet (3% of property NRA). Moody's LTV and stressed DSCR are 138%
and 0.71X, respectively, the same as at the last review.
GS MORTGAGE 2007-GKK1: Moody's Affirms Ca Rating on Cl. A-1 Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following certificates issued by GS Mortgage Securities Trust
2007-GKK1 ("GSMS 2007-GKK1"):
Cl. A-1, Affirmed Ca (sf); previously on Jun 19, 2013 Affirmed Ca
(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.
GSMS 2007-GKK1 is a static cash transaction backed by a portfolio
of commercial mortgage backed securities (CMBS) (100% of
collateral pool balance). As of the trustee's January 31, 2014
report, the aggregate certificate balance of the transaction,
including preferred shares, has decreased to $39.8 million from
$633.7 million at issuance.
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 4784,
compared to 7749 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (0.0% compared to 0.0% at last
review); A1-A3 (0.0% compared to 1.8% at last review); Baa1-Baa3
(22.7% compared to 13.4% at last review); Ba1-Ba3 (12.6% compared
to 0.4% at last review); B1-B3 (25.5% compared to 3.7% at last
review); and Caa1-Ca/C (39.2% compared to 80.7% at last review.
Moody's modeled a WAL of 2.8 years, compared to 3.4 years at last
review. The WAL is based on assumptions about extensions on the
underlying loans within the CMBS collateral.
Moody's modeled a fixed WARR of 2.0%, compared to 4.4% at last
review.
Moody's modeled a MAC of 13.2%, compared to 100.0% 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 March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the certificates are subject to uncertainty,
because they are 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
certificates.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the
rated certificates, 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 certificates are particularly
sensitive to changes in the recovery rates of the underlying
collateral and credit assessments. Increasing the recovery rates
of the collateral pool by 5.0% would result in an average modeled
rating movement on the rated zero notches. Increasing the recovery
rate of the collateral pool by 10.0% would result in an average
modeled rating movement on the rated certificates of zero notches.
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.
GULF STREAM-COMPASS 2007: Moody's Affirms Ba2 Rating on E Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Gulf Stream-Compass CLO 2007, Ltd.:
$12,000,000 Class B Floating Rate Notes Due 2019, Upgraded to Aaa
(sf); previously on September 24, 2012 Upgraded to Aa1 (sf);
$13,125,000 Class C Floating Rate Deferrable Notes Due 2019,
Upgraded to Aa3 (sf); previously on September 24, 2012 Upgraded to
A2 (sf);
$15,000,000 Class D Floating Rate Deferrable Notes Due 2019,
Upgraded to Baa2 (sf); previously on September 24, 2012 Upgraded
to Baa3 (sf).
Moody's also affirmed the ratings on the following notes:
$180,000,000 Class A-1-A Floating Rate Notes Due 2019 (current
outstanding balance of $127,419,250.89), Affirmed Aaa (sf);
previously on August 30, 2007 Assigned Aaa (sf);
$45,000,000 Class A-1-B Floating Rate Notes Due 2019, Affirmed Aaa
(sf); previously on September 24, 2012 Upgraded to Aaa (sf);
$11,625,000 Class E Floating Rate Deferrable Notes Due 2019
(current outstanding balance of $10,461,708.18), Affirmed Ba2
(sf); previously on September 24, 2012 Upgraded to Ba2 (sf)
Gulf Stream-Compass CLO 2007, Ltd., issued in August 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in October 2012.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since April 2013. The Class A-1-A notes
have been paid down by approximately 27% or $47.1 million since
April 2013. Based on the trustee's 14 February 2014 report, the
over-collateralization (OC) ratios for the Class A/B, Class C,
Class D and Class E notes are reported at 130.2%, 121.5%, 113.0%
and 107.7%, respectively, versus April 2013 levels of 123.7%,
117.0%, 110.3% and 106.0%, respectively.
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
February 2014.
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. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
In addition to the base case analysis, Moody's also 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% (2102)
Class A-1-A: 0
Class A-1-B: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3154)
Class A-1-A: 0
Class A-1-B: 0
Class B: -1
Class C: -2
Class D: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
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 $237.7 million, defaulted
par of $3.3 million, a weighted average default probability of
17.15% (implying a WARF of 2628), a weighted average recovery rate
upon default of 51.45%, a diversity score of 63 and a weighted
average spread of 3.39%.
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.
H/2 ASSET 2014-1: Moody's Assigns 'Ba3' Rating on Class B Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following ratings to notes issued by H/2 Asset Funding 2014-1 Ltd.
(the "Issuer" or "H/2 2014-1"):
Cl. A-FL, Assigned Aaa (sf)
Cl. A-FX, Assigned Aaa (sf)
Cl. B, Assigned Baa3 (sf)
Cl. C, Assigned Ba3 (sf)
Ratings Rationale
Moody's rating of the Class A-FL Notes, Class A-FX Notes, Class B
Notes and Class C Notes addresses the expected loss posed to
noteholders. The ratings reflect the risks due to defaults on the
underlying portfolio of collateral, the transaction's legal
structure, and the characteristics of the underlying collateral.
H/2 2014-1 is a managed cash flow CRE CLO. The issued notes are
collateralized initially by 26 assets (22 obligors) primarily in
the form of: i) single asset/single borrower commercial real
estate bonds (CMBS); ii) senior corporate loans, and iii) bank
loans. Approximately 80% of the assets are ramped as of the
closing date with a par amount of $405.5 million. The remaining
par balance of $102.9 million may be acquired, subject to certain
eligibility tests, during the ramp-up period of six (6) months.
H/2 Targeted Return II Manager LLC (the "collateral manager") will
direct the selection, acquisition and disposition of collateral on
behalf of the Issuer during the transaction's six month ramp and
four year reinvestment period. Thereafter, purchases are not
permitted.
The transaction incorporates par coverage tests which, if
triggered, divert interest and principal proceeds to pay down the
Class A-FL Notes, Class A-FX (pro-rata) and Class B Notes,
respectively. The transaction includes additional enhancement in
the form of an up-front interest reserve with top-up feature.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CLO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CLO pool.
Moody's have completed credit assessments and/or credit estimates
for non-Moody's rated collateral. Moody's modeled a WARF of 2350;
with a sub-set WARF of 2720 on floating-rate assets.
Moody's modeled to a WAL of 10.0 years as of the closing date.
Moody's modeled a fixed WARR of 34.7%.
Moody's modeled a MAC of 32.0% corresponding to a pair-wise
correlation of 35.0%.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may 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 in any one or combination
of the key parameters may have rating implications on certain
classes of rated notes. However, in many instances, a change in
key parameter assumptions in certain stress scenarios may be
offset by a change in one or more of the other key parameters.
Rated notes are particularly sensitive to changes in ratings or
credit assessments of the underlying collateral. Holding all other
key parameters static, stressing the WARF from 2350 to 3000 would
result in an average modeled rating movement on the rated notes of
0 to 1 notches downward.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
positive direction along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, a consistent upward trend will not be evident until the
volume of investment activity steadily increases for a significant
period, non-performing properties are cleared from the pipeline,
and fears of a Euro area recession are abated.
HIGHBRIDGE LOAN: S&P Affirms 'BB' Rating on Class D Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Highbridge Loan Management 2013-2 Ltd./Highbridge Loan Management
2013-2 LLC's $378.5 million floating- and fixed-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 S&P's 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 our 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
Highbridge Loan Management 2013-2 Ltd./Highbridge Loan Management
2013-2 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 260.00
A-2 AA (sf) 43.00
B-1 (deferrable) A (sf) 22.50
B-2 (deferrable) A (sf) 9.50
C (deferrable) BBB (sf) 19.50
D (deferrable) BB (sf) 16.00
E (deferrable) B (sf) 8.00
ING IM 2012-1: S&P Withdraws BB Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
original class A-1, A-2, B, C, D, and E notes from ING IM CLO
2012-1 Ltd., a collateralized loan obligation (CLO) transaction
managed by ING Alternative Asset Management LLC after the notes
were redeemed in full. At the same time, S&P assigned ratings to
the replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R notes
whose proceeds were used to redeem the original notes, as outlined
by provisions in the transaction documents.
The replacement notes were issued via a supplemental indenture.
The supplemental indenture also included provisions that prohibit
investment in non-loan collateral and increase the allowable
percentage of covenant-lite loans to 60% from 40%. There was no
change to the duration of the reinvestment period, which ends in
March 2015. All of the proceeds from the replacement notes were
used to redeem the original notes. The replacement notes were
issued at a lower spread over LIBOR than the original notes, as
shown in the table below.
Class Original note Refinanced note
interest rate interest rate
A-1 3-month LIBOR + 1.45% 3-month LIBOR + 1.20%
A-2 3-month LIBOR + 3.00% 3-month LIBOR + 1.85%
B 3-month LIBOR + 4.15% 3-month LIBOR + 2.75%
C 3-month LIBOR + 5.00% 3-month LIBOR + 3.70%
D 3-month LIBOR + 6.25% 3-month LIBOR + 5.20%
E 3-month LIBOR + 7.00% 3-month LIBOR + 6.50%
The supplemental indenture did not make any other substantive
changes to the transaction.
RATINGS WITHDRAWN
ING IM CLO 2012-1 Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
A-2 NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
RATINGS ASSIGNED
Replacement class Rating
A-1R AAA (sf)
A-2R AA (sf)
B-R A (sf)
C-R BBB (sf)
D-R BB (sf)
E-R B (sf)
TRANSACTION INFORMATION
Issuer: ING IM CLO 2012-1 Ltd.
Co-issuer: ING IM CLO 2012-1 LLC
Collateral manager: ING Alternative Asset Management LLC
Refinance underwriter: Credit Suisse LLC
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
ING INVESTMENT CLO III: S&P Affirms B+ Rating on Class D Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2b, A-3, and B notes from ING Investment Management CLO III
Ltd., a cash flow collateralized loan obligation (CLO) transaction
managed by ING Alternative Asset Management LLC. At the same
time, S&P affirmed its ratings on of the class A-2a, C, and D
notes. S&P also removed its ratings on class A-1, A-2b, A-3, B,
C, and D notes from CreditWatch, where it had placed them with
positive implications.
The upgrades mainly reflect paydowns of $108.5 million to the
class A-1 and A-2a notes since S&P's May 2013 rating actions. The
class A-1 and A-2 notes follow a pro rata sequential structure.
In this structure, the class A-1 notes receive payments pro rata
with the class A-2a and A-2b notes. The class A-2a and A-2b notes
are paid sequentially. As a result, the class A-2a notes could be
paid in full before the class A-1 and A-2b notes.
As a result of the paydowns, S&P observed increased
overcollateralization (O/C) available to support the rated notes.
The trustee reported the following O/C ratios in the February 2014
monthly report:
-- The A O/C ratio was 132.90%, up from 120.15% in March 2013;
-- The B O/C ratio was 118.30%, up from 111.92% in March 2013;
-- The C O/C ratio was 111.84%, up from 108.03% in March 2013;
and
-- The D O/C ratio was 106.94%, up from 104.96% in March 2013.
The affirmations on class A-2a, C, and D notes reflect adequate
credit support available to the notes at their current rating
levels. According to the February 2014 trustee report,
approximately 3.7% of the assets in the collateral pool have
maturity dates that are after the legal final maturity of the
transaction in December 2020. Exposure to these long-dated assets
could leave the transaction subject to potential market value
risk, because the collateral manager might need to liquidate these
securities to pay down the notes on the final maturity date. S&P
took this risk into account in the rating actions.
S&P will continue to review whether, in its view, the ratings
currently assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
ING Investment Management CLO III Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AA+ (sf)/Watch Pos AAA (sf) 6.56% AAA (sf)
A-2a AAA (sf) AAA (sf) 28.86% AAA (sf)
A-2b AA+ (sf)/Watch Pos AAA (sf) 6.56% AAA (sf)
A-3 AA (sf)/Watch Pos AA+ (sf) 10.70% AA+ (sf)
B A (sf)/Watch Pos A+ (sf) 4.31% A+ (sf)
C BBB (sf)/Watch Pos BBB+ (sf) 1.20% BBB (sf)
D B+ (sf)/Watch Pos B+ (sf) 9.30% B+ (sf)
(i)The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each
tranche's weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions, based on the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2a AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2b AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
B A+ (sf) A (sf) A+ (sf) AA- (sf) A+ (sf)
C BBB+ (sf) BBB- (sf) BBB (sf) BBB+ (sf) BBB (sf)
D B+ (sf) B+ (sf) B+ (sf) B+ (sf) B+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-2a AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2b AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-3 AA+ (sf) AA+ (sf) AA (sf) AA+ (sf)
B A+ (sf) A+ (sf) BBB+ (sf) A+ (sf)
C BBB+ (sf) BBB- (sf) BB- (sf) BBB (sf)
D B+ (sf) B+ (sf) CCC (sf) B+ (sf)
RATING AND CREDITWATCH ACTIONS
ING Investment Management CLO III Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf) /Watch Pos
A-2a AAA (sf) AAA (sf)
A-2b AAA (sf) AA+ (sf) /Watch Pos
A-3 AA+ (sf) AA (sf) /Watch Pos
B A+ (sf) A (sf)/Watch Pos
C BBB (sf) BBB (sf)/Watch Pos
D B+ (sf) B+ (sf) /Watch Pos
JASPER CLO: Moody's Affirms 'Ba2' Rating on 2 Note Classes
----------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings on the following notes issued by Jasper CLO, Ltd.:
$35,000,000 Class C Notes, Upgraded to Baa1 (sf); previously on
July 30, 2013 Upgraded to Baa2 (sf)
$5,000,000 Class 2 Composite Securities (current rated balance
$2,941,253), Upgraded to A1 (sf); previously on July 30, 2013
Upgraded to A3 (sf)
Moody's also affirmed the ratings on the following notes:
$521,500,000 Class A Notes (current outstanding balance
$164,137,349), Affirmed Aaa (sf); previously on July 30, 2013
Affirmed Aaa (sf)
$35,000,000 Class B Notes, Affirmed Aa1 (sf); previously on July
30, 2013 Upgraded to Aa1 (sf)
$33,500,000 Class D-1 Notes (current outstanding balance
$17,984,318), Affirmed Ba2 (sf); previously on July 30, 2013
Affirmed Ba2 (sf)
$5,000,000 Class D-2 Notes (current outstanding balance
$2,673,147), Affirmed Ba2 (sf); previously on July 30, 2013
Affirmed Ba2 (sf)
Jasper CLO, Ltd., issued in June 2005, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in August 2012.
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the July 2013 rating action. Moody's notes that the Class A Notes
have been paid down by approximately 39% or $106 million since the
last rating action. Based on the latest trustee report dated
January 22, 2014, the Class A/B, the Class C, and Class D
overcollateralization ratios are reported at 132.50%, 114.52%, and
106.03%, respectively, versus June 2013 levels of 125.73%,
112.78%, and 106.32%, respectively. The January 2014 trustee
reported ratios do not reflect the payment of $23.8 million to the
Class A Notes on the February 3, 2014 distribution date.
Nevertheless, Moody's notes that the credit quality of the
underlying portfolio has deteriorated since June 2013. Based on
the January 2014 trustee report, the weighted average rating
factor is currently 2928 compared to 2741 in June 2013. Moody's
also notes that defaulted assets make up approximately 19% or $63
million of the portfolio based on Moody's calculation. A large
proportion of these defaulted assets are real estate loans that
may be less liquid and have been defaulted in the portfolio since
2009.
Furthermore, the portfolio includes a number of investments in
securities that mature after the notes do. Based on the trustee's
January 2014 report, securities that mature after the notes do
currently make up approximately 14% of the portfolio. These
investments could expose the notes to market risk in the event of
liquidation when the notes mature.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
Moody's notes that this transaction is subject to a number of
factors and circumstances that could lead to either an upgrade or
downgrade of the ratings, as described below:
1) Macroeconomic uncertainty: CLO performance may be negatively
impacted by a) uncertainties of credit conditions in the general
economy and b) the large concentration of upcoming speculative-
grade debt maturities which may create challenges for issuers to
refinance.
2) Collateral Manager: Performance may also be impacted, either
positively or negatively, by a) the manager's investment strategy
and behavior and b) divergence in legal interpretation of CLO
documentation by different transactional parties due to embedded
ambiguities.
3) Collateral credit risk: A shift towards holding collateral of
better credit quality, or better than expected credit performance
of the underlying assets collateralizing the transaction, can lead
to positive CLO performance. Conversely, a negative shift in
credit quality or performance of the underlying collateral can
have adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging of the CLO
may accelerate due to high prepayment levels in the loan market
and/or collateral sales by the manager, which may have significant
impact on the notes' ratings. Faster than expected note repayment
will usually have a positive impact on CLO notes, beginning with
those having the highest payment priority.
5) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. This risk is borne first by investors having the
lowest seniority in the capital structure. Moody's assumes an
asset's terminal value upon liquidation at maturity to be equal to
the lower of an assumed liquidation value (depending on the extent
to which the asset's maturity lags that of the liabilities) and
the asset's current market value.
In addition to the base case analysis, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities. Below is a summary of the impact of
different default probabilities (expressed in terms of WARF
levels) on all rated notes (shown in terms of the number of
notches' difference versus the current model output, where a
positive difference corresponds to lower expected loss), assuming
that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2366)
Class A: 0
Class B: 0
Class C: +2
Class D-1: +2
Class D-2: +2
Class 2 Composite Securities: +2
Moody's Adjusted WARF + 20% (3548)
Class A: 0
Class B: -1
Class C: -1
Class D-1: -1
Class D-2: -1
Class 2 Composite Securities: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, and the weighted
average recovery rate, are based on its published methodology and
could be different from the trustee's reported numbers. In its
base case, Moody's analyzed the underlying collateral pool as
having a performing par and principal proceeds balance of $264
million, defaulted par of $62.6 million, a weighted average
default probability of 15.73% (implying a WARF of 2957), a
weighted average recovery rate upon default of 51.89%, a diversity
score of 24 and a weighted average spread of 3.35%.
The default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets
with credit estimates that have not been updated within the last
15 months, which represent approximately 4.8% of the collateral
pool.
JFIN CLO 2014: S&P Assigns 'BB' Rating on Class E Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to JFIN
CLO 2014 Ltd./JFIN CLO 2014 LLC's $472.00 million fixed- and
floating-rate notes. Since S&P assigned its preliminary ratings,
the issuer split the class B notes into class B-1 (floating-rate)
and B-2 (fixed-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 S&P expects 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
0.24%-13.84%.
-- 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 before 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.
RATINGS ASSIGNED
JFIN CLO 2014 Ltd./JFIN CLO 2014 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 304.50
B-1 AA (sf) 48.25
B-2 AA (sf) 5.00
C (deferrable) A (sf) 51.50
D (deferrable) BBB (sf) 29.00
E (deferrable) BB (sf) 23.75
F (deferrable) B (sf) 10.00
Subordinated notes NR 50.20
NR--Not rated.
JP MORGAN 2007-LDP11: Moody's Cuts Rating on 5 Certs to 'C'
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating of one class,
affirmed the ratings on seven classes and downgraded the ratings
on eight classes in J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2007-LDP11 as follows:
Cl. A-1A, Affirmed A3 (sf); previously on May 1, 2013 Affirmed A3
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on May 1, 2013 Affirmed Aaa
(sf)
Cl. A-2FL, Affirmed Aaa (sf); previously on May 1, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 1, 2013 Affirmed Aaa
(sf)
Cl. A-4, Affirmed A3 (sf); previously on May 1, 2013 Affirmed A3
(sf)
Cl. A-J, Downgraded to Caa3 (sf); previously on May 1, 2013
Affirmed Caa1 (sf)
Cl. A-M, Downgraded to Ba2 (sf); previously on May 1, 2013
Affirmed Ba1 (sf)
Cl. A-SB, Upgraded to Aaa (sf); previously on May 1, 2013 Upgraded
to Aa2 (sf)
Cl. B, Downgraded to C (sf); previously on May 1, 2013 Affirmed
Caa3 (sf)
Cl. C, Downgraded to C (sf); previously on May 1, 2013 Affirmed Ca
(sf)
Cl. D, Downgraded to C (sf); previously on May 1, 2013 Affirmed Ca
(sf)
Cl. E, Downgraded to C (sf); previously on May 1, 2013 Affirmed Ca
(sf)
Cl. F, Downgraded to C (sf); previously on May 1, 2013 Affirmed Ca
(sf)
Cl. G, Affirmed C (sf); previously on May 1, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on May 1, 2013 Affirmed C (sf)
Cl. X, Downgraded to B2 (sf); previously on May 1, 2013 Affirmed
B1 (sf)
Ratings Rationale
The rating on Class A-SB was upgraded because of its position in
the waterfall and the anticipated timing of scheduled principal
repayments to the class. The ratings on five investment grade P&I
classes were affirmed because the transaction's key metrics,
including Moody's loan-to-value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the transaction's Herfindahl
Index (Herf), are within acceptable ranges. The ratings on two
below investment grade P&I classes were affirmed because the
ratings are consistent with Moody's expected loss.
The ratings on seven P&I classes were downgraded due to a
significant increase in realized losses from specially serviced
and troubled loans. The rating on the IO Class (Class X) was
downgraded due to a decline in the credit performance (or the
weighted average rating factor or WARF) of its referenced classes.
Moody's rating action reflects a base expected loss of 17.1% of
the current balance, compared to 18.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 18.2% of
the original pooled balance, compared to 17.1% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 U.S. CMBS Conduit Transactions" published in
September 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 50 compared to a Herf of 53 at last review.
Deal Performance
As of the March 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 28% to $3.9 billion
from $5.4 billion at securitization. The certificates are
collateralized by 222 mortgage loans ranging in size from less
than 1% to 6% of the pool, with the top ten loans constituting 37%
of the pool.
Fifty-seven loans, constituting 38% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Twenty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $321 million (for an average loss
severity of 40%). Twenty-seven loans, constituting 10% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Genesee Valley Center Loan ($107 million --
3% of the pool), which is secured by the borrower's interest in a
1.3 million square foot (SF) regional mall (collateral 543,000 SF)
located in Flint, Michigan. The mall's non-collateral anchors
include Macy's, J.C. Penney's and Sears. The collateral anchors
include Burlington Coat Factory and a dark theater that vacated in
2008 but is continuing to pay rent through its lease term. The
loan transferred in January 2012 due to imminent default and the
property is now REO. The property was appraised for $32.78 million
in January 2013, a 21% decrease from the previous appraisal in
February 2012. The servicer recognized an appraisal reduction of
$78 million.
The remaining 26 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $258 million loss
for the specially serviced loans (65% expected loss on average).
Moody's has assumed a high default probability for 50 poorly
performing loans, constituting 22% of the pool, and has estimated
an aggregate loss of $245 million (a 29% expected loss based on a
60% probability default) from these troubled loans.
Moody's received full year 2012 operating results for 87% of the
pool and full or partial year 2013 operating results for 83% of
the pool. Moody's weighted average conduit LTV is 116% compared to
122% at Moody's last review. Moody's conduit component excludes
loans with credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 10% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.31X and 0.91X,
respectively, compared to 1.26X and 0.86X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 17% of the pool balance. The
largest loan is the GSA Portfolio Loan ($235 million A Note -- 6%
of the pool), which is secured by nine office properties located
in West Virginia (4 properties), New York (2), Colorado (1),
Pennsylvania (1) and Kansas (1). The portfolio totals 1.1 million
SF and was 95% leased as of March 2012. The Mineral Wells, West
Virginia property (3% of the net rentable area (NRA) is completely
vacant after the tenant exercised its termination option in
October 2012. The loan was originally scheduled to mature in May
2012 and transferred to special servicing due to imminent maturity
default. The loan was split from a $284 million loan to a $235
million A Note and a $34 million B Note, and the maturity was
extended until May 2017. The borrower also made a $20 million
capital investment, of which $15 million paid down the original
debt and $5 million was deposited into a cash reserve. The loan
has since been returned to the master servicer. Moody's has
treated the B Note as a troubled loan. Moody's A Note LTV and
stressed DSCR are 125% and 0.82X, respectively, compared to the
whole loan LTV and DSCR of 154% and 0.67X at the last review.
The second largest loan is the Maple Drive Portfolio Loan ($220
million -- 6% of the pool), which is secured by three suburban
office properties located in Beverly Hills, California. The
portfolio was 94% leased as of January 2014 compared to 85% as of
December 2012. Two of the properties are essentially 100% leased
while the third is 88% leased. The loan is interest only for the
entire term and matures in June 2017. Moody's LTV and stressed
DSCR are 135% and 0.70X, respectively, compared to 140% and 0.68X
at the last review.
The third largest loan is the 5 Penn Plaza ($203 million -- 5% of
the pool), which is secured by a 657,000 SF office property
located in Manhattan. The property was 98% leased as of March
2013, and has been similarly leased since 2009. The loan is
interest only for the entire term and matures in May 2017. Moody's
LTV and stressed DSCR are 126% and 0.75X, respectively, the same
as at the last review.
JP MORGAN 2001-C1: Fitch Affirms Csf Rating on Class J Certs
------------------------------------------------------------
Fitch Ratings has affirmed six classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp.'s (JPMC) commercial mortgage
pass-through certificates series 2001-C1.
Key Rating Drivers
The affirmations reflect the increasingly concentrated nature of
the pool. There are seven loans remaining in the pool, one of
which is specially serviced (36.5%) and two are defeased (54.1%).
Fitch modeled losses of 19.1% of the remaining pool; expected
losses on the original pool balance total 4.7%, including $45.4
million (4.2% of the original pool balance) in realized losses to
date.
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 97.4% to $28 million from
$1.07 billion at issuance. Interest shortfalls are currently
affecting classes J through NR.
The specially-serviced loan (36.5% of the pool) is secured by a
200-unit multifamily property in Holland, OH. The loan had
transferred to special servicing in June 2010 for monetary
default. The borrower had filed for bankruptcy in August 2011.
The bankruptcy stay was lifted in May 2012 and the servicer was in
the process of pursuing foreclosure. The borrower filed for
bankruptcy for the second time in November 2012, which was later
dismissed in June 2013. The borrower is now appealing that
decision. Fitch expects a prolonged workout on this asset.
Occupancy was reported at 96% by the servicer in February 2014.
Rating Sensitivity
The rating on class H is expected to remain stable as the class
benefits from defeasance and has sufficient credit enhancement to
offset Fitch expected losses. The distressed class J may be
subject to further rating actions as losses are realized.
Fitch affirms the following classes as indicated:
-- $18 million class H at 'BBBsf', Outlook Stable;
-- $9 million class J at 'Csf', RE 55%;
-- $1 million class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%.
The balances on classes L, M and N have been reduced to zero due
to realized losses. The class A-1, A-2, A-3, B, C, D, E, F, G, NC-
1, NC-2 and X-2 certificates have paid in full. Fitch does not
rate the class NR certificates. Fitch previously withdrew the
rating on the interest-only class X-1 certificates.
JP MORGAN 2012-C6: Fitch Affirms Bsf Rating on Class H Certs
------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust 2012-C6, Commercial Mortgage
Pass-Through Certificates, Series 2012-C6.
Key Rating Drivers
The affirmations are based on stable performance of the underlying
collateral pool. There have been no delinquent or specially
serviced loans since issuance. As of the March 2014 distribution
date, the pool's aggregate principal balance has been reduced by
1.7% to $1.11 billion from $1.13 billion at issuance. The
servicer has placed three loans (6.4% of the pool) on the
watchlist, including one of the top 15 loans.
The largest loan on the watchlist (4.9% of the pool) is the 8080 &
9400 North Central Expressway loan, a two-building office
portfolio with total combined 673,188 square feet (sf) located in
suburban Dallas, TX. The largest tenants are Healthtexas Provider
Network (92,167 sf, expires November 2022) and Compass Bank
(53,938 sf, expires September 2023). Prior to issuance, the
property had historically struggled to maintain stable occupancy.
Occupancy has declined to 72% as of December 2013 from 77% as of
December 2012. At issuance the physical vacancy was 80%; Fitch
assumed a 77.2% stabilized occupancy estimate in its cash flow
analysis. The further decline in occupancy from issuance, which
was cited as a concern due to near-term rollover, is partially
mitigated by an ongoing leasing cost reserve of $800,000 per year,
capped at $2.4 million. In addition, the servicer has indicated
that several smaller tenants have recently signed leases.
Rating Sensitivity
Rating Outlooks 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 as indicated:
-- $35 million class A-1 at 'AAAsf', Outlook Stable;
-- $145.2 million class A-2 at 'AAAsf', Outlook Stable;
-- $491.7 million class A-3 at 'AAAsf', Outlook Stable;
-- $102.9 million class A-SB at 'AAAsf', Outlook Stable;
-- $99.2 million class A-S at 'AAAsf', Outlook Stable;
-- $56.7 million class B at 'AAsf', Outlook Stable;
-- $25.5 million class C at 'A+sf', Outlook Stable;
-- $28.3 million class D at 'A-sf', Outlook Stable;
-- $55.3 million class E at 'BBB-sf', Outlook Stable;
-- $1.4 million class F at 'BBB-sf', Outlook Stable;
-- $15.6 million class G at 'BBsf', Outlook Stable;
-- $18.4 million class H at 'Bsf', Outlook Stable;
-- $874 million* class X-A at 'AAAsf'; Outlook Stable.
KMART FUNDING: Moody's Affirms 'C' Rating on Class G Notes
----------------------------------------------------------
Moody's Investors Service affirmed the rating of Kmart Funding
Corporation Secured Lease Bond as follows:
Cl. G, Affirmed C; previously on April 11, 2013 Affirmed at C
Ratings Rationale
The rating is consistent with Moody's expected loss and thus is
affirmed. Class G, the only remaining class, has experienced an
aggregate $12.3 million loss due to the liquidations of properties
originally occupied by Kmart.
Factors that would lead to an upgrade or downgrade of the rating:
The ratings of Credit Tenant Lease (CTL) deals are primarily based
on the senior unsecured debt rating (or the corporate family
rating) of the tenants leasing the real estate collateral
supporting the bonds. Other factors that are also considered are
Moody's dark value of the collateral (value based on the property
being vacant or dark), which is used to determine a recovery rate
upon a loan's default and the rating of the residual insurance
provider, if applicable. Factors that may cause an upgrade of the
ratings include an upgrade in the rating of the corporate tenant
or significant loan paydowns or amortization which results in a
higher dark loan to value. Factors that may cause a downgrade of
the ratings include a downgrade in the rating of the corporate
tenant or the residual insurance provider.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Commercial Real
Estate Finance: Moody's Approach to Rating Credit Tenant Lease
Financings" published in November 2011.
No model was used in this review.
Deal Performance
This credit tenant lease (CTL) transaction originally consisted of
seven classes supported by 24 retail properties leased to Kmart
under fully bondable, triple net leases. In 2001, Kmart filed
voluntary petitions for reorganization under Chapter 11 of the
U.S. Bankruptcy Code. Kmart subsequently rejected the leases for
17 properties secured in this transaction. Leases for three of the
properties were later assumed by other retailers and 14 properties
were liquidated from the trust. Since securitization, six classes
have paid off. Class G, the remaining certificate, has an
outstanding balance of $8.6 million. This class experienced $12.3
million in losses (59% overall severity) due to liquidations. Ten
properties remain in the portfolio, of which six are leased to
Kmart, two to Sears, one to Home Depot and one to Frye
Electronics. The bond's payment is semi-annual and the final
principal distribution date is July 1, 2018.
LB COMMERCIAL 2007-C3: S&P Affirms B Ratings on 2 Note Classes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 13
classes of commercial mortgage pass-through certificates from LB
Commercial Mortgage Trust 2007-C3, a U.S. commercial mortgage-
backed securities (CMBS) transaction, including its 'AAA (sf)'
rating on the class X interest-only (IO) certificates from the
same transaction.
S&P's affirmations on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
The affirmations reflect S&P's expectation that the available
credit enhancement for these classes will be within its estimate
of the necessary credit enhancement required for the current
ratings. The affirmed ratings also reflect S&P's analysis of the
credit characteristics and performance of the remaining assets,
the transaction-level changes, and the liquidity support available
to the classes.
S&P affirmed its 'AAA (sf)' rating on the class X IO certificates
based on its criteria for rating IO securities.
RATINGS AFFIRMED
LB Commercial Mortgage Trust 2007-C3
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-3 AAA (sf) 34.88
A-AB AAA (sf) 34.88
A-4 AA (sf) 34.88
A-4B AA (sf) 34.88
A-4FL AA (sf) 34.88
A-1A AA (sf) 34.88
A-M BBB- (sf) 22.09
A-MB BBB- (sf) 22.09
A-MFL BBB- (sf) 22.09
A-J B (sf) 11.53
A-JFL B (sf) 11.53
B CCC (sf) 10.25
X AAA (sf) N/A
N/A-Not applicable.
LB-UBS COMMERCIAL 2004-C6: Fitch Rates Class F Certs 'BBsf'
-----------------------------------------------------------
Fitch Ratings has placed three classes of LB-UBS Commercial
Mortgage Trust commercial mortgage pass-through certificates,
series 2004-C6 (LBUBS 2004-C6) on Rating Watch Negative as
Follows:
-- $15.1 million class D 'AA-sf';
-- $13.5 million class E 'Asf';
-- $15.1 million class F 'BBsf'.
Key Rating Drivers
The Rating Watch Negative placements are due to interest
shortfalls, predominantly related to the $26.7 million University
Park Tech III/IV and Westchase Commons loan that paid off in March
2014. A special servicing fee of approximately 1% was collected
at payoff causing interest shortfalls to classes D through H for
the first time. Cumulative shortfalls total $8.3 million and are
currently affecting classes D through T.
Rating Sensitivity
Fitch will review the transaction in detail in the coming weeks.
Updated valuations, workout strategies of the specially serviced
loans, as well as severity and duration of interest shortfalls
will be evaluated. Classes D, E and F, which previously had
Negative Rating Outlooks may be downgraded a full category due to
incurred or potential future interest shortfalls, as well as
credit erosion due to the thin size of the subordinate tranches.
LOOMIS SAYLES: S&P Raises Rating on Class D Notes to BB+
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, C, and D notes from Loomis Sayles CLO I Ltd., a
collateralized loan obligation transaction managed by Loomis
Sayles & Co. L.P. Simultaneously, S&P affirmed the rating on the
class E notes from the same transaction. In addition, S&P removed
all five ratings from CreditWatch, where they were placed with
positive implications on Jan. 22, 2014.
The transaction's reinvestment period ended in October 2013.
Since then, the class A notes have paid down more than $204
million. This reduced its current outstanding balance to 29.5% of
its original balance, down from 98.5% in September 2011, when S&P
previously raised the ratings.
The upgrades reflect the paydowns to the class A notes, which
helped create additional support for the notes. The improvements
are also evident in the increased class A/B, C, D, and E
overcollateralization ratios since S&P's September 2011 rating
actions.
The affirmation of the class E rating reflects the availability of
adequate credit support at the current rating. The class E notes
rating continues to be affected by the application of the largest
obligor test, a supplemental stress test S&P introduced as part of
its corporate CDO criteria update.
S&P's rating actions also reflect additional scenario testing of
the transaction's exposure to a 'CCC-' rated entity that is near
default.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Loomis Sayles CLO I Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion (i) rating
A AA-(sf)/Watch Pos AAA (sf) 28.53% AAA (sf)
B A- (sf)/Watch Pos AAA (sf) 14.15% AAA (sf)
C BBB- (sf)/Watch Pos AA+ (sf) 4.59% AA+ (sf)
D BB- (sf)/Watch Pos BBB- (sf) 1.73% BB+ (sf)
E CCC+ (sf)/Watch Pos B+ (sf) 0.00% CCC+ (sf)
(i) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each
tranche's weighted average recovery rate. S&P also generated
other scenarios by adjusting the intra- and inter-industry
correlations to assess the current portfolio's sensitivity to
different correlation assumptions assuming the correlation
scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
D BBB- (sf) BB+ (sf) BBB- (sf) BBB+ (sf) BB+ (sf)
E B+ (sf) CCC+ (sf) B (sf) B+ (sf) CCC+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AA+ (sf) AA+ (sf) AA- (sf) AA+ (sf)
D BBB- (sf) BBB- (sf) B (sf) BB+ (sf)
E B+ (sf) B (sf) CC (sf) CCC+ (sf)
RATING ACTIONS
Loomis Sayles CLO I Ltd.
Rating
Class To From
A AAA (sf) AA- (sf)/Watch Pos
B AAA (sf) A- (sf)/Watch Pos
C AA+ (sf) BBB- (sf)/Watch Pos
D BB+ (sf) BB- (sf)/Watch Pos
E CCC+ (sf) CCC+ (sf)/Watch Pos
MADISON PARK II: Moody's Hikes Rating on Cl. D Notes to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Madison Park Funding II, Ltd.
$38,000,000 Class A-3 Notes Due December 25, 2020, Upgraded to
Aaa (sf); previously on January 18, 2013 Upgraded to Aa2 (sf)
$25,000,000 Class B-1 Notes Due December 25, 2020, Upgraded to
Aa3 (sf); previously on January 18, 2013 Upgraded to Baa1 (sf)
$25,000,000 Class B-2 Notes Due December 25, 2020, Upgraded to
Aa3 (sf); previously on January 18, 2013 Upgraded to Baa1 (sf)
$25,000,000 Class C-1 Notes Due December 25, 2020, Upgraded to
Baa1 (sf); previously on January 18, 2013 Upgraded to Baa3 (sf)
$5,000,000 Class C-2 Notes Due December 25, 2020, Upgraded to
Baa1 (sf); previously on January 18, 2013 Upgraded to Baa3 (sf)
$22,500,000 Class D Notes Due December 25, 2020, Upgraded to Ba1
(sf); previously on January 18, 2013 Upgraded to Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
$509,750,000 Class A-1 Notes Due December 25, 2020 (current
outstanding balance of $377,123,624), Affirmed Aaa (sf);
previously on January 18, 2013 Affirmed Aaa (sf)
$100,000,000 Class A-2a Notes Due December 25, 2020 current
outstanding balance of $71,055,058), Affirmed Aaa (sf); previously
on January 18, 2013 Affirmed Aaa (sf)
$11,250,000 Class A-2b Notes Due December 25,2020, Affirmed Aaa
(sf); previously on Jan 18, 2013 Upgraded to Aaa (sf)
Madison Park Funding II, Ltd., issued in February 2006, is a
collateralized loan obligation (CLO ) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in March 2013.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since September 2013. The Class A-1 and
A-2a notes have been paid down by approximately 17% or $92.1
million since September 2013. Based on the trustee's 25 February
2014 report, the over-collateralization (OC) ratios for the Class
A, Class B, Class C, and Class D notes are reported at 135.3%,
122.9%, 116.5% and 112.2%, respectively, versus September 2013
levels of 130.1%, 119.9%, 114.5%, and 110.8%, respectively. The
trustee-reported OC ratios in February 2014 do not incorporate
$31.4 million of principal proceeds that will be used to further
pay down the senior notes on 25 March 2014.
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
February 2014.
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. 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) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the
lowest priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
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% (3398)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: -1
Class B-1: -2
Class B-2: -2
Class C-1: -2
Class C-2: -2
Class D: -1
Moody's Adjusted WARF - 20% (2265)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: +3
Class B-1: +3
Class B-2: +2
Class C-1: +2
Class C-2: +2
Class D: +2
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 February 2014.
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 $669.3 million, defaulted
par of $8.5 million, a weighted average default probability of
19.83% (implying a WARF of 2832) a weighted average recovery rate
upon default of 50.11%, a diversity score of 71 and a weighted
average spread of 3.67%.
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.
MARQUETTE US: Moody's Raises Rating on 2 Note Classes to B1
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Marquette US/European CLO, P.L.C.:
$10,000,000 Class C-1 Secured Floating Rate Dollar Notes Due 2020
Notes, Upgraded to Aa2 (sf); previously on July 22, 2013 Upgraded
to A2 (sf)
EUR 7,937,000 Class C-2 Secured Floating Rate Euro Notes Due 2020
Notes, Upgraded to Aa2 (sf); previously on July 22, 2013 Upgraded
to A2 (sf)
$9,500,000 Class D-1 Secured Floating Rate Dollar Notes Due 2020
Notes, Upgraded to Baa3 (sf); previously on July 22, 2013 Upgraded
to Ba2 (sf)
EUR 7,540,000 Class D-2 Secured Floating Rate Euro Notes Due 2020
Notes, Upgraded to Baa3 (sf); previously on July 22, 2013 Upgraded
to Ba2 (sf)
U.S.$3,000,000 Class E-1 Secured Floating Rate Dollar Notes Due
2020 Notes, Upgraded to B1 (sf); previously on July 22, 2013
Upgraded to B3 (sf)
EUR 2,381,000 Class E-2 Secured Floating Rate Euro Notes Due 2020
Notes, Upgraded to B1 (sf); previously on July 22, 2013 Upgraded
to B3 (sf)
Moody's also affirmed the ratings on the following notes:
$103,905,000 Class A-1A Senior Secured Floating Rate Dollar Notes
Due 2020 Notes (current outstanding balance of $25,688,830),
Affirmed Aaa (sf); previously on July 22, 2013 Affirmed Aaa (sf)
$11,545,000 Class A-1B Senior Secured Floating Rate Dollar Notes
Due 2020 Notes, Affirmed Aaa (sf); previously on July 22, 2013
Affirmed Aaa (sf)
EUR 86,151,000 Class A-2 Senior Secured Floating Rate Euro Notes
Due 2020 Notes (current outstanding balance of EUR 27,853,752),
Affirmed Aaa (sf); previously on July 22, 2013 Affirmed Aaa (sf)
$2,550,000 Class B-1 Senior Secured Floating Rate Dollar Notes
Due 2020 Notes, Affirmed Aaa (sf); previously on July 22, 2013
Upgraded to Aaa (sf)
EUR 7,500,000 Class B-2 Senior Secured Floating Rate Euro Notes
Due 2020 Notes, Affirmed Aaa (sf); previously on July 22, 2013
Upgraded to Aaa (sf)
Marquette US/European CLO, P.L.C., issued in July 2006, is a
multi-currency collateralized loan obligation (CLO) backed
primarily by a portfolio of senior secured loans denominated in
U.S. Dollars and Euros. The transaction's reinvestment period
ended in July 2012.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since July 2013. The Class A-1A notes
amortized by approximately 47.6% or $23.35 million and the Class
A-2 notes amortized by approximately 38.6% or EUR 17.51 million
since the rating action in July 2013. Based on the trustee's 13
February 2014 report, the over-collateralization (OC) ratios for
the Class A/B, Class C, Class D and Class E notes are reported at
167.94%, 135.80%, 114.91% and 109.59%, respectively, versus July
2013 levels of 135.17%, 120.64%, 109.64% and 106.35%,
respectively.
Moody's notes that the underlying portfolio's credit quality has
been reported stable since the last rating action in July 2013.
However, Moody's modeled a higher weighted average rating factor
(WARF) due to the application of the 2-notch concentration stress,
for credit estimates representing over 3%, to approximately 14.2%
of the portfolio. In its base case, Moody's modeled a WARF of 3077
compared to the July 2013 level of 2791.
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
February 2014.
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) Exposure to credit estimates: The deal contains a large number
of securities whose default probabilities Moody's has assessed
through credit estimates. If Moody's does not receive the
necessary information to update its credit estimates in a timely
fashion, the transaction could be negatively affected by any
default probability adjustments Moody's assumes in lieu of updated
credit estimates. Moody's also ran stress scenarios to assess the
collateral pool's concentration risk because loans to obligors it
assesses with credit estimates constitute more than 3% of the
collateral pool.
6) Currency exposure: In order to mitigate currency risk, the
transaction relies on matching assets and liabilities denominated
US dollars and Euros, respectively. Faster amortization speeds due
to prepayments and/or collateral sales in either US Dollar or Euro
denominated assets may result in an asset-liability mismatch
exposing the notes to currency risk. Volatility in foreign
exchange rates will further impact the amount of interest and
principal proceeds available to the transaction, which could
affect the expected loss of rated tranches. Moody's modeled
additional scenarios assuming different amortization speeds for
the USD and Euro denominated assets.
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% (2462)
Class A-1A: 0
Class A-1B: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C-1: +1
Class C-2: +1
Class D-1: +2
Class D-2: +2
Class E-1: +1
Class E-2: +1
Moody's Adjusted WARF + 20% (3692)
Class A-1A: 0
Class A-1B: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C-1: -2
Class C-2: -2
Class D-1: -1
Class D-2: -1
Class E-1: -1
Class E-2: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
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 USD 57.5 million and EUR
66.2 million, no defaulted par, a weighted average default
probability of 19.70% (implying a WARF of 3077), a weighted
average recovery rate upon default of 49.89%, a diversity score of
29 and a weighted average spread of 3.48%.
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.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets
with credit estimates that have not been updated within the last
15 months, which represent approximately 0.5% of the collateral
pool. Additionally, for each credit estimates whose related
exposure constitutes more than 3% of the collateral pool, Moody's
applied a two-notch equivalent assumed downgrade to approximately
14.2% of the pool.
MERRILL LYNCH 2004-MKB1: Moody's Affirms C Rating on Class P Secs.
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on five classes
and affirmed the ratings on nine classes of Merrill Lynch Mortgage
Trust (MLMT) 2004-MKB1 as follows:
Cl. B, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa
(sf)
Cl. D, Affirmed Aaa (sf); previously on May 23, 2013 Upgraded to
Aaa (sf)
Cl. E, Upgraded to Aaa (sf); previously on May 23, 2013 Upgraded
to Aa1 (sf)
Cl. F, Upgraded to Aaa (sf); previously on May 23, 2013 Affirmed
A1 (sf)
Cl. G, Upgraded to Aa3 (sf); previously on May 23, 2013 Affirmed
Baa1 (sf)
Cl. H, Upgraded to A2 (sf); previously on May 23, 2013 Affirmed
Baa3 (sf)
Cl. J, Upgraded to Baa3 (sf); previously on May 23, 2013 Affirmed
Ba2 (sf)
Cl. K, Affirmed B1 (sf); previously on May 23, 2013 Affirmed B1
(sf)
Cl. L, Affirmed B3 (sf); previously on May 23, 2013 Affirmed B3
(sf)
Cl. M, Affirmed Caa2 (sf); previously on May 23, 2013 Affirmed
Caa2 (sf)
Cl. N, Affirmed Caa3 (sf); previously on May 23, 2013 Affirmed
Caa3 (sf)
Cl. P, Affirmed C (sf); previously on May 23, 2013 Downgraded to C
(sf)
Cl. XC, Affirmed Ba3 (sf); previously on May 23, 2013 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on Classes E through J were upgraded primarily due to
an increase in credit support since Moody's last review, resulting
from paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the payoff
of loans approaching maturity that are well positioned for
refinance. The pool has paid down by 69% since Moody's last
review. In addition, loans constituting 60% of the pool that have
debt yields exceeding 10% are scheduled to mature within the next
three months.
The ratings on the Classes. B through D and Classes K and L were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges. The ratings on the Classes M though P
were affirmed because the ratings are consistent with Moody's
expected loss.
The rating on the IO class, Cl. XC, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 9.0% of the
current balance, compared to 3.5% at Moody's last review. The deal
has amortized 69% since Moody's last review without an increase in
realized losses. Moody's base expected loss plus realized losses
is now 2.1% of the original pooled balance, compared to 2.4% at
the last review. Moody's provides a current list of base expected
losses for conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of eight compared to 27 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. 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 March 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 88% to $118 million
from $980 million at securitization. The Certificates are
collateralized by 17 mortgage loans ranging in size from 1% to 20%
of the pool, with the top ten loans representing 85% of the pool.
Three loans, representing 34% of the pool, have defeased and are
secured by U.S. Government securities.
Eight loans, representing 61% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of our
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Four loans have been liquidated at a loss since securitization
resulting in an aggregate realized loss of $10 million (47%
average loss severity). Two loans, representing 11% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Port Columbus IV Loan ($8 million -- 3.6% of the
pool), which is secured by a 104,000 square foot (SF) office
property located in Columbus, Ohio. The loan transferred to
special servicing in February 2012 and has been real estate owned
(REO) since September 2013. The property is 50% leased as of
December 2013 compared to 59% as of April 2013.
Moody's estimated an aggregate $7.5 million loss (57% average
expected loss) for the two specially serviced loans.
Moody's was provided with full year 2012 and partial and full year
2013 operating results for 93% and 88% of the pool's loans,
respectively. Moody's weighted average conduit LTV is 81% compared
to 80% at Moody's last review. Moody's conduit component excludes
defeased and specially loans. Moody's net cash flow (NCF) reflects
a weighted average haircut of 11% to the most recently available
net operating income (NOI). Moody's value reflects a weighted
average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.34X and 1.64X,
respectively, compared to 1.47X and 1.44X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three performing conduit loans represented 22% of the pool
at the start of Moody's current review. Twelve loans, totaling
$107 million, paid off with the March 12, 2014 distribution. The
Paragon Business Center Loan ($13 million -- 5.8% of the pool) and
the Woodrow Plaza Loan ($12.6 million -- 5.6% of the pool) were
the second and third largest performing conduit loans, but both
paid off during Moody's current review.
The largest remaining conduit loan is the Tucson Spectrum Shopping
Center Loan ($23 million -- 19.9% of the pool), which is secured
by a leasehold interest in a 241,000 SF retail center located in
Tucson, Arizona. The center is shadow-anchored by Home Depot and
Target. The property is 99% leased as of February 2013. The
property was formerly known as Westpoint Crossing Shopping Center.
The loan matures in April 2014. Moody's LTV and stressed DSCR are
90% and 1.12X, respectively, compared to 84% and 1.19X at last
review.
MERRILL LYNCH 2008-C1: Fitch Cuts Rating on 2 Note Classes to 'C'
-----------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed 19 classes
of Merrill Lynch Mortgage Trust (MLMT) series 2008-C1, commercial
mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations and Positive Outlooks reflect lower loss
expectations and relatively stable performance of the pool. The
downgrades to the already distressed classes are a result of
incurred losses to the most subordinate classes and increased
certainty of expected losses to these classes.
Fitch modeled losses of 4.3% of the remaining pool; expected
losses on the original pool balance total 5.7%, including $28.2
million (3% of the original pool balance) in realized losses to
date. Fitch has designated 29 loans (40.3%) as Fitch Loans of
Concern, which includes two specially serviced assets (1.8%).
As of the February 2014 distribution date, the pool's aggregate
principal balance has been reduced by 37.3% to $594.5 million from
$948.8 million at issuance. Per the servicer reporting, two loans
(1.2% of the pool) are defeased. Interest shortfalls are
currently affecting classes N through T.
The largest contributor to expected losses is the Heritage
Financial Center loan (1.9% of the pool), which is secured by a
61,163-sf office building located in Agoura Hills, CA, in
northwest Los Angeles County. The loan was previously with the
special servicer for monetary default. The loan was brought
current on payments and a modification was given for a 12-month
extension of interest-only payments that expired in June 2013.
The servicer reported occupancy and net operating income (NOI)
debt service coverage ratio (DSCR) was 95.5% and 1.37 times (x),
respectively, as of the third-quarter 2013. In addition, as per
the property's third-quarter 2013 rent roll, there is a 54.7%
rollover risk in 2014, including the first and third largest
tenants at 25% and 17.4%, respectively.
The next largest contributor to expected losses is the Landmark
Towers loan (2.7%), which is secured by 25-story, 212,959-sf
office building located in St. Paul, MN. The property has been
suffering from poor performance over the last several years due an
increase in expenses and tenant rollovers. The property's expense
ratio has been above 71% since 2009. The servicer reported
occupancy was 92.7% as of the third-quarter 2013. Additionally,
the servicer reported DSCR declined to 1.01x as of the year-end
2012 from 1.23x as of year-end 2011.
The third largest contributor to expected losses is the Park Creek
Apartments loan (2%), which is secured by a 200-unit multifamily
complex in Gainesville, GA. The property has suffered from poor
performance over the last couple of years due to local market
conditions and increased competition. As per the property's rent
roll, occupancy increased to 89% as of year-end 2013 from 78% as
of year-end 2012. However, the DSCR dropped to 0.93x as of year-
end 2013 from 0.99x as of year-end 2012 due to lower rental rates
and concessions.
RATING SENSITIVITY
The Rating Outlooks on classes A4 though AM-A remains Stable. The
rating Outlooks on classes AJ through AJ-AF have been revised to
Positive as a result of increased credit enhancement from
continued principal paydowns since Fitch's last rating action.
Should stable to improved performance continue, these classes may
be upgraded. The distressed classes (those rated below 'B') could
be subject to further rating actions as losses are realized.
Fitch downgrades the following classes and assigns Recovery
Estimates (REs) as indicated:
--$10.7 million class K to 'CCsf' from 'CCCsf'; RE 15%;
--$8.3 million class L to 'Csf' from 'CCsf'; RE 0%;
--$3.6 million class M to 'Csf' from 'CCsf'; RE 0%.
Fitch affirms the following classes, revises Rating Outlooks and
assigns REs as indicated:
--$321.8 million class A4 at 'AAAsf'; Outlook Stable;
--$41.7 million class A-1A at 'AAAsf'; Outlook Stable;
--$71.2 million class AM at 'AAAsf'; Outlook Stable;
--$6.3 million class AM-A at 'AAAsf'; Outlook Stable;
--$41.8 million class AJ at 'AAsf'; Outlook to Positive from
Stable;
--$3.7 million class AJ-A at 'AAsf'; Outlook to Positive from
Stable;
--$2.2 million class AJ-AF at 'AAsf'; Outlook to Positive from
Stable;
--$10.7 million class B at 'Asf'; Outlook Stable;
--$11.9 million class C at 'Asf'; Outlook Stable;
--$8.3 million class D at 'BBBsf'; Outlook Stable;
--$8.3 million class E at 'BBB-sf'; Outlook Stable;
--$9.5 million class F at 'BBsf'; Outlook Stable;
--$9.5 million class G at 'BBsf'; Outlook to Stable from Negative;
--$10.7 million class H at 'Bsf'; Outlook to Stable from Negative;
--$11.9 million class J at 'CCCsf'; RE 100%;
--$2.7 million class N at 'Dsf'; RE 0% ;
--$0 class P at 'Dsf'; RE 0% ;
--$0 class Q at 'Dsf'; RE 0% ;
--$0 class S at 'Dsf'; RE 0% .
The class A-1, A-2, A-3, A-SB, A-1AF and AM-AF certificates have
paid in full. Fitch does not rate the class T certificates.
Fitch previously withdrew the rating on the interest-only class X
certificates.
MILLENNIUM PARK I: S&P Lowers Rating on Class D Notes to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
D notes from Millennium Park CDO I Ltd., a U.S. corporate bond
collateralized debt obligation (CDO), to 'D (sf)' from 'CC (sf)'.
At the same time, S&P withdrew its ratings on the class A-1, A-2,
B, and C notes.
The downgrade follows a shortfall in the principal payment on the
notes on their final maturity date, March 21, 2014, according to
the note valuation report.
At the same time, S&P withdrew its ratings on the class A-1, A-2,
B, and C notes following their complete paydown on the final
maturity date.
RATING LOWERED
Millennium Park CDO I Ltd.
Rating
Class To From
D D (sf) CC (sf)
RATINGS WITHDRAWN
Millennium Park CDO I Ltd.
Rating
Class To From
A-1 NR BB- (sf)
A-2 NR CCC (sf)
B NR CCC- (sf)
C NR CCC- (sf)
NR-Not rated.
MORGAN STANLEY 2004-HQ3: Moody's Cuts X-1 Certs' Rating to Caa2
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
classes and downgraded one class in Morgan Stanley Capital I Trust
2004-HQ3, Commercial Mortgage Pass-Through Certificates, Series
2004-HQ3 as follows:
Cl. O, Upgraded to Aaa (sf); previously on May 9, 2013 Affirmed B2
(sf)
Cl. P, Upgraded to Aaa (sf); previously on May 9, 2013 Affirmed B3
(sf)
Cl. Q, Upgraded to Ba1 (sf); previously on May 9, 2013 Affirmed
Caa3 (sf)
Cl. X-1, Downgraded to Caa2 (sf); previously on May 9, 2013
Affirmed Ba3 (sf)
Ratings Rationale
The ratings on three P&I classes were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 97% since Moody's last
review. However, concerns regarding interest shortfalls remain for
Class Q.
The rating on the IO Class (Class X-1) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 8.9% of the
current balance compared to 2.7% at Moody's prior review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
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.
Description Of Models Used
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, compared to 13 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. 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 March 13, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $19.1
million from $1.3 billion at securitization. The Certificates are
collateralized by four mortgage loans ranging in size from less
than 11% to 46% of the pool, with the remaining two loans
(excluding defeasance) representing 31% of the pool. There are no
loans with credit assessments in this pool. Two loans,
representing 69% of the pool have defeased and are secured by US
Government securities.
There are no loans on the master servicer's watchlist. Five loans
have been liquidated from the pool, resulting in an aggregate
realized loss of $12 million (51% loss severity on average). Two
loans, representing 31% of the pool, are in special servicing. The
largest specially serviced loan is the Clarks Hill Plaza Loan
($3.7 million -- 20% of the pool), which is secured by an
approximately 22,000 square foot (SF) strip retail center in
Stamford, Connecticut. The workout strategy going forward is to be
determined. The property was only 30% leased as of January 2014.
The top tenants of the property are on month-to-month leases. The
servicer has not yet recognized an appraisal reduction for this
loan.
The remaining specially serviced loan is also secured by a strip
center retail property. Moody's estimates an aggregate $1.7
million loss for the specially serviced loans (29% expected loss
on average).
There are no remaining conduit loans.
MORGAN STANLEY 2004-TOP15: Moody's Cuts Rating on J Certs to C
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two classes,
downgraded one class and affirmed nine classes of Morgan Stanley
Capital I Trust, Commercial Mortgage Pass-Through Certificates,
Series 2004-TOP15 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Mar 27, 2013 Affirmed
Aaa (sf)
Cl. B, Upgraded to Aaa (sf); previously on Mar 27, 2013 Affirmed
Aa2 (sf)
Cl. C, Upgraded to A1 (sf); previously on Mar 27, 2013 Affirmed A3
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Mar 27, 2013 Affirmed
Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Mar 27, 2013 Affirmed
Baa3 (sf)
Cl. F, Affirmed B2 (sf); previously on Mar 27, 2013 Downgraded to
B2 (sf)
Cl. G, Affirmed Caa1 (sf); previously on Mar 27, 2013 Downgraded
to Caa1 (sf)
Cl. H, Affirmed Caa2 (sf); previously on Mar 27, 2013 Downgraded
to Caa2 (sf)
Cl. J, Downgraded to C (sf); previously on Mar 27, 2013 Downgraded
to Caa3 (sf)
Cl. K, Affirmed C (sf); previously on Mar 27, 2013 Downgraded to C
(sf)
Cl. L, Affirmed C (sf); previously on Mar 27, 2013 Downgraded to C
(sf)
Cl. X-1, Affirmed Ba3 (sf); previously on Mar 27, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on the P&I classes B and C were upgraded primarily due
to an increase in credit support since Moody's last review,
resulting from paydowns and amortization, as well as Moody's
expectation of additional increases in credit support resulting
from the payoff of loans approaching maturity that are well
positioned for refinance. The pool has paid down by 61% since
Moody's last review. In addition, loans constituting 77% of the
pool that have debt yields exceeding 12.0% are scheduled to mature
within the next 12 months.
The rating on the P&I class J was downgraded due to the
accelerated timing of realized and anticipated losses from
specially serviced and troubled loans.
The ratings on the P&I classes G, H, K and L were affirmed because
the ratings are consistent with Moody's expected loss.
The ratings on the remaining P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO class was affirmed based on the weighted
average rating factor (WARF) of its referenced classes.
Moody's rating action reflects a base expected loss of 3.0% of the
current balance compared to 3.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.1% of the
original pooled balance, compared to 2.8% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 8 compared to 15 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. 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 March 13, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 61% to $350 million
from $890 million at securitization. The certificates are
collateralized by 63 mortgage loans ranging in size from less than
1% to 30% of the pool, with the top ten loans (excluding
defeasance) constituting 60% of the pool. One loan, constituting
30% of the pool, has an investment-grade credit assessment. Seven
loans, constituting 7% of the pool, have defeased and are secured
by US government securities.
Thirty-five loans, constituting 43% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance. The high share of loans on the watchlist
largely reflects the high proportion of loans in the pool with
upcoming loan maturities.
Seven loans have been liquidated from the pool, contributing to an
aggregate realized loss of $8 million (for an average loss
severity of 18%). Three loans, constituting 6% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Franklin Business Center Loan ($9 million -- 3% of the
pool), which is secured by a 198,000 square foot industrial
property in Sacramento, California. The property has suffered from
high vacancy. The borrower is seeking a loan modification to allow
more time to lease up the property.
The remaining specially serviced loans are secured by two retail
properties. Moody's estimates an aggregate $6 million loss for the
specially serviced loans (31% expected loss on average).
Moody's has assumed a high default probability for two poorly
performing loans, constituting 3% of the pool, and has estimated
an aggregate loss of $2 million (20% expected loss based on a 50%
probability default) from these troubled loans.
Moody's received full year 2012 operating results for 100% of the
pool, and full or partial year 2013 operating results for 43% of
the pool. Moody's weighted average conduit LTV is 61% compared to
68% at Moody's last review. Moody's conduit component excludes
loans with credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12.3% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.85X and 2.00X,
respectively, compared to 1.72X and 1.73X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a credit assessment is the Grace Building Loan ($105
million -- 30% of the pool), which represents a 33% pari-passu
interest in a $316 million senior mortgage loan. The loan is
secured by a 49-story, class A office tower in Midtown Manhattan.
The property was 86% leased as of September 2013 compared to 96%
at year-end 2012. Time Warner is the largest tenant at the
property, occupying approximately 21% of the property's net
rentable area (NRA) through 2018. The loan sponsor is a
partnership between Brookfield Office Properties and Swig
Equities. The property is also encumbered by a B Note which is
held outside the trust. Given the strong rental market and below-
market rents for recently departed tenants, the higher vacancy
represents an opportunity for the loan sponsor to lease up the
property at higher, market rents. The current vacancy for the 6th
Avenue corridor in Midtown is approximately 7.9%. Moody's credit
assessment and stressed DSCR are A3 and 1.51X, respectively,
compared to A3 and 1.47X at the last review.
The top three performing conduit loans represent 15% of the pool
balance. The largest loan is the Village at Newtown Loan ($24
million -- 7% of the pool), which is secured by a seven-building
shopping center in Newtown Township, Pennsylvania, a suburb of
Philadelphia. The largest tenant is the regional grocer
McCaffrey's, which occupies approximately 24% of the NRA through
September 2017. The retail center saw occupancy rise to 96% as of
June 2013, up from 92% the prior year and 89% at Moody's second-
prior review. Moody's LTV and stressed DSCR are 70% and 1.35X,
respectively, compared to 71% and 1.33X at prior review.
The second largest loan is the Third and Main Portfolio ($14
million -- 4% of the pool). The loan is secured by four retail
properties located in downtown Santa Monica, California. The
properties are located along Main Street and the popular Third
Street Promenade area. As of December 2013 the properties were
100% leased. Moody's LTV and stressed DSCR are 44% and 2.10X,
respectively, compared to 45% and 2.05X at the last review.
The third largest loan is the Freeport Crossings Loan ($13 million
-- 4% of the pool). The loan is secured by a 95,000 square foot
grocery-anchored retail center in Freeport, Maine. As of September
2013, the property was 79% leased, unchanged from the prior
review. The anchor grocer lease (Shaw's) is through February 2025.
Moody's LTV and stressed DSCR are 83% and 1.14X, respectively,
compared to 89% and 1.06X at the last review.
MORGAN STANLEY 2005-RR6: Moody's Cuts Cl. X Secs' Rating to Caa3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following classes issued by Morgan Stanley Capital I Inc. 2005-RR6
("MSC 2005-RR6"):
Cl. A-3FL, Upgraded to Aaa (sf); previously on Jun 5, 2013
Affirmed Aa2 (sf)
Cl. A-3FX, Upgraded to Aaa (sf); previously on Jun 5, 2013
Affirmed Aa2 (sf)
Moody's has also affirmed the ratings on the following classes:
Cl. A-J, Affirmed Caa3 (sf); previously on Jun 5, 2013 Downgraded
to Caa3 (sf)
Cl. B, Affirmed C (sf); previously on Jun 5, 2013 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Jun 5, 2013 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Jun 5, 2013 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Jun 5, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Jun 5, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jun 5, 2013 Affirmed C (sf)
Moody's has also downgraded the ratings on the following classes:
Cl. X, Downgraded to Caa3 (sf); previously on Jun 5, 2013
Downgraded to Caa2 (sf)
Ratings Rationale
Moody's has upgraded the ratings of two classes of certificates
due to greater than expected recoveries on the underlying greater
credit risk collateral. The downgrade of the interest only class
is a result of the full amortization of the senior most class. The
affirmations are because the 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.
MSC 2005-RR6 is a static pooled cash transaction. The transaction
is wholly backed by a portfolio of commercial mortgage backed
securities (100% of the current pool balance). As of the trustee's
February 24, 2014 report, the aggregate certificate balance of the
transaction, including preferred shares, has decreased to $115.1
million from $564.1 million at issuance as a result of pay downs
and realized losses to the classes. Classes A1 through A2-FL are
fully amortized. Classes H through N have full realized losses and
Class G has partial realized losses.
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 6,203
compared to 5,679 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (10.7% compared to 7.5% at last
review), A1-A3 (6.5% compared to 14.5% at last review), Baa1-Baa3
(0.4% compared to 6.0% at last review), B1-B3 (12.9% compared to
11.2% at last review) and Caa1-Ca/C (69.4% compared to 60.9% at
last review).
Moody's modeled a WAL of 2.6 years, compared to 2.4 years at last
review. The WAL is based on assumptions about extensions on the
underlying loans within the CMBS collateral.
Moody's modeled a fixed WARR of 4.4%, compared to 10.6% at last
review.
Moody's modeled a MAC of 10.7%, compared to 6.8% 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 March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the certificates 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
certificates.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the
rated certificates, 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. Holding all other key
parameters static, changing the recovery rate assumption up from
4.4% to 9.4% would result in a modeled rating movement on the
rated tranches of 0 to 1 notch upward.
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.
N-STAR REAL IX: Moody's Affirms Ratings on 12 Note Classes
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following notes issued by N-Star Real Estate CDO IX, Ltd.:
Cl. A-1, Affirmed B2 (sf); previously on Mar 29, 2013 Downgraded
to B2 (sf)
Cl. A-2, Affirmed Caa1 (sf); previously on Mar 29, 2013 Affirmed
Caa1 (sf)
Cl. A-3, Affirmed Caa2 (sf); previously on Mar 29, 2013 Affirmed
Caa2 (sf)
Cl. B, Affirmed Caa2 (sf); previously on Mar 29, 2013 Affirmed
Caa2 (sf)
Cl. C, Affirmed Caa3 (sf); previously on Mar 29, 2013 Affirmed
Caa3 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Mar 29, 2013 Affirmed
Caa3 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Mar 29, 2013 Affirmed
Caa3 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Mar 29, 2013 Affirmed
Caa3 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Mar 29, 2013 Affirmed
Caa3 (sf)
Cl. H, Affirmed Caa3 (sf); previously on Mar 29, 2013 Affirmed
Caa3 (sf)
Cl. J, Affirmed Caa3 (sf); previously on Mar 29, 2013 Affirmed
Caa3 (sf)
Cl. K, Affirmed Caa3 (sf); previously on Mar 29, 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 and Re-REMIC) transactions.
N-Star Real Estate CDO IX, Ltd. is a cash transaction whose
reinvestment period ended in June 2012. The collateral pool
contains 60.7% commercial mortgage backed securities (CMBS) of
which approximately 86% was issued between 2005 and 2008. The
remaining collateral includes CRE CDO (29.7%), small business
loans (2.0%), real estate investment trust (REIT) debt (0.8%), and
commercial real estate whole loans, b-notes and mezzanine
interests (6.8%). As of the March 3, 2014 trustee report, the
aggregate note balance of the transaction, including preferred
shares, is $695.4 million, down from $776.0 million at issuance.
The pool contains fifty six assets across forty six names totaling
$282.5 million (31.2% of the collateral pool balance) that are
listed as defaulted securities as of the March 3, 2014 trustee
report. Forty seven of these assets (72.0% of the defaulted
balance) are CMBS, eight assets are CRE CDO (23.6%), and one asset
is a commercial real estate loan (4.4%). While there have been
limited realized losses on the underlying collateral to date,
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 6275,
compared to 6643 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 and 4.1% compared to 4.0% at last
review, A1-A3 and 0.2% compared to 0.7% at last review, Baa1-Baa3
and 3.4% compared to 2.6% at last review, Ba1-Ba3 and 7.6%
compared to 4.1% at last review, B1-B3 and 15.8% compared to 16.7%
at last review, Caa1-Ca/C and 68.8% compared to 71.8% at last
review.
Moody's modeled a WAL of 3.4 years, compared to 3.9 years at last
review. The WAL is based on assumptions about extensions on the
underlying loans within the CMBS collateral and extensions on
direct loan interests.
Moody's modeled a fixed WARR of 3.8%, compared to 8.9% at last
review.
Moody's modeled a MAC of 100%, the same as 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 March 2014.
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. Increasing the recovery rates by 10% would
result in an average modeled rating movement on the rated notes of
zero to two notches (e.g., one notch up implies a ratings movement
of Ba1 to Baa3).
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.
NATIONAL COLLEGIATE: Moody's Reviews 17 Senior Notes by 14 Trusts
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five senior
classes of notes leaving them under review for further upgrades,
and placed under review for upgrade 17 senior classes of notes
issued by 14 National Collegiate Student Loan Trust
Securitizations. The underlying collateral consists of private
student loans that are not guaranteed or reinsured under either
the Federal Family Education Loan Program (FFELP) or any other
federal student loan program. The loans are primarily serviced by
the Pennsylvania Higher Education Assistance Agency (PHEAA) with
U.S. Bank, N.A. acting as the special servicer. Goal Structured
Solutions, Inc. is the administrator for all securitizations.
Ratings Rationale
The primary rationale for the actions is the continued build-up in
credit enhancement supporting the affected notes as a results of
the substantial pay down of the notes in a sequential-pay
structure. Although the ratios of total assets to total
liabilities have declined to a range of 69%-86% as of January 2014
from a range of 76%-87% as of January 2013, the top-pay senior
classes have benefitted from rapid deleveraging. Subordination and
overcollateralization supporting the affected classes of notes
increased to a range of 33%-93% as of January 2014 from a range of
32%-88% as of January 2013.
During the review period, Moody's will project lifetime defaults
and net losses on the underlying student loan pools and conduct a
detailed cash flow analysis to assess whether the available credit
enhancement is sufficient to upgrade the current ratings of the
affected classes of notes.
Principal Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating U.S. Private Student Loan-Backed Securities"
published in January 2010.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Complete rating actions are as follows:
Issuer: National Collegiate Student Loan Trust 2004-1
Cl. A-2, Upgraded to A1 (sf) and Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Confirmed at A3 (sf)
Issuer: National Collegiate Student Loan Trust 2004-2
Cl. A-4, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Confirmed at A1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-1
Cl. A-4, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Confirmed at A1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-2
Cl. A-3, Upgraded to Aa3 (sf) and Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to A1 (sf)
Cl. A-4, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-3
Cl. A-3, Upgraded to Aa3 (sf) and Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to A1 (sf)
Cl. A-4, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to A2 (sf)
Issuer: National Collegiate Student Loan Trust 2006-1
Cl. A-3, Upgraded to Aa3 (sf) and Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to A1 (sf)
Cl. A-4, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-2
Cl. A-2, Upgraded to Aa3 (sf) and Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to A1 (sf)
Cl. A-3, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-3
Cl. A-4, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Cl. A-3, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to A1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-4
Cl. A-2, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Confirmed at A1 (sf)
Cl. A-3, Ba1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2007-1
Cl. A-2, A1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Confirmed at A1 (sf)
Cl. A-3, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to Ba2 (sf)
Issuer: National Collegiate Student Loan Trust 2007-2
Cl. A-2, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to A2 (sf)
Cl. A-3, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Downgraded to Baa3 (sf)
Issuer: National Collegiate Student Loan Trust 2007-3
Cl. A-2-AR-4, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Upgraded to Baa1 (sf)
Issuer: National Collegiate Student Loan Trust 2007-4
Cl. A-2-AR-4, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Upgraded to Baa1 (sf)
Issuer: The National Collegiate Master Student Loan Trust I (2001
Indenture)
NCT-2003AR-11, B1 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 3, 2013 Upgraded to B1 (sf)
Factors that would lead to an upgrade or downgrade of the rating:
Up
Among the factors that could drive the rating up are a decline in
basis risk and lower net losses on the underlying assets than
Moody's expects.
Down
Among the factors that could drive the rating down are an increase
in basis risk and higher net losses on the underlying assets than
Moody's expects.
NEW RESIDENTIAL: S&P Assigns B Ratings on 3 Note Classes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to New
Residential Advance Receivables Trust's $1.913 billion
receivables-backed notes series 2014-VF1, 2014-T1, and 2014-T2.
The note issuance is a residential mortgage-backed securities
transaction backed by servicer advance receivables and deferred
servicing fees.
The ratings reflect S&P's view of:
-- The likelihood that recoveries on the servicer advances,
together with a reserve fund and overcollateralization, are
sufficient under its 'AAA', 'AA', 'A', 'BBB', 'BB', and 'B'
stresses as outlined in its criteria to meet scheduled
interest and ultimate principal payments due on the
securities according to the obligations' terms; and
-- An operational review of the servicer.
RATINGS ASSIGNED
New Residential Advance Receivables Trust
(Series 2014-VF1, 2014-T1, And 2014-T2)
Class Rating Type Interest Amount
rate (mil. $)
A-VF1 AAA (sf) 1-yr. VFN 1 mo. LIBOR + 1.375 779.000
A-T1 AAA (sf) 1-yr. term 1.2736 464.400
A-T2 AAA (sf) 3-yr. term 2.3771 459.500
B-VF1 AA (sf) 1-yr. VFN 1 mo. LIBOR + 1.900 63.100
B-T1 AA (sf) 1-yr. term 1.6711 16.200
B-T2 AA (sf) 3-yr. term 2.6246 18.400
C-VF1 A (sf) 1-yr. VFN 1 mo. LIBOR + 2.000 32.700
C-T1 A (sf) 1-yr. term 1.7704 7.500
C-T2 A (sf) 3-yr. term 2.8223 8.400
D-VF1 BBB (sf) 1-yr. VFN 1 mo. LIBOR + 2.500 25.200
D-T1 BBB (sf) 1-yr. term 2.2662 7.000
D-T2 BBB (sf) 3-yr. term 3.3159 8.400
E-TF1 BB (sf) 1-yr. term 3.4000 8.600
E-T1 BB (sf) 1-yr. term 3.6491 2.600
E-T2 BB (sf) 3-yr. term 5.0358 3.100
F-TF1 B (sf) 1-yr. term 4.7500 3.900
F-T1 B (sf) 1-yr. term 4.9750 2.300
F-T2 B (sf) 3-yr. term 6.2568 2.200
G-TF1 NR 1-yr. term 6.5000 29.000
G-T1 NR 1-yr. term 5.9262 8.600
G-T2 NR 3-yr. term 7.3853 11.600
VFN-Variable-funding note.
Term-Term note.
NR-Not rated.
NEWSTAR COMMERCIAL 2014-1: Moody's Rates Class F Notes '(P)B2'
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by NewStar Commerical Loan Funding
2014-1 LLC (the "Issuer" or "NewStar 2014-1").
Moody's rating action is as follows:
$188,000,000 Class A Senior Secured Floating Rate Notes due 2025
(the "Class A Notes"), Assigned (P)Aaa (sf)
$31,000,000 Class B Senior Secured Floating Rate Notes due 2025
(the "Class B Notes"), Assigned (P)Aa2 (sf)
$28,000,000 Class C Secured Deferrable Floating Rate Notes due
2025 (the "Class C Notes"), Assigned (P)A2 (sf)
$22,000,000 Class D Secured Deferrable Floating Rate Notes due
2025 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$17,000,000 Class E Secured Deferrable Floating Rate Notes due
2025 (the "Class E Notes"), Assigned (P)Ba2 (sf)
$13,000,000 Class F Secured Deferrable Floating Rate Notes due
2025 (the "Class F Notes"), Assigned (P)B2 (sf)
The Class A Notes, Class B Notes, Class C Notes, Class D Notes,
Class E Notes and Class F Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
NewStar 2014-1 is a managed cash flow SME CLO. The issued notes
will be collateralized by small and medium enterprise and broadly
syndicated loans. At least 97% of the portfolio must consist of
senior secured loans, cash and eligible investments. Up to 3% may
consist of second lien loans. At closing, the portfolio is
expected to be approximately 70% ramped and 100% ramped within 4
months thereafter.
NewStar Financial, Inc. (the "Manager") will direct the selection,
acquisition and disposition of collateral on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four-year reinvestment period.
Thereafter, no collateral purchases are allowed.
The transaction incorporates coverage tests, both par and
interest, 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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Target Par Amount of $325,000,000
Diversity Score of 36
Weighted Average Rating Factor (WARF): 3300
Weighted Average Spread (WAS): 4.65%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 46%
Weighted Average Life (WAL): 8 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
February 2014.
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.
NON-PROFIT PREFERRED I: Fitch Affirms BB Rating on Class B Certs
----------------------------------------------------------------
Fitch Ratings has affirmed the ratings on five classes of
certificates issued by Non-Profit Preferred Funding Trust I
(NPPF I) and revised or maintained the Outlooks and Recovery
Estimates (RE) as follows:
-- $36,739,895 class A-1 senior certificates at 'BBBsf'; Outlook
Stable;
-- $93,614,069 class A-2 delayed issuance senior certificates at
'BBBsf'; Outlook Stable;
-- $16,500,000 class B senior certificates at 'BBsf'; Outlook
Stable;
-- $22,000,000 class C mezzanine certificates at 'CCCsf'; to RE
20% from RE 55%;
-- $14,000,000 class D subordinated certificates at 'CCsf'; RE 0%.
Key Rating Drivers
The affirmations are attributed to improved credit enhancement
(C/E) available to the rated certificates as a result of the
deleveraging of the capital structure from a combination of
manager sales and repayment activity in the pool, offsetting
deterioration of the underlying collateral.
Since Fitch's last rating action in April 2013, the NPPF I's
portfolio balance has decreased by approximately $31.1 million, to
$212.2 million, or 53.1% of the initial portfolio size, as per the
March 2014 trustee report. In addition to approximately $25.2
million of proceeds from early redemptions and regularly scheduled
amortizations, the manager instituted a sale of three defaulted
securities that yielded a recovery of 49.8%, or approximately $5.9
million in principal proceeds. The proceeds were then used to
amortize the class A certificates, which over the last two payment
dates received approximately $28.8 million, or 18.1% of their
collective original balance, in principal repayments, due to the
amortization, sales, and excess spread diverted to cure the
failing Class C Coverage Test.
While this deleveraging has benefited all classes of certificates,
as reflected by the improved CE levels across the capital
structure, the remaining portfolio has become significantly more
concentrated. Presently, the pool comprises debt of 22 obligors
of which 16 are considered by Fitch as performing, compared to 27
and 22, respectively, at last review. The portfolio has also
experienced a net negative credit migration, with downgrades in
either the public ratings or Fitch's point-in-time credit opinions
outpacing upgrades (22.4% of the portfolio has been downgraded a
weighted average of 2.8 notches and 18.6% has been upgraded a
weighted average of 1.4 notches). The cumulative exposure to
defaulted securities now stands at 26.5%, compared to 16.8% at the
last review.
In Fitch's base case, all certificates passed at their current or
higher rating levels. In Fitch's sensitivity scenario, where a
25% recovery rate haircut was applied to the standard recovery
assumption of each currently defaulted asset in the portfolio, the
certificates passed at their current rating levels in most
scenarios. Given the results of the sensitivity analysis, the
Outlook remains Stable on the class A and the class B
certificates. Fitch does not assign Outlooks to classes rated
'CCCsf' and lower.
Fitch has revised the recover estimate (RE) on the class C
certificates and maintained the previously assigned estimate on
the class D certificates. The RE for the class C certificates has
been revised to reflect lowered recovery expectations on several
defaulted assets in the portfolio. This represents Fitch's
calculation of expected principal recoveries as a percentage of
current note principal outstanding.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then used in Fitch's cash flow model under
various default timing and interest rate stress scenarios.
Rating Sensitivities
Further negative migration and defaults beyond those projected by
PCM as well as lower than assumed realized recovery on defaulted
assets could lead to future downgrades.
NPPF I is a Structured Tax-Exempt Pass-Through (STEP) program
formed in November 2006 to issue $416.5 million of municipal
market data (MMD) index-based senior, mezzanine, and junior
certificates. The proceeds of the issuance were invested in a
portfolio of municipal debt issued under 501(c)(3) program. The
initial portfolio was selected by Cohen Municipal Capital
Management, LLC together with sub-advisors Nonprofit Capital LLC
and Shattuck Hammond. In March 2009, Muni Capital Management, LLC
took over the management responsibilities for this transaction by
consolidating the team of Cohen Municipal Capital Management, LLC.
ONE WALL II: Moody's Affirms B1 Rating on $10.5MM Class E Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by One Wall Street CLO II Ltd.:
$34,000,000 Class B Senior Notes Due 2019, Upgraded to Aaa (sf);
previously on February 26, 2013 Upgraded to Aa2 (sf)
$15,500,000 Class C Deferrable Mezzanine Notes Due 2019, Upgraded
to A2 (sf); previously on February 26, 2013 Upgraded to Baa1 (sf)
$16,000,000 Class D Deferrable Mezzanine Notes Due 2019, Upgraded
to Ba1 (sf); previously on February 26, 2013 Affirmed Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
$244,000,000 Class A-1 Senior Term Notes Due 2019 (current
outstanding balance of $156,133,539.81), Affirmed Aaa (sf);
previously on February 26, 2013 Upgraded to Aaa (sf)
$50,000,000 Class A-2 Senior Delayed Draw Notes Due 2019 (current
outstanding balance of $31,994,577.82), Affirmed Aaa (sf);
previously on February 26, 2013 Upgraded to Aaa (sf)
$10,500,000 Class E Deferrable Junior Notes Due 2019, Affirmed B1
(sf); previously on February 26, 2013 Affirmed B1 (sf)
One Wall Street CLO II Ltd., issued in March 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in April 2013.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since July 2013. The Class A notes have
been paid down by approximately 36% or $105.8 million since July
2013. Based on the trustee's February 2014 report, the over-
collateralization (OC) ratios for the Class A/B, Class C, Class D
and Class E notes are reported at 124.45%, 116.33%, 108.99% and
104.66%, respectively, versus July 2013 levels of 116.62%,
111.36%, 106.40% and 103.38%, respectively.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on the trustee's February 2014
report, securities that mature after the notes do currently make
up approximately 4.9% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature. Despite the increase in the OC ratio of the
Class E notes, Moody's affirmed the rating on the Class E notes
owing to market risk stemming from the exposure to these long-
dated assets.
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
February 2014.
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 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) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the
lowest priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
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% (2064)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +3
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3096)
Class A-1: 0
Class A-2: 0
Class B: -1
Class C: -1
Class D: -1
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
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 $276.3 million, defaulted
par of $4.0 million, a weighted average default probability of
15.90% (implying a WARF of 2580), a weighted average recovery rate
upon default of 50.00%, a diversity score of 53 and a weighted
average spread of 3.30%.
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.
PHH MORTGAGE 2007-SL1: Moody's Cuts Class M-1 Debt Rating to B1
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class M-1
from PHH Mortgage Trust, Series 2007-SL1. The collateral backing
this deal primarily consists of closed end second lien loans.
Complete rating action is as follows:
Issuer: PHH Mortgage Trust, Series 2007-SL1
Cl. M-1, Downgraded to B1 (sf); previously on Jun 3, 2010
Downgraded to Ba2 (sf)
Ratings Rationale
The action is a result of the recent performance of second lien
loans backed pools and reflects Moody's updated loss expectations
on this pool. The rating downgraded is primarily due to the
outstanding unpaid interest shortfalls on Class M-1 which are not
expected to be repaid in full. Performance has remained generally
stable from our last review.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in February 2014 from
7.7% in February 2013 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2014. Lower
increases than Moody's expects or decreases could lead to negative
rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of this transaction.
RACE POINT V: S&P Withdraws BB Rating on Class E Notes
------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
original class A, B, C, D, and E notes from Race Point V CLO Ltd.,
a collateralized loan obligation transaction managed by Sankaty
Advisors LLC, after the notes were redeemed in full. At the same
time, S&P assigned ratings to the replacement class A-R, B-R, C-R,
D-R, and E-R notes.
The replacement notes were issued via a supplemental indenture.
All of the proceeds from the replacement notes were used to redeem
the original notes as outlined by provisions in the transaction
documents. The replacement notes were issued at a lower spread
over LIBOR than the original notes.
S&P's full cash flow analysis resulted in higher cushions for the
replacement senior notes after the refinancing than before the
refinancing.
CASH FLOW ANALYSIS RESULTS
Current date before refinancing
Class Amount Interest BDR SDR Cushion
(mil. $) rate (%) (%) (%) (%)
A 273.00 LIBOR + 1.60 64.48 59.83 4.65
B 273.00 LIBOR + 2.50 61.05 52.04 9.01
C 273.00 LIBOR + 3.50 51.12 46.01 5.11
D 273.00 LIBOR + 4.75 44.07 40.30 3.77
E 273.00 LIBOR + 6.50 34.90 33.59 1.31
Current date after refinancing
A-R 273.00 LIBOR + 1.30 65.89 59.83 6.06
B-R 273.00 LIBOR + 1.95 62.56 52.04 10.52
C-R 273.00 LIBOR + 2.85 53.37 46.01 7.36
D-R 273.00 LIBOR + 3.75 47.39 40.30 7.09
E-R 273.00 LIBOR + 6.00 39.42 33.59 5.83
Effective date
A 273.00 LIBOR + 1.60 66.26 64.84 3.42
B 273.00 LIBOR + 2.50 63.16 54.62 8.54
C 273.00 LIBOR + 3.50 53.96 48.45 5.51
D 273.00 LIBOR + 4.75 48.06 42.40 5.66
E 273.00 LIBOR + 6.50 40.58 35.36 5.22
BDR--Break-even scenario. SDR--Scenario default rate.
The supplemental indenture did not make any other substantive
changes to the transaction.
RATINGS WITHDRAWN
Race Point V CLO Ltd.
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
NR--Not rated.
RATINGS ASSIGNED
Race Point V CLO Ltd.
Replacement class Rating
A-R AAA (sf)
B-R AA (sf)
C-R A (sf)
D-R BBB (sf)
E-R BB (sf)
TRANSACTION INFORMATION
Issuer: Race Point V CLO Ltd.
Co-issuer: Race Point V CLO Corp.
Collateral manager: Sankaty Advisors LLC
Refinancing arranger: RBS Americas
Trustee: The Bank Of New York Mellon Trust Co. N.A.
Transaction type: Cash flow CLO
CLO--Collateralized loan obligation.
REGATTA III: Moody's Assigns B2 Rating on $10.7MM Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes and one class of loans issued by Regatta III Funding Ltd.
(the "Issuer" or "Regatta III").
Moody's rating action is as follows:
$244,500,000 Class A-1A Floating Rate Notes due 2026 (the "Class
A-1A Notes"), Assigned Aaa (sf)
$50,000,000 Class A-1 Loans (made under the Class A-1 Credit
Agreement) due 2026 (the "Class A-1 Loans"), Assigned Aaa (sf)
$50,000,000 Class A-1B Floating Rate Notes due 2026 (the "Class
A-1B Notes"), Assigned Aaa (sf)
$59,375,000 Class A-2 Floating Rate Notes due 2026 (the "Class A-
2 Notes"), Assigned Aa2 (sf)
$30,875,000 Class B Deferrable Floating Rate Notes due 2026 (the
"Class B Notes"), Assigned A2 (sf)
$26,125,000 Class C Deferrable Floating Rate Notes due 2026 (the
"Class C Notes"), Assigned Baa3 (sf)
$26,125,000 Class D Deferrable Floating Rate Notes due 2026 (the
"Class D Notes"), Assigned Ba3 (sf)
$10,687,500 Class E Deferrable Floating Rate Notes due 2026 (the
"Class E Notes"), Assigned B2 (sf)
The Class A-1A Notes, Class A-1 Loans, Class A-1B Notes, Class B
Notes, Class C Notes, Class D Notes and Class E Notes are referred
to herein, collectively, as the "Rated Securities."
Ratings Rationale
Moody's ratings of the Rated Securities address the expected
losses posed to noteholders. The 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.
Regatta III is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up
to 7.5% of the portfolio may consist of second lien loans and
unsecured loans. The Issuer's documents require the portfolio to
be atleast 75% ramped as of the closing date.
Napier Park Global Capital 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 Securities, 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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $475,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.80%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8 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
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Securities is subject to uncertainty.
The performance of the Rated Securities 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 Securities.
RESIDENTIAL FUNDING: Moody's Takes Action on $618MM Subprime RMBS
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 23 tranches
from nine transactions issued by Residential Funding Company,
backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: RAMP Series 2005-RS5 Trust
Cl. M-2, Upgraded to Baa3 (sf); previously on Jul 11, 2013
Upgraded to Ba1 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Aug 1, 2012 Upgraded
to Caa2 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2006-EFC1 Trust
Cl. M-1, Upgraded to Ba1 (sf); previously on May 24, 2013 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on May 24, 2013
Upgraded to Caa3 (sf)
Issuer: RAMP Series 2006-NC1 Trust
Cl. A-2, Upgraded to Ba3 (sf); previously on Jul 20, 2012 Upgraded
to B2 (sf)
Cl. A-3, Upgraded to B1 (sf); previously on May 24, 2013 Upgraded
to B3 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: RAMP Series 2006-NC3 Trust
Cl. A-2, Upgraded to B2 (sf); previously on Apr 6, 2010 Downgraded
to Caa1 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on May 24, 2013
Upgraded to Caa3 (sf)
Issuer: RASC Series 2006-EMX1 Trust
Cl. A-2, Upgraded to Baa3 (sf); previously on May 24, 2013
Upgraded to Ba1 (sf)
Cl. A-3, Upgraded to Ba1 (sf); previously on May 24, 2013 Upgraded
to Ba3 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on May 24, 2013
Upgraded to Ca (sf)
Issuer: RASC Series 2006-KS1 Trust
Cl. M-1, Upgraded to B1 (sf); previously on May 24, 2013 Upgraded
to B3 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: RASC Series 2006-KS2 Trust
Cl. M-1, Upgraded to Ba3 (sf); previously on May 24, 2013 Upgraded
to B2 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RASC Series 2006-KS4 Trust
Cl. A-3, Upgraded to Baa3 (sf); previously on May 24, 2013
Upgraded to Ba1 (sf)
Cl. A-4, Upgraded to Ba2 (sf); previously on May 24, 2013 Upgraded
to B1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on May 24, 2013
Upgraded to Caa3 (sf)
Issuer: RASC Series 2006-KS6 Trust
Cl. A-3, Upgraded to B1 (sf); previously on May 24, 2013 Upgraded
to B3 (sf)
Cl. A-4, Upgraded to B3 (sf); previously on May 24, 2013 Upgraded
to Caa2 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Apr 6, 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 upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in February 2014 from
7.7% in February 2013 . 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.
SAGUARO ISSUER: Moody's Lowers Rating on Two Units to Ba3
---------------------------------------------------------
Moody's Investors Service announced that it downgrades its ratings
of the following units issued by Saguaro Issuer Trust:
$11,000,000 aggregate face amount of Principal Units, Series K,
Downgraded to Ba3; previously on February 14, 2014 Ba2 Placed
Under Review for Possible Downgrade;
$34,000,000 aggregate face amount of Principal Units, Series L,
Downgraded to Ba3; previously on February 14, 2014 Ba2 Placed
Under Review for Possible Downgrade.
Ratings Rationale
The ratings of the Series K and L units are based on the credit
quality of the underlying securities and the legal structure of
the note. The rating actions result from rating changes on the
underlying securities, which are the Undated Primary Capital
Floating Rate Notes, Series A issued by National Westminster Bank
PLC, and the Undated Primary Capital Floating Rate Notes, Series B
issued by National Westminster Bank PLC, whose ratings were
downgraded to Ba3 from Ba2 Under Review for Possible Downgrade on
March 13, 2014.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the rating on the
certificate.
SALOMON BROTHERS 2001-MM: Moody's Hikes Cl. X Certs Rating to Ba3
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes and
upgraded one class of Salomon Brothers Commercial Mortgage Trust
2001-MM, Commercial Mortgage Pass-Through Certificates, Series
2001-MM as follows:
Cl. E-3, Affirmed Aaa (sf); previously on Mar 28, 2013 Affirmed
Aaa (sf)
Cl. E-4, Affirmed Aaa (sf); previously on Mar 28, 2013 Affirmed
Aaa (sf)
Cl. E-8, Affirmed A1 (sf); previously on Mar 28, 2013 Downgraded
to A1 (sf)
Cl. F-3, Affirmed Aaa (sf); previously on Mar 28, 2013 Affirmed
Aaa (sf)
Cl. F-4, Affirmed Aa1 (sf); previously on Mar 28, 2013 Affirmed
Aa1 (sf)
Cl. F-8, Affirmed Ba3 (sf); previously on Mar 28, 2013 Downgraded
to Ba3 (sf)
Cl. G-3, Affirmed Aa2 (sf); previously on Mar 28, 2013 Affirmed
Aa2 (sf)
Cl. G-4, Affirmed Aa2 (sf); previously on Mar 28, 2013 Affirmed
Aa2 (sf)
Cl. G-8, Affirmed B3 (sf); previously on Mar 28, 2013 Downgraded
to B3 (sf)
Cl. X, Upgraded to Ba3 (sf); previously on Mar 28, 2013 Downgraded
to B3 (sf)
Ratings Rationale
The affirmations of the nine rake bonds are due to key parameters,
including Moody's loan to value (LTV) ratio and Moody's stressed
debt service coverage ratio (DSCR), remaining within acceptable
ranges.
The upgrade of Salomon Brothers Commercial Mortgage Trust 2001-MM,
Commercial Mortgage Pass-Through Certificates, Series 2001-MM's
Cl. X (CUSIP: 79549AFV6) to Ba3(sf) from B3(sf) is due to
correction of a prior error. In the rating action announced on
March 28, 2013, there was an input error in the current balances
of the referenced classes. The error has now been corrected, and
the rating action reflects that change.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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.
Description Of Models Used
Moody's review used the excel-based Large Loan Model v 8.6 and
then reconciles and weights the results from the conduit and large
loan models in formulating a rating recommendation. The large loan
model derives credit enhancement levels based on an aggregation of
adjusted loan-level proceeds derived from Moody's loan-level LTV
ratios. Major adjustments to determining proceeds include
leverage, loan structure, property type and sponsorship. 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 February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $44.2
million from $674.4 million at securitization. The certificates
are collateralized by three mortgage loans. No loans have been
liquidated from the pool since securitization and there are no
loans currently in special servicing.
Moody's received full year 2012 operating results for 100% of the
pool. Moody's weighted average LTV is 65% compared to 67% at
Moody's last review. Moody's net cash flow (NCF) reflects a
weighted average haircut of 5% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.3%.
Moody's actual and stressed conduit DSCRs are 1.13X and 1.99X,
respectively, compared to 1.17X and 1.95X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
This transaction has several unique features in terms of
certificate structure, loan grouping, payment priority and loss
allocation. The interest-only class (Class X) is the only
remaining senior certificate in the trust. Additionally, there are
nine remaining junior certificates that are divided into three
series corresponding to specific loan groups. Each loan group
supports three certificates (E, F and G). At securitization, the
aggregate principal balance of each loan group was divided into a
senior portion and a junior portion and the senior portion of each
series supported the pooled classes. As of the February 2014
remittance date, the certificate principal balance of the related
senior portions have been reduced to zero and principal payments
are now applied to the junior certificates on a senior/sequential
basis within each respective loan group. Based on the payment
priority and the certificate structure of this transaction, it is
possible that a junior certificate holder may receive principal
payments before the principal balance of a higher-rated
certificate from a different loan group is reduced to zero. At
securitization there were eight loan groups, however, five groups,
corresponding to Classes E-1, F-1, G-1; E-2, F-2, G-2; E-5, F-5,
G-5, E-6, F-6, G-6 and E-7, F-7 and G-7, have been repaid in full.
Loan Group 3 originally consisted of four loans but due to pay
offs only one loan remains as the collateral for classes E-3, F-3
and G-3. The remaining loan in Loan Group 1 is the Trails Village
Center Loan ($12.3 million -- 27.9% of the pool), which is secured
by a 175,000 square foot (SF) retail center located in Las Vegas,
Nevada. The largest tenants include Vons (32% of the net rentable
area (NRA); lease expiration in 2028) and CVS (15% of the NRA;
lease expiration in 2029). The loan fully amortizes and matures in
July 2023. The Trails Village Center loan has amortized 36% since
securitization and Moody's LTV and stressed DSCR are 42% and
2.58X, respectively, compared to 44% and 2.46X at last review.
Moody's affirmed the ratings of classes E-3, F-3 and G-3 due to
overall stable loan performance.
Loan Group 4 originally consisted of four loans but due to pay
offs only one loan remains as the collateral for classes E-4, F-4
and G-4. The remaining loan in Loan Group 4 is the Peace Corps
Building Loan ($7.9 million -- 17.9% of the pool), which is
secured by a 159,000 SF office building located in Washington,
D.C. The property is 100% leased as of January 2013, the same as
at last review. The GSA leases over 90% of the NRA through May
2018 which is six months prior to the loan maturity date of
November 2018. The loan is fully amortizing and Moody's LTV and
stressed DSCR are 34% and 3.16X, respectively, the same as at last
review. Moody's affirmed the ratings of classes E-4, F-4 and G-4
due to overall stable loan performance.
Loan Group 8 originally held four loans but due to pay offs only
one loan remains as the collateral for classes E-8, F-8 and G-8.
The remaining loan in Loan Group 8 is the Stamford Square Loan
($23.9 million -- 54.2% of the pool), which is secured by a
296,000 SF Class A office building located in Stamford,
Connecticut. The property was 31% leased as of February 2014
compared to 88% in early 2012. The largest tenant (General
Electric -- 57% NRA) vacated at its lease expiration in June 2012.
This loan is on the master servicer's watchlist due to low
occupancy and DSCR. The sponsor completed an approximately $12
million renovation in 2011 to the lobby and common areas and
recently announced that a new tenant will lease approximately
74,000 square feet of office space on the top two floors of the
building. The loan amortizes on a 25-year schedule and matures in
June 2020. The loan has amortized 31% since securitization and
Moody's LTV and stressed DSCR are 88% and 1.29X, respectively,
compared to 91% and 1.24X at last review. Moody's affirmed the
ratings of classes E-8, F-8 and G-8 due to overall stable loan
performance.
SARANAC CLO: Moody's Assigns (P)Ba3 Rating on $23MM Class E Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Saranac CLO
II Limited (the "Issuer" or "Saranac II"):
$140,500,000 Class A-1A Senior Secured Floating Rate Notes due
2025 (the "Class A-1A Notes"), Assigned (P)Aaa (sf)
$45,000,000 Class A-1F Senior Secured Fixed Rate Notes due 2025
(the "Class A-1F Notes"), Assigned (P)Aaa (sf)
$30,500,000 Class A-2 Senior Secured Floating Rate Notes due 2025
(the "Class A-2 Notes"), Assigned (P)Aaa (sf)
$34,500,000 Class B Senior Secured Floating Rate Notes due 2025
(the "Class B Notes"), Assigned (P)Aa2 (sf)
$20,000,000 Class C Secured Deferrable Floating Rate Notes due
2025 (the "Class C Notes"), Assigned (P)A2 (sf)
$21,000,000 Class D Secured Deferrable Floating Rate Notes due
2025 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$23,000,000 Class E Secured Deferrable Floating Rate Notes due
2025 (the "Class E Notes"), Assigned (P)Ba3 (sf)
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 Class A-1A Notes, the Class A-
1F Notes, the Class A-2 Notes, the Class B Notes, the Class C
Notes, the Class D Notes and the Class E Notes (collectively, the
"Rated Notes") address the expected losses posed to the holders of
the Rated Notes. The provisional ratings reflect the risks due to
defaults on the underlying portfolio of loans, the transaction's
legal structure, and the characteristics of the underlying assets.
Saranac II is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must be
invested in senior secured loans and eligible investments and up
to 7.5% of the portfolio may consist of senior unsecured loans,
second lien loans and first-lien last-out obligations. The
underlying collateral pool is expected to be approximately 75%
ramped as of the closing date.
Saranac Advisory Limited (the "Manager") will direct the
selection, acquisition and disposition of collateral on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, purchases are permitted using
principal proceeds from unscheduled principal payments and
proceeds from sales of credit risk obligations and credit improved
obligations, and are subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue two other
tranches of notes, including subordinated notes. The transaction
incorporates interest and par coverage tests which, if triggered,
divert interest and principal proceeds to pay down the notes and
loans 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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount of $340,000,000
Diversity of 65
WARF of 2600
Weighted Average Spread of 3.60%
Weighted Average Coupon of 4.5%
Weighted Average Recovery Rate of 45%
Weighted Average Life of 8 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
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
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 an 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), holding all other factors equal:
Percentage Change in WARF -- increase of 15% (from 2600 to 2990)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1F Notes: 0
Class A-2 Notes: 0
Class B Notes: -1
Class C Notes: -1
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2600 to 3380)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1F Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
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.
SDART 2013-A: Moody's Raises Rating on Cl. E Notes to Ba1
---------------------------------------------------------
Moody's Investor Services has upgraded 36 tranches and affirmed an
additional 35 tranches from 2011 through 2013 vintage
securitizations sponsored by Santander Consumer USA Inc. (SCUSA).
Complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2011-1
Cl. B, Affirmed Aaa (sf); previously on Oct 22, 2013 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Cl. D, Upgraded to Aaa (sf); previously on Oct 22, 2013 Upgraded
to Aa1 (sf)
Cl. E, Upgraded to A2 (sf); previously on Oct 22, 2013 Upgraded to
Baa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2011-2
Cl. B, Affirmed Aaa (sf); previously on Oct 22, 2013 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Cl. D, Upgraded to Aaa (sf); previously on Oct 22, 2013 Upgraded
to Aa1 (sf)
Cl. E, Upgraded to A2 (sf); previously on Oct 22, 2013 Upgraded to
Baa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2011-3
Cl. B, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Cl. C, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Cl. D, Upgraded to Aa1 (sf); previously on Oct 22, 2013 Upgraded
to Aa3 (sf)
Cl. E, Upgraded to A2 (sf); previously on Oct 22, 2013 Upgraded to
Baa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2011-4
Cl. B, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Cl. C, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Cl. D, Upgraded to Aa2 (sf); previously on Oct 22, 2013 Upgraded
to A1 (sf)
Cl. E, Upgraded to A3 (sf); previously on Oct 22, 2013 Upgraded to
Baa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-1
Class A-3, Affirmed Aaa (sf); previously on Oct 22, 2013 Affirmed
Aaa (sf)
Class B, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class C, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class D, Upgraded to Aa2 (sf); previously on Oct 22, 2013 Upgraded
to A1 (sf)
Class E, Upgraded to A3 (sf); previously on Oct 22, 2013 Upgraded
to Baa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-2
Class A-3, Affirmed Aaa (sf); previously on Oct 22, 2013 Affirmed
Aaa (sf)
Class B, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class C, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class D, Upgraded to Aa1 (sf); previously on Oct 22, 2013 Upgraded
to Aa3 (sf)
Class E, Upgraded to A3 (sf); previously on Oct 22, 2013 Upgraded
to Baa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-3
Class A-3, Affirmed Aaa (sf); previously on Oct 22, 2013 Affirmed
Aaa (sf)
Class B, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class C, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class D, Upgraded to Aa2 (sf); previously on Oct 22, 2013 Upgraded
to Aa3 (sf)
Class E, Upgraded to A3 (sf); previously on Oct 22, 2013 Upgraded
to Baa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-4
Class A-3, Affirmed Aaa (sf); previously on Oct 22, 2013 Affirmed
Aaa (sf)
Class B, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class C, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class D, Upgraded to Aa3 (sf); previously on Oct 22, 2013 Upgraded
to A1 (sf)
Class E, Upgraded to A3 (sf); previously on Oct 22, 2013 Upgraded
to Baa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-5
Class A-3, Affirmed Aaa (sf); previously on Oct 22, 2013 Affirmed
Aaa (sf)
Class B, Affirmed Aaa (sf); previously on Oct 22, 2013 Upgraded to
Aaa (sf)
Class C, Upgraded to Aaa (sf); previously on Oct 22, 2013 Upgraded
to Aa1 (sf)
Class D, Upgraded to Aa3 (sf); previously on Oct 22, 2013 Upgraded
to A1 (sf)
Class E, Upgraded to A3 (sf); previously on Oct 22, 2013 Upgraded
to Baa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-6
Class A-2, Affirmed Aaa (sf); previously on Jan 13, 2014 Affirmed
Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on Jan 13, 2014 Affirmed
Aaa (sf)
Class B, Affirmed Aaa (sf); previously on Jan 13, 2014 Upgraded to
Aaa (sf)
Class C, Upgraded to Aaa (sf); previously on Jan 13, 2014 Upgraded
to Aa1 (sf)
Class D, Upgraded to Aa3 (sf); previously on Jan 13, 2014 Upgraded
to A2 (sf)
Class E, Upgraded to A3 (sf); previously on Jan 13, 2014 Upgraded
to Baa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-A
Class A-2, Affirmed Aaa (sf); previously on Jan 13, 2014 Affirmed
Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on Jan 13, 2014 Affirmed
Aaa (sf)
Class B, Affirmed Aaa (sf); previously on Jan 13, 2014 Upgraded to
Aaa (sf)
Class C, Upgraded to Aaa (sf); previously on Jan 13, 2014 Upgraded
to Aa1 (sf)
Class D, Upgraded to Aa3 (sf); previously on Jan 13, 2014 Upgraded
to A2 (sf)
Class E, Upgraded to A3 (sf); previously on Jan 13, 2014 Upgraded
to Baa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2013-2
Class A-2, Affirmed Aaa (sf); previously on Jan 13, 2014 Affirmed
Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on Jan 13, 2014 Affirmed
Aaa (sf)
Class B, Affirmed Aaa (sf); previously on Jan 13, 2014 Upgraded to
Aaa (sf)
Class C, Upgraded to Aaa (sf); previously on Jan 13, 2014 Upgraded
to Aa2 (sf)
Class D, Upgraded to A1 (sf); previously on Jan 13, 2014 Upgraded
to A2 (sf)
Class E, Upgraded to Baa1 (sf); previously on Jan 13, 2014
Upgraded to Baa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2013-4
Class A-2, Affirmed Aaa (sf); previously on Jul 17, 2013
Definitive Rating Assigned Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on Jul 17, 2013
Definitive Rating Assigned Aaa (sf)
Class B, Upgraded to Aaa (sf); previously on Jul 17, 2013
Definitive Rating Assigned Aa1 (sf)
Class C, Upgraded to Aa2 (sf); previously on Jul 17, 2013
Definitive Rating Assigned A1 (sf)
Class D, Upgraded to A3 (sf); previously on Jul 17, 2013
Definitive Rating Assigned Baa2 (sf)
Class E, Upgraded to Ba1 (sf); previously on Jul 17, 2013
Definitive Rating Assigned Ba2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2013-A
Class A-2 Notes, Affirmed Aaa (sf); previously on Aug 22, 2013
Definitive Rating Assigned Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Aug 22, 2013
Definitive Rating Assigned Aaa (sf)
Class B Notes, Upgraded to Aaa (sf); previously on Aug 22, 2013
Definitive Rating Assigned Aa1 (sf)
Class C Notes, Upgraded to Aa3 (sf); previously on Aug 22, 2013
Definitive Rating Assigned A2 (sf)
Class D Notes, Upgraded to Baa1 (sf); previously on Aug 22, 2013
Definitive Rating Assigned Baa2 (sf)
Class E Notes, Upgraded to Ba1 (sf); previously on Aug 22, 2013
Definitive Rating Assigned Ba2 (sf)
Ratings Rationale
The upgrades are the result of the build-up of credit enhancement
due to the sequential pay structures and non-declining reserve
accounts. The buildup of credit enhancement more than compensated
for the 0.50% to 1.50% increase in the lifetime cumulative net
loss (CNL) expectations on some 2011 and 2012 transactions due to
recent worsening of pool credit performance. Moody's expect the
2011 and 2012 vintage pools to incur lifetime CNL in the range of
11.75% to 13.50%. There was no change in the lifetime CNL
expectation from closing or prior reviews for the 2013 pools that
were reviewed. The prior range was 14% to 16% of the initial pool
balance.
Below are key performance metrics (as of the February 2014
distribution date) and credit assumptions for each affected
transaction. Credit assumptions include Moody's expected lifetime
CNL expected loss which is expressed as a percentage of the
original pool balance; Moody's lifetime remaining CNL expectation
and Moody's Aaa (sf) level which are expressed as a percentage of
the current pool balance. The Aaa level is the level of credit
enhancement that would be consistent with a Aaa (sf) rating for
the given asset pool. Performance metrics include pool factor
which is the ratio of the current collateral balance to the
original collateral balance at closing; total credit enhancement,
which typically consists of subordination, overcollateralization,
and a reserve fund; and per annum excess spread.
Issuer: Santander Drive Auto Receivables Trust 2011-1
Lifetime CNL expectation - 13.50%, prior expectation (October) --
13.00%
Lifetime Remaining CNL expectation - 11.25%
Aaa (sf) level - 40.0%
Pool factor - 26.18%
Total Hard credit enhancement - Cl. B 91.39%, Cl. C 68.47%, Cl. D
34.1%, Cl. E 22.64%
Excess Spread per annum -- Approximately 10.1%
Issuer: Santander Drive Auto Receivables Trust 2011-2
Lifetime CNL expectation - 13.00%, prior expectation (October) --
13.00%
Lifetime Remaining CNL expectation - 12.14%
Aaa (sf) level - 40.00%
Pool factor - 27.41%
Total Hard credit enhancement - Cl. B 87.96%, Cl. C 66.07%, Cl. D
33.24%, Cl. E 22.30%
Excess Spread per annum - Approximately 9.8%
Issuer: Santander Drive Auto Receivables Trust 2011-3
Lifetime CNL expectation - 11.75%, prior expectation (October) --
11.75%
Lifetime Remaining CNL expectation - 11.75%
Aaa (sf) level - 40.00%
Pool factor - 33.50%
Total Hard credit enhancement - Cl. B 92.62%, Cl. C. 56.80%, Cl. D
29.93%, Cl. E 20.97%,
Excess Spread per annum - Approximately 10.0%
Issuer: Santander Drive Auto Receivables Trust 2011-4
Lifetime CNL expectation - 12.00%, prior expectation (October) --
12.00%
Lifetime Remaining CNL expectation - 9.70%
Aaa (sf) level - 40.00%
Pool factor - 39.06%
Total Hard credit enhancement - Cl. B 81.57%, Cl. C 50.84%, Cl. D
27.8%, Cl. E 20.12%
Excess Spread per annum - Approximately 9.3%
Issuer: Santander Drive Auto Receivables Trust 2012-1
Lifetime CNL expectation - 11.75%, prior expectation (October) --
11.75%
Lifetime Remaining CNL expectation - 10.70%
Aaa (sf) level - 40.00%
Pool factor - 42.79%
Total Hard credit enhancement - Class A 97.97%, Class B 75.76%,
Class C 47.72%, Class D 26.68%, Class E 19.67%
Excess Spread per annum - Approximately 9.6%
Issuer: Santander Drive Auto Receivables Trust 2012-2
Lifetime CNL expectation - 13.50%, prior expectation (October) --
12.00%
Lifetime Remaining CNL expectation - 12.88%
Aaa (sf) level - 42.00%
Pool factor - 46.30%
Total Hard credit enhancement - Class A 91.68%, Class B 71.16%,
Class C 45.24%, Class D 27.96%, Class E 19.32%
Excess Spread per annum - Approximately 11.3%
Issuer: Santander Drive Auto Receivables Trust 2012-3
Lifetime CNL expectation - 13.50%, prior expectation (October) --
12.00%
Lifetime Remaining CNL expectation - 12.32%
Aaa (sf) level - 42.00%
Pool factor - 51.50%
Total Hard credit enhancement - Class A 83.94%, Class B 65.49%,
Class C 42.19%, Class D 24.71%, Class E 18.88%
Excess Spread per annum - Approximately 12.4%
Issuer: Santander Drive Auto Receivables Trust 2012-4
Lifetime CNL expectation - 13.50%, prior expectation (October) --
12.00%
Lifetime Remaining CNL expectation - 12.61%
Aaa (sf) level - 42.00%
Pool factor - 54.85%
Total Hard credit enhancement - Class A 79.72%, Class B 62.40%,
Class C 40.52%, Class D 24.12%, Class E 18.65%
Excess Spread per annum - Approximately 11.2%
Issuer: Santander Drive Auto Receivables Trust 2012-5
Lifetime CNL expectation - 13.50%, prior expectation (October) --
12.00%
Lifetime Remaining CNL expectation - 12.69%
Aaa (sf) level - 42.00%
Pool factor - 59.10%
Total Hard credit enhancement - Class A 75.07%, Class B 56.88%,
Class C 36.57%, Class D 23.46%, Class E 18.38%
Excess Spread per annum - Approximately 11.6%
Issuer: Santander Drive Auto Receivables Trust 2012-6
Lifetime CNL expectation - 12.00%, prior expectation (January) --
12.00%
Lifetime Remaining CNL expectation - 13.97%
Aaa (sf) level - 42.00%
Pool factor - 54.03%
Total Hard credit enhancement - Class A 80.70%, Class B 60.81%,
Class C 38.60%, Class D 24.25%, Class E 18.70%
Excess Spread per annum - Approximately 11.8%
Issuer: Santander Drive Auto Receivables Trust 2012-A
Lifetime CNL expectation - 13.00%, prior expectation (January) --
13.00%
Lifetime Remaining CNL expectation - 12.74%
Aaa (sf) level - 42.00%
Pool factor - 64.29%
Total Hard credit enhancement - Class A 68.66%, Class B 53.5%,
Class C 34.83%, Class D 22.78%, Class E 18.11%
Excess Spread per annum - Approximately 12.2%
Issuer: Santander Drive Auto Receivables Trust 2013-2
Lifetime CNL expectation - 14.00%, prior expectation (January) --
14.00%
Lifetime Remaining CNL expectation - 14.73%
Aaa (sf) level - 44.00%
Pool factor - 75.71%
Total Hard credit enhancement - Class A 60.24%, Class B 47.36%,
Class C 31.51%, Class D 24.25%, Class E 17.64%
Excess Spread per annum - Approximately 11.8%
Issuer: Santander Drive Auto Receivables Trust 2013-4
Lifetime CNL expectation - 16.00%, prior expectation (Closing) --
16.00%
Lifetime Remaining CNL expectation - 16.97%
Aaa (sf) level - 46.00%
Pool factor - 84.82%
Total Hard credit enhancement - Class A 55.38%, Class B 43.88%,
Class C 29.74%, Class D 23.25%, Class E 17.36%
Excess Spread per annum - Approximately 11.8%
Issuer: Santander Drive Auto Receivables Trust 2013-A
Lifetime CNL expectation - 16.00%, prior expectation (Closing) --
16.00%
Lifetime Remaining CNL expectation - 17.91%
Aaa (sf) level - 46.00%
Pool factor - 86.95%
Total Hard credit enhancement - Class A Notes 54.39%, Class B
Notes 43.18%, Class C Notes 29.37%, Class D Notes 23.05%, Class E
Notes 17.30%
Excess Spread per annum - Approximately 11.5%
The principal methodology used in these ratings was "Moody's
Approach to Rating Auto Loan-Backed ABS" published in May 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher
frequency of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
SEQUOIA MORTGAGE 2014-1: Fitch Expects to Rate Cl. B-4 Secs. 'BB'
-----------------------------------------------------------------
Fitch Ratings expects to rate Sequoia Mortgage Trust 2014-1 (SEMT
2014-1) as follows:
--$136,463,000 class 1-A1 certificate 'AAAsf'; Outlook Stable;
--$136,463,000 class 1-AIO notional certificate 'AAAsf'; Outlook
Stable;
--$93,352,000 class 2-A2 certificate 'AAAsf'; Outlook Stable;
--$93,352,000 class 2-AIO1 notional certificate 'AAAsf'; Outlook
Stable;
--$93,351,000 class 2-A3 certificate 'AAAsf'; Outlook Stable;
--$186,703,000 class 2-AIO notional certificate 'AAAsf'; Outlook
Stable;
--$186,703,000 class 2-A1 exchangeable certificate 'AAAsf';
Outlook Stable;
--$93,352,000 class 2-A4 exchangeable certificate 'AAAsf';
Outlook Stable;
--$7,294,000 class B-1 certificate 'AAsf'; Outlook Stable;
--$6,251,000 class B-2 certificate 'Asf'; Outlook Stable;
--$5,210,000 class B-3 certificate 'BBBsf'; Outlook Stable;
--$1,736,000 non-offered class B-4 certificate 'BBsf'; Outlook
Stable.
The $3,647,602 non-offered class B-5 certificate will not be rated
by Fitch.
KEY RATING DRIVERS
High-Quality Mortgage Pool: The collateral pool consists of 15-
and 30-year fixed-rate, and 10-year adjustable-rate, fully
documented loans to borrowers with strong credit profiles, low
leverage and substantial liquid reserves. Third-party, loan-level
due diligence was conducted on 94.5% of the pool, and Fitch
believes the results indicate strong underwriting controls.
Market Value Decline Sensitivity: Fitch's sustainable home price
model suggests the pool is overvalued by roughly 20%, which
results in an 'Asf' sustainable market value decline (sMVD) stress
above the recent national housing recession's peak-to-trough
experience. A sensitivity analysis was factored into Fitch's
analysis to better align its sMVD stress to recent observations
which resulted in applying a base sMVD of 17%.
Aggregator Quality: Redwood's loan acquisition platform and
underwriting overlays it applies to loans it acquires is robust,
as evidenced by the very limited findings from the due diligence
review. Fitch factored these qualitative strengths in its loss
expectations despite the continued increase in the number of
unknown lenders participating in Sequoia transactions. Fitch
believes that Redwood's sound acquisition strategy is also
reflected in the very strong performance of the post-crisis
Sequoia pools.
Cash Flow Structure: The transaction features a 'Y' structure in
which the two senior certificate groups are backed by their
individual mortgage pools and credit support is provided by the
single set of subordinate classes. There is limited cross-
collateralization so that one class does not have a
disproportionate exposure to another. Further, the trust provides
for expenses, including indemnification amounts and costs of
arbitration, to be paid by the net weighted average coupon (WAC)
of the loans, which does not impact the contractual interest due
on the certificates.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines
(MVDs) than assumed at both the metropolitan statistical area
(MSA) and national levels. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become
exposed to or be considered in the surveillance of the
transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the model-
projected 18.0% for this pool. The analysis indicates there is
some potential rating migration with higher MVDs, compared with
the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 4%, 23% and 41% would potentially reduce the
'AAAsf' rated class down one rating category, to non-investment
grade, and to 'CCCsf', respectively.
SLM PRIVATE 2003-A: S&P Affirms 'CCC-' Rating on Class C Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of notes, lowered its ratings on four classes of notes,
and affirmed its ratings on 36 classes of notes from nine SLM
Private Credit Student Loan Trusts issued between 2003 and 2006.
The raised ratings reflect S&P's view of the classes' senior
positions in the respective capital structures, the sequential-pay
structure of the deals, and S&P's expectations regarding the
likelihood of repayment in full of the remaining balances of the
affected classes before the class A notes would become
undercollateralized in S&P's stress scenarios. Three of the four
upgrades also reflect the short one-to-six-quarter term to
expected paydown.
The lowered ratings on the notes from series 2003-C reflect S&P's
view of the higher-than-expected level of defaults within the
collateral pool, which has resulted in a slight increase in S&P's
expected cumulative default assumption, combined with the high
cost of funds on the notes that have reduced available credit
support. The current coupon on the auction-rate notes (class A-3,
A-4, and A-5) is paying at the ratings-based maximum rate as
defined in the transaction documents. The trust's overall cost of
funds continues to grow as the principal balance of the non-
auction-rate notes (which carry lower margins relative to the
auction-rate notes) continue to amortize (the class B and C notes
are receiving principal as they have reached the step-down date
conditions to pay pro rata with the senior notes), resulting in
negative excess spread for the trust.
The affirmations reflect the sufficiency of credit enhancement
relative to S&P's view of the collateral's performance, which S&P
considered in its cumulative default assumptions which for most
cases were revised upwards.
S&P's analysis incorporated various cash flow stress scenarios and
secondary credit factors, such as credit stability and payment
priority.
S&P's rating analysis and corresponding rating actions also
reflect its criteria for assessing counterparty risk. Because
some of the existing transaction-specific swap documentation does
not comply with S&P's counterparty criteria, the maximum rating
that the counterparty can support under the deal documentation,
absent sufficient mitigating factors, is its issuer credit rating
(ICR) plus one notch.
S&P rans various cash flow scenarios to determine if these classes
could sustain rating level stresses on an unhedged basis at a
rating level exceeding the ICR-plus-one-notch limitation outlined
above, given their current structure and credit enhancement
levels. The cash flow runs indicated that the class A-2 notes
from series 2004-A and 2004-B were not able to pass rating level
stresses higher than their current rating level. Therefore, the
ratings on the class A-2 notes from series 2004-A and 2004-B are
capped at the long-term ICR on JPMorgan Chase Bank N.A. ('A+')
plus one notch ('AA-'), which is the maximum rating JPMorgan Chase
Bank N.A. can support under the deal documentation.
POOL PERFORMANCE
For the quarterly period ending in November 2013, the performance
seasoning for these transactions' ranged from 29-43 quarters, with
collateral pool factors (the principal balance remaining in the
pool as a percent of the original pool balance) ranging between
approximately 32%-65%. At the same time, the percentage of loans
in repayment was between 84%-93% (see table 1).
Cumulative gross defaults for the transactions range from 13.5%-
20.3%. Lastly, overall parity levels for most of the
transactions, except total parity for each 2003 series, have grown
steadily over the past couple years, and now range between 96.7%-
103.8% in total parity, mezzanine parity levels range between
109.2%-112.0% and senior parity levels range between 117.5%-
118.5%.
Table 1
Seasoning And Pool Factors
Transaction Pool
seasoning factor Repayment(i)
Series (quarters) (%) (%)
2003-A 43 32.37 93.33
2003-B 42 38.90 92.19
2003-C 41 40.55 93.12
2004-A 39 40.42 92.75
2004-B 38 51.82 90.52
2005-A 35 54.51 88.87
2006-A 31 67.91 86.22
2006-B 30 63.11 87.57
2006-C 29 64.93 84.94
(i) As a percentage of the current collateral balance; does not
include accrued interest.
Table 2
Cumulative Gross Defaults
Cumulative 12-month cumulative
gross default(i) gross default(ii)
Series (%) (%)
2003-A 13.48 0.69
2003-B 14.83 0.94
2003-C 15.62 0.95
2004-A 17.30 1.06
2004-B 15.50 1.12
2005-A 19.17 1.65
2006-A 15.95 1.94
2006-B 18.25 2.13
2006-C 20.28 2.38
(i) As a percentage of initial collateral balance.
(ii) As a percentage of initial collateral balance, incurred
during November 2012-November 2013.
Table 3
Deferment, Forbearance, And Delinquency
90-plus Total
Deferment(i) Forbearance(i) delinq.(ii) delinq.(ii)
Series (%) (%) (%) (%)
2003-A 5.60 0.72 3.18 7.21
2003-B 6.58 0.78 2.98 6.77
2003-C 5.80 0.72 3.11 6.86
2004-A 6.04 0.81 2.89 6.82
2004-B 7.87 1.01 3.05 6.78
2005-A 9.15 1.20 3.80 7.89
2006-A 11.01 1.48 3.80 7.78
2006-B 10.16 1.44 4.33 9.12
2006-C 11.19 2.10 4.23 8.87
(i)As a percentage of current collateral balance. (ii)As a
percentage of loans in repayment.
Table 4
Parity Levels
Current Current 12-months
Senior mezzanine total prior total
parity(i) parity(ii) parity(iii) parity(iv)
Series (%) (%) (%) (%)
2003-A 118.56 112.00 98.85 99.41
2003-B 118.40 109.73 97.17 98.12
2003-C 118.37 109.20 96.74 97.71
2004-A 118.37 111.95 101.04 100.24
2004-B 118.21 111.80 103.19 101.85
2005-A 118.19 111.78 101.68 100.53
2006-A 118.08 111.68 103.82 103.49
2006-B 118.11 111.71 103.14 101.89
2006-C 117.52 110.36 101.77 100.75
(i)Total pool balance plus cash capitalization account plus
reserve account over class A notes outstanding. (ii)Total pool
balance plus cash capitalization account plus reserve account over
class A and B notes outstanding. (iii)Total pool balance plus cash
capitalization account plus reserve account over total notes
outstanding. (iv)Total pool balance plus cash capitalization
account plus reserve account over total notes outstanding as of
November 2012.
DEFAULT EXPECTATIONS AND NET LOSS PROJECTIONS
Based on S&P's view of these pools of private student loans'
current and projected performance, it revised its lifetime
cumulative default expectations for most transactions (series
2003-A, 2003-B, and 2004-B remains unchanged). S&P assumed future
stressed recovery rates of 20% of the dollar amount of cumulative
defaults; S&P therefore expects remaining cumulative net losses to
range from 6.0%-12.0% (as a % of the current pool balance).
Table 5
Base-Case Cumulative Default Assumptions
Projected Cumulative Projected
lifetime gross remaining
cumulative gross default Recovery cumulative
default(i) to date(ii) assumption net loss(iii)
Series (%) (%) (%) (%)
2003-A 16.0-17.0 13.48 20 6.0-8.5
2003-B 18.0-20.0 14.83 20 6.5-10.5
2003-C(iv) 19.0-21.0 15.62 20 6.5-10.5
2004-A(iv) 21.0-23.0 17.30 20 7.0-11.0
2004-B 20.0-22.0 15.50 20 7.0-10.0
2005-A(v) 24.0-26.0 19.17 20 7.0-10.0
2006-A(v) 24.0-26.0 15.95 20 9.5-11.5
2006-B(vi) 26.0-28.0 18.25 20 9.5-12.0
2006-C(vi) 28.0-30.0 20.28 20 9.5-12.0
(i) As a percentage of the initial collateral balance.
(ii) As a percentage of the initial collateral balance, as of the
December 2013 distribution date.
(iii) As a percentage of the current collateral balance, as of the
December 2013 distribution date.
(iv) 100 bps increase from S&P'sour previous projected lifetime
cumulative gross default.
(v) 200 bps increase from S&P's previous projected lifetime
cumulative gross default.
(vi) 300 bps increase from our previous projected lifetime
cumulative gross default.
BPS-Basis points.
STRUCTURE
Each transaction has a five-year lockout period, during which
principal is paid sequentially to the class A, B, and C notes.
After the five-year lockout (the step-down date), if the
cumulative realized loss trigger is not in effect and the
overcollateralization amount is at its target level (i.e., 15.0%
of senior debt, 10.125% of mezzanine debt, 3.0% of overall debt,
and 2.0% of the initial pool balance), the class B and C notes are
entitled to receive principal payments if there are funds
available in the principal distribution account after paying the
class A noteholders' principal distribution amount.
The cumulative realized loss triggers switch the principal payment
priority back to sequential if cumulative net losses exceed 15%
within five years, 18% within seven years, or 20% thereafter.
In addition, the transactions pay principal sequentially within
the subclasses of the class A notes, provided that if the class A
notes become undercollateralized (i.e., breach the class A note
parity trigger), the class A notes outstanding will be paid pro
rata (based on their outstanding balances) until their principal
balances have been reduced to zero or the class A notes become
collateralized again.
BREAKEVEN CASH FLOW MODELING ASSUMPTIONS
S&P runs midstream breakeven cash flows for all the transactions
under various interest rate scenarios and rating stress
assumptions. These cash flow runs provided breakeven percentages
that represent the maximum amount of remaining cumulative net
losses a transaction can absorb (as a percentage of the pool
balance as of the cash flow cutoff date) before failing to pay
full and timely interest and ultimate principal. The following
are some of the major assumptions we modeled:
-- Straight-line default curves that covered five-year periods;
-- Recovery rates at 20%;
-- Prepayment speeds starting at approximately 2% constant
prepayment rate (CPR, an annualized prepayment speed stated
as a percentage of the current loan balance) and ramping up
1% per year to a maximum rate of 4%-5% CPR over three to
four years. S&P helds the applicable maximum rate constant
for the deal's remaining life;
-- Forbearance rates of 5% for 12 months;
-- Deferment of 6.5%-14% for 24-36 months;
-- Stressed interest rate vectors for the various indices,
which tends to be a rolling up/down movement; and
-- For those transactions with auction-rate security exposure,
auction failures for each transaction's life with an auction
rate coupon applicable "maximum rate" definition in the
respective transaction documents.
BREAKEVEN CASH FLOW MODELING RESULTS AND S&P'S RATING ACTIONS
In general, transactions containing auction-rate class A notes
yielded lower breakevens and loss coverage multiples, primarily
because S&P assumed, in its cash flows, continued failure of the
auction-rate market for the life of the related transactions. The
class A auction-rate notes in the 2003 vintage transactions are
paying the applicable ratings-based maximum rate according to the
transaction documents. This high cost of funds--and the resulting
pressure on excess spread--also caused total parity levels to
decline, as principal collections in some periods were used to
cover interest expenses.
S&P's cash flow runs indicated that the available credit
enhancement in each transaction is sufficient to support the
respective classes at their current or revised rating levels.
The rating differential on the current paying senior class A notes
from all transactions are reflective of their senior positions in
the respective capital structures, the deals' sequential-pay
structure, and S&P's expectations regarding the likelihood that
the affected classes' remaining balances would be repaid in full
before the class A notes became undercollateralized in S&P's
stress scenarios. If the class A note parity trigger is in
effect, all class A notes outstanding will be paid pro rata (based
on their outstanding balance) until their principal balances have
been reduced to zero.
S&P will continue to monitor the performance of the student loan
receivables backing these transactions relative to S&P's revised
cumulative default expectations and the available credit
enhancement.
RATINGS RAISED
SLM Private Credit Student Loan Trust 2005-A
U.S. $1.651 billion floating-rate student loan-backed notes series
2005-A
Rating
Class CUSIP To From
A-2 78443CBT0 AAA (sf) A (sf)
SLM Private Credit Student Loan Trust 2006-A
U.S. $2.244 billion floating-rate student loan-backed notes series
2006-A
Rating
Class CUSIP To From
A-3 78443CCG7 AAA (sf) AA (sf)
SLM Private Credit Student Loan Trust 2006-B
U.S. $2.238 billion floating-rate student loan-backed notes series
2006-B
Rating
Class CUSIP To From
A-4 78443CCT9 A+ (sf) A (sf)
SLM Private Credit Student Loan Trust 2006-C
U.S. $1.199 billion floating-rate student loan-backed notes series
2006-C
Rating
Class CUSIP To From
A-3 78443JAC3 AAA (sf) A+ (sf)
RATINGS LOWERED
SLM Private Credit Student Loan Trust 2003-C
U.S. $1.346 billion student loan-backed notes series 2003-C
Rating
Class CUSIP To From
A-2 78443CAZ7 A- (sf) A+ (sf)
A-3 78443CBA1 BBB (sf) A- (sf)
A-4 78443CBB9 BBB (sf) A- (sf)
A-5 78443CBC7 BBB (sf) A- (sf)
RATINGS AFFIRMED
SLM Private Credit Student Loan Trust 2003-A
U.S. $1.056 billion student loan-backed notes series 2003-A
Class CUSIP Rating
A-2 78443CAF1 A- (sf)
A-3 78443CAJ3 BBB (sf)
A-4 78443CAK0 BBB (sf)
B 78443CAG9 BB- (sf)
C 78443CAH7 CCC- (sf)
SLM Private Credit Student Loan Trust 2003-B
U.S. $1.343 billion student loan-backed notes series 2003-B
Class CUSIP Rating
A-2 78443CAM6 A- (sf)
A-3 78443CAN4 BBB (sf)
A-4 78443CAP9 BBB (sf)
B 78443CAQ7 B- (sf)
C 78443CAR5 CCC- (sf)
SLM Private Credit Student Loan Trust 2003-C
U.S. $1.346 billion student loan-backed notes series 2003-C
Class CUSIP Rating
B 78443CBD5 B- (sf)
C 78443CBE3 CCC- (sf)
SLM Private Credit Student Loan Trust 2004-A
U.S. $1.336 billion student loan-backed notes series 2004-A
Class CUSIP Rating
A-2 78443CBG8 AA- (sf)
A-3 78443CBH6 A (sf)
B 78443CBJ2 BBB (sf)
C 78443CBK9 BB- (sf)
SLM Private Credit Student Loan Trust 2004-B
U.S.$ 1.508 billion floating-rate student loan-backed notes
series 2004-B
Class CUSIP Rating
A-2 78443CBM5 AA- (sf)
A-3 78443CBN3 A+ (sf)
A-4 78443CBP8 A+ (sf)
B 78443CBQ6 BBB+ (sf)
C 78443CBR4 BB (sf)
SLM Private Credit Student Loan Trust 2005-A
U.S. $1.651 billion floating-rate student loan-backed notes
series 2005-A
Class CUSIP Rating
A-3 78443CBU7 A (sf)
A-4 78443CBV5 A (sf)
B 78443CBW3 BBB+ (sf)
C 78443CBX1 BB+ (sf)
SLM Private Credit Student Loan Trust 2006-A
U.S. $2.244 billion floating-rate student loan-backed notes
series 2006-A
Class CUSIP Rating
A-4 78443CCJ1 A+ (sf)
A-5 78443CCL6 A+ (sf)
B 78443CCM4 BBB+ (sf)
C 78443CCN2 BBB- (sf)
SLM Private Credit Student Loan Trust 2006-B
U.S. $2.238 billion floating-rate student loan-backed notes
series 2006-B
Class CUSIP Rating
A-5 78443CCU6 A (sf)
B 78443CCV4 BBB+ (sf)
C 78443CCW2 BBB- (sf)
SLM Private Credit Student Loan Trust 2006-C
U.S. $1.199 billion floating-rate student loan-backed notes
series 2006-C
Class CUSIP Rating
A-4 78443JAD1 A- (sf)
A-5 78443JAE9 A- (sf)
B 78443JAF6 BBB (sf)
C 78443JAG4 BB+ (sf)
SMART ABS 2014-1US: Fitch Assigns 'BBsf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to SMART ABS Series 2014-
1US Trust's automotive lease-backed fixed and floating-rate notes.
The issuance consists of notes backed by Australian automotive
lease receivables originated by Macquarie Leasing Pty Limited
(Macquarie Leasing). The ratings are as follows:
-- USD90.0m Class A-1 notes: 'F1+sf';
-- USD94.0m Class A-2 a notes: 'AAAsf'; Outlook Stable;
-- USD40.0m Class A-2 b notes: 'AAAsf'; Outlook Stable;
-- USD70.0m Class A-3 a notes: 'AAAsf'; Outlook Stable;
-- USD96.0m Class A-3 b notes: 'AAAsf'; Outlook Stable;
-- USD50.0m Class A-4 a notes: 'AAAsf'; Outlook Stable;
-- USD60.0m Class A-4 b notes: 'AAAsf'; Outlook Stable;
-- AUD9.5m Class B notes: 'AAsf'; Outlook Stable;
-- AUD17.4m Class C notes: 'Asf'; Outlook Stable;
-- AUD17.4m Class D notes: 'BBBsf'; Outlook Stable;
-- AUD15.8m Class E notes: 'BBsf'; Outlook Stable; and
-- AUD15.8m seller notes: Not Rated.
The notes were issued by Perpetual Trustee Company Limited in its
capacity as trustee of SMART ABS Series 2014-1US Trust. The
latter is a legally distinct trust established pursuant to a
master trust and security trust deed.
At the cut-off date, the total collateral pool consisted of 18,142
leases totaling AUD632.4m, averaging AUD34,857. The pool is
predominantly made up of passenger and light commercial vehicle
receivables from Australian residents across the country, and
consists of amortising principal and interest leases with varying
balloon amounts payable at maturity.
KEY RATING DRIVERS
The final ratings on the Class A notes are based on: the quality
of the collateral; the 12% credit enhancement provided by the
subordinate Class B, C, D, and E notes; the unrated seller notes;
and excess spread. They also reflect a liquidity reserve account
sized at 1% of the aggregate amount of the notes at closing; an
interest rate swap arrangement the trustee has entered into with
Macquarie Bank Ltd (A/Stable/F1); a currency swap arrangement the
trustee has entered into with Australia & New Zealand Banking
Group (AA-/Stable/F1+); and Macquarie Leasing Pty Ltd's lease
underwriting and servicing capabilities.
The final ratings on the other classes of notes are based on all
the strengths supporting the Class A notes, excluding their credit
enhancement levels, but including the credit enhancement provided
by each class of notes' respective subordinate notes.
The transaction benefits from a highly diverse portfolio in terms
of both obligor and regional concentration and is similar, in both
portfolio characteristics and structure, to other SMART ABS Series
transactions issued into the US market.
The main industry exposures include: property and business
services (32.7%); government, administration & defence (16.8%);
health & community services (11.4%); other industries (9.3%);
transport & storage (8.6%); and construction (7.6%). The weighted
average balloon payment for the portfolio is 26.5% of the original
lease balance. The majority of leases consist of novated
contracts (62.9%), where the lease is novated to the employer in
salary packaging arrangements.
The base case for novated leases (car) has been increased to 1.50%
from 1.35%. This is due to an increase in historical losses for
leases originated in the 2010-2012 cohorts. Historical gross
losses by quarterly vintage on novated leases (car) range from
0.3%-1.5%; non-novated leases (cars) 1.0%-3.6%; and trucks 0.5%-
5.0%. 30+ days delinquencies have traditionally tracked below 1.0%
for the Macquarie Leasing book.
RATING SENSITIVITIES
Unexpected increases in the frequency of foreclosures, and the
loss severity on defaulted loans, could produce loss levels higher
than Fitch's base case, which could in turn result in potentially
negative rating actions on the notes. Fitch has evaluated the
sensitivity of the ratings assigned to SMART ABS Series 2014-1US
Trust to increased gross default levels, and decreased recovery
rates over the life of the transaction.
Its analysis found that all notes' ratings are not susceptible to
downgrades under Fitch's mild (10% increase), moderate (25%
increase) and severe default (50% increase) scenarios.
Recovery scenarios, whereby recovery rate assumptions are
decreased, showed that no notes were impacted under each scenario
tested. These include mild (10% decrease), moderate (25%
decrease) and severe (50% decrease) stress scenarios. The
analysis also showed that all notes remain stable under a
combination of default and mild, moderate and severe recovery
stress scenarios.
Fitch's key rating drivers and rating sensitivities are discussed
further in the corresponding New Issue report entitled "SMART ABS
Series 2014-1US Trust", published. Included as an appendix to the
report are a description of the representations, warranties, and
enforcement mechanisms.
SOUTH COAST: Moody's Hikes Rating on $110MM Notes to Ca
-------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings on the following notes issued by South Coast Funding IV
Ltd.:
$120,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2038 (current outstanding balance of $33,325,000),
Upgraded to B2 (sf); previously on March 6, 2014 Caa1 (sf) Placed
Under Review for Possible Upgrade
$110,000,000 Class B Third Priority Senior Secured Floating Rate
Notes Due 2038, Upgraded to Ca (sf); previously on May 21, 2010
Downgraded to C (sf)
South Coast Funding IV Ltd., issued in December 2003, is a
collateralized debt obligation backed primarily by a portfolio of
RMBS, CMBS and consumer ABS originated in 2003 and 2004.
Ratings Rationale
According to Moody's, the rating action taken on the Class A-2
notes is primarily a result of deleveraging of the senior notes
and an increase in the transaction's overcollateralization ratios
since March 2013. Moody's notes that the Class A-2 Notes have been
paid down by approximately 64% or $58.4 million since March 2013.
Based on Moody's calculation, the Class A par coverage is
currently at 267.4% compared to 143.5% in March 2013. The rating
action on the Class B notes reflects the expectation that once the
Class A-2 Notes are fully paid down, the Class B Notes will become
the most senior notes and start redeeming.
Notwithstanding benefits of the deleveraging, Moody's notes that
the credit quality of the underlying portfolio has deteriorated
since March 2013. Based on the January 2014 trustee report, the
weighted average rating factor is currently 4213 compared to 2878
in March 2013.
The deal also benefited from the updates to the Moody's SF CDO
methodology described in "Moody's Approach to Rating SF CDOs"
published on March 6, 2014. These updates include: (i) lowering
the resecuritization stress factors for RMBS (US Prime, Subprime,
Manufactured Housing), CDOs exposed to investment grade corporate
assets, and ABS backed by franchise loans or by mutual fund fees;
(ii) using a common table of recovery rates for all structured
finance assets (except for CMBS and SF CDO); and (iii) providing
more guidance on the rating caps Moody's apply to deals
experiencing event of default.
In taking the foregoing actions, Moody's also announced that it
had concluded its review of its rating on the issuer's Class A-2
Notes announced on March 6, 2014. At that time, Moody's said that
it had placed certain of the issuer's ratings on review for
upgrade as a result of the aforementioned methodology updates.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
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: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the commercial and
residential real estate property markets. Although the commercial
real estate property markets are gaining momentum, consistent
growth will be unlikely until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The residential real estate property market
is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, 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.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the SF CDO.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM(TM) to model the loss distribution for SF CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios define the reference pool's loss distribution. Moody's
then uses the loss distribution as an input in the CDOEdge(TM)
cash flow model.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are shown in terms
of the number of notches' difference versus the current model
output, where a positive difference corresponds to lower expected
loss, assuming that all other factors are held equal:
Moody's Caa rated assets notched up by 2 rating notches:
Class A-2: +2
Class B: 0
Class C: 0
Preference Shares: 0
Moody's Caa rated assets notched down by 2 rating notches:
Class A-2: -1
Class B: 0
Class C: 0
Preference Shares: 0
SPRINGLEAF FUNDING 2014-A: S&P Assigns BB Rating on Class C Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Springleaf Funding Trust 2014-A's $592.12 million asset-backed
notes Series 2014-A.
The note issuance is an ABS securitization backed by personal
consumer loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 36.6%, 31.1%, 28.3%, and
24.0% credit support to the class A, B, C, and D notes,
respectively, in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- These credit support levels are sufficient to withstand
stresses commensurate with the ratings on the notes based on
S&P's stressed cash flow scenarios.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, the ratings on the class A, B, and C notes would
remain within two rating categories of our 'A (sf)', 'BBB
(sf)', and 'BB (sf)' ratings, respectively. These potential
rating movements are consistent with S&P's credit stability
criteria, which outline the outer bounds of credit
deterioration as equal to a two-category downgrade within
the first year for 'A (sf)' through 'BB (sf)' rated
securities under moderate stress conditions.
-- The timely interest and full principal payments expected to
be made under stressed cash-flow modeling scenarios
appropriate to the assigned ratings.
-- The characteristics of the pool being securitized.
-- The operational risks associated with Springleaf Finance
Corp.'s (Springleaf's) decentralized business model.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
Springleaf Funding Trust 2014-A
Interest Amount
Class Rating Type rate (Mil. $)
A A (sf) Senior Fixed 500.00
B BBB (sf) Subordinate Fixed 39.94
C BB (sf) Subordinate Fixed 19.32
D B (sf) Subordinate Fixed 32.86
STANIFORD STREET: S&P Assigns Prelim. BB Rating on Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Staniford Street CLO Ltd./Staniford Street CLO LLC's
$370.50 million floating-rate notes.
The note issuance is 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 March 21,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's assessment 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 the excess spread), and cash flow structure,
which can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which S&P expects to be
bankruptcy remote.
-- The diversified collateral portfolio, which primarily
comprises broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's and back-up collateral manager's
experienced management teams.
-- S&P's projections regarding 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 0.2356%-12.5311%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of excess interest
proceeds that are available before paying class F note
interest, subordinated management fees, uncapped
administrative expenses, incentive management fees, and
subordinated note payments into principal proceeds to
purchase additional collateral assets during the
reinvestment period.
PRELIMINARY RATINGS ASSIGNED
Staniford Street CLO Ltd./Staniford Street CLO LLC
Class Rating Amount
(mil. $)
A AAA (sf) 255.00
B AA (sf) 45.00
C (deferrable) A (sf) 30.00
D (deferrable) BBB (sf) 23.00
E (deferrable) BB (sf) 17.50
F (deferrable) NR (sf) 12.50
Subordinated notes NR 31.00
NR-Not rated.
N/A-Not applicable.
TALMAGE STRUCTURED 2005-2: Moody's Ups Cl. D Notes Rating to Caa1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Talmage Structured Real Estate Funding
2005-2, Ltd.
Cl. C, Upgraded to Baa3 (sf); previously on May 8, 2013 Affirmed
Ba2 (sf)
Cl. D, Upgraded to Caa1 (sf); previously on May 8, 2013 Affirmed
Caa3 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. E, Affirmed C (sf); previously on May 8, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on May 8, 2013 Affirmed C (sf)
Ratings Rationale
Moody's has upgraded the ratings on the transaction due to the
full amortisation of high credit risk asset, which constituted
23.6% of the underlying pool. Moody's has affirmed the ratings on
the transaction because its key transaction metrics are
commensurate with existing ratings. The actions are the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO CLO) transactions.
Talmage Structured Real Estate Funding 2005-2, Ltd. is a currently
static (the re-investment period ended in August, 2010) cash
transaction backed by a portfolio of: i) commercial mortgage
backed securities (CMBS) (34.5% of the pool balance, including
rake bonds); ii) whole loans (45.6%); and iii) b-notes (19.9%). As
of the February 25, 2014 trustee report, the aggregate note
balance of the transaction is $92.2 million compared to $305.8
million at issuance; due to a combination of amortisation,
recoveries from defaulted collateral and principal resulting from
the failure of certain par value and interest coverage tests.
Four assets with a par balance of $58.4 million (60.3% of the pool
balance) were listed as impaired securities as of the February 25,
2014 Trustee Report. Moody's expects moderate/high losses to occur
on these assets once they are realized.
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 6907,
compared to 5861 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: A1-A3 (9.8% compared to 0.0% at last
review); Baa1-Baa3 (0.0% compared to 13.3% at last review); B1-B3
(0.0% compared to 22.0% at last review); and Caa1-Ca/C (90.2%,
compared to 64.7% at last review.
Moody's modeled a WAL of 1.9 years, compared to 2.6 years at last
review. The current WAL is based on assumptions about loan
extensions on the underlying loans within the CMBS collateral.
Moody's modeled a fixed WARR of 28.5%, compared to 26.2% at last
review.
Moody's modeled a MAC of 100.0%, compared to 0.0% 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 March 2014.
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. In addition, the rated notes are sensitive to
changes in collateral coupon. Increasing the recovery rates of
collateral pool by 10.0% to 38.5% would result in an average
modeled rating movement on the rated notes of zero to nine notches
upward (e.g., one notch down implies a ratings movement of Baa3 to
Ba1). Decreasing the weighted average collateral coupon by 10.0%
to 18.5% would result in an average modeled rating movement on the
rated notes of 0 to 3 notches downward (e.g., one notch implies a
rating movement of Baa3 to Ba1).
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.
TELEFONICA SA: Fitch Affirms 'BB+' Rating on Preference Shares
--------------------------------------------------------------
Fitch Ratings has assigned Telefonica SA's (TEF, BBB+/Negative)
proposed EUR benchmark perpetual subordinated securities an
expected rating of 'BBB-(EXP)'. The securities will be issued by
Telefonica Europe B.V. and guaranteed on a subordinated basis by
Telefonica SA. The final rating is contingent on the receipt of
final documents conforming materially to the preliminary
documentation.
The upcoming hybrid securities are proposed to be deeply
subordinated and to rank senior only to TEF's share capital, while
coupon payments can be deferred at the discretion of the issuer.
As a result of these features, the 'BBB-(EXP)' rating is two
notches below TEF's Long-term Issuer Default Rating (IDR), which
reflects the securities' increased loss severity and heightened
risk of non-performance relative to senior obligations. This
approach is in accordance with Fitch's criteria, "Treatment and
Notching of Hybrid in Non-financial Corporate and REIT Credit
Analysis" dated Dec. 23, 2013, at http://www.fitchratings.com.
The proposed securities qualify for 50% equity credit as they meet
Fitch's criteria with regard to subordination, effective maturity
of at least five years, full discretion to defer coupons for at
least five years and limited events of default, as well as the
absence of material covenants and look-back provisions.
The proposed securities will be issued in EUR and have no formal
maturity date. The documentation provides for the potential
issuance of two tranches, a non-call 6 (NC6) and non-call 10
(NC10). The issuer has a call option to redeem the notes at par
on the first call date (in 2020 for the NC6 and in 2024 for the
NC10) and at any interest payment date thereafter.
There will be a coupon step-up of 25bps from year ten onwards
(2024) and an additional step-up of 75bps 20 years after the first
call date onwards (in 2040 for the NC6 and in 2044 for the NC10).
According to Fitch's criteria, the first call date and the coupon
step-up date are not treated as effective maturity dates due to
the cumulative amount of the step-ups being lower or equal to 1%
throughout the life of the instruments. However, the issuer will
no longer be subject to replacement language disclosing the
company's intent to redeem the instrument from 2040 (for the NC6)
and 2044 (for the NC10) with the proceeds of a similar instrument
or with equity. Hence, 2040 and 2044 are viewed as the respective
effective maturity date for the NC6 and NC10 securities. The
instrument's equity credit would switch to zero five years prior
to this date (i.e. in 2035 for the NC6 and 2039 for the NC10).
There is no look-back provision in the securities' documentation,
which gives the issuer full discretion to unilaterally defer
coupon payments. Deferrals of coupon payments are cumulative and
the company will be obliged to make a mandatory settlement of
deferred interest payments under certain circumstances, including
a declaration or payment of a dividend.
Key Rating Drivers
Proactive Portfolio Management & Deleveraging
A spike in leverage, following the 2010 Vivo acquisition and
coincident economic slowdown, has been managed well. A combination
of material cuts to its distribution policy, the sale of non-core
assets and stake sales, along with hybrid issuance has seen the
company reduce net debt to EUR46.6bn (EUR43.6bn adjusted for post
FY13 disposals) - i.e. adjusted for 50% equity credit assigned to
the hybrid instruments. This compares with debt of EUR56.3bn at
FYE11. Fitch expects funds from operations (FFO) net adjusted
leverage to stabilise around 3.3x in 2014 and beyond, a level that
is consistent with the large European incumbent peer group and a
'BBB+' rating. FFO net adjusted leverage was 3.2x at FYE13.
Positive Diversification
Telefonica exhibits stronger portfolio diversification than
similarly rated peers, such as Deutsche Telekom and Orange SA. Of
this group, Telefonica is least reliant on its domestic market at
45% contribution to operating cash flow (OCF; EBITDA less capex)
from Spain in 2013, compared with Deutsche Telekom's 70% from
Germany and Orange's 65% from France. Fitch estimates that
following the E-Plus transaction (which remains subject to
regulatory approval), Germany will account for 9% and the UK a 10%
contribution - boosting the cash flow from competitive but
nonetheless stronger performing northern European economies, while
Latin America will contribute 39%. Such broad diversification
offers protection against economic cycles as well as structural
shifts and maturing regional trends.
Domestic Operating Environment Remains Tough
Spain is still Telefonica's single largest market, accounting for
43% of forecast 2014 OCF. A domestic economy characterised by high
unemployment and weak domestic consumption, along with an
increasingly tough competitive environment will continue to weigh
on this part of the business. Telefonica's "Fusion" quad-play
product has fundamentally shifted pricing in the market, though
without slowing the pace of mobile subscriber losses. The
incumbent lost a total of 1.6 million mobile customers in the 12
months to December 2013, while mobile service revenues contracted
by 16%. Aggressive MVNO mobile offers have had a significant
impact on the established operators, while Vodafone's acquisition
of ONO, the country's largest cable operator, is likely to
increase fixed line and quad-play pressures. Domestic EBITDA fell
7% in 2013. Further contraction is likely in 2014 and may
continue beyond, in Fitch's view.
FX Headwinds
Currency volatility primarily related to Telefonica's Latin
American businesses had a material impact on 2013 reported results
- revenues suffered a negative EUR5bn currency impact; with a
EUR1.7bn effect felt at the EBITDA level. Currency devaluation in
Brazil, Argentina and Venezuela has been significant, with the
prospect of any near-term easing in these pressures far from
certain. While its LatAm operations generally report top-line
growth and solid underlying performance, currency volatility
removed the underlying growth benefits of the LatAm business in
2013 and in the absence of any material appreciation will continue
to impact reported group level results in 2014.
Fitch estimates that LatAm countries in 2014 will account for
around 39% of Telefonica's OCF and their currencies at 8% of group
debt, giving rise to a currency mismatch. Euro zone countries are
forecast to represent 52% of OCF, compared with an estimated 80%
of euro-dominated debt.
Measured M&A Approach
M&A risk at Telefonica is viewed by Fitch as measured and its
intentions in this area have been well-articulated by management.
Recent activity has focused on the sale of non-core operations
with the agreed disposal of businesses in the Czech Republic and
Ireland expected to raise around EUR3bn in proceeds in 2014.
Disposal proceeds along with approximately EUR900m to be raised
from minorities (at the Telefonica Deutschland level) in a rights
issue accompanying the E-Plus acquisition will offset the EUR5bn
cash component of the German acquisition. The company's leverage
neutral approach to funding this deal underlines caution in
financial policies, which Fitch views positively. The possibility
of market consolidation in Brazil would be a transaction that
makes strategic sense - regulatory barriers to such a development
are though considered high.
Rating Sensitivities
Negative: Future developments that could lead to negative rating
actions include:
-- FFO net adjusted leverage approaching 3.5x with little
expectation that deleveraging comfortably below this level
can be achieved organically. Mid-single digit or below pre-
dividend FCF margin would increase downgrade pressure.
Positive: Future developments that could lead to a revision of the
Outlook to Stable, are:
-- FFO net adjusted leverage well below 3.5x on a sustained
basis. A mid-to-high single digit pre-dividend free cash
flow (FCF) margin, which is also deemed an important metric
at 'BBB+', on a consistent basis is likely to help stabilise
the Outlook
The following ratings are affirmed:-
Telefonica SA Long term IDR: 'BBB+'; Negative Outlook
Telefonica SA Short term IDR: 'F2'
Telefonica Europe BV's/Telefonica Emisiones' bonds: 'BBB+'
Telefonica Finance USA LLC's preference shares: 'BB+'
Telefonica Europe BV subordinated hybrid securities: 'BBB-'
TRAINER WORTHAM: Moody's Lowers Rating on $295MM Notes to Caa3
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating on notes
issued by Trainer Wortham First Republic CBO II, Limited.:
$295,000,000 Class A-1L Floating Rate Notes Due 2037 (current
outstanding balance of $41,489,359), Downgraded to Caa3 (sf);
previously on March 27, 2009 Downgraded to Caa2 (sf)
Trainer Wortham First Republic CBO II, Limited., issued in
February 2002, is a collateralized debt obligation backed
primarily by a portfolio of RMBS and CMBS originated from 2001 to
2003.
Ratings Rationale
This rating action is primarily a result of an increase in the
amount of defaulted securities and a decrease in the transaction's
over-collateralization ratios since February 2013. Based on the
trustee's February 2014 report, defaulted securities increased to
$17.9 million in February 2014 compared to $12.2 million in
February 2013. Additionally, the current Senior Class A over-
collateralization ratio is reported at 61.61%, versus 70.69% in
February 2013.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in March 2014.
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: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the commercial and
residential real estate property markets. Although the commercial
real estate property markets are gaining momentum, consistent
growth will be unlikely until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The residential real estate property market
is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, 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.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the SF CDO.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
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):
Non-investment grade ratings notched up by two rating notches
(1776):
Class A-1L: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: 0
Preference Shares: 0
Non-investment grade ratings notched down by two rating notches
(3374):
Class A-1L: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: 0
Preference Shares: 0
VENTURE XVI CLO: Moody's Rates $27MM Class B-2L Notes 'Ba3'
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of notes issued by Venture XVI CLO, Limited.
Moody's rating action is as follows:
$310,000,000 Class A-1L Senior Secured Floating Rate Notes due
April 2026 (the "Class A-1L Notes"), Definitive Rating Assigned
Aaa (sf)
$38,000,000 Class A-2L Senior Secured Floating Rate Notes due
April 2026 (the "Class A-2L Notes"), Definitive Rating Assigned
Aa2 (sf)
$10,000,000 Class A-2F Senior Secured Fixed Rate Notes due April
2026 (the "Class A-2F Notes"), Definitive Rating Assigned Aa2 (sf)
$49,000,000 Class A-3L Mezzanine Secured Deferrable Floating Rate
Notes due April 2026 (the "Class A-3L Notes"), Definitive Rating
Assigned A2 (sf)
$29,000,000 Class B-1L Mezzanine Secured Deferrable Floating Rate
Notes due April 2026 (the "Class B-1L Notes"), Definitive Rating
Assigned Baa3 (sf)
$27,000,000 Class B-2L Junior Secured Deferrable Floating Rate
Notes due April 2026 (the "Class B-2L Notes"), Definitive Rating
Assigned Ba3 (sf)
The Class A-1L Notes, the Class A-2L Notes, the Class A-2F Notes,
the Class A-3L Notes, the Class B-1L Notes and the Class B-2L
Notes are referred to herein, collectively, as the "Rated Notes."
Ratings Rationale
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The 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.
Venture XVI 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% of the portfolio must be
invested in senior secured loans, cash or eligible investments and
up to 10% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 79% ramped as of
the closing date.
MJX 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. After the end of the reinvestment period, 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 February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2500
Weighted Average Spread (WAS): 3.80%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 45.0%
Weighted Average Life (WAL): 8 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
February 2014.
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 2500 to 2875)
Rating Impact in Rating Notches
Class A-1L Notes: 0
Class A-2L Notes: 0
Class A-2F Notes: 0
Class A-3L Notes: -1
Class B-1L Notes: -1
Class B-2L Notes: 0
Percentage Change in WARF -- increase of 30% (from 2500 to 3250)
Rating Impact in Rating Notches
Class A-1L Notes: 0
Class A-2L Notes: -1
Class A-2F Notes: -1
Class A-3L Notes: -3
Class B-1L Notes: -2
Class B-2L Notes: -1.
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.
WACHOVIA BANK 2003-C7: S&P Lowers Rating on Class J Certs to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
J commercial mortgage pass-through certificates from Wachovia Bank
Commercial Mortgage Trust 2003-C7, a U.S. commercial mortgage-
backed securities transaction, to 'D (sf)' from 'CCC- (sf)'.
"We lowered our rating to 'D (sf)' on the class J certificates
after the trust incurred $37.9 million in principal losses as
detailed in the March 17, 2014, trustee remittance report. These
losses mainly resulted from the liquidation of collateral securing
the $40.3 million pari passu Regency Square Mall loan (equal-sized
piece was also held in Wachovia Bank Commercial Mortgage Trust
2003-C8), which was with the special servicer, Torchlight
Investors LLC. According to the March 2014 trustee remittance
report, the liquidation of the collateral resulted in a loan loss
severity of 87.9% ($35.4 million in principal losses). The
remaining amount of principal losses resulted from the
$2.1 million Six Sentry Parkway B-Note incurring a 100% loss, and
the servicer recovering $376,812 of previous advances related to
the Columbia Place Mall loan, from principal," S&P said .
Consequently, class J lost 2.3% of its $11.4 million original
principal balance, while subordinate classes K, L, M, N, O, and P
lost 100% of their respective opening balances. S&P previously
lowered its ratings on these subordinate classes to 'D (sf)', with
the exception of the class P, which it do not rate.
WACHOVIA BANK 2003-C8: S&P Lowers Rating on Class J Certs to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
J commercial mortgage pass-through certificates from Wachovia Bank
Commercial Mortgage Trust 2003-C8, a U.S. commercial mortgage-
backed securities transaction, to 'D (sf)' from 'CCC (sf)'.
S&P lowered its rating to 'D (sf)' on the class J certificates
after the trust incurred $35.4 million in principal losses as
detailed in the March 17, 2014, trustee remittance report. These
losses resulted from the liquidation of the collateral securing
the $40.3 million pari passu Regency Square Mall loan (equal-sized
piece was also held in Wachovia Bank Commercial Mortgage Trust
2003-C7), which was with the special servicer, Torchlight
Investors LLC. According to the March 2014 trustee remittance
report, the liquidation of the collateral resulted in a loan loss
severity of 87.9% ($35.4 million in principal losses).
Consequently, class J lost 34.4% of its $7.3 million original
principal balance, while subordinate classes K, L, M, N, O, and P
lost 100% of their respective opening balances. S&P previously
lowered its ratings on these subordinate classes to 'D (sf)', with
the exception of the class P, which S&P do not rate.
WACHOVIA BANK 2006-C28: Fitch Affirms Dsf Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 18 classes of
Wachovia Bank Commercial Mortgage Trust (WBCMT 2006-C28)
commercial mortgage pass-through certificates series 2006-C28.
Key Rating Drivers
The upgrade reflects a substantial decline in overall expected
losses resulting from better than anticipated recoveries on
recently liquidated loans in addition to an early payoff of the
5th largest loan in the pool. Since the recent January 2014
rating action, 17 assets (15.1% of the original pool balance) have
been disposed with an average loss severity of 32% compared with
forecasted losses of 52%, reducing overall loss expectations on
the pool. The majority of the assets were disposed as part of the
recent special servicer (CWCapital) bulk asset sale. In
particular, two (2) of the largest assets in the pool were
resolved with recoveries exceeding projections, including
Montclair Plaza and the Four Seasons Resort and Club - Dallas.
Montclair Plaza had an original balance of $190 million and
incurred losses of 17% while the Four Seasons had an original
balance of $175 million with losses of 35%. In addition to the
distressed asset resolutions, the 5th largest loan in the pool,
311 South Wacker, paid in full as of the March 2014 remittance
contributing to increased credit enhancement of the classes.
Fitch modeled losses of 11.5% of the remaining pool; expected
losses on the original pool balance total 14.5%, including $261.0
million (7.3% of the original pool balance) in realized losses to
date. Fitch has designated 33 loans (12.8%) as Fitch Loans of
Concern, which includes four specially serviced assets (2.5%).
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 37.4% to $2.25 billion from
$3.6 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes N through Q.
The largest contributor to expected losses is The Gas Company
Tower loan (10.2%), which is secured by a 1.3 million sf class A
office tower located in downtown Los Angeles, CA. The building
continues to face downward pressure on occupancy as tenants
relocate and downsize. As of October 2013, occupancy declined to
72% from 82% in June 2013. DSCR as of September 2013 on a net
operating income basis was 0.99x. Morrison & Forrester LLP (11%
of the NRA) vacated the premises at lease expiration in September
2013 and Sidley Austin (15% of the NRA) downsized by approximately
27,800 SF in December 2013. According to JLL's 2014 skyline
report, buildings exceeding 50 floors in the downtown submarket of
Los Angeles had an occupancy rate of 78.3% with direct rents of
$38.04 psf. The subject underperforms the market with respect to
occupancy and has average in-place rents of $37.91 psf. The loan
is current as of the March 2014 remittance date and is sponsored
by Brookfield Office Properties.
The next largest contributor to expected losses is the Westin
Falls Church asset (2.8%), which is a 405 key full service hotel
located in Falls Church, VA. Performance of the hotel continues
to decline with weakening demand from federal contractors and
government employees. As of December 2013, NOI declined 18% from
YE 2012 and remains 39% below underwritten NOI at issuance. The
property has underperformed its competitive set, as evidenced by
penetration rates (reported by Smith Travel Research) of 65.5%,
149.1% and 97.7% for occupancy, ADR and RevPAR, respectively, as
of the TTM period ended February 2014. In addition, the subject
property was ranked the No. 4 hotel with respect to RevPAR.
Management has marketed the hotel to alternative business channels
to secure additional accounts and has appointed a general manager
with prior experience in the market. The loan is current as of the
March 2014 remittance.
The third largest contributor to expected losses is the Brookfield
Lakes Corporate Center (2.7%), which is a campus of office
buildings totaling 506,719 sf in Brookfield, WI. Performance of
the property has improved with December 2013 NOI increasing 14%
from 2012; however, NOI remains 27% below NOI underwritten at
issuance. As of December 2013, occupancy was 76% with DSCR of
1.22x compared with issuance occupancy of 89% and DSCR of 1.42x.
Fitch accounted for lease rollover exposure in 2014, which is
approximately 20% of the NRA, and anticipates a protracted leasing
period prior to stabilization. According to Reis' January 2014
report, the Brookfield/New Berlin submarket of Milwaukee had a
vacancy rate of 18.4% with average asking rents of $18.86 compared
with average in-place rents of the subject property of $22.22 psf.
The loan is current as of the March 2014 remittance.
Rating Sensitivity
Rating Outlooks remain Stable due to increasing credit enhancement
and continued paydown of the pool. Although credit enhancement
remains high relative to the rating category for the A-M class,
upgrades were limited given the underperformance of several of the
largest loans in the pool and the uncertainty of loss expectations
with respect to the Gas Company Tower and timing in resolution of
loans in special servicing. Distressed classes (those rated below
'B') may be subject to further downgrades as additional losses are
realized.
Fitch upgrades the following class as indicated:
--$359.5 million class A-M to 'BBBsf' from 'BBsf', Outlook Stable.
Fitch affirms the following classes as indicated:
-- $755.9 million class A-4 at 'AAAsf', Outlook Stable;
-- $441.5 million class A-1A at 'AAAsf', Outlook Stable;
-- $235.6 million class A-4FL at 'AAAsf', Outlook Stable;
-- $278.6 million class A-J at 'CCCsf', RE 75%;
-- $22.5 million class B at 'CCsf', RE 0%;
-- $58.4 million class C at 'Csf', RE 0%;
-- $31.5 million class D at 'Csf', RE 0%;
-- $49.4 million class E at 'Csf', RE 0%;
-- $17.6 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%;
-- $0 class P at 'Dsf', RE 0%.
WACHOVIA BANK 2006-WHALE7: S&P Cuts Ratings on 2 Note Classes to D
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
CM commercial mortgage pass-through certificates from Wachovia
Bank Commercial Mortgage Trust's series 2006-WHALE7, a U.S.
commercial mortgage-backed securities transaction, to 'D (sf)'
from 'CCC- (sf)' and then withdrew it. In addition, S&P lowered
its ratings on the class K and L certificates to 'D (sf)' and
withdrew its ratings on the class F and WA certificates, all from
the same transaction.
The downgrade on the non-pooled class CM certificates reflects
principal losses totaling $1.1 million, or 100% of its opening
principal balance (as detailed in the March 17, 2014, trustee
remittance report), due to the liquidation of the Colonial Mall
Myrtle Beach loan. Class CM derives 100% of its cash flow from
the specially serviced Colonial Mall Myrtle Beach loan, which
liquidated at a loss severity of 53.7% (or $17.2 million in
principal losses) of its beginning trust balance at a liquidation
of $32.0 million, according to the March 2014 trustee remittance
report. S&P subsequently withdrew its rating on this class
because its principal balance was reduced to zero.
In addition, S&P lowered its ratings on the pooled class K and L
certificates to 'D (sf)' following principal losses, as detailed
in the March 17, 2014, trustee remittance report. The principal
losses on the trust totaled $52.3 million, of which $4.4 million
was allocated to the nonpooled raked class WA and CM certificates
and the remaining $47.9 million was allocated to the pooled class
K and L certificates. The principal losses in the March 2014
trustee remittance report primarily resulted from the liquidations
of the Colonial Mall Myrtle Beach loan (discussed above) and the
Westin Aruba Resort & Spa real estate-owned (REO) asset, both of
which were with the special servicer, Wells Fargo Bank N.A.
According to the March 2014 trustee remittance report, the Westin
Aruba Resort & Spa REO asset liquidated at a loss severity of
35.1%, or $35.1 million in principal losses of its beginning trust
balance at liquidation of $100.0 million. Consequently, class K
experienced a 77.1% loss (or $19.6 million in principal losses) to
its $25.4 million original principal balance, while class L lost
100% of its $28.3 million original principal balance.
S&P withdrew its 'D (sf)' rating on class WA because its principal
balance was reduced to zero following the liquidation of the
Westin Aruba Resort & Spa REO asset. Class WA derived 100% of its
cash flow from the Westin Aruba Resort & Spa REO asset; classes CM
and WA lost 100% of their opening balances of $1.1 million and
$3.3 million, respectively.
Lastly, S&P withdrew its 'A (sf)' rating on the class F
certificates following the repayment in full of the class'
principal balance as noted in the March 17, 2014, trustee
remittance report.
RATING LOWERED AND WITHDRAWN
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-WHALE7
Rating
Class To Interim From
CM NR D (sf) CCC- (sf)
RATINGS LOWERED
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-WHALE7
Rating
Class To From
K D (sf) CCC (sf)
L D (sf) CCC- (sf)
RATINGS WITHDRAWN
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-WHALE7
Rating
Class To From
F NR A (sf)
WA NR D (sf)3
NR--Not rated.
WACHOVIA BANK 2007-C30: Fitch Affirms CCCsf Rating on A-J Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Wachovia Bank Commercial
Mortgage Trust's commercial mortgage pass-through certificates,
series 2007-C30.
Key Rating Drivers
The affirmations reflect stable to improved performance of the
remaining pool. Fitch modeled losses of 16.1% of the remaining
pool; expected losses on the original pool balance total 15.3%,
including $110.6 million (1.4% of the original pool balance) in
realized losses to date. Fitch has designated 54 loans (49.6%) as
Fitch Loans of Concern, which includes 33 specially serviced
assets (31.3%).
As of the March 2014 distribution date, the pool's aggregate
principal balance has been reduced by 13.7% to $6.82 billion from
$7.9 billion at issuance. Per the servicer reporting, one loan
(0.02% of the pool) is defeased. Interest shortfalls are
currently affecting classes D through S.
The largest contributor to expected losses remains the specially-
serviced Peter Cooper Village/Stuyvesant Town (PCV/ST) loan (22%
of the pool), which is secured by 56 multi-story apartment
buildings, situated on 80 acres, and includes a total of 11,227
units. The loan transferred to special servicing in November 2009
at the borrowers request. Subsequently, in October 2012 PCV/ST
suffered damage from Hurricane Sandy; property restoration efforts
are on-going, including repairs to the laundry rooms, basement
areas, and management offices. The special servicer reports that
all damages should be recovered through ample insurance proceeds.
Additionally, in November 2012 the special servicer (CWCapital)
announced a settlement to The Roberts Litigation to address
historical overcharges and future rents for over 4,300 units.
Final approval for the settlement was received in April 2013 and
it was anticipated that implementation would take approximately 18
months. Fitch believes that stabilization of the property remains
on schedule and expects the property to be marketed for sale in
mid-to-late 2014. The special servicer reports that as of year-
end 2013, the property was 99% leased with a net operating income
(NOI) debt service coverage ratio (DSCR) of 0.92x, up from an NOI
DSCR of 0.86x at year-end 2012.
The next largest contributor to expected losses is the specially
serviced Four Seasons Aviara Resort - Carlsbad, CA loan (2.7%),
which is secured by a resort hotel with 329 rooms and an Arnold
Palmer designed 18-hole golf course. The property is now known as
the Park Hyatt Aviara. The loan transferred to the special
servicer in April 2013 for a second time due to monetary default
after originally being modified and returned to the master
servicer in May 2011. The loan modification included a maturity
extension from February 2012 to February2017, additional reserves,
and a reduction in interest rate to 2% for the first year, 2.75%
for the second year, 4.50% for the third year, and a coupon rate
of 5.94% thereafter. The special servicer is working to complete
a Deed In Lieu of Foreclosure.
The third largest contributor to expected losses is the Five Times
Square loan (7.9%), which is secured by a leasehold interest in a
1.1 million square foot (sf) office property located in the heart
of Times Square in New York City. The servicer reported year-end
2012 DSCR was 1.08x and the September 2013 DSCR was 1.15x with an
occupancy of 100%. The largest tenant is Ernst & Young (88.5%)
through 2022 with two 10-year extension options. All retail
tenants including Red Lobster, the largest retail tenant, have
leases that extend until at least 2018. The loan is highly
leveraged, with the A-note at $973 per sf and total debt at $1,095
per sf.
Rating Sensitivity
The Rating Outlooks on classes A-3 through A-1A remain Stable, and
the Rating Outlooks on classes A-M and A-MFL were revised to
Stable from Negative due to lowered expected losses. Should losses
be significantly lower than expected, including losses on the
PCV/ST, future upgrades to the A-M classes are possible.
Downgrades to the distressed classes (below 'B') are likely as
additional losses are realized.
Fitch affirms the following classes and revises Rating Outlooks as
indicated:
-- $248.4 million class A-3 at 'AAAsf', Outlook Stable;
-- $195.5 million class A-4 at 'AAAsf', Outlook Stable;
-- $75.7 million class A-PB at 'AAAsf', Outlook Stable;
-- $1.9 billion class A-5 at 'AAAsf', Outlook Stable;
-- $2.2 billion class A-1A at 'AAAsf', Outlook Stable;
-- $540.3 million class A-M at 'BBB-sf', Outlook to Stable from
Negative;
-- $250 million class A-MFL at 'BBB-sf', Outlook to Stable from
Negative;
-- $671.8 million class A-J at 'CCCsf', RE 75%;
-- $49.4 million class B at 'CCCsf', RE 0%;
-- $79 million class C at 'CCCsf', RE 0%;
-- $69.2 million class D at 'CCsf', RE 0%;
-- $59.3 million class E at 'CCsf', RE 0%;
-- $69.2 million class F at 'CCsf', RE 0%;
-- $98.8 million class G at 'CCsf', RE 0%;
-- $79 million class H at 'CCsf', RE 0%;
-- $88.9 million class J at 'CCsf', RE 0%;
-- $79 million class K at 'Csf', RE 0%.
Fitch does not rate the class L, M, N, O, P, Q and S certificates.
Fitch previously withdrew the ratings on the interest-only class
X-P, X-C and X-W certificates. Classes A-1 and A-2 have paid in
full.
WAMU MORTGAGE 2005-AR19: Moody's Ups 2 Certs' Rating to 'Ba3'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches backed by Option ARM RMBS loans, issued by WaMu Mortgage
Pass-Through Certificates, Series 2005-AR19.
Complete rating actions are as follows:
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR19
Cl. A-1A1, Upgraded to Baa1 (sf); previously on Apr 30, 2013
Upgraded to Baa3 (sf)
Cl. A-1A2, Upgraded to Ba2 (sf); previously on Apr 30, 2013
Upgraded to B1 (sf)
Cl. A-1B2, Upgraded to Ba3 (sf); previously on Apr 30, 2013
Upgraded to B3 (sf)
Cl. A-1B3, Upgraded to Ba3 (sf); previously on Apr 30, 2013
Upgraded to B3 (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 rating upgrades are primarily driven by improving
collateral performance and reduction in delinquencies.
The actions also reflect a correction in the allocation of losses
in the Structured Finance Workstation (SFW) cash flow models used
by Moody's in rating these transactions. The cash flow model used
in the past rating action had incorrectly coded the degree of
support available to the Class A-1A and Class A-1B senior bonds.
This error has now been corrected and today's actions reflect this
change.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in February 2014 from
7.7% in February 2013 . 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.
WELLS FARGO 2014-TISH: S&P Assigns BB Rating on Class WTS-2 Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Wells Fargo Commercial Mortgage Trust 2014-TISH's
$381.0 million commercial mortgage pass-through certificates
series 2014-TISH.
The note issuance is a commercial mortgage-backed securities
transaction backed by two commercial mortgage loans totaling
$381.0 million secured by first-mortgage liens on the borrowers'
leasehold interests in the 873-room Westin New York at Times
Square hotel (senior pooled component: $150.0 million; subordinate
nonpooled component: $60.0 million) and the 1,214-room Sheraton
Chicago Hotel & Towers (senior pooled component: $122.6 million;
subordinate nonpooled component: $48.4 million). The two loans
are neither cross-collateralized nor cross-defaulted.
The preliminary ratings are based on information as of March 18,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsors' and managers'
experience, the trustee-provided liquidity, the loans' terms, and
the transaction's structure. S&P determined that the loans have a
71.8% beginning and ending loan-to-value (LTV) ratio, based on its
valuation of the two properties backing the transaction.
PRELIMINARY RATINGS ASSIGNED
Wells Fargo Commercial Mortgage Trust 2014-TISH
Class Rating(i) Amount ($)
A AAA (sf) 168,100,000
X-1 A- (sf) 272,600,000(ii)
X-2 A- (sf) 272,600,000(ii)
B AA- (sf) 59,940,000
C A- (sf) 44,560,000
WTS-1 BBB- (sf) 32,807,000
WTS-2 BB (sf) 27,193,000
SCH-1 BBB- (sf) 26,124,000
SCH-2 BB (sf) 22,276,000
(i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the
Securities Act of 1933.
(ii)Notional balance. The aggregate principal distributions and
realized losses allocated to the pooled certificates will
reduce the class X-1 and X-2 certificates' notional amount.
WEST CLO 2013-1: S&P Affirms 'BB' Rating on Class D Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on West
CLO 2013-1 Ltd./West CLO 2013-1 LLC's $415.5 million fixed- and
floating-rate notes following the transaction's effective date as
of Jan. 9, 2014.
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 S&P's criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as S&P deems
necessary.
RATINGS AFFIRMED
West CLO 2013-1 Ltd./West CLO 2013-1 LLC
Class Rating Amount
(mil. $)
A-1A AAA (sf) 252.00
A-1B AAA (sf) 30.00
A-2A AA (sf) 15.00
A-2B AA (sf) 44.00
B (deferrable) A (sf) 31.00
C (deferrable) BBB (sf) 23.00
D (deferrable) BB (sf) 20.50
* Fitch Takes Various Rating Actions on 227 U.S. RMBS Deals
-----------------------------------------------------------
Fitch Ratings has taken various rating actions on 227 U.S. RMBS
transactions. The transactions reviewed consisted of 24 Federal
Housing Administration/U.S. Department of Veteran Affairs
(FHA/VA), 66 Closed-End Second Lien (CES) and Home Equity Line of
Credit (HELOC), 15 high loan-to-value (HLV) and 122 Manufactured
Housing (MH) U.S. residential mortgage-backed securities (RMBS)
transactions.
Rating Action Summary:
-- 1,040 classes (92%) affirmed;
-- 42 classes (4%) upgraded;
-- 42 classes (4%) downgraded.
In addition, Fitch affirms and withdraws the ratings on 487
classes with a rating of 'Dsf' and no remaining principal balance.
The classes are not expected to receive any additional cashflow,
and the ratings are withdrawn since Fitch no longer believes the
ratings to be relevant.
A spreadsheet detailing the actions can be found on Fitch's
website by performing a title search for 'U.S RMBS Rating Actions
for March 25, 2014' or by using the link. In addition, a summary
of the mortgage pool and bond analysis can be found by performing
a title search for 'RMBS Loss Metrics.'
Key Rating Drivers
Performance has remained fairly stable for transactions in this
review over the past year. The percentage of loans that are 60 or
more days delinquent increased marginally since the last review
but the amount of loss realized to date as a percentage of the
initial pool balance has remained flat at roughly 15%. Fitch's
expected loan losses as a percentage of the remaining pool balance
has increased on average about 1% for the transactions reviewed.
Most downgrades affected non-investment grade ratings and were
limited to one rating category below their prior rating. The only
two classes that were downgraded two rating categories were
previously rated 'CCCsf'. The main drivers of the downgrades were
deterioration in performance and reduced credit enhancement.
Upgrades were concentrated in investment grade classes (70%) as
their performance has strengthened since the last review. All of
the investment grade classes that were upgraded are expected to
pay off within four years.
Rating Sensitivities:
Fitch uses pool level collateral data to analyze the FHA/VA, CES,
HELOC, HLV, and MH transactions. For FHA/VA transactions Fitch
determines the PD using the pre-2004 subprime vintage average
derived from Fitch's non-prime loss model and adjusted for pool
specific performance.
The PD for CES and MH transactions is typically based on the
subprime vintage average derived from Fitch's non-prime loss
model. A few CES transactions use the prime or Alt-A vintage
average PD, since these product types better reflect the CES
collateral characteristics and performance of those transactions.
The Alt-A vintage average from Fitch's non-prime loss is used for
HELOC and HLV transactions. For CES, HELOC, and HLV transactions
the PD is adjusted for pool specific performance for all mortgage
pools.
To determine the LS for FHA/VA transactions, Fitch relies on the
FHA/VA sector historical average adjusted for the pool-specific
composition of FHA, VA, and RHS loans. Fitch assumes a base case
loss severity of 6% for FHA/RHS loans and LS of 20% for VA loans.
The aggregate average base case severity was 13% for all
transactions. In cases where there is limited transparency on the
composition of FHA, VA and RHS loans, the severity average of the
FHA/VA loans is used, which is 9%. Fitch will assume 100%
servicer advancing in the 'CCCsf-AAsf' rating stresses but will
discount the advancing in the 'AAAsf' rating stress.
For the MH sector, the LS assumption for each transaction is
determined by each issuer's 12 month historical average.
For the CES, HELOC, and HLV transactions Fitch assumes 100%
severity for all rating stresses. In addition, zero servicer
advancing is used for CES, HELOC, and HLV transactions.
Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are
increasingly more stressful and less-likely to occur. Although
many variables are adjusted in the stress scenarios, the primary
driver of the loss scenarios is the home price forecast
assumption. In the 'Bsf' scenario, Fitch assumes home prices
decline 10% below their long-term sustainable level. The home
price decline assumption is increased by 5% at each higher rating
category up to a 35% decline in the 'AAAsf' scenario.
In addition to increasing mortgage pool losses at each rating
category to reflect increasingly stressful economic scenarios,
Fitch analyzes various loss-timing, prepayment, loan modification,
servicer advancing, and interest rate scenarios as part of the
cash flow analysis. Each class is analyzed with 43 different
combinations of loss, prepayment and interest rate projections.
Classes currently rated below 'Bsf' are at-risk to default at some
point in the future. As default becomes more imminent, bonds
currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and
eventually 'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be
sensitive to future mortgage borrower behavior, which historically
has been strongly correlated with home price movements. Despite
recent positive trends, Fitch currently expects home prices to
decline further in some regions before reaching a sustainable
level. While Fitch's ratings reflect this home price view, the
ratings of outstanding classes may be subject to revision to the
extent actual home price and mortgage performance trends differ
from those currently projected by Fitch.
The spreadsheet 'U.S RMBS Rating Actions for March 25, 2014'
provides the contact information for the performance analyst.
* Moody's Takes Action on $198MM of RMBS Issued by Various Trusts
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from two transactions and downgraded the rating of one
tranche from one transaction backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust Inc. 2006-WMC1
Cl. A-1, Upgraded to Ba1 (sf); previously on Aug 20, 2012
Confirmed at B1 (sf)
Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ2
Cl. M-1, Downgraded to Baa3 (sf); previously on May 13, 2013
Downgraded to A3 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-5
Cl. MV-1, Upgraded to B1 (sf); previously on Oct 12, 2012
Confirmed at B3 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations.
The downgrade action on class M-1 issued by Park Place 2005-WHQ2
is driven by a recent interest shortfall reported on the bond. The
tranche missed its interest payment and the structural limitations
in the transaction prevent recoupment of the missed interest even
if funds are available in subsequent periods.
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:
The primary source of assumption uncertainty is the uncertainty in
our central macroeconomic forecast and performance volatility due
to servicer-related issues. The unemployment rate fell from 7.7%
in February 2013 to 6.7% in February 2014. Moody's forecasts an
unemployment central range of 6.5% to 7.5% for the 2014 year.
Moody's expects house prices to continue to rise in 2014.
Performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
* Moody's Takes Action on $210MM of Subprime RMBS Issued in 2005
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches from two subprime transactions backed by Subprime
mortgage loans.
Complete rating action is as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2005-13
Cl. 2-AV-1, Upgraded to B1 (sf); previously on Apr 14, 2010
Downgraded to B2 (sf)
Cl. 3-AV-4, Upgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust Series 2005-FF6
Cl. M-2, Upgraded to Ba3 (sf); previously on May 8, 2013 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on May 8, 2013 Upgraded
to Caa3 (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 February 2014 from
7.7% in February 2013 . 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 Takes Action on $29MM Prime Jumbo RMBS Issued 2003-2005
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of seven
tranches and upgraded the ratings of three tranches backed by
Prime Jumbo RMBS loans, issued by miscellaneous issuers.
Complete rating actions are as follows:
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-4
Cl. 1-A-3, Upgraded to Ba1 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Cl. 2-A-2, Upgraded to B2 (sf); previously on Apr 30, 2010
Downgraded to Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2003-C
A-X-3, Upgraded to Baa1 (sf); previously on Apr 13, 2012 Confirmed
at Ba3 (sf)
Cl. X-B, Downgraded to Caa1 (sf); previously on Apr 13, 2012
Downgraded to B3 (sf)
Cl. B-1, Downgraded to Ba2 (sf); previously on Apr 13, 2012
Downgraded to Ba1 (sf)
Cl. B-2, Downgraded to Caa1 (sf); previously on Apr 13, 2012
Downgraded to B3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2003-F
Cl. X-B, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to B1 (sf)
Cl. B-1, Downgraded to Ba2 (sf); previously on Jul 25, 2013
Downgraded to Baa3 (sf)
Cl. B-2, Downgraded to B2 (sf); previously on Apr 18, 2011
Downgraded to Ba3 (sf)
Cl. B-3, Downgraded to Ca (sf); previously on Apr 18, 2011
Downgraded to Caa2 (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 upgrade rating actions are a result of improving
performance of the related pools and/or faster pay-down of the
bonds due to high prepayments/fast liquidations. The rating
actions for Banc of America Funding Corporation, Mortgage Pass-
Through Certificates, Series 2005-4 and Merrill Lynch Mortgage
Investors Trust MLCC 2003-F also reflect updates and corrections
to the cash-flow models used by Moody's in rating these
transactions. For both deals, the changes pertain to the
calculation of the senior percentage post subordination depletion
For Merrill Lynch Mortgage Investors Trust MLCC 2003-F the changes
also pertain to the calculation of amounts used for cross
collateralization between the loan groups, the allocation of
losses to the bonds, and the allocation of principal and interest
to Classes B-1, B-2, and B-3. In addition, the upgrade rating
action for Class A-X-3 from Merrill Lynch Mortgage Investors Trust
MLCC 2003-C reflects a correction to the notional balance used by
Moody's in rating this interest-only tranche. In prior rating
actions, the incorrect notional balance was used. The error has
now been corrected, and the rating action reflects this change.
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 February 2014 from
7.7% in February 2013. 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 Takes Action on $224MM of RMBS Issued 2002-2004
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eight
tranches and downgraded the ratings of 22 tranches backed by Alt-A
and Option ARM RMBS loans, issued by eight RMBS transactions.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corp 2002-25A
Cl. 1-A1, Downgraded to Caa2 (sf); previously on Jun 18, 2013
Downgraded to B3 (sf)
Cl. 2-A1, Downgraded to Ba3 (sf); previously on Jun 18, 2013
Downgraded to Ba1 (sf)
Cl. 3-A1, Downgraded to Ba3 (sf); previously on Jun 18, 2013
Downgraded to Ba1 (sf)
Cl. 4-A1, Downgraded to Ba3 (sf); previously on Jun 18, 2013
Downgraded to Ba1 (sf)
Cl. B1-I, Downgraded to C (sf); previously on Jul 5, 2012
Downgraded to Ca (sf)
Cl. B1-II, Downgraded to Caa2 (sf); previously on Jun 18, 2013
Downgraded to B3 (sf)
Cl. B1-I-X, Downgraded to C (sf); previously on Jul 5, 2012
Downgraded to Ca (sf)
Cl. B2-I, Downgraded to C (sf); previously on Jul 5, 2012
Downgraded to Ca (sf)
Cl. B2-II, Downgraded to C (sf); previously on Jul 5, 2012
Downgraded to Caa3 (sf)
Cl. B2-I-X, Downgraded to C (sf); previously on Jul 5, 2012
Downgraded to Ca (sf)
Issuer: Structured Asset Securities Corp 2003-10
Cl. A, Downgraded to Baa3 (sf); previously on Oct 17, 2012
Downgraded to Baa1 (sf)
Cl. AP, Downgraded to Baa3 (sf); previously on Oct 17, 2012
Downgraded to Baa1 (sf)
Issuer: Structured Asset Securities Corp 2003-6A
Cl. 2-A1, Downgraded to Ba2 (sf); previously on Jul 5, 2012
Downgraded to Baa3 (sf)
Issuer: Structured Asset Securities Corp 2003-9A
Cl. 2-A1, Downgraded to Baa3 (sf); previously on Jul 5, 2012
Confirmed at Baa1 (sf)
Cl. 2-A2, Downgraded to Baa3 (sf); previously on Jul 5, 2012
Confirmed at Baa1 (sf)
Cl. 2-A3, Downgraded to Baa3 (sf); previously on Jul 5, 2012
Confirmed at Baa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-24A
Cl. 2-A, Downgraded to Ba2 (sf); previously on Jul 5, 2012
Downgraded to Baa3 (sf)
Cl. 3-A1, Downgraded to Ba1 (sf); previously on Jul 5, 2012
Downgraded to Baa2 (sf)
Cl. 3-A2, Downgraded to Ba1 (sf); previously on Jul 5, 2012
Downgraded to Baa2 (sf)
Cl. 4-A, Downgraded to Ba2 (sf); previously on Jul 5, 2012
Downgraded to Baa3 (sf)
Cl. 5-A, Downgraded to Ba1 (sf); previously on Jul 5, 2012
Downgraded to Baa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-33H
Cl. 1B1, Downgraded to Caa3 (sf); previously on Jun 18, 2013
Downgraded to Caa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-9XS
Cl. 1-A4A, Upgraded to Ba3 (sf); previously on Mar 2, 2011
Downgraded to B2 (sf)
Cl. 1-A4B, Upgraded to Ba3 (sf); previously on Mar 2, 2011
Downgraded to B2 (sf)
Cl. 1-A4C, Upgraded to Ba3 (sf); previously on Mar 2, 2011
Downgraded to B2 (sf)
Cl. 1-A4D, Upgraded to Ba3 (sf); previously on Mar 2, 2011
Downgraded to B2 (sf)
Cl. 1-A5, Upgraded to B2 (sf); previously on Feb 14, 2014 B3 (sf)
Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to B2 (sf); previously on Mar 2, 2011
Downgraded to Caa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (B3 on review for
possible upgrade Feb 14, 2014)
Cl. 1-A6, Upgraded to Ba3 (sf); previously on Mar 2, 2011
Downgraded to B2 (sf)
Underlying Rating: Upgraded to Ba3 (sf); previously on Mar 2, 2011
Downgraded to B2 (sf)
Financial Guarantor: MBIA Insurance Corporation (B3 on review for
possible upgrade Feb 14, 2014)
Cl. 2-M1, Upgraded to B3 (sf); previously on May 14, 2012
Confirmed at Caa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-AR12
Cl. A-2A, Upgraded to Ba1 (sf); previously on Feb 28, 2011
Downgraded to Ba3 (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 ratings downgraded are a result of deteriorating
performance and erosion of enhancement resulting in higher
expected losses for the bonds than previously anticipated. The
ratings upgraded are due to stable performance and increasing
credit enhancement for the bonds.
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 February 2014 from
7.7% in February 2013 . 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 Raises $74MM of Subprime RMBS Issued 2005-2006
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from two subprime transactions backed by Subprime
mortgage loans.
Complete rating action is as follows:
Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series
2005-2
Cl. A-1, Upgraded to Ba1 (sf); previously on Jul 20, 2012 Upgraded
to Ba3 (sf)
Issuer: MASTR Asset Backed Securities Trust 2006-FRE1
Cl. A-3, Upgraded to Ba1 (sf); previously on May 16, 2013 Upgraded
to Ba3 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on May 16, 2013
Upgraded to Caa2 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools.The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in February 2014 from
7.7% in February 2013 . 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 Takes Action on $32MM of RMBS Issued 2001-2004
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings of five
tranches and upgraded the ratings of three tranches backed by
Prime Jumbo RMBS loans, issued by miscellaneous issuers.
Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2004-9
Cl. A-4, Upgraded to Baa1 (sf); previously on Apr 19, 2011
Downgraded to Baa3 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-5
Cl. IV-B-1, Downgraded to B1 (sf); previously on Jun 27, 2013
Confirmed at Ba2 (sf)
Issuer: First Republic Mortgage Loan Trust 2001-FRB1
Cl. B-1, Downgraded to B1 (sf); previously on Jul 24, 2013
Downgraded to Ba2 (sf)
Cl. B-2, Downgraded to B2 (sf); previously on Jul 24, 2013
Downgraded to Ba3 (sf)
Cl. B-3, Downgraded to B3 (sf); previously on Jul 24, 2013
Downgraded to B2 (sf)
Cl. B-4, Downgraded to Caa1 (sf); previously on Jul 24, 2013
Downgraded to B3 (sf)
Issuer: Thornburg Mortgage Securities Trust 2004-1
Cl. I-1A, Upgraded to Ba1 (sf); previously on May 21, 2013
Upgraded to Ba3 (sf)
Cl. II-4A, Upgraded to Baa3 (sf); previously on Mar 11, 2011
Downgraded to Ba1 (sf)
Ratings Rationale
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are a result of improving
performance of the related pools and/or faster pay-down of the
bonds due to high prepayments/fast liquidations.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.7% in February 2014 from
7.7% in February 2013. 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 Affirms Five 'CCC-' & 48 'D' Rating From 4 Securities Units
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed five 'CCC- (sf)' and
48 'D (sf)' ratings from four commercial real estate
collateralized debt obligation (CRE-CDO) and resecuritized real
estate mortgage investment conduit (re-REMIC) transactions.
Subsequently, S&P withdrew its ratings on all these classes since
there is a lack of market interest.
The affirmations reflect S&P's analysis of the transactions'
liability structure and the collateral's underlying credit
characteristics using its global CDOs of pooled structured finance
assets criteria. In addition, S&P's 'D (sf)' affirmations reflect
principal losses experienced by the class or interest shortfalls
currently experienced by the class that S&P believes will be
unlikely to be repaid in full at or before maturity.
S&P then applied its policy for rating withdrawals, following what
it believes to be a lack of market interest in the ratings
assigned to these notes.
Details of the four transactions are as follows:
Ansonia CDO 2006-1 Ltd.
According to the Feb. 25, 2014, trustee report, the transaction's
collateral totaled $357.1 million, while the transaction's
liabilities, including capitalized interest, totaled $822.2
million. Interest shortfalls to the transaction affected all
classes subordinate to and including class B. The transaction's
current asset pool includes 78 commercial mortgage backed
securities (CMBS) tranches ($332.1 million, 93.0%) from
transactions issued between 2002 and 2006, and five real estate
investment trust debts ($25.0 million, 7%).
CRIIMI Mae Trust I's series 1996-C1
According to the Feb. 28, 2014, trustee report, the transaction's
collateral totaled $23.5 million, while the transaction's
liabilities totaled $23.5 million. The transaction's current
asset pool includes four CMBS tranches from transactions issued in
1995 and 1996.
G-FORCE 2005-RR2 Trust
According to the Feb. 25, 2014, trustee report, the transaction's
collateral totaled $317.0 million, while the transaction's
liabilities, including interest shortfalls, totaled $342.1
million. Interest shortfalls to the transaction affected all
classes subordinate to and including classes A4A and A4B. The
transaction's current asset pool includes 61 CMBS tranches from
transactions issued in 1998 and between 2000 and 2002.
GS Mortgage Securities Corp. II's series 2006-RR2
According to the Feb. 25, 2014, trustee report, the transaction's
collateral totaled $487.2 million, while the transaction's
liabilities, including interest shortfalls, totaled $506.0
million. Interest shortfalls to the transaction affected all
classes. The transaction's current asset pool includes 52 CMBS
tranches from transactions issued between 1998 and 2006.
RATINGS AFFIRMED AND SUBSEQUENTLY WITHDRAWN
Ansonia CDO 2006-1 Ltd.
Collateralized debt obligations
Rating
Class To Interim From
A-FL NR CCC- (sf) CCC- (sf)
A-FX NR CCC- (sf) CCC- (sf)
B NR D (sf) D (sf)
C NR D (sf) D (sf)
D NR D (sf) D (sf)
E NR D (sf) D (sf)
F NR D (sf) D (sf)
G NR D (sf) D (sf)
H NR D (sf) D (sf)
J NR D (sf) D (sf)
K NR D (sf) D (sf)
L NR D (sf) D (sf)
M NR D (sf) D (sf)
N NR D (sf) D (sf)
O NR D (sf) D (sf)
P NR D (sf) D (sf)
Q NR D (sf) D (sf)
S NR D (sf) D (sf)
T NR D (sf) D (sf)
CRIIMI Mae Trust I
Commercial mortgage bonds series 1996-C1
Rating
Class To Interim From
E NR CCC- (sf) CCC- (sf)
F NR D (sf) D (sf)
G-FORCE 2005-RR2 Trust
Commercial mortgage-backed securities
Rating
Class To Interim From
A-3FL NR CCC- (sf) CCC- (sf)
A-4A NR D (sf) D (sf)
A-4B NR D (sf) D (sf)
B NR D (sf) D (sf)
C NR D (sf) D (sf)
D NR D (sf) D (sf)
E NR D (sf) D (sf)
F NR D (sf) D (sf)
G NR D (sf) D (sf)
H NR D (sf) D (sf)
J NR D (sf) D (sf)
K NR D (sf) D (sf)
L NR D (sf) D (sf)
M NR D (sf) D (sf)
N NR D (sf) D (sf)
GS Mortgage Securities Corp. II
Commercial mortgage-backed securities series 2006-RR2
Rating
Class To Interim From
A-1 NR CCC- (sf) CCC- (sf)
A-2 NR D (sf) D (sf)
B NR D (sf) D (sf)
C NR D (sf) D (sf)
D NR D (sf) D (sf)
E NR D (sf) D (sf)
F NR D (sf) D (sf)
G NR D (sf) D (sf)
H NR D (sf) D (sf)
J NR D (sf) D (sf)
K NR D (sf) D (sf)
L NR D (sf) D (sf)
M NR D (sf) D (sf)
N NR D (sf) D (sf)
O NR D (sf) D (sf)
P NR D (sf) D (sf)
Q NR D (sf) D (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com by e-mail.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to the nation's bankruptcy courts. The
list includes links to freely downloadable of these small-dollar
petitions in Acrobat PDF documents.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez,
Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2014. All rights reserved. ISSN: 1520-9474.
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*** End of Transmission ***