/raid1/www/Hosts/bankrupt/TCR_Public/140601.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, June 1, 2014, Vol. 18, No. 150
Headlines
AIMCO CLO 2014-A: S&P Assigns Prelim. B Rating on Class F Notes
AMERICREDIT AUTOMOBILE: Fitch Affirms BB Rating on Class E Notes
APIDOS CDO II: S&P Withdraws B+ Rating on Class D Notes
ATLAS SENIOR V: S&P Assigns Prelim. BB- Rating on Class E Notes
BEAR STEARNS 1999-WF2: Fitch Raises Rating on Class J Notes to BB
BENEFIT STREET IV: S&P Assigns Prelim. BB Rating on Class D Notes
BLUEMOUNTAIN CLO 2013-4: S&P Affirms BB Rating on Class E Notes
C-BASS CBO VII: Fitch Hikes Class D Notes Rating to 'BBsf'
C-BASS CBO VII: S&P Affirms 'CCC-' Rating on Class D Notes
CARLYLE DAYTONA: S&P Raises Rating on Class B-2L Notes to 'BB+'
CENTURION CDO 9: S&P Affirms 'BB' Rating on Class C Notes
CITIGROUP COMMERCIAL 2005-C3: S&P Affirms CCC Rating on D Certs
CITIGROUP COMMERCIAL 2014-GC21: Fitch Cuts Cl. F Certs Rating to B
COBALT CMBS 2007-C2: Moody's Affirms C Rating on 5 Cert. Classes
CREDIT SUISSE 1998-C2: Fitch Affirms 'D' Rating on Class I Notes
CREDIT SUISSE 2003-C5: Fitch Raises Rating on Class G Notes to BB
CREDIT SUISSE 2007-C4: S&P Raises Rating on Class A-M Notes to BB+
DLJ COMMERCIAL 1998-CG1: Fitch Hikes Cl. B-7 Certs Rating to 'Bsf'
DLJ COMMERCIAL 1999-CG1: Fitch Affirms B Rating on Class B-6 Certs
EMPORIA PREFERRED III: Moody's Affirms 'B1' Rating on Cl. E Notes
EXETER AUTOMOBILE 2014-2: S&P Assigns BB Rating on Class D Notes
GALLATIN CLO 2014-1: Moody's Rates Class E Notes '(P)Ba3'
GE BUSINESS 2007-1: S&P Raises Rating on Class C Notes to BB+
GUGGENHEIM PRIVATE: Fitch Affirms 'Bsf' Rating to Class D Notes
GULF STREAM-COMPASS 2005-II: S&P Affirms BB+ Rating on Cl. D Notes
GMAC COMMERCIAL 2004-C1: Fitch Lowers Rating on Class F Notes to B
FANNIE MAE 2014-C02: S&P Assigns BB Rating on Class 2M-1 Notes
HARCH CLO III: Moody's Affirms 'Ba3' Rating on Class E Notes
HARCH CLO III: S&P Affirms 'CCC+' Rating on Class E Notes
HELLER FIN'L 2000 PH-1: Moody's Affirms Ca Rating on Cl. H Notes
LB-UBS COMMERCIAL 2003-C5: Fitch Affirms 'CCC' Rating on 2 Notes
LB-UBS COMMERCIAL 2005-C7: S&P Cuts Rating on 2 Note Classes to D
LB-UBS COMMERCIAL 2004-C8: S&P Cuts Rating on Class G Notes to B+
LEHMAN BROTHERS 2006-LLF: Fitch Cuts $24.1MM Class K Certs to Dsf
ML-CFC COMMERCIAL 2007-5: Moody's Affirms C Rating on 5 Certs
ML-CFC COMMERCIAL 2007-6: Moody's Affirms C Rating on 8 Certs.
MORGAN STANLEY 2003-IQ4: Moody's Cuts X-1 Certs Rating to Caa1
MORGAN STANLEY 2001-PPM: S&P Raises Rating on Class H Notes to BB+
MORGAN STANLEY 2004-HQ4: Fitch Cuts Cl. H Certs Rating to 'Csf'
MORGAN STANLEY 2004-IQ8: Fitch Hikes Cl. Certs Rating to 'BBsf'
MORGAN STANLEY 2005-RR6: Fitch Affirms CC Rating on Cl. A-J Notes
NEW RESIDENTIAL 2014-1: S&P Assigns BB Rating on Class B-4 Notes
NEWMARK CAPITAL 2014-2: S&P Gives Prelim. BB- Rating on Cl E Notes
NOMURA CRE 2007-2: Moody's Hikes Rating on Class A-2 Notes to B2
ONDECK 2014-1: DBRS Finalizes Rating of Class B Notes at 'BB'
PHOENIX CLO III: S&P Affirms 'B+' Rating on Class E Notes
PNC MORTGAGE 2000-C1: Fitch Affirms 'D' Ratings on 5 Note Classes
PREFERRED TERM XVI: Moody's Hikes Rating on 2 Note Classes to Ba1
PRUDENTIAL SECURITIES 1999-NRF1: Fitch Hikes J Certs Rating to BB
RBSGC 2006-B: Moody's Cuts Rating on Cl. A-1 Certs to Caa2
TRAPEZA CDO IX: Moody's Raises Rating on 3 Note Classes to Caa3
WACHOVIA BANK 2004-C12: Fitch Raises Rating on Class J Notes to BB
WACHOVIA BANK 2007-C30: Moody's Affirms C Rating on 12 Certs
WACHOVIA BANK 2007-C31: Moody's Hikes Cl. C Certs Rating to Caa2
* Moody's Takes Action on $508MM of Alt-A RMBS Issued in 2005
* Moody's Takes Action on $2.2-Bil of RMBS by Various Issuers
* Moody's Takes Action on $2-Bil. RMBS Issued From 2005-2007
* Moody's Hikes Ratings on $1BB of Subprime RMBS Issued 2005-2007
* Moody's Takes Action on $1.19-Bil. RMBS Issued 2003 to 2007
* Moody's Takes Action on $498MM Option ARM RMBS Issued 2005-2007
* Moody's Ups Rating on $58MM of Subprime RMBS by Various Trusts
* S&P Lowers 48 Classes & Affirms 132 Classes From 25 RMBS
*********
AIMCO CLO 2014-A: S&P Assigns Prelim. B Rating on Class F Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to AIMCO CLO Series 2014-A/AIMCO CLO Series 2014-A LLC's
$519.20 million floating-rate and fixed-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The preliminary ratings are based on information as of May 23,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread) and cash flow structure, which can
withstand the default rate projected by Standard & Poor's
Rating Services' CDO Evaluator model, as assessed by
Standard & Poor's using the assumptions and methods outlined
in its corporate collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The portfolio manager's experienced management team.
-- 2014-A projections regarding the timely interest and
ultimate principal payments on the preliminary rated notes,
which S&P assessed using its cash flow analysis and
assumptions commensurate with the assigned preliminary
ratings under various interest rate scenarios, including
LIBOR ranging from 0.2281% to 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 preliminary rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of up to 50% of
excess interest proceeds that are available before paying
uncapped administrative expenses and fees, subordinated
portfolio management fees, portfolio manager incentive fees,
and payments to the subordinated notes to principal proceeds
for the purchase of additional collateral assets during the
reinvestment period.
PRELIMINARY RATINGS ASSIGNED
AIMCO CLO Series 2014-A/AIMCO CLO Series 2014-A LLC
Class Rating Amount
(mil. $)
A AAA (sf) 343.75
B-1 AA (sf) 66.30
B-2 AA (sf) 3.00
C-1 (deferrable) A (sf) 30.00
C-2 (deferrable) A (sf) 12.35
D (deferrable) BBB (sf) 28.05
E (deferrable) BB (sf) 24.20
F (deferrable) B (sf) 11.55
Subordinated notes NR 50.80
NR-Not rated.
AMERICREDIT AUTOMOBILE: Fitch Affirms BB Rating on Class E Notes
----------------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings affirms eight
and upgrades four classes of the AmeriCredit Automobile
Receivables Trust transactions as follows:
2012-4
-- Class A-2 affirmed at 'AAAsf'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class C upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class D affirmed at 'BBBsf'; Outlook revised to Positive from
Stable;
-- Class E affirmed at 'BBsf'; Outlook revised to Positive from
Stable.
2012-5
-- Class A-2 affirmed at 'AAAsf'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class C upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class D affirmed at 'BBBsf'; Outlook revised to Positive from
Stable;
-- Class E affirmed at 'BBsf'; Outlook revised to Positive from
Stable.
KEY RATING DRIVERS:
The rating actions are based on available credit enhancement and
loss performance. The collateral pools continue to perform within
Fitch's expectations. Under the credit enhancement structure, the
securities are able to withstand stress scenarios consistent with
the current ratings and make full payments to investors in
accordance with the terms of the documents.
The ratings reflect the quality of AmeriCredit Financial Services,
Inc.'s retail auto loan originations, the strength of its
servicing capabilities, and the sound financial and legal
structure of the transaction.
RATING SENSITIVITY
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base-case loss proxy and impact available loss coverage
and multiples levels for the transactions. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In Fitch's initial review of the transactions, the notes were
found to have limited sensitivity to a 1.5x and 2.5x increase of
Fitch's base-case loss expectation. To date, the transactions
have exhibited strong performance with losses within Fitch's
initial expectations with rising loss coverage and multiple levels
consistent with the current ratings. A material deterioration in
performance would have to occur within the asset pools to have
potential negative impact on the outstanding ratings.
APIDOS CDO II: S&P Withdraws B+ Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 34
classes from 16 cash flow (CF) collateralized loan obligation
(CLO) transactions, and one class from one CF collateralized debt
obligation (CDO) transaction backed by mezzanine structured
finance (SF) assets.
The withdrawals follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports:
-- ACIS CLO 2013-1 Ltd. (CF CLO): class X notes(i) paid down,
other rated tranches still outstanding
-- Apidos CDO II (CF CLO): optional redemption in April 2014
-- Apidos CLO XII (CF CLO): class X notes(i) paid down, other
rated tranches still outstanding
-- Avenue CLO II Ltd. (CF CLO): senior-most tranche paid down,
other rated tranches still outstanding
-- Avery Point III CLO Ltd. 2013-3 (CF CLO): class X notes(i)
paid down, other rated tranches still outstanding
-- Callidus Debt Partners CLO Fund VII Ltd. (CF CLO): optional
redemption in April 2014
-- Carlyle Veyron CLO Ltd. (CF CLO): senior-most tranches paid
down, other rated tranches still outstanding
-- C-Bass CBO VIII Ltd. (CF mezzanine SF CDO): senior-most
tranche paid down, other rated tranches still outstanding
-- Emporia Preferred Funding I Ltd. (CF CLO): last remaining
rated tranches paid down
-- Gale Force 2 CLO Ltd. (CF CLO): senior-most tranche paid
down, other rated tranches still outstanding
-- Halcyon Structured Asset Management Long Secured/Short
Unsecured 2007-2 Ltd. (CF CLO): optional redemption in April
2014
-- Harch CLO II Ltd. (CF CLO): senior-most tranche paid down,
other rated tranches still outstanding
-- LightPoint CLO VIII Ltd. (CF CLO): senior-most tranche paid
down, other rated tranches still outstanding
-- Marathon CLO I Ltd. (CF CLO): last remaining rated tranche
paid down
-- Navigator CDO 2005 Ltd. (CF CLO): last remaining rated
tranches paid down
-- Neuberger Berman CLO XV Ltd. (CF CLO): class X notes(i) paid
down, other rated tranches still outstanding
-- Northwoods Capital X Ltd. (CF CLO): class X notes(i) paid
down, other rated tranches still outstanding
(i)An "X note" within a CLO is generally a note with a principal
balance intended to be repaid early in the CLO's life using
interest proceeds from the CLO's waterfall.
RATINGS WITHDRAWN
ACIS CLO 2013-1 Ltd.
Rating
Class To From
X NR AAA (sf)
Apidos CDO II Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AAA (sf)
B NR AA+ (sf)
C NR BBB+ (sf)
D NR B+ (sf)
Apidos CLO XII
Rating
Class To From
X NR AAA (sf)
Avenue CLO II Ltd.
Rating
Class To From
A-1L NR AAA (sf)
Avery Point III CLO Ltd. 2013-3
Rating
Class To From
X NR AAA (sf)
Callidus Debt Partners CLO Fund VII Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AAA (sf)
C NR AA+ (sf)
D NR A- (sf)
E NR BBB- (sf)
Carlyle Veyron CLO Ltd.
Rating
Class To From
A-1-A NR AAA (sf)
A-1-R (Rev) NR AAA (sf)
C-Bass CBO VIII Ltd.
Rating
Class To From
B NR AA (sf)
Emporia Preferred Funding I Ltd.
Rating
Class To From
C NR AAA (sf)
D NR A+ (sf)/Watch Pos
E-1 NR BBB+ (sf)
E-2 NR BBB+ (sf)
Gale Force 2 CLO Ltd.
Rating
Class To From
C NR AAA (sf)
Halcyon Structured Asset Management Long Secured/Short Unsecured
2007-2 Ltd.
Rating
Class To From
A-1a NR AA+ (sf)/Watch Pos
A-1b NR AA+ (sf)/Watch Pos
A-2 NR AA (sf)/Watch Pos
B NR A (sf)/Watch Pos
C NR BBB (sf)
Harch CLO II Ltd.
Rating
Class To From
B NR AAA (sf)
LightPoint CLO VIII Ltd.
Rating
Class To From
A-1-A NR AAA (sf)
Marathon CLO I Ltd.
Rating
Class To From
D NR A+ (sf)
Navigator CDO 2005 Ltd.
Rating
Class To From
C-1 NR AAA (sf)
C-2 NR AAA (sf)
Neuberger Berman CLO XV Ltd.
Rating
Class To From
X NR AAA (sf)
Northwoods Capital X. Ltd.
Rating
Class To From
X NR AAA (sf)
NR-not rated.
ATLAS SENIOR V: S&P Assigns Prelim. BB- Rating on Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Atlas Senior Loan Fund V Ltd./Atlas Senior Loan Fund V
LLC's $413.60 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The preliminary ratings are based on information as of May 15,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings 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
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- The transaction's ability to pay timely interest and
ultimate principal 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 0.2281%-12.7531%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which, during the reinvestment period, will lead to the
reclassification of up to 50% of excess interest proceeds
that are available before curing an effective date rating
agency confirmation failure or paying subordinated,
deferred, and incentive management fees; uncapped
administrative expenses; hedge payments; and subordinated
note payments as principal proceeds to purchase additional
collateral assets or to pay down the notes according to the
note payment sequence, at the collateral manager's option.
PRELIMINARY RATINGS ASSIGNED
Atlas Senior Loan Fund V Ltd./Atlas Senior Loan Fund V LLC
Class Rating Amount (mil. $)
A AAA (sf) 279.50
B AA (sf) 47.20
C (deferrable) A (sf) 38.30
D (deferrable) BBB (sf) 24.50
E (deferrable) BB- (sf) 24.10
Subordinated notes NR 45.00
NR--Not rated.
BEAR STEARNS 1999-WF2: Fitch Raises Rating on Class J Notes to BB
-----------------------------------------------------------------
Fitch Ratings has upgraded three classes and affirmed two classes
of Bear Stearns Commercial Mortgage Securities Trust (BSCMS)
commercial mortgage pass-through certificates series 1999-WF2.
KEY RATING DRIVERS
The upgrades are due to sufficient credit enhancement, paydown of
37% since Fitch's last review and stable pool performance.
Further upgrades were not warranted at this time due to the pool's
single tenant movie theater exposure in the St. Louis market.
Fitch modeled losses of 5% of the remaining pool; expected losses
on the original pool balance total 1.9%, including $18.7 million
(1.7% of the original pool balance) in realized losses to date.
Fitch has designated one loan (3.7%) as a Fitch Loan of Concern.
There are no specially serviced loans in this pool.
As of the April 2014 distribution date, the pool's aggregate
principal balance has been reduced by 96.2% to $40.7 million from
$1.08 billion at issuance. Per the servicer reporting, six loans
(11.5% of the pool) are defeased. Interest shortfalls are
currently affecting classes K through M.
The largest contributor to expected losses is secured by a 27,566
square foot retail center located in Richmond, TX (3.7% of the
pool). The property is shadow anchored by a Randall's grocery
store and is predominantly occupied by local tenants. As of the
September 30, 2013 financial statements, the debt service coverage
ratio (DSCR) was reported to be 0.80x, down from 1.51x at
issuance. The decrease in DSCR is attributed to lease turnover
and lower overall occupancy.
The top four loans (41.4% of the pool) are secured by single
tenant movie theaters. The largest loan is secured by a theater
located in Denver, while the other three are secured by theaters
located in the St. Louis market. All of the loans are fully
amortizing and have DSCR's that are roughly 1.50x. Additionally,
the leases are co-terminus with their respective maturity dates
(March 2018 for the Denver theater and January 2019 for the St.
Louis theaters).
RATING SENSITIVITY
The Rating Outlook on class H has been revised to Positive from
Stable due to the class seniority and increasing credit
enhancement. An upgrade may be warranted with future paydown.
Rating Outlooks on class I remains Stable and class J has been
revised to Stable from Negative due to the continued stable
performance of the pool.
Fitch upgrades the following classes and assigns or revises Rating
Outlooks as indicated:
-- $16.1 million class H to 'AAsf' from 'Asf'; Outlook to Positive
from Stable;
-- $8.1 million class I to 'BBBsf' from 'BBsf'; Outlook Stable;
-- $9.5 million class J to 'BBsf' from 'B-sf'; Outlook to Stable
from Negative.
Fitch affirms the following classes but revises REs as indicated:
-- $7 million class K at 'Dsf'; RE 95%.
Fitch affirms the following classes as indicated:
-- $0 class L at 'Dsf'; RE 0%.
The class A-1, A-2, B, C, D, E, F and G certificates have paid in
full. Fitch does not rate the class M certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
BENEFIT STREET IV: S&P Assigns Prelim. BB Rating on Class D Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Benefit Street Partners CLO IV Ltd./Benefit Street
Partners CLO IV LLC's $460.75 million fixed- and floating-rate
notes.
The note issuance is a CLO securitization backed by a revolving
pool consisting primarily of broadly syndicated senior secured
loans.
The preliminary ratings are based on information as of May 27,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- The transaction's ability to pay timely interest and
ultimate principal 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 0.2228% to 12.8177%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which, during the reinvestment period, will lead to the
reclassification of up to 50% of excess interest proceeds
that are available before curing an effective date rating
agency confirmation failure or paying subordinated,
deferred, and incentive management fees; uncapped
administrative expenses; hedge payments; and subordinated
note payments as principal proceeds to purchase additional
collateral assets or to pay down the notes according to the
note payment sequence, at the collateral manager's option.
PRELIMINARY RATINGS ASSIGNED
Benefit Street Partners CLO IV Ltd./
Benefit Street Partners CLO IV LLC
Preliminary Preliminary
Class rating amount (Mil. $)
A-1A AAA (sf) 275.00
A-1B AAA (sf) 30.00
A-2A AA (sf) 40.00
A-2B AA (sf) 25.00
B (deferrable) A (sf) 41.00
C (deferrable) BBB (sf) 27.00
D (deferrable) BB (sf) 22.75
Subordinated notes NR 51.52
BLUEMOUNTAIN CLO 2013-4: S&P Affirms BB Rating on Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
BlueMountain CLO 2013-4 Ltd./BlueMountain CLO 2013-4 LLC's $378.00
million floating-rate notes following the transaction's effective
date as of Feb. 10, 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 our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P added.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as S&P deems
necessary.
RATINGS LIST
BlueMountain CLO 2013-4 Ltd.
Rating Rating
Class Identifier To From
A 09627DAA3 AAA (sf) AAA (sf)
B-1 09627DAC9 AA (sf) AA (sf)
B-2 09627DAJ4 AA (sf) AA (sf)
C 09627DAE5 A (sf) A (sf)
D 09627DAG0 BBB (sf) BBB (sf)
E 09627EAA1 BB (sf) BB (sf)
F 09627EAC7 B (sf) B (sf)
C-BASS CBO VII: Fitch Hikes Class D Notes Rating to 'BBsf'
----------------------------------------------------------
Fitch Ratings has upgraded one class issued by C-BASS CBO VII,
Ltd./CORP. as follows:
-- $10,430,444 class D notes upgraded to 'BBsf' from 'CCCsf'.
Fitch has also assigned a Stable Outlook to the class D notes.
The class C notes paid in full on May 12, 2014. Prior to Fitch's
last annual review, the class A and B notes were paid in full.
Key Rating Drivers
The upgrade of the class D notes is attributed to the increased
credit enhancement (CE) available following the transaction's
deleveraging over the last year. After the full repayment of
principal to the class C notes, the class D notes received
approximately $4.1 million or 28.4% of their previous balance.
The CE to the notes has subsequently increased to 76.9% from
59.3%. According to Fitch's Structured Finance Portfolio Credit
Model (SF PCM) analysis, the class is now able to withstand losses
projected at the 'BBsf' rating stress.
The Outlook reflects Fitch's expectation of stable performance
until the notes are paid in full.
Rating Sensitivities
The class D notes have limited rating sensitivity given the
substantial CE available and the likelihood for the tranche to
fully amortize within the next two years.
C-BASS VII is a cash flow structured finance collateralized debt
obligation that closed on July 30, 2003. The portfolio is
currently comprised of residential mortgage-backed securities
(81.8%), commercial and consumer asset-backed securities (16.5%),
and SF CDOs (1.7%) from 1998 through 2003 vintage transactions.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the SF PCM for projecting future default levels for the underlying
portfolio. The cash flow model framework was not used to analyze
the transaction given the note's short remaining life and the
expectation of limited excess spread in the near term.
C-BASS CBO VII: S&P Affirms 'CCC-' Rating on Class D Notes
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on class C
notes from C-Bass CBO VII Ltd., a static collateralized debt
obligation of structured finance securities transaction. S&P also
affirmed its rating on the class D notes and removed it from
CreditWatch with positive implications, where S&P placed it on
Feb. 27, 2014.
S&P withdrew its rating on class C because the notes paid down in
full on the May 2014 payment date. The affirmation on the class D
notes reflects the credit support that is commensurate with the
notes' current rating level.
RATING AND CREDITWATCH ACTIONS
C-Bass CBO VII Ltd.
Class Rating
To From
C NR BBB+ (sf)/Watch Pos
D CCC- (sf) CCC- (sf)/Watch Pos
NR-Not rated.
CARLYLE DAYTONA: S&P Raises Rating on Class B-2L Notes to 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1L, A-1LV, A-2L, A-3L, B-1L, and B-2L notes from Carlyle Daytona
CLO Ltd., a U.S. collateralized loan obligation (CLO) managed by
Carlyle Investment Management LLC. At the same time, S&P removed
these ratings from CreditWatch with positive implications.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated April 17,
2014.
The transaction ended its reinvestment period in April 2013. The
upgrades reflect the increased credit support following pro rata
paydowns of $119.64 to classes A-1L and A-1LV notes. These
paydowns have left the class A-1L and A-1LV notes at 69.26% of
their original balances.
According to the April 2014 trustee report, the transaction has
$1.41 million in defaulted obligations. This was down from $3.93
million in defaulted obligations noted in the September 2012
trustee report, which S&P used for its October 2012 rating
actions.
The amount of 'CCC' rated collateral held in the transaction's
asset portfolio also dropped since S&P's last rating actions.
According to the April 2014 trustee report, the transaction held
$12.39 million in assets rated in the 'CCC' range, down from the
$26.41 million noted in the September 2012 trustee report.
In addition, the upgrades also reflect an improvement in the
overcollateralization (O/C) available to support all of the notes,
primarily due to the aforementioned paydowns. The trustee
reported the following O/C ratios in the April 2014 monthly
report:
-- The class A-1LV O/C ratio was 141.90%, up from 132.10% in
September 2012.
-- The class A-2L O/C ratio was 128.46%, up from 122.10% in
September 2012.
-- The class A-3L O/C ratio was 117.35%, up from 113.49% in
September 2012.
-- The class B-1L O/C ratio was 111.50%, up from 108.84% in
September 2012.
-- The class A-2L O/C ratio was 106.29%, up from 104.62% in
September 2012.
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
Carlyle Daytona CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1L AA+ (sf)/Watch Pos AAA (sf) 1.73% AAA (sf)
A-1LV AA+ (sf)/Watch Pos AAA (sf) 1.73% AAA (sf)
A-2L AA (sf)/Watch Pos AA+ (sf) 5.93% AA+ (sf)
A-3L A (sf)/Watch Pos A+ (sf) 5.05% A+ (sf)
B-1L BBB (sf)/Watch Pos BBB+ (sf) 4.01% BBB+ (sf)
B-2L B+ (sf)/Watch Pos BB+ (sf) 0.76% 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 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-1L AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
A-1LV AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
A-2L AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
A-3L A+ (sf) A (sf) A+ (sf) AA- (sf) A+ (sf)
B-1L BBB+ (sf) BBB (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf)
B-2L BB+ (sf) B+ (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-1L AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-1LV AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-2L AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf)
A-3L A+ (sf) A+ (sf) BBB (sf) A+ (sf)
B-1L BBB+ (sf) BBB+ (sf) BB- (sf) BBB+ (sf)
B-2L BB+ (sf) BB- (sf) CCC+ (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITVE
Carlyle Daytona CLO Ltd.
Rating
Class To From
A-1L AAA (sf) AA+ (sf)/Watch Pos
A-1LV AAA (sf) AA+ (sf)/Watch Pos
A-2L AA+ (sf) AA (sf)/Watch Pos
A-3L A+ (sf) A (sf)/Watch Pos
B-1L BBB+ (sf) BBB (sf)/Watch Pos
B-2L BB+ (sf) B+ (sf)/Watch Pos
CENTURION CDO 9: S&P Affirms 'BB' Rating on Class C Notes
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1A, A-1B, A-2, and B notes from Centurion CDO 9 Ltd. S&P also
affirmed its ratings on the class C, D-1, and D-2 notes. At the
same time, S&P removed its ratings on the class A-1A, A-1B, A-2,
B, and C notes from CreditWatch with positive implications, where
S&P placed them on Feb. 21, 2014. Centurion CDO 9 Ltd. is a
collateralized loan obligation transaction managed by Columbia
Management Investment Advisers LLC.
The transaction's reinvestment period ended in July 2012, and the
deal is currently amortizing. Since S&P's November 2011 rating
actions, the class A-1A notes' balance decreased by $7.85 million.
Over the same time period, the class A-1B notes have paid down
$114.96 million. Both the A-1A and A-1B notes are now at 80.38% of
their respective original balances. The upgrades reflect the
paydowns to the class A-1A and A-1B notes, which increased the
credit support in the transaction. The improvements are also
evident in the increased A, B, C, and D overcollateralization
(O/C) ratios since S&P's November2011 rating actions.
The affirmations reflect sufficient credit support available to
the notes at their current rating levels.
As of the April 10, 2014, trustee report, the transaction had
roughly 12.28% of long-dated assets that mature after the
transaction's legal final maturity in July 2019. Therefore, the
transaction could be exposed to market value risk at maturity.
S&P considered this in its rating actions on the class C, D-1, and
D-2 notes. The cash flow results indicated downgrades on the
class D-1 and D-2 notes; however, S&P affirmed these classes at
their current ratings due to the increased O/C ratios and
stability in the overall credit quality of the underlying asset
pool.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON
Centurion CDO 9 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1A AA+ (sf)/Watch Pos AAA (sf) 5.56% AAA (sf)
A-1B AA+ (sf)/Watch Pos AAA (sf) 5.56% AAA (sf)
A-2 AA- (sf)/Watch Pos AA+ (sf) 10.41% AA+ (sf)
B BBB+ (sf)/Watch Pos A+ (sf) 5.51% A+ (sf)
C BB (sf)/Watch Pos BB+ (sf) 6.00% BB (sf)
D-1 B+ (sf) B- (sf) 1.29% B+ (sf)
D-2 B+ (sf) B- (sf) 1.29% 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.
Class December 2012 April 2014
Notional Notional
balance balance
(mil. $) (mil. $)
A-1A 30.00(i) 32.15
A-1B 586.00 471.04
A-2 35.00 35.00
B 38.00 38.00
C 55.00 55.00
D-1 9.50 9.50
D-2 4.0 4.00
Coverage tests (%)
A O/C 122.56 125.17
B O/C 115.80 117.23
C O/C 107.24 107.37
D O/C 105.32 105.20
WAS(%) 3.63 3.12
(i) Class A-1A had a $40.00 million balance in December 2012;
however, only $30.00 million was funded. As of the April
report, the balance declined to $32.15 million and is funded
by the same amount.
WAS-Weighted average spread.
O/C-Overcollateralization test.
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 (see 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 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
B A+ (sf) A+ (sf) A+ (sf) AA- (sf) A+ (sf)
C BB+ (sf) BB+ (sf) BB+ (sf) BB+ (sf) BB (sf)
D-1 B- (sf) CCC- (sf) B- (sf) B- (sf) B+ (sf)
D-2 B- (sf) CCC- (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
Cash flow compression Compression
implied implied implied Final
Class rating rating rating rating
A-1A AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-1B AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) AA (sf) AA+ (sf)
B A+ (sf) A+ (sf) BBB+ (sf) A+ (sf)
C BB+ (sf) BB+ (sf) B- (sf) BB (sf)
D-1 B- (sf) B- (sf) CC (sf) B+ (sf)
D-2 B- (sf) B- (sf) CC (sf) B+ (sf)
RATINGS LIST
Centurion CDO 9 Ltd.
Rating
Class Identifier To From
A-1A 15642PAA4 AAA (sf) AA+ (sf)/Watch Pos
A-1B 15642PAB2 AAA (sf) AA+ (sf)/Watch Pos
A-2 15642PAC0 AA+ (sf) AA- (sf)/Watch Pos
B 15642PAD8 A+ (sf) BBB+ (sf)/Watch Pos
C 15642PAE6 BB (sf) BB (sf)/Watch Pos
D-1 15642XAA7 B+ (sf) B+ (sf)
D-2 15642XAB5 B+ (sf) B+ (sf)
CITIGROUP COMMERCIAL 2005-C3: S&P Affirms CCC Rating on D Certs
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on nine
classes of commercial mortgage pass-through certificates from
Citigroup Commercial Mortgage Trust 2005-C3, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The affirmations follow 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 affirmations on the principal- and interest-paying
certificates 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 outstanding
ratings. The affirmations also reflect S&P's view of the
available liquidity support and the collateral's current and
future performance.
S&P affirmed its 'AAA (sf)' rating on the class XC interest-only
(IO) certificates based on our criteria for rating IO securities.
Credit Enhancement Levels
As of the April 17, 2014, trustee remittance report
Class Credit enhancement level
(%)
A-4 42.70
A-1A 42.70
A-M 23.99
A-MFL 23.99
A-J 10.67
B 6.69
C 4.59
D 1.78
XC N/A
N/A-Not applicable.
RATINGS LIST
Citigroup Commercial Mortgage Trust 2005-C3
Commercial mortgage pass-through certificates series 2005-C3
Rating
Class Identifier To From
A-4 173067GT0 AAA (sf) AAA (sf)
A-1A 173067GV5 AAA (sf) AAA (sf)
A-MFL 173067GX1 AAA (sf) AAA (sf)
A-M 173067GZ6 AAA (sf) AAA (sf)
A-J 173067HB8 BBB (sf) BBB (sf)
B 173067HD4 BB (sf) BB (sf)
C 173067HF9 B (sf) B (sf)
D 173067HH5 CCC (sf) CCC (sf)
XC 173067GF0 AAA (sf) AAA (sf)
CITIGROUP COMMERCIAL 2014-GC21: Fitch Cuts Cl. F Certs Rating to B
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Citigroup Commercial Mortgage Trust 2014-GC21
commercial mortgage pass-through certificates.
--$52,329,000 class A-1 'AAAsf'; Outlook Stable;
--$63,220,000 class A-2 'AAAsf'; Outlook Stable;
--$9,600,000 class A-3 'AAAsf'; Outlook Stable;
--$240,000,000 class A-4 'AAAsf'; Outlook Stable;
--$291,371,000 class A-5 'AAAsf'; Outlook Stable;
--$71,630,000 class A-AB 'AAAsf'; Outlook Stable;
--$786,663,000* class X-A 'AAAsf'; Outlook Stable;
--$115,723,000* class X-B 'AA-sf'; Outlook Stable;
--$58,513,000b class A-S 'AAAsf'; Outlook Stable;
--$70,214,000b class B 'AA-sf'; Outlook Stable;
--$174,236,000b class PEZ 'A-sf'; Outlook Stable;
--$45,509,000b class C 'A-sf'; Outlook Stable;
--$24,705,000*a class X-C 'BBsf'; Outlook Stable;
--$50,711,000a class D 'BBB-sf'; Outlook Stable;
--$24,705,000a class E 'BBsf'; Outlook Stable;
--$13,003,000a class F 'Bsf'; Outlook Stable.
(*) Notional amount and interest-only.
(a) Privately placed pursuant to Rule 144A.
(b) The class A-S, class B and class C certificates may be
exchanged for class PEZ certificates, and class PEZ
certificates may be exchanged for the class A-S, class B and
class C certificates.
Fitch does not rate the $62,413,547*a class X-D, and the
$49,410,547a class G certificates.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 70 loans secured by 111 commercial
properties having an aggregate principal balance of approximately
$1.04 billion as of the cutoff date. The loans were contributed
to the trust by Citigroup Global Markets Realty Corp.; Goldman
Sachs Mortgage Company; GS Commercial Real Estate LP; MC-Five Mile
Commercial Mortgage Finance LLC; Redwood Commercial Mortgage
Corporation; Cantor Commercial Real Estate Lending, L.P.; and RAIT
Funding, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78.8% of the properties
by balance, cash flow analysis of 82.4%, and asset summary reviews
of 86% of the pool.
Key Rating Drivers
High Fitch Leverage: The pool's Fitch debt service coverage ratio
(DSCR) and loan to value (LTV) are 1.12x and 109.1%, respectively,
which are worse than the 2013 and 2012 averages of 1.29x and
101.6%, and 1.24x and 97.2%, respectively.
Limited Lodging Exposure: The pool's hotel concentration of 4.9%
is lower than the 2013 average hotel concentration of 14.7%. There
are no hotel properties within the top 25 loans. Hotels have a
higher probability of default in Fitch's multiborrower model.
Property Type Diversity: The pool is more diverse by property type
than recent transactions with the largest property type in the
pool being retail properties at 29.8%, followed by multifamily at
20.4%, office at 12.8% and independent living at 9.9% of the pool.
No other property type comprises more than 7.8% of the pool.
Limited Amortization: The pool is scheduled to amortize by 12.8%
of the initial pool balance prior to maturity. The pool's
concentration of partial interest loans (31.8%), which includes
four of the 10 largest loans, is slightly lower than the 2013
average (34%). However, the pool's concentration of full-term
interest-only loans (20%), including two of the 10 largest loans,
is higher than the 2013 average (17.1%).
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 4.4% 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 CGCMT 2014-
GC21 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 'Asf' could
result. In a more severe scenario, in which NCF declined a
further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'BBBsf' could result. The presale report includes
a detailed explanation of additional stresses and sensitivities on
pages 81-82.
The master servicer will be Wells Fargo Bank, National
Association, rated 'CMS1-' by Fitch. The special servicer will be
LNR Partners, LLC, LLC rated 'CSS1-' by Fitch.
COBALT CMBS 2007-C2: Moody's Affirms C Rating on 5 Cert. Classes
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 14 classes
and upgraded the ratings on two classes of Cobalt CMBS Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-C2 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. A-JFL, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed
Ba3 (sf)
Cl. A-JFX, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed
Ba3 (sf)
Cl. A-M, Upgraded to Aa2 (sf); previously on Jun 6, 2013 Affirmed
A1 (sf)
Cl. A-MFX, Upgraded to Aa2 (sf); previously on Jun 6, 2013
Affirmed A1 (sf)
Cl. B, Affirmed B3 (sf); previously on Jun 6, 2013 Affirmed B3
(sf)
Cl. C, Affirmed Caa2 (sf); previously on Jun 6, 2013 Affirmed Caa2
(sf)
Cl. D, Affirmed Caa3 (sf); previously on Jun 6, 2013 Affirmed Caa3
(sf)
Cl. E, Affirmed Ca (sf); previously on Jun 6, 2013 Affirmed Ca
(sf)
Cl. F, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. X, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on two P&I classes were upgraded based on overall
improved pool performance and lower anticipated losses due to
strengthening real estate markets.
The ratings on the Class A-3, A-1A, A-JFX and A-JFL 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 nine remaining on the P&I classes were affirmed
because the ratings are consistent with Moody's expected loss.
The ratings on the IO class was affirmed based on the credit
performance (or the weighted average rating factor) of its
referenced classes.
Moody's rating action reflects a base expected loss of 9.7% of the
current balance compared to 10.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 10.8% of the
original pooled balance, compared to 11.0% 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
structured 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
structured credit assessment level) for loans with similar
structured 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 21 compared to 22 at Moody's last review.
Deal Performance
As of the May 16, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 20% to $1.93
billion from $2.42 billion at securitization. The certificates are
collateralized by 119 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans constituting
48% of the pool. The pool does not contain any defeased loans or
loans with structured credit assessments.
Forty loans, constituting 34% 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-three loans have been liquidated from the pool, resulting
in an aggregate realized loss of $72 million (for an average loss
severity of 41%). Fifteen loans, constituting 22% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Peter Cooper Village and Stuyvesant Town Loan (PCV/ST)
($250 million -- 12.9% of the pool), which represents a pari-passu
interest in a $3.0 billion first mortgage loan spread among five
separate CMBS deals. There is also $1.4 billion in mezzanine debt
secured by the borrower's interest. The loan is secured by two
adjacent multifamily apartment complexes with 11,229 units located
on the east side of Manhattan, New York that is managed by
CompassRock Real Estate.
The loan transferred to special servicing in November 2009 for
imminent default after the Court of Appeals upheld the Appellate
Division, First Department's reversal of an August 2007 decision
of the State Supreme Court, which held that properties receiving
tax benefits, including those pursuant to the J-51 program, be
permitted to decontrol rent stabilized apartments pursuant to New
York State rent stabilization laws. On April 10, 2013, the New
York State Supreme Court approved a settlement in the tenant's
class action lawsuit regarding improperly deregulated rent-
stabilized units and the special servicer anticipated full
implementation of the settlement would take approximately 18
months. In May 2014, the special servicer indicated it planned to
foreclose on a $300 million portion of the mezzanine debt. The
foreclosure sale is scheduled for June 13, 2014. The UCC sale is a
first step in any ultimate resolution for the asset.
Overall, property performance has improved significantly since the
end of 2011. The 2013 year net operating income (NOI) was $177.5
million which represented a 7% increase from 2012 and over a 33%
increase from 2011. The property was appraised for $3.4 billion in
September 2013 up from $3.2 in September 2012 and $3.0 in
September 2011. The whole loan currently has over $580 million in
cumulative ASERs, P&I and other advances to date. The special
servicer believes that the complete implementation of the April
2013 settlement and continued recovery from Hurricane Sandy and
collection of the associated insurance claim are prerequisites to
optimal capital recovery.
The second largest specially serviced loan is the Westin - Fort
Lauderdale, FL Loan ($40.9 million -- 2.1% of the pool), which is
secured by a 293-key full service hotel in Fourt Lauderdale,
Florida. After an initial 60 month interest only period, the loan
started amortizing in May 2012 and was transferred to special
servicing in June 2013 due to imminent default. After a small
decrease in RevPAR from 2012 to 2013, the hotel's RevPAR increased
over 11% in 2013. For the trailing twelve month period ending
January 2014, the property had a Occupancy and RevPAR of 75.7% and
$85.28, respectively, compared to 72.6% and $76.46 the prior year.
The borrower remains current on the loan's debt service payments
and the special servicer indicated that it is in discussions with
the borrower in regards to a possible modification.
The remaining 13 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $90.0 million loss
for the specially serviced loans (21% expected loss on average).
Moody's has assumed a high default probability for 12 poorly
performing loans, constituting 9% of the pool, and has estimated
an aggregate loss of $43.0 million (a 26% expected loss on
average) from these troubled loans.
Moody's received full year 2012 and full or partial year 2014
operating results for 94% of the pool. Moody's weighted average
conduit LTV is 107%, compared to 108% at Moody's last review.
Moody's conduit component excludes specially serviced and troubled
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 9.1%.
Moody's actual and stressed conduit DSCRs are 1.34X and 0.97X,
respectively, compared to 1.36X and 0.96X 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 25% of the pool. The largest
loan is the 75 Broad Street Loan ($243.5 million -- 12.6% of the
pool), which is secured by a 648,000 square foot (SF) office
telecom building located in the Financial District of New York.
The property was 92% leased as of December 2013 compared to 98% at
last review. The largest tenants include Internap (12% of the new
rentable area (NRA); lease expiration December 2016) and the
Millennium High School (12% of the NRA; lease expiration September
2018). The loan is interest only for its entire term. The property
is currently on the master servicer's watchlist due to insurance
reimbursement issues related to Hurricane Sandy-related repairs.
Moody's LTV and stressed DSCR are 119% and 0.79X, respectively,
compared to 122% and 0.78X.
The second largest conduit loan is The Woodies Building Loan
($167.1 million -- 8.7% of the pool) which is secured by two
buildings totaling 484,200 SF with street level retail and office
space above. These properties are located in the East End sub-
market of Washington, D.C. The office component represents 73% of
the NRA and is predominantly leased to government agencies. The
largest office tenants are the Federal Bureau of Investigation
(34% of the total NRA; under multiple leases with over 90% of its
space having expiration dates in 2015), the National Endowment of
Democracy (13% of the NRA; lease expiration in March 2021) and the
Border Patrol (10% of the NRA; lease expiration in March 2016).
The largest retail tenants are Forever 21, H&M, Madame Tussauds
and Zara. As of September 2013 the property was 99% leased, the
same as at last review. The loan is benefitting from amortization
and Moody's LTV and stressed DSCR are 116% and 0.82X,
respectively, compared to 115% and 0.82X at last review.
The third largest loan is One Summer Street Loan ($76.1
million -- 3.9% of the pool), which is secured by a 388,000 SF
office telecom building located in Boston, Massachusetts. The
largest tenants include Qwest Communications Corp (17% of the NRA;
lease expiration June 2015) and WiTel Communications LLC (15% of
the NRA; lease expiration April 2020). The property was 74% leased
as of December 2013, the same as at last review. The loan was
interest only for the first 24 months of its ten-year term and is
now benefitting from amortizion. Moody's LTV and stressed DSCR are
59% and 1.85X, respectively, compared to 60% and 1.82X at last
review.
CREDIT SUISSE 1998-C2: Fitch Affirms 'D' Rating on Class I Notes
----------------------------------------------------------------
Fitch Ratings has affirmed three classes of Credit Suisse First
Boston Mortgage Securities Corp. (CSFB) commercial mortgage pass-
through certificates, series 1998-C2.
KEY RATING DRIVERS
The affirmations are due to sufficient credit enhancement to
offset increasing loan concentrations and adverse selection with
only 29 non-defeased loans (51% of the pool) remaining. Credit
enhancement has improved since Fitch's last rating action due to
$12.9 million in principal paydown from scheduled amortization
payments and $50.9 million from the full repayment of two loans.
Fitch modeled losses of 12.7% of the remaining pool; expected
losses on the original pool balance total 3.6%, including $49.6
million (2.6% of the original pool balance) in realized losses to
date. Fitch has designated five loans (31.3%) as Fitch Loans of
Concern, which includes two specially serviced assets (25.1%).
As of the April 2014 distribution date, the pool's aggregate
principal balance has been reduced by 91.9% to $155.4 million from
$1.92 billion at issuance. There are 44 of the original 222 loans
remaining in the transaction. Per the servicer reporting, 15
loans (48.7% of the pool) are fully defeased. Of the non-defeased
loans 26 are fully amortizing (47.6% of pool), of which 15 loans
(24%) are secured by credit tenant leases. Interest shortfalls
are currently affecting classes H through J.
Given the pool's concentration, Fitch applied higher net operating
income and capitalization rate stresses in the analysis. A high
default probability scenario was also applied on the performing
loans.
RATING SENSITIVITIES
The Rating Outlooks of the investment grade classes remain Stable
due to the amount of defeasance and anticipated increases in
credit enhancement from continued paydown.
The largest specially serviced loan, which is the largest loan in
the pool (19.9%), is secured by two retail properties and one
industrial property located in Irving and North Richland, TX. The
loan had transferred to special servicing in December 2009 due to
imminent default. The loan was modified in November 2010 with a
reduced interest rate, and its maturity date has been twice
extended to April 2013 and finally May 2014. The special servicer
reported that the borrower has submitted a payoff proposal, but
has not yet been able to lock up commitments from capital sources.
The servicer will pursue foreclosure if the borrower is unable to
deliver on the payoff.
Fitch affirms the following classes as indicated:
--$80.3 million class F at 'AAAsf', Outlook Stable;
--$19.2 million class G at 'A+sf', Outlook Stable;
--$8.1 million class I at 'Dsf', RE 0%.
The class A1, A2, B, C, D and E certificates have paid in full.
Fitch does not rate the class H or J certificates. Fitch
previously withdrew the rating on the interest-only class AX
certificates.
CREDIT SUISSE 2003-C5: Fitch Raises Rating on Class G Notes to BB
-----------------------------------------------------------------
Fitch Ratings has upgraded six classes and affirmed five classes
of Credit Suisse First Boston Mortgage Securities Corp.,
commercial mortgage pass-through certificates, series 2003-C5. A
detailed list of rating actions follows at the end of this press
release.
KEY RATINGS DRIVERS
The upgrades reflect increased credit enhancement and a decrease
in Fitch-modeled losses since the last rating action.
Approximately $450 million in paydown, mostly from maturing loans,
has occurred since the last rating action. Fitch modeled losses
of 6.3% of the remaining pool; expected losses on the original
pool balance total 3.1% including $32 million (2.5% of the
original pool balance) in realized losses to date. Fitch has
designated three loans (11.5%) as Fitch Loans of Concern. There
are two specially serviced loans (10.6%) in the remaining pool.
As of the April 2014 distribution date, the pool's aggregate
balance has been reduced by 91.8% to $104 million from $1.26
billion at issuance. Interest shortfalls are currently affecting
classes P through K and total $4.6 million. There are no defeased
loans. Remaining loan maturities are concentrated in 2014 and 2017
comprising of 79.5% and 15.7% of the pool balance, respectively.
The largest loan in the pool, Mall at Fairfield Commons (67.7% of
the pool), is secured by a 1.1 million square foot (sf) regional
mall located in Beavercreek, OH, a suburb in the Dayton
metropolitan statistical area (MSA). The loan is collateralized
by 856,879 square feet (sf) of the mall and includes anchors
Sears, JC Penney, and Macy's. The non-collateral anchor is Elder-
Beerman. As of March 2013, the servicer reported occupancy for the
collateral space was 97%, which is an improvement from a low of
87% in 2010. Although the servicer reported debt service coverage
ratio as of year-end 2012 declined to 1.5x from over 2.0x in
previous years, performance is expected to be stable to improving
with the increase in occupancy. The sponsor of the loan is
Glimcher Properties. The mall is scheduled to mature November
2014.
The largest contributor to modeled losses is the specially
serviced loan, Waynesburg Centre, a 44,688 sf retail center
located 11 miles southeast of Canton, Ohio. The property
currently lists five suites comprising of 62% of the net rentable
area (NRA) as vacant. A receiver has been appointed and the
special servicer continues to evaluate options before pursuing a
resolution.
The second largest contributor to modeled losses is Salem Terrace
Apartments (0.9%), a 70 unit apartment complex located in
Covington, Georgia. The complex has underperformed for several
years but has recently experienced positive leasing trends.
Occupancy climbed to 90% in 2013 from a previous low of 70%. The
servicer continues to monitor the property's performance.
RATINGS SENSITIVITY
The Stable Rating Outlooks on classes D through H reflect
increasing credit enhancement and the anticipated further
principal paydown of the pool balance through year-end. Further
upgrades of the lower classes will be limited due to adverse
selection of the remaining collateral and asset concentration.
Fitch has upgraded the following classes:
-- $21 million class D to 'AAAsf' from 'AAsf'; Outlook Stable;
-- $17.3 million class E to 'AAAsf' from 'Asf'; Outlook Stable;
-- $17.3 million class F to 'BBBsf' from 'BBsf'; Outlook to Stable
from Negative;
-- $14.2 million class G to 'BBsf' from 'B-sf'; Outlook to Stable
from Negative;
-- $14.2 million class H to 'Bsf' from 'CCCsf'; Outlook Stable
assigned;
-- $9.5 million class J to 'CCCsf' from 'CCsf'; RE100%.
In addition, Fitch affirms the following classes:
-- $6.3 million class K at 'CCsf'; RE80%;
-- $4.2 million class L at 'Dsf'; RE 0%;
-- $0 million class M at 'Dsf'; RE0%;
-- $0 million class N at 'Dsf'; RE0%;
-- $0 million class O at 'Dsf'; RE0%.
Classes A-1, A-2, A-3, A-4, A-1-A, B, and C have paid in full.
Fitch does not rate the class P. Classes A-SP and A-X are
previously withdrawn.
CREDIT SUISSE 2007-C4: S&P Raises Rating on Class A-M Notes to BB+
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of commercial mortgage pass-through certificates from
Credit Suisse Commercial Mortgage Trust Series 2007-C4, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P affirmed its ratings on 10 classes, including
our 'AAA (sf)' rating on the class A-X interest-only (IO)
certificates, from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow itsour 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 upgrades reflect S&P's expectation of the available credit
enhancement for these classes, which S&P believes exceeds its most
recent estimate for the necessary credit enhancement at the rating
levels. The upgrades also reflect S&P's views regarding available
liquidity support and the current and future performance of the
transaction's collateral.
The upgrades on classes A-4, A-1-A, A-1-AM, and A-M also reflect
the significantly reduced trust balance, including the Shutters on
the Beach and Casa Del Mar Portfolio loan's ($310.0 million
original trust balance) full repayment and better-than-expected
recoveries on some of the specially serviced assets.
The affirmations on the principal- and interest-paying
certificates 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 outstanding
ratings. The affirmations also reflect S&P's views of the
available liquidity support, the transaction-level changes, and
S&P's view on the collateral's current and future performance.
S&P affirmed its 'AAA (sf)' rating on the class A-X IO
certificates based on its criteria for rating IO securities.
Credit Enhancement Levels
As of the April 17, 2014, trustee remittance report
Class Credit enhancement level
(%)
A-3 39.46
A-AB 39.46
A-4 39.46
A-1-A 39.46
A-1-AM 23.68
A-M 23.68
A-1-AJ 15.20
A-J 15.20
B 13.42
C 11.25
D 9.48
E 8.10
F 6.72
A-X N/A
N/A-Not applicable.
RATINGS LIST
Credit Suisse Commercial Mortgage Trust Series 2007-C4
Commercial mortgage pass-through certificates series 2007-C4
Rating
Class Identifier To From
A-3 20173TAC9 AAA (sf) AAA (sf)
A-AB 20173TAD7 AAA (sf) AAA (sf)
A-4 20173TAE5 AAA (sf) BBB (sf)
A-1-A 20173TAF2 AAA (sf) BBB (sf)
A-M 20173TAG0 BB+ (sf) B (sf)
A-J 20173TAJ4 B- (sf) B- (sf)
B 20173TAM7 B- (sf) B- (sf)
C 20173TAP0 B- (sf) B- (sf)
D 20173TAR6 CCC (sf) CCC (sf)
E 20173TAT2 CCC (sf) CCC (sf)
F 20173TAV7 CCC- (sf) CCC- (sf)
A-X 20173TBV6 AAA (sf) AAA (sf)
A-1-AM 20173TAH8 BB+ (sf) B (sf)
A-1-AJ 20173TAK1 B- (sf) B- (sf)
DLJ COMMERCIAL 1998-CG1: Fitch Hikes Cl. B-7 Certs Rating to 'Bsf'
------------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed two classes of DLJ
Commercial Mortgage Corp. (DLJ) commercial mortgage pass-through
certificates series 1998-CG1.
Key Rating Drivers
The upgrades are the result of increasing credit enhancement and
stable performance of the pool since Fitch's last rating action.
As of the April 2014 remittance report, the transaction has paid
down 95.7% to $66.8 million from $1.564 billion at issuance.
Seventeen of the original 303 loans remain. There are no
specially serviced loans, and three loans (30%), including the
largest loan in the pool (24.3%), are fully defeased. The
remaining non-defeased loans consist of 56.4% fully amortizing
loans.
The largest two non-defeased loans are secured by two office
buildings, BLN Office I & II (15.3% of the pool), that total
336,294 square foot (sf) in Bloomington, MN. The complex is
located in the Bloomington office market across from the Mall of
America. Both buildings are in good condition but have experienced
performance volatility due to the largest tenant at the site,
Wells Fargo, signing short-term lease renewals. The loans were
previously in special servicing and modified in early 2013 to
allow the sponsor time to negotiate lease extensions and find
refinancing. The modification included a maturity date extension
to July 2014. Per the servicer, the sponsor is in the process of
securing a refinance of the loans.
The largest contributor to expected losses is a loan secured by an
82,542 sf retail center, The Park Shopping Center, located in
Orange Park, FL (2.8%). The property's performance has been below
expectations since 2002 due to a decline in income from high
vacancies. The loan was previously in special servicing and was
modified in February 2012 whereby a hard lock box was instituted
to capture cashflow. The property's current occupancy is listed
at 44%. The sponsor continues to actively market vacant space and
is offering lease concessions to.
Ratings Sensitivity
The ratings on classes B-4 through B-7 are expected to remain
stable. Although credit enhancement is high, 43.6% of the
remaining loans have maturity or ARD dates beyond 2015. Therefore,
near-term paydown to classes B-6 and B-7 is limited.
Fitch upgrades the following classes:
-- $27.4 million class B-6 to 'BBBsf' from 'BBB-sf', Outlook
Stable;
-- $15.6 million class B-7 to 'Bsf' from 'B-sf', Outlook Stable.
Fitch affirms the following classes:
-- $0.5 million class B-4 at 'AAAsf', Outlook Stable;
-- $15.6 million class B-5 at 'AAAsf', Outlook Stable.
The class A-1A, A-1B, A-1C, A-2, A-3, A-4, B-1, B-2 and B-3
certificates have paid in full. Fitch does not rate the class C
certificates. Fitch previously withdrew the rating on the
interest-only class S certificates.
DLJ COMMERCIAL 1999-CG1: Fitch Affirms B Rating on Class B-6 Certs
------------------------------------------------------------------
Fitch Ratings has affirmed DLJ Commercial Mortgage Corp.,
commercial mortgage pass-through certificates series 1999-CG1.
Key Rating Drivers
The affirmation of class B-6 reflects the collateral quality of
the remaining pool. There are two remaining loans in the pool.
Although both loans currently exhibit stable performance, any
change in the performance of either loan may have a significant
impact on the bond's credit enhancement. The affirmations of
class B-7 and B-8 reflect losses already realized.
As of the May 2014 distribution date, the pool's aggregate
principal balance has been reduced by 98.7% to $16.7 million from
$1.24 billion at issuance. Interest shortfalls are currently
affecting classes B-7 through C.
The largest loan, The Links at Bixby (50.6%) is secured by a
garden style multifamily property consisting of 324 units located
in Bixby, OK. As of March 2014, the property is 100% occupied
with average asking rent ranging from $525-$670 per unit. As per
REIS as of first quarter 2014, the Tulsa South multifamily
submarket asking rent is $643 with 5% vacancy. The year-end (YE)
2013 debt service coverage ratio (DSCR) is 1.26x up from 1.20x YE
2012. The loan matures in March 2023.
The second loan, The Shoppes at Longwood (49.4%), is secured by a
141,940 square foot (sf) retail property located in Kennett
Square, PA. The largest tenants include Super Fresh (31%), lease
expiration Aug. 31, 2017; T.J. Maxx (17%), expiration Jan. 31,
2019; and Staples (13%), expiration Nov. 30, 2017. As of March
2014, the property is 100% occupied with minimal rollover until
2017 when 57% of the space rolls (two of the top three tenants).
The YE 2013 DSCR remains stable at 1.79x. The loan matures in
January 2019.
Rating Sensitivity
The rating on class B-6 is expected to remain stable given the
concentration of each of the remaining loans. Classes B-7 and B-8
will remain at 'Dsf' as losses have been realized.
Fitch has affirmed the ratings and revised the recovery estimates
(REs) of the following classes:
-- $8.6 million class B-6 at 'Bsf', Outlook Stable;
-- $8.1 million class B-7 at 'Dsf', RE 80%;
-- $0 class B-8 at 'Dsf', RE 0%.
The class A-1A, A-1B, A-2, A-3, A-4, B-1, B-2, B-3, B-4 and B-5
certificates have paid in full. Fitch does not rate the class C
certificates. Fitch previously withdrew the rating on the
interest-only class S certificates.
EMPORIA PREFERRED III: Moody's Affirms 'B1' Rating on Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Emporia Preferred Funding III, Ltd.:
$26,845,000 Class B Second Priority Senior Notes due 2021,
Upgraded to Aaa (sf); previously on November 22, 2011 Confirmed at
Aa2 (sf)
$37,170,000 Class C Third Priority Subordinated Deferrable Notes
Due 2021, Upgraded to A1 (sf); previously on November 22, 2011
Upgraded to A3 (sf)
Moody's also affirmed the ratings on the following notes:
$100,000,000 Class A-1 First Priority Senior Notes Due 2021
(current outstanding balance of $53,827,193.38), Affirmed Aaa
(sf); previously on March 23, 2007 Assigned Aaa (sf)
$40,000,000 Class A-2 First Priority Senior Revolving Notes Due
2021 (current outstanding balance of $21,530,877.35), Affirmed Aaa
(sf); previously on March 23, 2007 Assigned Aaa (sf)
$132,580,000 Class A-3 First Priority Delayed Draw Senior Notes
Due 2021 (current outstanding balance of $71,364,092.98), Affirmed
Aaa (sf); previously on March 23, 2007 Assigned Aaa (sf)
$20,650,000 Class D Fourth Priority Subordinated Deferrable Notes
Due 2021, Affirmed Ba1 (sf); previously on November 22, 2011
Upgraded to Ba1 (sf)
$18,585,000 Class E Fifth Priority Subordinated Deferrable Notes
Due 2021, Affirmed B1 (sf); previously on November 22, 2011
Upgraded to B1 (sf)
Emporia Preferred Funding III, Ltd., issued in March 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans, with significant exposure to
middle market 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 May 2013. The Class A notes have
been paid down by approximately 46.17% or $125.9 million since May
2013. Based on the Trustee report dated April 15, 2014, the over-
collateralization (OC) ratios for the Class A/B, Class C, Class D
and Class E notes are 141.72%, 120.97%, 111.87% and 104.78%,
respectively, versus May 2013 levels of 131.50%, 116.97%, 110.21%
and 104.76% respectively. Moody's notes that the April 15, 2014
Trustee report does not take into account $43.14 million that was
used to further pay down the Class A notes on the April 23, 2014
payment date.
Nevertheless, the weighted average spread (WAS) of the portfolio
has decreased since May 2013. The weighted average spread is
currently 4.17% in April 2014 compared to 4.43% 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 continued 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) 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.
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% (2589)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: +3
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3884)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: -2
Class D: -1
Class E: -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 $261.55 million, defaulted
par of $7.88 million, a weighted average default probability of
21.87% (implying a WARF of 3236), a weighted average recovery rate
upon default of 48.06% and a diversity score of 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.
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 2.21% of the collateral
pool.
EXETER AUTOMOBILE 2014-2: S&P Assigns BB Rating on Class D Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Exeter
Automobile Receivables Trust 2014-2's $500 million automobile
receivables-backed notes series 2014-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 49.1%, 40.7%, 33.6%, and
25.6% credit support for the class A, B, C, and D notes,
respectively, based on stressed cash flow scenarios
(including excess spread), which provide coverage of more
than 2.55x, 2.10x, 1.60x, and 1.30x S&P's 17.25%-18.25%
expected cumulative net loss.
-- The timely interest and principal payments made to the rated
notes by the assumed legal final maturity dates under
stressed cash flow modeling scenarios that S&P believes is
appropriate for the assigned ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A,
B, and C notes would remain within one rating category of
S&P's 'AA (sf)', 'A (sf)', and 'BBB (sf)' ratings,
respectively, during the first year; and S&P's rating on the
class D notes would remain within two rating categories of
its 'BB (sf)' rating. These potential rating movements are
consistent with S&P's credit stability criteria, which
outline the outer bound of credit deterioration as a one-
category downgrade within the first year for 'AA' rated
securities and a two-category downgrade within the first
year for 'A' through 'BB' rated securities under the
moderate stress conditions.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The transaction's payment, credit enhancement, and legal
structures.
RATINGS ASSIGNED
Exeter Automobile Receivables Trust 2014-2
Class Rating Type Interest Amount
rate (mil. $)
A AA (sf) Senior Fixed 317.70
B A (sf) Subordinate Fixed 72.92
C BBB (sf) Subordinate Fixed 53.39
D BB (sf) Subordinate Fixed 55.99
GALLATIN CLO 2014-1: Moody's Rates Class E Notes '(P)Ba3'
---------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
eight classes of notes to be issued by Gallatin CLO VII 2014-1,
Ltd.
Moody's rating action is as follows:
$2,250,000 Class X Senior Secured Floating Rate Notes due 2023
(the "Class X Notes"), Assigned (P)Aaa (sf)
$227,500,000 Class A Senior Secured Floating Rate Notes due 2023
(the "Class A Notes"), Assigned (P)Aaa (sf)
$29,400,000 Class B-1 Senior Secured Floating Rate Notes due 2023
(the "Class B-1 Notes"), Assigned (P)Aa2 (sf)
$4,600,000 Class B-2 Senior Secured Fixed Rate Notes due 2023
(the "Class B-2 Notes"), Assigned (P)Aa2 (sf)
$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2023 (the "Class C Notes"), Assigned (P)A2 (sf)
$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2023 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$17,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2023 (the "Class E Notes"), Assigned (P)Ba3 (sf)
U.S.$6,000,000 Class F Junior Secured Deferrable Floating Rate
Notes due 2023 (the "Class F Notes"), Assigned (P)B2 (sf)
The Class X Notes, Class A Notes, Class B-1 Notes, Class B-2
Notes, Class C Notes, Class D Notes, Class E Notes and Class F
Notes are referred to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional rating on
the Class A Notes does not address the Class A Notes Additional
Interest Amount, which are additional interest amounts payable to
the Class A Notes after the payment date in July 2018 in
accordance with the priority of payments. 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.
Gallatin VII 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 up to 7.5% of the portfolio
may consist of second lien loans. The portfolio is expected to be
approximately 75% ramped as of the closing date.
MP Senior Credit Partners L.P., (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 one year
reinvestment period. Thereafter, the Manager is not permitted to
engage in any reinvestment or trading activity.
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: $350,000,000
Diversity Score: 40
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 6.5 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 2800 to 3220)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: -1
Percentage Change in WARF -- increase of 30% (from 2800 to 3640)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B-1 Notes: -3
Class B-2 Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
Class F Notes: -3
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction,
rather than individual tranches.
GE BUSINESS 2007-1: S&P Raises Rating on Class C Notes to BB+
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, and C notes from GE Business Loan Trust 2007-1. S&P also
lowered its ratings on the class A, B, C, and D notes from GE
Business Loan Trust 2006-1, the class C and D notes from 2006-2,
and the class D notes from 2007-1. At the same time, S&P affirmed
its ratings on the class A and B notes from GE Business Loan Trust
2006-2. S&P also removed eight of these ratings from CreditWatch,
where it had placed them with negative implications on April 10,
2014, following the March 28, 2014 release of S&P's new criteria
for small business loan-backed securitizations.
GE Business Loan Trust 2006-1, GE Business Loan Trust 2006-2, and
GE Business Loan Trust 2007-1 are asset-backed securitizations
backed by payments from small business loans primarily
collateralized by first liens on commercial real estate. The
transactions distribute principal payments pro rata to the rated
classes based on set percentages.
The upgrades reflect that the notes were able to withstand S&P's
stress tests at a higher rating level because of improved loan
performance and the pool's amortization.
The downgrades reflect the application of the largest obligor
default test, a supplemental test S&P adopted in its 2014 U.S.
small business loan securitization criteria update.
The affirmations reflect the adequate credit support available to
the notes at their current rating levels.
GE BUSINESS LOAN TRUST 2006-1
Since S&P's January 2012 rating actions, the transaction has paid
down to approximately 50.5% of its original balance. According to
the April 2014 servicer report, there were 152 loans left in the
pool. The five-largest obligors represented 14.7% of the pool and
the 10-largest obligors represented 26.6% of the pool. Delinquent
loans made up 4.8% of the pool in April 2014, up from 2.9% in
November 2011. The reserve account's current balance is $12.5
million, which meets the current requisite amount.
GE BUSINESS LOAN TRUST 2006-2
Since S&P's January 2012 rating affirmations, the transaction has
paid down to approximately 45.5% of its original outstanding
balance. According to the April 2014 servicer report, there were
227 loans left in the pool. The five-largest obligors made up
14.2% of the pool and 10-largest obligors represented 22.8% of the
pool. Delinquent and defaulted loans represented 3.2% of the pool
in April 2014, down from 6.8% in November 2011. The reserve
account's current balance is $21.8 million, which does not reach
the $34.9 million current requisite amount.
GE BUSINESS LOAN TRUST 2007-1
Since S&P's January 2012 rating actions, the transaction has paid
down to approximately 50.0% of its original outstanding balance.
There were 233 loans left in the pool, according to the April 2014
servicer report. The five-largest obligors represented 13.7% of
the pool and the 10-largest represented 21.6% of the pool.
Delinquent and defaulted loans were 1.9% of the pool in April
2014, down from 4.3% in November 2011. The reserve account's
current balance is $16.6 million, which does not reach the $25.8
million current requisite amount.
S&P will continue to review whether, in its view, the ratings
currently assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
GE Business Loan Trust 2006-1
Rating
Class To From
A A+ (sf) AA (sf)/Watch Neg
B A- (sf) AA- (sf)/Watch Neg
C BB+ (sf) BBB+ (sf)/Watch Neg
D B+ (sf) BBB (sf)/Watch Neg
GE Business Loan Trust 2006-2
Rating
Class To From
A A (sf) A (sf)/Watch Neg
B BBB+ (sf) BBB+ (sf)/Watch Neg
C BB+ (sf) BBB (sf)/Watch Neg
D B+ (sf) BBB- (sf)/Watch Neg
GE Business Loan Trust 2007-1
Rating
Class To From
A A+ (sf) A (sf)
B A (sf) A- (sf)
C BBB+ (sf) BBB (sf)
D B+ (sf) BBB- (sf)
GUGGENHEIM PRIVATE: Fitch Affirms 'Bsf' Rating to Class D Notes
---------------------------------------------------------------
Fitch Ratings assigned the following ratings to Guggenheim Private
Debt Fund Note Issuer, LLC (Guggenheim PDFNI) on May 22, 2014.
-- $41,842,106 class A notes, series A-5, 'Asf', Outlook Stable;
-- $6,973,684 class B notes, series B-5, 'BBBsf', Outlook Stable;
-- $8,600,877 class C notes, series C-5, 'BBsf', Outlook Stable;
-- $5,811,404 class D notes, series D-5, 'Bsf', Outlook Stable;
-- $2,245,614 class E1 notes, series E1-5, not rated;
-- $10,666,666 class E2 notes, series E2-5, not rated;
-- $16,842,106 limited liability company membership interests,
series 5, not rated.
Fitch assigned ratings to the new notes issued commensurate with
the fifth funding occurring on May 22, 2014, and also affirmed its
ratings on the notes that were issued pursuant to the previous
funding dates. Guggenheim PDFNI (the issuer) is a collateralized
loan obligation (CLO) transaction that closed in July 2012 and had
its first, second and third funding dates in July 2012, October
2012 and March 2013, respectively. The fourth funding date closed
recently in April 2014. The transaction is managed by Guggenheim
Partners Investment Management, LLC (GPIM).
The fifth funding date will be the final funding date for
Guggenheim PDFNI. Pursuant to the fifth funding date, the issuer
has drawn approximately $93 million of cash from investors and has
issued a commensurate $76.1 million of new notes, each designated
as 'series 5', including approximately $12.9 million of first-loss
notes that are not rated by Fitch. In addition, approximately
$16.8 million was issued in the form of LLC interests, which are
also not rated by Fitch. The notes and LLC interests were issued
in the same proportion as the initial capital structure, as was
contemplated at the transaction's closing. All notes from each
series are cross-collateralized by the entire collateral
portfolio, which is expected to consist of approximately $1.2
billion of broadly syndicated loans and private debt investments
(PDIs) as well as approximately $71.3 million of cash.
The fifth funding draws on all outstanding commitments in
Guggenheim PDFNI. Total commitments made to the transaction to
date totaled $1.237 billion, but approximately $20 million had
failed to fund at the fourth and fifth funding dates.
KEY RATING DRIVERS
Fitch analyzed the current portfolio as represented to Fitch by
GPIM and included five additional assets expected to be purchased
with the proceeds from the fifth funding, as well as an additional
loan purchase made from the fourth funding date that is expected
to close. Fitch also analyzed a 'Fitch-Stressed' portfolio that
accounted for the worst-case portfolio concentrations permitted by
the indenture (which is further detailed in Fitch's press release
'Fitch Rates Guggenheim Private Debt Fund Note Issuer, LLC' dated
July 12, 2012). Fitch's cash flow modeling analysis of both
portfolios indicated that each class of notes performs in line
with the ratings assigned or affirmed, as applicable. Fitch
therefore assigned the ratings to the 'series 5' notes as
indicated above.
Fitch has affirmed the existing 'series 1,' 'series 2,' 'series 3'
and 'series 4' notes based on the analysis described above as well
as the stable performance of the transaction thus far. The
April 4, 2014 trustee report indicated that all collateral quality
tests, concentration limitations, and coverage tests were in
compliance. All rated notes received their full interest and
commitment fees on the April payment date. Also on this payment
date, approximately $7.5 million of excess spread was redirected
to the principal collection account for investment in future
collateral, increasing the degree of collateral coverage for the
notes.
RATING SENSITIVITIES
Standard sensitivity analysis was conducted on the Fitch-stressed
portfolio at close in July 2012, as described in Fitch's corporate
CDO criteria. The transaction performed within the expectations
of each respective rating in these scenarios.
Given the stable portfolio performance since the closing date and
the unchanged investment guidelines of the portfolio, Fitch
determined that the results of the initial sensitivity analysis
are sufficient for the transaction following the fifth funding and
therefore did not update the initial sensitivity analysis.
Initial Key Rating Drivers and Rating Sensitivity are further
described in the commentary published on July 12, 2012. A
comparison of the transaction's Representations, Warranties, and
Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that
asset class is also available by accessing the reports and links
indicated below.
Fitch has taken the following rating actions:
-- $292,499,994 class A notes, series A-1, affirmed at 'Asf',
Outlook Stable;
-- $48,749,993 class B notes, series B-1, affirmed at 'BBBsf',
Outlook Stable;
-- $60,124,994 class C notes, series C-1, affirmed at 'BBsf',
Outlook Stable;
-- $40,624,994 class D notes, series D-1, affirmed at 'Bsf',
Outlook Stable;
-- $8,732,724 class E1 notes, series E1-1, not rated;
-- $137,083,157 class E2 notes, series E2-1, not rated;
-- $44,051,727 limited liability company membership interests,
series 1, not rated;
-- $44,999,995 class A notes, series A-2, affirmed at 'Asf',
Outlook Stable;
-- $7,499,995 class B notes, series B-2, affirmed at 'BBBsf',
Outlook Stable;
-- $9,249,995 class C notes, series C-2, affirmed at 'BBsf',
Outlook Stable;
-- $6,249,996 class D notes, series D-2, affirmed at 'Bsf',
Outlook Stable;
-- $1,357,923 class E1 notes, series E1-2, not rated;
-- $21,177,018 class E2 notes, series E2-2, not rated;
-- $6,849,960 limited liability company membership interests,
series 2, not rated;
-- $90,900,011 class A notes, series A-3, affirmed at 'Asf',
Outlook Stable;
-- $15,150,012 class B notes, series B-3, affirmed at 'BBBsf',
Outlook Stable;
-- $18,685,011 class C notes, series C-3, affirmed at 'BBsf',
Outlook Stable;
-- $12,625,010 class D notes, series D-3, affirmed at 'Bsf',
Outlook Stable;
-- $2,781,461 class E1 notes, series E1-3, not rated;
-- $43,016,557 class E2 notes, series E2-3, not rated;
-- $14,030,944 limited liability company membership interests,
series 3, not rated;
-- $77,407,894 class A notes, series A-4, affirmed at 'Asf',
Outlook Stable;
-- $12,901,316 class B notes, series B-4, affirmed at 'BBBsf',
Outlook Stable;
-- $15,911,623 class C notes, series C-4, affirmed at 'BBsf',
Outlook Stable;
-- $10,751,096 class D notes, series D-4, affirmed at 'Bsf',
Outlook Stable;
-- $4,154,384 class E1 notes, series E1-4, not rated;
-- $19,733,332 class E2 notes, series E2-4,not rated;
-- $31,157,898 limited liability company membership interests,
series 4, not rated.
GULF STREAM-COMPASS 2005-II: S&P Affirms BB+ Rating on Cl. D Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
C notes from Gulf Stream-Compass CLO 2005-II Ltd., a
collateralized loan obligation (CLO) transaction managed by GSAM
Apollo Holdings LLC. At the same time, S&P affirmed its ratings
on the class A-1, A-2, B, and D notes from the same transaction.
S&P also removed the ratings on classes C and D from CreditWatch
with positive implications.
The rating actions follow S&P's review of the transaction's
performance using data from the April 17, 2014, trustee report.
The upgrade on class C reflects paydowns to the class A-1 and A-2
notes. Since S&P's August 2013 rating actions, the class A-1 and
A-2 notes received $56.8 million paydowns pro rata, reducing the
total outstanding balance to $12.03 million, or 3.13% of their
original par balance at issuance.
Because of the senior note paydowns, the overcollateralization
(O/C) ratios increased significantly. The trustee reported the
following O/C ratios in the April 2014 monthly report:
-- The class B notes' O/C ratio increased to 239.94% from
167.65% noted in the July 2013 trustee report.
-- The class C notes' O/C ratio increased to 146.46% from
128.86% noted in the July 2013 trustee report.
The transaction is exposed to long-dated assets (i.e., assets
maturing after the CLO's stated maturity date). According to the
April 2014 trustee report, the transaction has $7.72 million in
long-dated assets, which is 7.43% of the portfolio. S&P's
analysis accounted for the potential market value and/or
settlement-related risk arising from the potential liquidation of
the remaining securities on the transaction's legal final maturity
date.
S&P's affirmations on the class A-1, A-2, B, and D notes reflect
the adequate credit support available at the current rating
levels. In addition, the rating on class D is based on the
application of the largest obligor default test, which is a
supplemental stress test S&P introduced as part of its 2009
corporate criteria update.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Gulf Stream-Compass CLO 2005-II Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating (i) rating
A-1 AAA (sf) AAA (sf) 33.86% AAA (sf)
A-2 AAA (sf) AAA (sf) 33.86% AAA (sf)
B AAA (sf) AAA (sf) 33.86% AAA (sf)
C AA+ (sf)/Watch Pos AAA (sf) 17.65% AAA (sf)
D BB+ (sf)/Watch Pos A- (sf) 0.38% 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 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 Corr. Corr.
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-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D A- (sf) BBB+ (sf) BBB+ (sf) A (sf) BB+ (sf)
Corr.-Correlation.
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) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D A- (sf) BBB+ (sf) BB- (sf) BB+ (sf)
RATINGS LIST
Gulf Stream-Compass CLO 2005-II Ltd.
Rating
Class Identifier To From
A-1 40255XAA3 AAA (sf) AAA (sf)
A-2 40255XAB1 AAA (sf) AAA (sf)
B 40255XAC9 AAA (sf) AAA (sf)
C 40255XAD7 AAA (sf) AA+ (sf)/Watch Pos
D 40255XAE5 BB+ (sf) BB+ (sf)/Watch Pos
GMAC COMMERCIAL 2004-C1: Fitch Lowers Rating on Class F Notes to B
------------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed 11 classes
of GMAC Commercial Mortgage Securities, Inc., Series 2004-C1
(GMACC 2004-C1) commercial mortgage pass-through certificates. A
detailed list of rating actions follows at the end of this press
release.
KEY RATING DRIVERS
The downgrades reflect the increase in loss expectations from the
specially serviced loans. The affirmations are due to increased
credit enhancement from continued paydown.
Fitch modeled losses of 46.4% of the remaining pool; expected
losses on the original pool balance total 7.9%, including
$14.9 million (2.1% of the original pool balance) in realized
losses to date. There are nine loans remaining in the pool; Fitch
has designated five loans (76.4%) as Fitch Loans of Concern, which
includes all of the specially serviced assets in the pool.
As of the May 2014 distribution date, the pool's aggregate
principal balance has been reduced by 87.6% to $89.3 million from
$721.4 million at issuance. Interest shortfalls are currently
affecting classes K through P.
The largest contributor to expected losses is a specially-serviced
asset (30.6% of the pool), secured by two-crossed collateralized
office properties located in Fort Washington, PA. The borrower
was unable to meet debt service obligations after the loss of a
major tenant. A foreclosure sale was held in March 2011. The
trust was the winning bidder and the special servicer is in the
process of improving occupancy before an eventual sale. The
servicer reported occupancy was 84% as of May 2014.
The next largest contributor to expected losses is a specially-
serviced loan (18.8%), which is secured by a 127,559 square foot
office property located in Farmington Hills, MI. The loan was
transferred to the special servicer in November 2013 due to
imminent default. The servicer reported occupancy was 34% as of
January 2014.
RATING SENSITIVITY
Rating Outlooks on classes B and C remain Stable due to increasing
credit enhancement and continued paydown. Classes D and E Outlooks
were revised to Stable from Negative due to anticipated paydown
from the resolution of a specially serviced loan. The Rating
Outlook on class F remains Negative due to loss expectations from
the specially serviced loans and thinness of the junior tranches
making this class more susceptible to downgrades as losses are
realized.
Fitch downgrades the following classes and assigns Recovery
Estimates (REs) as indicated:
--$12.6 million class F to 'Bsf' from 'BBsf', Outlook Negative;
--$8.1 million class G to 'CCCsf' from 'B-sf', RE 25%.
Fitch affirms the following classes and revises Rating Outlooks as
indicated:
--$15.3 million class D at 'AAsf', Outlook to Stable from
Negative;
--$8.1 million class E at 'BBBsf', Outlook to Stable from
Negative.
Fitch affirms the following classes as indicated:
--$6.8 million class B at 'AAAsf', Outlook Stable;
--$8.1 million class C at 'AAAsf', Outlook Stable;
--$10.8 million class H at 'Csf', RE 0%;
--$4.5 million class J at 'Csf', RE 0%;
--$4.5 million class K at 'Csf', RE 0%;
--$4.5 million class L at 'Csf', RE 0%;
--$2.7 million class M at 'Csf', RE 0%;
--$2.7 million class N at 'Csf', RE 0%;
--$447,211 class O at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-4 and A-1A certificates have paid in
full. Fitch does not rate the class P certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
FANNIE MAE 2014-C02: S&P Assigns BB Rating on Class 2M-1 Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Fannie
Mae's senior unsecured Connecticut Avenue Securities Series
2014-C02 class 1M-1 and 2M-1 notes.
The note issuance is senior unsecured debt of Fannie Mae linked to
fully amortizing, first-lien, fixed-rate residential mortgage
loans secured by single-family residences, planned-unit
developments, condominiums, cooperatives, and manufactured housing
to prime borrowers.
The ratings reflect S&P's view of:
-- The credit enhancement provided by the subordinated
reference tranches in each group, as well as the associated
structural deal mechanics;
-- The credit quality of the collateral included in the
reference pools;
-- The notes as unsecured general obligations of Fannie Mae
('AA+/Stable/A-1+'): Fannie Mae will make monthly interest
payments and periodic principal payments based on each
reference pool's credit performance;
-- The issuers' experience and vested interest in the deal's
performance, which, in S&P's view, enhances the notes'
strength; and
-- The enhanced credit risk management processes and
sophisticated automated processes Fannie Mae uses in
conjunction with a new representations and warranties
framework.
RATINGS ASSIGNED
Fannie Mae
Connecticut Avenue Securities Series 2014-C02
Class Rating Amount
(mil. $)
1A-H NR 45,438.021
1M-1 BBB- (sf) 555.575
1M-1H NR 29.967
1M-2 NR 644.467
1M-2H NR 34.761
1B-H NR 140.530
2A-H NR 13,451.090
2M-1 BB (sf) 174.204
2M-1H NR 14.461
2M-2 NR 225.820
2M-2H NR 18.745
2B-H NR 90.839
NR-Not rated.
HARCH CLO III: Moody's Affirms 'Ba3' Rating on Class E Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Harch CLO III Limited:
$20,000,000 Class C Deferrable Floating Rate Notes, Due 2020,
Upgraded to Aaa (sf); previously on March 5, 2013 Upgraded to
Aa1 (sf)
$19,000,000 Class D Deferrable Floating Rate Notes, Due 2020,
Upgraded to Baa2 (sf); previously on March 5, 2013 Affirmed
Baa3 (sf)
Moody's also affirmed the ratings on the following notes:
$246,500,000 Class A-1 Floating Rate Notes, Due 2020 (current
outstanding balance of $9,786,685), Affirmed Aaa (sf);
previously on March 5, 2013 Affirmed Aaa (sf)
$43,500,000 Class A-2 Floating Rate Notes, Due 2020, Affirmed
Aaa (sf); previously on March 5, 2013 Affirmed Aaa (sf)
$26,000,000 Class B Floating Rate Notes, Due 2020, Affirmed Aaa
(sf); previously on March 5, 2013 Affirmed Aaa (sf)
$15,000,000 Class E Deferrable Floating Rate Notes, Due 2020,
Affirmed Ba3 (sf); previously on March 5, 2013 Affirmed Ba3
(sf)
Harch CLO III Limited, issued in April 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 (OC) ratios since July 2013. The Class A-1 notes
have been paid down by approximately 87.5% or $68.7 million since
July 2013. Based on the trustee's April 21, 2014 report, the OC
ratios for the Class A/B, Class C, Class D and Class E notes are
reported at 160.8%, 133.4%, 114.8% and 103.4%, respectively,
versus July 2013 levels of 140.2%, 123.5%, 110.9% and 102.7%,
respectively. Additionally, Moody's notes that the trustee
reported OC ratios do not reflect the April 29, 2014 payment
distribution when $17.9 million of principal proceeds were used to
pay down the Class A-1 Notes.
Nevertheless, the credit quality of the portfolio has
deteriorated. Based on Moody's calculation, the weighted average
rating factor (WARF) is currently 2597 compared to 2353 as of the
last rating action.
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% (2078)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D: +3
Class E: +1
Moody's Adjusted WARF + 20% (3116)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
Class D: -1
Class E: -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,
WARF, 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 $135.9 million, defaulted par of $3.0 million, a
weighted average default probability of 15.3% (implying a WARF of
2597), a weighted average recovery rate upon default of 49.0%, a
diversity score of 33 and a weighted average spread of 3.3%.
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 addition, Moody's assessed
alternative recovery prospects for CLO securities. Although these
alternative recovery assumptions are generally derived from those
presented in Moody's methodology for rating Structured Finance CDO
they may vary based on the specifics of the analysis of the
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
HARCH CLO III: S&P Affirms 'CCC+' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from Harch CLO III Ltd., a cash flow collateralized
loan obligation (CLO) transaction, and removed the rating on the
class B notes from CreditWatch with positive implications, where
S&P had placed them on Feb. 21, 2014. At the same time, S&P
affirmed its ratings on the class A-1, A-2, D, and E notes.
The transaction is currently amortizing and is paying down the
notes. The upgrades largely reflect the $68.73 million paydowns
to the class A-1 notes since S&P's May 2012 rating actions.
Because of this, the overcollateralization (O/C) ratios increased
for each class of notes since April 2012:
-- The class A/B O/C ratio is 160.82%, up from 136.70%.
-- The class C O/C ratio is 133.38%, up from 122.00%.
-- The class D O/C ratio is 114.77%, up from 110.69%.
-- The class E O/C ratio is 103.38%, up from 103.15%.
S&P's rating on the class D and E notes is limited by its largest
obligor default test, which intends to address the potential
concentration of exposure to obligors in the transaction's
portfolio. Because the collateral pool is relatively diverse
(with exposure to 71 obligors) and because of the overall
performance improvements noted above, S&P affirmed its ratings on
the class D and E notes even though the largest obligor test
suggested lower rating levels.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AAA (sf) AAA (sf) 36.03% AAA (sf)
A-2 AAA (sf) AAA (sf) 36.03% AAA (sf)
B AA+ (sf)/Watch Pos AAA (sf) 21.69% AAA (sf)
C AA- (sf) AA+ (sf) 13.24% AA+ (sf)
D BBB- (sf) A- (sf) 0.89% BBB- (sf)
E CCC+ (sf) B+ (sf) 3.78% 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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 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 A- (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) BBB- (sf)
E B+ (sf) B (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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 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 A- (sf) BBB+ (sf) BB+ (sf) BBB- (sf)
E B+ (sf) CCC+ (sf) CC (sf) CCC+ (sf)
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 S&P will take rating actions as it
deems necessary.
RATING AND CREDITWATCH ACTIONS
Harch CLO III Ltd.
Rating
Class To From
A-1 AAA (sf) AAA(sf)
A-2 AAA (sf) AAA(sf)
B AAA (sf) AA+(sf)/Watch Pos
C AA+ (sf) AA-(sf)
D BBB- (sf) BBB-(sf)
E CCC+ (sf) CCC+(sf)
HELLER FIN'L 2000 PH-1: Moody's Affirms Ca Rating on Cl. H Notes
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Heller Financial Commercial Mortgage Asset Corp. 2000 PH-1 as
follows:
Cl. H, Affirmed Ca (sf); previously on Jun 13, 2013 Affirmed Ca
(sf)
Cl. X, Affirmed Caa3 (sf); previously on Jun 13, 2013 Affirmed
Caa3 (sf)
Ratings Rationale
The rating on the P&I class H was affirmed because the rating is
consistent with Moody's expected loss.
The rating on the IO class X was affirmed based on 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 5.1% of the
current balance compared to 1.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.1% of the
original pooled balance compared to 6.9% 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 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 used the excel-based Large Loan Model v 8.7 in formulating
its 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 May 15, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $18.8
million from $957 million at securitization. The certificates are
collateralized by 11 mortgage loans ranging in size from less than
1% to 29% of the pool. Six loans, constituting 54% of the pool,
have defeased and are secured by US government securities.
There are no loans on the master servicer's watchlist. Thirty two
loans have been liquidated from the pool, resulting in an
aggregate realized loss of $66.5 million (for an average loss
severity of 47%). One loan, the Sport Shoe Shopping Center ($2.35
million - 12.5% of the pool), is currently in special servicing.
The loan is secured by a 20,000 square foot (SF) retail property
located in Buford, Georgia. The loan transferred to special
servicing effective June 2013 due to imminent monetary default and
has become REO. As of December 2013, the property was 83% leased,
the same as at last review. Per the servicer's November 2013 site
inspection, the property was in good condition, and the servicer's
strategy is to sell the REO. Moody's has assumed a modest loss for
this loan.
Moody's received full year 2012 operating results for 100% of the
non-defeased performing loans, and full or partial year 2013
operating results for 50% of the non-defeased performing loans of
the pool. Moody's weighted average LTV for the performing loans is
49% compared to 64% at last review. Moody's stressed DSCR is 2.5X
compared to 1.9X at last review.
The top three performing loans represent 32% of the pool. The
largest loan is the Sports Authority Boca Raton, FL Loan
($3.4million -- 18% of the pool), which is secured by a 43,200 SF
single tenant retail building located in Boca Raton, Florida. The
property is leased to Sports Authority Inc. through January 2020.
Moody's LTV and stressed DSCR are 47% and 2.4X, respectively,
compared to 46% and 2.5X at last review.
The second largest loan is the Walgreens-Vegas Loan ($1.4 million
-- 7% of the pool), which is secured by a 14,000 SF single tenant
retail building located in Las Vegas, Nevada. The property is
leased to Walgreen Co. through August 2048. The loan is a fully
amortizating loan. Moody's LTV and stressed DSCR are 34% and 3.4X,
respectively, compared to 44% and 2.6X at last review.
The third largest loan is the Pier 1 - Arlington, TX Loan ($1.2
million -- 6% of the pool), which is secured by a 9,000 SF single
tenant retail building located in Arlington, Texas. The property
is leased to Pier 1 Imports through 2015. The loan had an
Anticipated Repayment Date (ARD) of October 1, 2009. Moody's LTV
and stressed DSCR are 74% and 1.53X, respectively, compared to 71%
and 1.6X at last full review.
LB-UBS COMMERCIAL 2003-C5: Fitch Affirms 'CCC' Rating on 2 Notes
----------------------------------------------------------------
Fitch Ratings has affirmed all classes of LB-UBS commercial
mortgage trust pass-through certificates, series 2003-C5. A
detailed list of rating actions follows at the end of this press
release.
KEY RATING DRIVERS
The pool is highly concentrated. The affirmations reflect the
high credit enhancement of the classes. There are three remaining
loans in the pool, one of which is defeased (15.4% of the pool)
with an anticipated repayment date (ARD) of April 2018. As of the
May 2014 distribution date, the pool's aggregate principal balance
has been reduced by 95.8% to $59.5 million from $1.41 billion at
issuance. The pool has experienced $5.5 million (0.4% of the
original pool balance) in realized losses to date. Interest
shortfalls are currently affecting classes L through T.
The largest loan (62.4% of the pool) and leading contributor to
modeled losses is secured by a 568,657 square foot (sf) mall
located in Scranton, PA. The loan was transferred to the special
servicer in March 2010 and matured without repayment in July 2013.
The servicer reported debt service coverage ratio (DSCR) as of
June 2013 was 0.65x. The special servicer is now pursuing
foreclosure.
The second largest loan (22.2% of the pool) is secured by a
256,384 sf single-tenant, office property located in Buffalo
Grove, IL. The loan had an ARD of June 2013 with a final maturity
of June 2033. The sole tenant's lease expires in 2016. Servicer
reported DSCR was 1.59x as of year-end 2013.
RATING SENSITIVITY
The Rating Outlook of class J remains Stable as no rating change
is expected. Although credit enhancement has increased the class
previously experienced an interest shortfall, and is susceptible
to another given the uncertain resolution surrounding the
specially serviced loan and high concentration of the pool. The
Outlook remains Negative for classes K and L. The distressed
classes are subject to further downgrade should additional losses
be realized.
Fitch affirms the following classes, Rating Outlooks, and Rating
Estimates (REs) as indicated:
-- $2 million class J at 'Asf; Outlook Stable;
-- $14 million class K at 'BBB-sf; Outlook Negative;
-- $12.3 million class L at 'Bsf'; Outlook Negative;
-- $5.3 million class M at 'CCCsf'; RE 0%;
-- $3.5 million class N at 'CCCsf'; RE 0%.
Fitch does not rate classes P, Q, S, and T and classes A-1, A-2,
A-3, A-4, B, C, D, E, F, G, H and X-CP have paid in full. Fitch
previously withdrew the rating on the interest-only class X-CL
certificates.
LB-UBS COMMERCIAL 2005-C7: S&P Cuts Rating on 2 Note Classes to D
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class H and J commercial mortgage pass-through certificates from
LB-UBS Commercial Mortgage Trust 2005-C7, a U.S. commercial
mortgage-backed securities (CMBS) transaction, to 'D (sf)'. In
addition, S&P affirmed its ratings on 13 pooled classes and seven
non-pooled 'SP' raked certificates from the same transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust.
S&P lowered its ratings on classes H and J to 'D (sf)' because it
believes the accumulated interest shortfalls will remain
outstanding in the near term. Classes H and J had accumulated
interest shortfalls outstanding for five and 14 consecutive
months, respectively.
As of the April 17, 2014, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $149,801, driven
primarily by $62,415 in appraisal subordinate entitlement
reduction amounts on three ($27.2 million, 1.7%) of the six
specially serviced assets ($98.5 million, 6.1%); $69,982 in rate
reduction from modification of the specially serviced Sarasota
Main Plaza loan ($35.3 million, 2.2%); and $14,887 in special
servicing fees. The current monthly interest shortfalls affected
classes subordinate to and including class H.
The affirmations on the pooled principal- and interest-paying
certificates 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 outstanding
ratings. The affirmations also reflect S&P's views of available
liquidity support and the collateral's current and future
performance.
The affirmations on the non-pooled 'SP' raked certificates reflect
S&P's analysis of the Station Place I loan, which is the sole cash
flow source for these raked certificates. S&P's analysis
considered the property's stable operating performance as well as
market sale comparable data. Based on S&P's analysis, its
expected-case value yielded a Standard & Poor's loan-to-value
ratio of 75.7% on the whole-loan balance.
The Station Place I loan is secured by an 11-story, 707,483-sq.-
ft. office building in Washington, D.C., that is 99.6% leased to
the U.S. Securities and Exchange Commission through April 2019.
The loan has a whole-loan balance of $211.9 million that consists
of a $148.9 million senior component and a $63.0 million
subordinate component, down from a whole-loan balance of $244.7
million at issuance. The senior component is further split into
two pari passu pieces, of which $7.6 million represents 0.5% of
the pooled trust balance, and the $63.0 million subordinate
component supports the nonpooled 'SP' certificate classes. The
pooled portion of the loan in the transaction fully amortizes by
October 2015, while the 'SP' rake certificates receive no
principal amortization until they mature in September 2025.
S&P affirmed its 'AAA (sf)' rating on the class X-CL interest-only
(IO) certificates based on its criteria for rating IO securities.
RATINGS LOWERED
LB-UBS Commercial Mortgage Trust 2005-C7
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
H D (sf) CCC- (sf) 1.36
J D (sf) CCC- (sf) 0.27
RATINGS AFFIRMED
LB-UBS Commercial Mortgage Trust 2005-C7
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-3 AAA (sf) 38.64
A-AB AAA (sf) 38.64
A-4 AAA (sf) 38.64
A-1A AAA (sf) 38.64
A-M AA (sf) 24.09
A-J BBB+ (sf) 11.91
B BBB (sf) 11.03
C BB+ (sf) 8.84
D BB- (sf) 7.01
E B+ (sf) 5.55
F B (sf) 4.09
G CCC (sf) 2.45
SP-1 AA (sf) N/A
SP-2 A+ (sf) N/A
SP-3 A- (sf) N/A
SP-4 BBB+ (sf) N/A
SP-5 BBB (sf) N/A
SP-6 BB+ (sf) N/A
SP-7 B- (sf) N/A
X-CL AAA (sf) N/A
N/A-Not applicable.
LB-UBS COMMERCIAL 2004-C8: S&P Cuts Rating on Class G Notes to B+
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of commercial mortgage pass-throughcertificates from LB-
UBS Commercial Mortgage Trust 2004-C8, a U.S. commercial mortgage-
backed securities (CMBS) transaction. Concurrently, S&P affirmed
its ratings on eight other classes of certificates from the same
transaction, including the 'AAA (sf)' rating on the class X-CL
interest-only (IO) certificates.
"Our rating actions follow our analysis of the transaction
primarily using our criteria for rating U.S. and Canadian CMBS
transactions. Our analysis includeda review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust," S&P said.
The downgrade on the class G certificates reflects the current
liquidity available to the class. The lowered rating also took
into consideration the potential for liquidity reduction or
interest shortfalls as a result of corrected mortgage fees and
loans on the master servicer's watchlist transferring to the
special servicer.
The downgrades on the class H and J certificates reflect interest
shortfalls affecting the trust. S&P lowered its rating to 'D
(sf)' on class J due to its current interest shortfalls and its
expectation that the class will continue to experience interest
shortfalls. The class J certificates have experienced interest
shortfalls for nine consecutive months, and S&P believes the
accumulated interest shortfalls outstanding will not be repaid in
the foreseeable future. The class H certificates have also
experienced interest shortfalls for nine consecutive months, and
S&P may further lower its 'CCC- (sf)' rating on class H to 'D
(sf)' if the accumulated interest shortfalls .
As of the April 17, 2014, trustee remittance report, the trust
experienced net monthly interest shortfalls totaling $66,187. The
interest shortfalls were related to $45,442 in appraisal
subordinate entitlement reduction amounts, $17,137 in special
servicing fees, and $3,608 in workout fees. The current monthly
interest shortfalls affected all classes subordinate to and
including class H.
The affirmations on the principal and interest certificates
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, as well as the liquidity
available to support the classes.
While the credit enhancement levels may indicate that some of the
ratings on the affirmed classes could be raised, S&P considered
the potential for liquidity reduction, or interest shortfalls, as
a result of corrected mortgage fees and loans on the master
servicer's watchlist ($148.8 million, 33.4% of the pool balance)
transferring to the special servicer. Given the large balance of
loans on the master servicer's watchlist, which exhibits a high
concentration of top 10 loans, S&P is concerned about the
refinancing of the watchlist loans with near-term maturities.
The 'AAA (sf)' rating affirmation on the class X-CL IO
certificates reflect S&P's current criteria for rating IO
securities.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2004-C8
Commercial mortgage pass-through certificates
Rating
Class Identifier To
A-6 52108HU77 AAA (sf) AAA (sf)
A-J 52108HU85 AAA (sf) AAA (sf)
B 52108HU93 AA (sf) AA (sf)
C 52108HV27 A+ (sf) A+ (sf)
D 52108HV35 A (sf) A (sf)
E 52108HV43 A- (sf) A- (sf)
F 52108HV50 BBB (sf) BBB (sf)
G 52108HV68 B+ (sf) BB+ (sf)
H 52108HV76 CCC- (sf) B+ (sf)
J 52108HV84 D (sf) CCC+ (sf)
X-CL 52108HW91 AAA (sf) AAA (sf)
LEHMAN BROTHERS 2006-LLF: Fitch Cuts $24.1MM Class K Certs to Dsf
-----------------------------------------------------------------
Fitch Ratings has upgraded two classes and downgraded one class of
Lehman Brothers Floating Rate Commercial Mortgage Trust, series
2006-LLF C5.
Key Rating Drivers
The upgrades are primarily the result of increased credit
enhancement from the disposition of three loans since the prior
rating action, along with improved performance of the one
remaining loan. At the previous rating action, four loans
remained in the transaction; the final remaining loan in the trust
is secured by the Continental Grand II office property. The
downgrade of class K is due to realized losses from the
disposition of one loan, National Conference Center, which
formerly represented 9% of the pool.
Continental Grand II is a 238,388 square foot (sf) office building
located in the Superblock area of El Segundo, CA, within the
greater South Bay area of Los Angeles. Occupancy at the property
declined significantly in 2010 after a former tenant vacated 42.8%
of the net rentable area. Occupancy, which fell to as low as 50%,
has since recovered to 79% as of the March 2014 rent roll. The
servicer also indicated that the sponsor, Tishman Speyer Real
Estate Venture, continues to work on additional leasing prospects.
Average in-place rents at the property are approximately $29 psf,
which is inline with current market asking rates, per REIS.
Additionally, according to REIS, sub-market property sales
information indicates a mean sales trade estimate of $250 psf for
the trailing 12-month period. The securitized debt on the subject
property equates to roughly $149 psf, based on the net rentable
area, which is well under the comp set average.
Rating Sensitivities
Fitch modeled the loan cash flow based on the servicer provided YE
2013 net operating income, with an adjustment considered for
ongoing leasing costs. Continental Grand's hard maturity date
comes in August 2014, and it is expected the loan will refinance
on or prior to its maturity. The ratings are expected to remain
stable.
The final rated maturity for the transaction is September 1, 2021.
Fitch upgrades the following classes and assigns Outlooks as
indicated:
-- $7.5 million class H to 'Asf' from 'CCCsf'; Outlook Stable;
-- $3.7 million class J to 'BBBsf' from 'CCCsf'; Outlook Stable.
In addition, Fitch downgrades the following distressed class:
-- $24.1 million class K to 'Dsf' from 'CCsf'; RE 65%.
Furthermore, Fitch affirms the following distressed class:
-- $0 class L at 'Dsf'; RE 0%.
ML-CFC COMMERCIAL 2007-5: Moody's Affirms C Rating on 5 Certs
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on five classes
and affirmed the ratings on eight classes of ML-CFC Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-5 as follows:
Cl. A-1A, Upgraded to Aaa (sf); previously on Jun 6, 2013 Affirmed
Aa2 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Jun 6, 2013 Affirmed
Aa2 (sf)
Cl. A-4FL, Upgraded to Aaa (sf); previously on Jun 6, 2013
Affirmed Aa2 (sf)
Cl. AM-FL, Upgraded to Baa2 (sf); previously on Jun 6, 2013
Affirmed Ba1 (sf)
Cl. AM, Upgraded to Baa2 (sf); previously on Jun 6, 2013 Affirmed
Ba1 (sf)
Cl. AJ-FL, Affirmed Caa1 (sf); previously on Jun 6, 2013 Affirmed
Caa1 (sf)
Cl. AJ, Affirmed Caa1 (sf); previously on Jun 6, 2013 Affirmed
Caa1 (sf)
Cl. B, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. X, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on five P&I classes were upgraded based on an increase
in credit support resulting from loan paydowns, liquidations and
amortization as well as lower expected losses due to strengthening
real estate markets. The deal has paid down 14% since Moody's last
review.
The ratings on the seven P&I classes were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor) of its
referenced classes.
Moody's rating action reflects a base expected loss of 9.6% of the
current balance compared to 14.2% at Moody's last review. Although
base expected loss decreased significantly, 18 loans liquidated
with a total loss of $165 since the last review, which increased
the total realized losses to 6.1% from 2.4% at last review.
Moody's base expected loss plus realized losses is now 13.6% of
the original pooled balance compared to 15.3% 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 Fusion U.S. CMBS Transactions" published in
April 2005.
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 structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured 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
conduit portion of the pool has a Herf of 47 compared to 53 at
Moody's last review.
Deal Performance
As of the May 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 22% to $3.45
billion from $4.42 billion at securitization. The certificates are
collateralized by 251 mortgage loans ranging in size from less
than 1% to 23% of the pool, with the top ten loans constituting
43% of the pool. One loan, constituting less than 1% of the pool,
has an investment-grade structured credit assessment. Eight loans,
constituting 2% of the pool, have defeased and are secured by US
government securities.
Eighty-seven loans, constituting 27% 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-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $271 million (for an average loss
severity of 50%). Thirteen loans, constituting 30% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Peter Cooper Village and Stuyvesant Town (PCV/ST)
($800 million -- 23.2% of the pool), which represents a pari-passu
interest in a $3.0 billion first mortgage loan spread among five
separate CMBS deals. There is also $1.4 billion in mezzanine debt
secured by the borrower's interest. The loan is secured by two
adjacent multifamily apartment complexes with 11,229 units located
on the east side of Manhattan, New York that is managed by
CompassRock Real Estate.
The loan transferred to special servicing in November 2009 for
imminent default after the Court of Appeals upheld the Appellate
Division, First Department's reversal of an August 2007 decision
of the State Supreme Court, which held that properties receiving
tax benefits, including those pursuant to the J-51 program, be
permitted to decontrol rent stabilized apartments pursuant to New
York State rent stabilization laws. On April 10, 2013, the New
York State Supreme Court approved a settlement in the tenant's
class action lawsuit regarding improperly deregulated rent-
stabilized units and the special servicer anticipated full
implementation of the settlement would take approximately 18
months. In May 2014, the special servicer indicated it planned to
foreclose on a $300 million portion of the mezzanine debt. The
foreclosure sale is scheduled for June 13, 2014. The UCC sale is a
first step in any ultimate resolution for the asset.
Overall, property performance has improved significantly since the
end of 2011. The 2013 year net operating income (NOI) was $177.5
million which represented a 7% increase from 2012 and over a 33%
increase from 2011. The property was appraised for $3.4 billion in
September 2013 up from $3.2 in September 2012 and $3.0 in
September 2011. The whole loan currently has over $580 million in
cumulative ASERs. P&I and other advances to date. The special
servicer believes that the complete implementation of the April
2013 settlement and continued recovery from Hurricane Sandy and
collection of the associated insurance claim are prerequisites to
optimal capital recovery.
The remaining twelve specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $204.4 million
loss for the specially serviced loans (20% expected loss on
average).
Moody's has assumed a high default probability for 35 poorly
performing loans, constituting 10% of the pool, and has estimated
an aggregate loss of $70.8 million (a 21% expected loss on
average) from these troubled loans.
Moody's received full year 2012 operating results for 95% of the
pool, and full or partial year 2013 operating results for 92% of
the pool. Moody's weighted average conduit LTV is 103% compared to
104% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 8% 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 1.37X and 1.05X,
respectively, compared to 1.40X and 1.05X 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 structured credit assessment is the FRIS Chicken
Portfolio Loan ($20.7 million -- 0.6% of the pool), which
represents a pari-passu interest in a $41.4 million first mortgage
loan, is secured by 192 Church's Chicken restaurants located in 12
states. Moody's structured credit assessment and stressed DSCR are
a3 (sca.pd) and 2.72X, respectively, compared to a3 (sca.pd) and
2.59X at the prior review.
The top three conduit loans represent 10.7% of the pool. The
largest conduit loan is the Tower 45 Loan ($170.0 million -- 4.9%
of the pool), which is secured by a 444,000 square foot (SF)
office building located in the Times Square/Theater District
submarket in Manhattan, New York. The property was 83% leased as
of December 2013 compared to 79% at last review and 87% in 2011.
The largest tenant is D.E. Shaw & Company, which has leases
representing 17% of the net rentable area (NRA) expiring in March
2021 and 6% of the NRA expiring in May 2015. The increase in
vacancy since 2011 is attributed to D.E. Shaw & Company vacating
over 94,000 SF in 2011. The loan is on the watchlist due to low
DSCR, but the borrower has been actively marketing the vacant
space for lease. The loan is interest only for its entire ten-year
term. Moody's LTV and stressed DSCR are 109% and 0.84X, the same
as at last review.
The second largest conduit loan is the Hotel Gansevoort Loan
($116.0 million -- 3.4% of the pool), which is secured by a 187-
key full service boutique hotel located in the Meatpacking
District in Manhattan, New York. The loan is currently on the
servicer's watchlist for low DSCR. Property performance declined
significantly between 2008 and 2009 but started to rebound in 2010
as the hospitality market in New York improved. Occupancy and
RevPAR for the trailing twelve months as of March 2014 were 85.6%
and $350.27, respectively, compared to 84.6% and $347.20 the prior
year. Moody's LTV and stressed DSCR are 112% and 0.99X,
respectively, compared to 111% and 1.00X at last review.
The third largest conduit loan is the Renaissance Austin Hotel
Loan ($83.0 million -- 2.4% of the pool), which is secured by a
492-key full service hotel located in Austin, Texas. Property
performance declined from 2008 through 2012 but has rebounded
significantly in 2013. Renovations to all guestrooms and the lobby
totaling approximately $13 million were completed in 2012. In
2013, occupancy and RevPAR were 67.6% and $107.71, respectively,
compared to 64.6% and $95.81 the previous year. This loan was
previously on the watchlist due to low DCSR but was removed in
August 2013. The loan is interest-only throughout the entire term
and Moody's LTV and stressed DSCR are 122% and 0.96X,
respectively, compared to 135% and 0.86X at last review.
ML-CFC COMMERCIAL 2007-6: Moody's Affirms C Rating on 8 Certs.
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 20 classes
of ML-CFC Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2007-6 as follows:
Cl. A-1A, Affirmed Aa3 (sf); previously on Jun 6, 2013 Affirmed
Aa3 (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. A-2FL, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aa3 (sf); previously on Jun 6, 2013 Affirmed Aa3
(sf)
Cl. AM, Affirmed Ba1 (sf); previously on Jun 6, 2013 Affirmed Ba1
(sf)
Cl. AJ, Affirmed Caa1 (sf); previously on Jun 6, 2013 Affirmed
Caa1 (sf)
Cl. AJ-FL, Affirmed Caa1 (sf); previously on Jun 6, 2013 Affirmed
Caa1 (sf)
Cl. B, Affirmed Caa2 (sf); previously on Jun 6, 2013 Affirmed Caa2
(sf)
Cl. C, Affirmed Caa3 (sf); previously on Jun 6, 2013 Affirmed Caa3
(sf)
Cl. D, Affirmed Ca (sf); previously on Jun 6, 2013 Affirmed Ca
(sf)
Cl. E, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. X, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on P&I classes A-1A through AM 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 remaining 13 P&I classes
were affirmed because the ratings are consistent with Moody's
expected loss.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor) of its
referenced classes.
Moody's rating action reflects a base expected loss of 16.2% of
the current balance compared to 17.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 15.8% of
the original pooled balance compared to 15.7% 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 structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured 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 27 compared to 30 at Moody's last review.
Deal Performance
As of the May 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 14% to $1.84
billion from $2.15 billion at securitization. The certificates are
collateralized by 129 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans constituting 47%
of the pool. Two loans, constituting 2% of the pool, have defeased
and are secured by US government securities.
Thrity-four loans, constituting 13% 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.
Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $39.9 million (for an average loss
severity of 57%). Fifteen loans, constituting 24% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Peter Cooper Village and Stuyvesant Town (PCV/ST)
($202.3 million -- 11.0% of the pool), which represents a pari-
passu interest in a $3.0 billion first mortgage loan spread among
five separate CMBS deals. There is also $1.4 billion in mezzanine
debt secured by the borrower's interest. The loan is secured by
two adjacent multifamily apartment complexes with 11,229 units
located on the east side of Manhattan, New York that is managed by
CompassRock Real Estate.
The loan transferred to special servicing in November 2009 for
imminent default after the Court of Appeals upheld the Appellate
Division, First Department's reversal of an August 2007 decision
of the State Supreme Court, which held that properties receiving
tax benefits, including those pursuant to the J-51 program, be
permitted to decontrol rent stabilized apartments pursuant to New
York State rent stabilization laws. On April 10, 2013, the New
York State Supreme Court approved a settlement in the tenant's
class action lawsuit regarding improperly deregulated rent-
stabilized units and the special servicer anticipated full
implementation of the settlement would take approximately 18
months. In May 2014, the special servicer indicated it planned to
foreclose on a $300 million portion of the mezzanine debt. The
foreclosure sale is scheduled for June 13, 2014. The UCC sale is a
first step in any ultimate resolution for the asset.
Overall, property performance has improved significantly since the
end of 2011. The 2013 year net operating income (NOI) was $177.5
million which represented a 7% increase from 2012 and over a 33%
increase from 2011. The property was appraised for $3.4 billion in
September 2013 up from $3.2 in September 2012 and $3.0 in
September 2011. The whole loan currently has over $580 million in
cumulative ASERs, P&I and other advances to date. The special
servicer believes that the complete implementation of the April
2013 settlement and continued recovery from Hurricane Sandy and
collection of the associated insurance claim are prerequisites to
optimal capital recovery.
The second largest specially serviced loan is the Blackpoint
Puerto Rico Retail Loan ($84.7 million -- 4.6% of the pool) which
is secured by six retail properties located throughout Puerto
Rico. The properties range in size from 59,000 to 306,000 square
feet (SF) and total 855,000 SF. The portfolio was 76% leased as of
June 2012. The loan transferred to special servicing in February
2012 due to imminent maturity default when the borrower was unable
to pay off the loan at maturity. The loan is paid through January
2014 and the special servicer indicated discussions with Borrower
regarding a resolution are ongoing.
The remaining 13 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $129.6 million loss
for the specially serviced loans (29% expected loss on average).
Moody's has assumed a high default probability for 18 poorly
performing loans, constituting 19% of the pool, and has estimated
an aggregate loss of $135.7 million (39% expected loss based on
average) from these troubled loans. Moody's troubled loans include
the modified B-notes from both the MSKP Retail Portfolio -- A Loan
and MSKP Retail Portfolio -- B Loan.
Moody's received full year 2012 operating results for 97% of the
pool, and full or partial year 2013 operating results for 99% of
the pool. Moody's weighted average conduit LTV is 104% compared to
103% at Moody's last review. Moody's conduit component excludes
defeased loans, 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 9.3%.
Moody's actual and stressed conduit DSCRs are 1.43X and 1.01X,
respectively, the same as at 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 loans represent 19% of the pool. The
largest performing conduit loan is the A-Note related to the MSKP
Retail Portfolio - A Loan ($130.3 million-- 7.1% of the pool),
which is secured by eight retail properties located throughout
four separate markets in Florida. The properties range in size
from 63,000 to 230,000 SF and total 1.28 million SF. The loan
transferred to special servicing in March 2011 due to imminent
monetary default and a loan modification was executed in March
2012. Terms of the modification include a bifurcation of the
original loan into a $130.3 million A-Note and $93.1 million B-
Note along with an extension of the maturity date of two years to
March 2019. The new B-Note has a 0% pay rate and has created
ongoing interest shortfalls to the trust in the amount of
approximately $435,000 per month. The loan returned to the master
servicer in November 2012 and is performing under the modified
terms. The portfolio was 81% leased as of December 2013 compared
to 78% at last review. Moody's considers the $93.1 million B-Note
a troubled loan and recognized a significant loss against it.
Moody's LTV and stressed DSCR for the modified A-Note are 124% and
0.81X, respectively, compared to 135% and 0.74X at last review.
The second largest performing conduit loan is the Southpark Mall
Loan ($150.0 million -- 8.1% of the pool), which is secured by a
887,000 SF portion of a 1.6 million SF regional mall in
Strongsville, Ohio. The loan was formally known as Westfield
Southpark but a majority interest in the property was acquired by
Starwood Capital Group as part of a portfolio sale in 2012. Non-
owned anchors include Dillard's, Macy's, Sears and JC Penney. As
of December 2013, the collateral portion was essentially 100%
leased compared to 97% at last review. The loan is interest only
throughout its term. Moody's LTV and stressed DSCR are 90% and
1.11X, respectively, compared to 87% and 1.15X at last review.
The third largest performing loan is the Steuart Industrial
Portfolio Loan ($63.6 million -- 3.5% of the pool), which is
secured by ten industrial buildings located in three industrial
parks. Nine of the buildings are located in northern Virginia
(eight of which are in the Woodbridge submarket) and one in
Maryland. The portfolio was 84% leased as of December 2013
compared to 94% at last review, however, the largest property
(representing 23% of the portfolio's NRA) was leased to a single
tenant that vacated at its lease expiration in December 2013.
Excluding this tenant, the portfolio is only be 62% leased. Due to
the decrease in occupancy Moody's expects the property performance
to decline in 2014 and views this as a troubled loan. Moody's LTV
and stressed DSCR are 166% and 0.59X, respectively, compared to
118% and 0.80X at last review.
MORGAN STANLEY 2003-IQ4: Moody's Cuts X-1 Certs Rating to Caa1
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on six classes,
affirmed the ratings on three classes and downgraded one class of
Morgan Stanley Capital I Inc., Commercial Mortgage Pass-through
Certificates, Series 2003-IQ4 as follows:
Cl. E, Upgraded to Aaa (sf); previously on May 30, 2013 Upgraded
to A1 (sf)
Cl. F, Upgraded to Aaa (sf); previously on May 30, 2013 Upgraded
to A2 (sf)
Cl. G, Upgraded to A1 (sf); previously on May 30, 2013 Upgraded to
Baa3 (sf)
Cl. H, Upgraded to Baa3 (sf); previously on May 30, 2013 Upgraded
to B1 (sf)
Cl. J, Upgraded to B2 (sf); previously on May 30, 2013 Upgraded to
Caa1 (sf)
Cl. K, Upgraded to B3 (sf); previously on May 30, 2013 Upgraded to
Caa2 (sf)
Cl. L, Affirmed C (sf); previously on May 30, 2013 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on May 30, 2013 Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on May 30, 2013 Affirmed C (sf)
Cl. X-1, Downgraded to Caa1 (sf); previously on May 30, 2013
Downgraded to B3 (sf)
Ratings Rationale
The ratings on the six P&I classes E through K were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 30% since
Moody's last review.
The ratings on the three P&I classes L through N 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 performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 6.9% of the
current balance compared to 11.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.3% of the
original pooled balance compared 1.9% 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 17 compared to 22 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 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 May 15, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $42.1
million from $727.8 million at securitization. The Certificates
are collateralized by 33 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans representing
64% of the pool.
There are eight loans, representing 18% of the pool, on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Four loans have been liquidated from the pool since securitization
resulting in an aggregate realized loss totaling $6.3 million
(average loss severity of 7%). There are currently three loans,
representing 30% of the pool, in special servicing. The largest
loan in special servicing is the North Mayfair Loan ($5.5 million
-- 13.1% of the pool). The loan is secured by a 100,000 square
foot (SF) office property located in Wauwatosa, Wisconsin. The
loan transferred to special servicing in August 2009 due to
maturity default. The loan is currently in default and the special
servicer is pursuing legal remedies through counsel. As of
December 2013, the property was 68% leased compared to 64% last
review.
The second specially serviced loan is the Spinnaker Plaza Loan
($4.3 Million -- 10.1% of the pool). The loan is secured by a
60,000 SF mixed use property located in Milford, Connecticut. The
loan transferred to special servicing in November 2013 due to
payment default. The property is controlled by a court appointed
reviver. Foreclosure is anticipated to be completed by the end of
May 2014.
The third specially serviced loan is the Executive Tower Loan
($2.6 million -- 6.3% of the pool). The loan is secured by 48,000
SF office property located in Omaha, Nebraska. The loan
transferred to special servicing in March 2013 as the result of
maturity default. A receiver was appointed to the property in
January 2014. The property is currently listed for sale. As of
March 2014, the property was 31% leased. Moody's has estimated an
aggregate $2.1 million loss (30% expected loss) for two of the
specially serviced loans.
Moody's was provided with full year 2012 and full and partial year
and full year 2013 operating results for 92% and 72% of the
performing pool, respectively. Excluding specially serviced and
troubled loans, Moody's weighted average conduit LTV is 49%
compared to 45% at last review. Moody's net cash flow reflects a
weighted average haircut of 15.7% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed conduit DSCRs are 1.28X and 3.32X, respectively,
compared to 1.32X and 3.46X, respectively, at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 18% of the pool
balance. The largest conduit loan is the JAC Products Loan ($3.4
million -- 8.1% of the pool), which is secured by a 179,280 SF
office building located in Saline, Michigan. The property is 100%
leased to JAC Products (October 2015 lease expiration), the same
as at last review. The loan is fully amortizing and matures in
January 2019. Moody's LTV and stressed DSCR are 34% and 3.12X,
respectively, compared to 40% and 2.66X at last review.
The second largest conduit loan is the Timber Sound II Apartments
Loan ($2.3 million -- 5.4% of the pool) which is secured by a 160-
unit apartment complex located in Orlando, Florida. The property
was 79% leased as of December 2013 compared to 73% at last review.
Property performance increased significantly due to higher
occupancy over prior years. Moody's LTV and stressed DSCR are 59%
and 1.65X, respectively, compared to 85% and 1.15X at last review.
The third largest conduit loan is the Plainview Commons Loan ($2.0
million -- 4.8% of the pool) which is secured by a 33,300 SF
retail property located in Plainview, New York. The property
includes a hair salon, nail salon, dance center and Quiznos. The
loan matures in February 2023 and is fully amortizing. Moody's LTV
and stressed DSCR are 44% and 2.58X, respectively, compared to 43%
and 2.62X at last review.
MORGAN STANLEY 2001-PPM: S&P Raises Rating on Class H Notes to BB+
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on classes
F, G, H, and J commercial mortgage pass-through certificates from
Morgan Stanley Dean Witter Capital I Trust 2001-PPM, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
The rating actions follow 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 all of the remaining loans in
the pool, the transaction's structure, and the liquidity available
to the trust.
The upgrades reflect S&P's expected available credit enhancement
for the affected tranche, which S&P believes is greater than its
most recent estimate of necessary credit enhancement for the
respective rating levels. The upgrades also reflect S&P's view
regarding the current and future performance of the transaction's
collateral, as well as the deleveraging of the trust balance.
TRANSACTION SUMMARY
As of the April 15, 2014, trustee remittance report, the
collateral pool had an aggregate pooled trust balance of $23.3
million, down from $623.6 million at issuance. The pool includes
14 loans, down from 132 at issuance. Using servicer-reported
numbers, S&P calculated a Standard & Poor's weighted average debt
service coverage (DSC) ratio of 1.40x and a Standard & Poor's
weighted average loan-to-value (LTV) of 26.7%. To date, the
transaction has experienced losses totaling $14.9 million (2.4% of
the transaction's original pooled certificate balance).
Currently, there are no loans with the special servicer, PPM
Finance Inc.
While available credit enhancement levels may suggest further
positive rating movements on all classes in the transaction, S&P's
analysis also considered the historical interest shortfall
incurred by these classes and the reduced liquidity support
available to these classes.
Details on the pool's two largest loans are as follows:
-- The Crabtree Crossing Apartments loan ($6.3 million; 27.2%)
is the largest loan in the remaining pool, and is secured by
a 208-unit apartment complex in Morrisville, N.C., about 15
miles west of Raleigh.
-- The most recent DSC ratio reported by the master servicer,
Berkadia Commercial Mortgage LLC (Berkadia), was 1.27x for
the nine months ended Sept. 30, 2013. Occupancy was 95.7%
for the same reporting period.
-- The Vons at Eastgate loan ($3.0 million; 12.8%) is the
second-largest loan in the remaining pool, and is secured by
a single tenant, Vons supermarket, which occupies 55,164 sq.
ft. of retail space in Garden Grove, Calif., in northern
Orange County. Berkadia reported a DSC ratio of 1.33x and
occupancy of 100% as of Dec. 31, 2012.
Berkadia reported two loans ($1.6 million; 6.9%) on its watchlist.
These include:
-- Freedom Centre (920,279; 4.0%) is the ninth-largest loan in
the pool and the largest loan on the master servicer's
watchlist. The loan consists of a 93,731-sq.-ft. retail
property located in Watsonville, Calif. The loan appears on
the master servicer's watchlist due to low DSC as a result
of increased real estate taxes, property insurance,
utilities, repair and maintenance, and management fee
expenses. Berkadia reported a DSC ratio of 3.4x and
occupancy of 92.2% as of Dec. 31, 2012.
-- One Willow Creek Office Building ($685,012; 2.9%) is the
second loan on the master servicer's watchlist. The loan is
secured by a 33,151-sq.-ft. office building located in
Beaverton, Ore. The loan appears on the master servicer's
watchlist due to low DSC as a result of increased real
estate taxes, property insurance, utilities, repair and
maintenance, and management fee expenses. Berkadia reported
a DSC ratio of 1.14x and occupancy of 95.8% for the nine
months ended Sept. 30, 2013.
RATINGS RAISED
Morgan Stanley Dean Witter Capital I Trust 2001-PPM
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
F AA+ (sf) A (sf) 99.91
G AA- (sf) BB+ (sf) 63.13
H BB+ (sf) B- (sf) 23.02
J B (sf) CCC (sf) 9.65
MORGAN STANLEY 2004-HQ4: Fitch Cuts Cl. H Certs Rating to 'Csf'
---------------------------------------------------------------
Fitch Ratings has downgraded one distressed class, upgraded two
classes, and affirmed 12 classes of Morgan Stanley Capital I
Trust's (MSCI) commercial mortgage pass-through certificates,
series 2004-HQ4.
Key Rating Drivers
The upgrades are a result of increased credit enhancement from
principal paydown as well as defeased loans with upcoming
maturities. The downgrade of the distressed class is the result
of losses being realized since last review. Fitch modeled losses
of 5.7% of the remaining pool; expected losses on the original
pool balance total 4.9%, including $49.3 million (3.6% of the
original pool balance) in realized losses to date. Fitch has
designated eight loans (9.2%) as Fitch Loans of Concern, which
includes one specially serviced asset (1.7%).
As of the May 2014 distribution date, the pool has 38 loans
remaining and the aggregate principal balance has been reduced by
77.6% to $307.5 million from $1.37 billion at issuance. Per the
servicer reporting, six loans (14.4% of the pool) are defeased.
Interest shortfalls are currently affecting classes H through Q.
The largest contributor to expected losses is a 44,206 square foot
(sf) mixed use retail/office property (1.7% of the pool), located
in Glendale, California. The loan was transferred to the special
servicer in March 2014 due imminent default caused by a drop in
occupancy. Occupancy recently dropped to 20% after a tenant
occupying 39% of the net rentable area (NRA) vacated. The
borrower has hired CBRE to market and lease up the space.
According to the servicer the strategy is to dual track
foreclosure and forbearance discussions.
The next largest contributor to expected losses is a 53,265 sf
unanchored retail property (3.4%) located in Valencia, California.
The occupancy as of March 2014 was 83.6% with the possibility for
28% rollover through 2015. The net operating income (NOI) debt
service coverage ratio (DSCR) as of year-end 2013 was 1.18x which
declined from 1.26x as of year-end 2012.
The third largest contributor to expected losses is a 352 unit
multifamily complex (2.7%) located in Cincinnati, Ohio. The NOI
DSCR as of year-end 2013 was 1.20x which declined from 1.52x as of
year-end 2012. According to the borrower the property is
struggling due to the large amount of vacancies from a reduction
in Section 8 traffic, an increase in bad debt from a lack of
quality tenants, and an increase in operating expenses.
The largest loan in the pool, Bank of America Plaza (54.8%), is a
1,385,251 sf 55 story office building located in downtown Los
Angeles, California. The occupancy as of December 2013 was
approximately 93% and very little rollover is expected through
2014. The NOI DSCR as of September 2013 was 2.26x and 2.19x as of
year-end 2012. The loan is set to mature in September 2014.
RATING SENSITIVITY
The Outlook on class C is revised to Positive as upgrades may be
possible with continued paydown and increased credit enhancement
as loans mature in 2014. Classes A-7, B, D, E, and F have Stable
Outlooks as no rating changes are expected. The Rating Outlook on
class G remains Negative as downgrades are possible if additional
loans transfer to special servicing or expected losses increase.
Although credit enhancement has increased due to amortization,
loan pay-offs and defeasance, the pool is becoming more
concentrated. In addition, almost 90% of the pool matures in 2014
and maturity defaults are possible.
Fitch downgrades the following class as indicated:
-- $12 million class H to 'Csf' from 'CCsf', RE 80%.
Fitch upgrades the following classes as indicated:
-- $195.8 million class A-7 to 'AAAsf' from 'AAsf', Outlook
Stable;
-- $15.4 million class B to 'AAsf' from 'Asf', Outlook Stable.
Fitch affirms the following classes and assigns or revises Rating
Outlooks as indicated:
-- $18.8 million class C at 'BBBsf', Outlook to Positive from
Stable;
-- $13.7 million class D at 'BBB-sf', Outlook Stable;
-- $24 million class E at 'BBsf', Outlook Stable;
-- $10.3 million class F at 'Bsf', Outlook to Stable from
Negative;
-- $12 million class G at 'B-sf', Outlook Negative;
-- $5.5 million class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%.
MORGAN STANLEY 2004-IQ8: Fitch Hikes Cl. Certs Rating to 'BBsf'
---------------------------------------------------------------
Fitch Ratings has upgraded four classes and affirmed nine classes
of Morgan Stanley Capital I Trust commercial mortgage pass-through
certificates series 2004-IQ8.
Key Rating Drivers
The upgrades are the result of increasing credit enhancement from
continued paydown and better than expected recoveries on
liquidated loans. The affirmations are due to sufficient credit
enhancement to offset increasing concentration risk; upgrades were
limited due to the tranche thinness of the subordinate classes.
As of the May 2014 distribution date, the pool's aggregate
principal balance has been reduced by 90.6% to $71.3 million from
$759.2 million at issuance. Fitch has designated 14 loans (29.4%)
as Fitch Loans of Concern, three loans (15.7%) are defeased, and
none of the loans are specially serviced. Interest shortfalls are
currently affecting classes H through O.
The ninth largest loan in the pool, 5100 Eastern Avenue is
considered a Fitch Loan of Concern. The loan is secured by a
42,021 square foot (sf) office building located in Commerce, CA in
Los Angeles County. In March 2014, the sole tenant, Roland Corp.,
had exercised to terminate half of their lease. The termination
option required Roland Corp. to make a termination payment which
was captured in an escrow account. The termination payment is
expected to cover any shortfalls to debt service payments through
maturity in August 2014, although refinance risk exists.
The largest contributor to expected losses is the Meridian Office
Building loan (1.9% of the pool), which is secured by a 30,582 sf
office building located in Tempe, AZ. The property has suffered
from poor performance over the last several years due to tenant
rollover and high market vacancies. As of year-end 2013, the
property was operating with negative cash flows, but has remained
current since issuance. The servicer reported occupancy was 48% as
of year-end 2013.
The next largest contributor to expected losses is the Big Creek
Plaza loan (1.1%), which is secured by a 12,333 sf unanchored
retail center located in Parma, OH, southwest of Cleveland. The
property has struggled with performance due to low occupancy and
declining revenues. The servicer reported occupancy and debt
service ratio (DSCR) was 59% and 0.72x, respectively, as of year-
end 2013. The loan has remained current since issuance and matures
in July 2014.
Rating Sensitivity
Rating Outlooks on classes B through E remain Stable due to
increasing credit enhancement and continued paydown. Although
credit enhancement is high for classes G and H, this can be eroded
quickly as there are several loans occupied by one or few tenants
which present binary risk.
Fitch upgrades the following classes and revises Rating Outlooks
as indicated:
-- $14.5 million class B to 'AAAsf' from 'AAsf', Outlook Stable;
-- $21.8 million class C to 'AAAsf' from 'Asf', Outlook to Stable
from Negative;
-- $7.6 million class D to 'BBBsf' from 'BBB-sf', Outlook to
Stable from Negative;
-- $8.5 million class E to 'BBsf' from 'Bsf', Outlook to Stable
from Negative;
Fitch affirms the following classes and assigns REs as indicated:
-- $4.7 million class F at 'CCCsf', RE 100%;
-- $6.6 million class G at 'CCsf', RE 100%;
-- $5.7 million class H at 'Csf', RE 95%.
-- $1.8 million class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-4 and A-5 certificates have paid in
full. Fitch does not rate the class O certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
MORGAN STANLEY 2005-RR6: Fitch Affirms CC Rating on Cl. A-J Notes
-----------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed 13 classes issued by
Morgan Stanley Capital I 2005-RR6 (MSCI 2005-RR6). The upgrades
are due to increased credit enhancement and expected near term
payoff of the A-3 notes. The affirmations reflect expected losses
to an increasingly concentrated underlying pool.
Key Rating Drivers
Since the last rating action in June 2013, approximately 20.7% of
the collateral has been downgraded and 9% has been upgraded a
weighted average of 1.24 and 2.24 notches, respectively.
Currently, 85.1% of the portfolio has a Fitch derived rating below
investment grade and 69.9% has a rating in the 'CCC' category and
below. This compares to 72% and 40.3%, respectively, at the last
rating action. Over this period, the transaction has received
$34.8 million in pay downs and has experienced $3.7 million in
principal losses.
This transaction was analyzed under the framework described in
Fitch's report, 'Global Rating Criteria for Structured Finance
CDOs' using the Portfolio Credit Model (PCM) for projecting future
default levels for the underlying portfolio. Fitch also analyzed
the structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Based on this analysis, the credit enhancements for
the class A-3 notes is consistent with the rating indicated below.
For classes A-J through F, Fitch analyzed each class' sensitivity
to the default of the distressed assets ('CCC' and below). Given
the high probability of default of the underlying assets and the
expected limited recovery prospects upon default, Fitch has
affirmed the class A-J note at 'CCsf' (indicating a probable
default). Similarly, Fitch has affirmed classes B through F at
'Csf' (indicating an inevitable default ).
The class G notes have experienced principal losses of
approximately 76.5% of their original balance while the classes H
through N notes have experienced complete principal losses. Thus,
the classes G through N notes have been affirmed at 'Dsf'.
Rating Sensitivities
In addition to the sensitivities noted above, the Stable Rating
Outlook on the class A-3 notes reflects Fitch's view that the
notes will continue to delever and be repaid in full.
MSCI 2005-RR6 is a static collateralized debt obligation (CDO)
that closed on Oct. 15, 2005. The current portfolio consists of 34
bonds from 21 CMBS transactions of which 79.5% were issued in 2002
and earlier and 20.5% were issued between 2003 and 2005.
Fitch has taken the following action as indicated:
-- $1,104,001 class A-3-FL notes upgraded to 'AAAsf' from
'BBB-sf'; Outlook Stable;
-- $2,034,141 class A-3-FX notes upgraded to 'AAAsf' from
'BBB-sf'; Outlook Stable;
-- $50,061,000 class A-J notes affirmed at 'CCsf';
-- $27,498,000 class B notes affirmed at 'Csf';
-- $14,102,000 class C notes affirmed at 'Csf';
-- $2,115,000 class D notes affirmed at 'Csf';
-- $8,461,000 class E notes affirmed at 'Csf';
-- $4,231,000 class F notes affirmed at 'Csf';
-- $1,493,209 class G notes affirmed at 'Dsf';
-- Class H notes affirmed at 'Dsf';
-- Class J notes affirmed at 'Dsf';
-- Class K notes affirmed at 'Dsf';
-- Class L notes affirmed at 'Dsf';
-- Class M notes affirmed at 'Dsf';
-- Class N notes affirmed at 'Dsf'.
NEW RESIDENTIAL 2014-1: S&P Assigns BB Rating on Class B-4 Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to New
Residential Mortgage Loan Trust 2014-1's $228.92 million mortgage-
backed notes series 2014-1.
The note issuance is backed by seasoned first-lien, fixed-rate
residential mortgage loans secured by one- to four-family
residences, condominiums, cooperatives, and planned-unit
developments.
The ratings reflect:
-- Loan characteristics that are similar to S&P's archetypical
pool, from a credit perspective, as reflected in the
collateral summary table and credit analysis;
-- The representations and warranties provider's financial
ability to meet potential repurchase claims; and
-- The credit enhancement provided, as well as the associated
structural deal mechanics.
RATINGS ASSIGNED
New Residential Mortgage Loan Trust 2014-1
Mortgage-backed notes series 2014-1(i)
Class Rating Amount Assumed
(mil. $) interest
rate (%)(ii)
A AAA (sf) 211.19 3.75
A-IO AAA (sf) Notional (ii)
B-1 AA (sf) 3.62 5.00
B1-IO AA (sf) Notional (iii)
B-2 A (sf) 3.85 5.25
B2-IO A (sf) Notional (iv)
B-3 BBB (sf) 3.15 Net WAC
B-4 BB (sf) 1.63 Net WAC
B-5 B (sf) 5.48 Net WAC
B-6 NR 4.43 Net WAC
A-1(v) AAA (sf) 211.19 Net WAC
B(v) NR 22.17 Net WAC
FB NR 0.41 N/A
(i) The notes are subject to a net WAC cap.
(ii) The interest rate on the class A-IO notes will be an annual
rate equal to the excess, if any, of the net WAC rate for such
payment date over 3.75%.
(iii) The interest rate for the class B1-IO notes will be a per
annum rate equal to the excess, if any, of the net WAC rate
for such payment date over 5.00%.
(iv) The interest rate for the class B2-IO notes will be a per
annum rate equal to the excess, if any, of the net WAC rate
for such payment date over 5.25%.
(v) The class A-1 and B notes are MACR notes.
WAC-Weighted average coupon.
IO-Interest only.
MACR-Modifiable and exchangeable note.
NR-Not rated.
N/A-Not applicable.
NEWMARK CAPITAL 2014-2: S&P Gives Prelim. BB- Rating on Cl E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to NewMark Capital Funding 2014-2 CLO Ltd./NewMark Capital
Funding 2014-2 CLO LLC's $363.00 million fixed- and floating-rate
notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of May 23,
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 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 0.29%-11.83%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
rated notes' outstanding balance.
PRELIMINARY RATINGS ASSIGNED
NewMark Capital Funding 2014-2 CLO Ltd./NewMark Capital Funding
2014-2 CLO LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 195.75
A-2A AAA (sf) 15.00
A-2B AAA (sf) 2.25
A-F AAA (sf) 28.00
A-X AAA (sf) 5.00
B-1 AA (sf) 27.00
B-F AA (sf) 24.00
C (deferrable) A (sf) 26.00
D (deferrable) BBB (sf) 20.00
E (deferrable) BB- (sf) 20.00
Subordinated notes NR 37.00
NR--Not rated.
NOMURA CRE 2007-2: Moody's Hikes Rating on Class A-2 Notes to B2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Nomura CRE CDO 2007-2, Ltd.:
Cl. A-1, Upgraded to A2 (sf); previously on Jul 3, 2013 Affirmed
Baa3 (sf)
Cl. A-2, Upgraded to B2 (sf); previously on Jul 3, 2013 Affirmed
Caa1 (sf)
Cl. A-R, Upgraded to A2 (sf); previously on Jul 3, 2013 Affirmed
Baa3 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. B, Affirmed Caa2 (sf); previously on Jul 3, 2013 Affirmed Caa2
(sf)
Cl. C, Affirmed Caa3 (sf); previously on Jul 3, 2013 Affirmed Caa3
(sf)
Cl. D, Affirmed Ca (sf); previously on Jul 3, 2013 Affirmed Ca
(sf)
Cl. E, Affirmed Ca (sf); previously on Jul 3, 2013 Affirmed Ca
(sf)
Cl. F, Affirmed Ca (sf); previously on Jul 3, 2013 Affirmed Ca
(sf)
Cl. G, Affirmed Ca (sf); previously on Jul 3, 2013 Affirmed Ca
(sf)
Cl. H, Affirmed C (sf); previously on Jul 3, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jul 3, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jul 3, 2013 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jul 3, 2013 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Jul 3, 2013 Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on Jul 3, 2013 Affirmed C (sf)
Cl. O, Affirmed C (sf); previously on Jul 3, 2013 Affirmed C (sf)
Ratings Rationale
Moody's has upgraded the ratings on the transaction because of
rapid amortization of the underlying collateral combined with the
redirection of interest to pay principal due the failure of par
value tests. Additionally, the increase in WARF is more than
offset by the increase in WARR on the remaining collateral pool.
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
CLO) transactions.
Nomura 2007-2 is a cash transaction whose reinvestment period
ended in February 2013. The transaction is backed by: i)
commercial real estate loans (76.4% of the pool); ii) b-notes
(14.8% of the pool); and iii) CRE CDO notes (8.8% of the pool). As
of the trustee's April 30, 2014 report, the aggregate note balance
of the transaction, including preferred shares, is $615.0 million,
down from $950.0 million at issuance.
The pool contains five assets totaling $95.9 million (25.4% of the
collateral pool balance) that are listed as defaulted securities
as of the trustee's April 30, 2014 report. Three of these assets
(27.4% of the defaulted balance) are CRE CDOs, one asset is a b-
note (58.4% of the defaulted balance), and one whole loan (14.2%
of the defaulted balance). While there have been limited realized
losses on the underlying collateral to date, Moody's does expect
moderate/significant losses to occur on the defaulted securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CLO 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 CLO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 5694,
compared to 5165 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%, the same as last review);
A1-A3 (0.0%, the same as last review); Baa1-Baa3 (0.0%, compared
to 0.8% at last review); Ba1-Ba3 (13.4%, compared to 3.1% at last
review); B1-B3 (10.3%, compared to 3.9% at last review); Caa1-C
(76.3% compared to 92.3% at last review).
Moody's modeled a WAL of 2.8 years, compared to 3.1 at last
review. The WAL is based on assumptions about extensions on the
underlying collateral.
Moody's modeled a fixed WARR of 55.3%, compared to 48.3% at last
review.
Moody's modeled a MAC of 19.2%, compared to 24.2% 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.
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. Reducing the
recovery rates of the entire collateral pool by 10% would result
in an average modeled rating movement on the rated notes of zero
to four notches (e.g., one notch down implies a ratings movement
of to Baa3 to Ba1). Increasing the recovery rate of the entire
collateral pool by 10% would result in an average modeled rating
movement on the rated notes of zero to three notches (e.g., one
notch up implies a ratings movement of Baa3 to Baa2).
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.
ONDECK 2014-1: DBRS Finalizes Rating of Class B Notes at 'BB'
-------------------------------------------------------------
DBRS Inc. has finalized its provisional ratings on the following
classes of notes issued by OnDeck Asset Securitization Trust LLC
2014-1:
-- Series 2014-1 Notes, Class A rated BBB (sf)
-- Series 2014-1 Notes, Class B rated BB (sf)
PHOENIX CLO III: S&P Affirms 'B+' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2, B, and C notes from Phoenix CLO III Ltd., a cash flow
collateralized loan obligation (CLO) transaction managed by Voya
Investment Management, formerly known as ING Alternative Asset
Management LLC. At the same time, S&P removed these ratings from
CreditWatch, where it had placed them with positive implications
on Feb. 21, 2014. S&P also affirmed its ratings on the class A-1,
D, and E notes from the same transaction.
Phoenix CLO III Ltd. was formerly known as Avenue CLO VI Ltd. The
transaction is currently in its amortization phase and is paying
down the class A-1 notes. The upgrades mainly reflect $132.8
million in paydowns to the class A-1 notes after the reinvestment
period ended in July 2013. In April 2014, the class A-1 notes'
outstanding balance was about 56% of the original balance.
S&P observed increased overcollateralization (O/C) available to
support the rated notes following the paydowns, according to the
April 2014 monthly trustee report:
-- The class A/B O/C ratio was 122.5%, up from 117.7% in
November 2012.
-- The class C O/C ratio was 113.5%, up from 110.9% in November
2012.
-- The class D O/C ratio was 107.3%, up from 106.0% in November
2012.
-- The class E O/C ratio was 103.39%, up from 102.96% in
November 2012.
S&P's affirmed ratings on the class A-1, D, and E notes reflect
adequate credit support available to the notes at their current
rating levels. The rating on the class E notes is driven by S&P's
largest obligor default test, a supplemental stress test it
introduced as part of its 2009 corporate criteria update.
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
Phoenix CLO III Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AAA (sf) AAA (sf) 18.58% AAA (sf)
A-2 AA+ (sf)/Watch Pos AAA (sf) 4.91% AAA (sf)
B AA- (sf)/Watch Pos AA+ (sf) 5.63% AA+ (sf)
C A- (sf)/Watch Pos A+ (sf) 4.20% A+ (sf)
D BBB (sf) BBB (sf) 1.17% BBB (sf)
E B+ (sf) BB+ (sf) 1.45% 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-2 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C A+ (sf) A (sf) A+ (sf) A+ (sf) A+ (sf)
D BBB (sf) BB+ (sf) BBB-(sf) BBB (sf) BBB (sf)
E BB+ (sf) B+ (sf) BB (sf) BB+ (sf) B+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P's biased defaults on the assets in the current collateral pool
with the highest spreads 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) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
B AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf)
C A+ (sf) A+ (sf) BBB- (sf) A+ (sf)
D BBB (sf) BB+ (sf) B+ (sf) BBB (sf)
E BB+ (sf) BB- (sf) CCC (sf) B+ (sf)
RATINGS LIST
Phoenix CLO III Ltd.
Rating
Class Identifier To From
A-1 05357WAA5 AAA (sf) AAA (sf)
A-2 05357WAC1 AAA (sf) AA+ (sf)/Watch Pos
B 05357WAE7 AA+ (sf) AA- (sf)/Watch Pos
C 05357WAG2 A+ (sf) A- (sf)/Watch Pos
D 05357WAJ6 BBB (sf) BBB (sf)
E 05357VAA7 B+ (sf) B+ (sf)
PNC MORTGAGE 2000-C1: Fitch Affirms 'D' Ratings on 5 Note Classes
-----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed five classes of
PNC Mortgage Acceptance Corp., series 2000-C1.
Key Rating Drivers
Fitch has upgraded class G as a result of increasing credit
enhancement and defeasance. The affirmations of the remaining
classes at 'Dsf' reflect losses already incurred on those classes.
Fitch modeled losses of 4.2% of the remaining pool; expected
losses on the original pool balance total 6.6%, including $52.2
million (6.5% of the original pool balance) in realized losses to
date. As of the May 2014 distribution date, the pool's aggregate
principal balance has been reduced by 98% to $15.7 million from
$801 million at issuance. There are 17 loans remaining in the
pool, of which Fitch has designated one loan (17.8%) as Fitch
Loans of Concern (FLOC). None of the loans are specially
serviced, five loans are defeased (25.9%), and 13 loans are
fully amortizing (63.7%). Interest shortfalls are currently
affecting classes H through O.
Given the pool's concentration, Fitch applied higher net operating
income and capitalization rate stresses in its analysis, with a
higher default probability scenario applied on the performing
loans. In addition Fitch had considered the impact of a full loss
on the largest loan in the pool - which would not adversely affect
the current rating recommendations due to sufficient credit
enhancement.
Rating Sensitivity
The Rating Outlook on class G remains Stable. Increasing credit
enhancement is expected for the class from the repayment of
defeased loans and on-going amortization. The rating will be
capped at 'Asf' for any future rating actions due to previous
interest shortfalls. According to Fitch's global criteria for
rating caps, Fitch will not assign or maintain 'AAAsf' or 'AAsf'
ratings for notes that it believes have a high level of
vulnerability to interest shortfalls or deferrals, even if
permitted under the terms of the documents.
The FLOC, and largest loan in the pool, is secured by 231 unit
multifamily property located in Dallas, TX (17.8% of the pool).
The property has struggled with occupancy and cash flow over the
past few years due to its high crime, and low income location.
The loan had previously transferred to special servicing in 2010
and 2011 due to payment default, and borrower requests for a loan
modification. In both instances, the borrower had brought the
loan current and the loan was returned back to the master servicer
without a modification.
Performance at the property has significantly improved over the
past year, with occupancy reporting at 91% as of March 2014,
compared to 73% in December 2012 and 58% in December 2011. The
net operating income (NOI) debt service coverage ratio (DSCR)
improved to 1.16x for year-end (YE) 2013, compared to 0.52x at YE
2012, and 0.12x at YE 2011. Based on servicer comments, the
borrower reported that occupancy has improved due to increased
marketing efforts.
Fitch upgrades the following class:
-- $7.7 million class G to 'Asf' from 'Bsf'; Outlook Stable.
Fitch affirms the following classes:
-- $7.9 million class H at 'Dsf'; RE 50%;
-- $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%.
The class A-1, A-2, B, C, D, E and F certificates have paid in
full. Fitch does not rate the class O certificates. The ratings
on class N and interest-only class X have previously been
withdrawn.
PREFERRED TERM XVI: Moody's Hikes Rating on 2 Note Classes to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Preferred Term Securities XVI, Ltd.:
$327,250,000 Floating Rate Class A-1 Senior Notes due March 23,
2035 (current outstanding balance of $210,701,728.78), Upgraded to
Baa1 (sf); previously on October 9, 2013 Upgraded to Baa3 (sf)
$69,900,000 Floating Rate Class A-2 Senior Notes due March 23,
2035, Upgraded to Ba1 (sf); previously on October 9, 2013 Upgraded
to Ba3 (sf)
$12,000,000 Fixed/Floating Rate Class A-3 Senior Notes due March
23, 2035, Upgraded to Ba1 (sf); previously on October 9, 2013
Upgraded to Ba3 (sf)
Preferred Term Securities XVI, Ltd., issued in December 2004, is a
collateralized debt obligation backed by a portfolio of bank and
insurance trust preferred securities.
Ratings Rationale
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's over-
collateralization ratios since the last action in October 2013.
The Class A-1 notes have paid down by approximately 7.12% (of
their original principal value) or $23.3 million since October
2013, using principal proceeds from the redemption of the
underlying assets and excess interest proceeds. The Class A-1
notes' par coverage has thus improved to 165.88% from 145.92%
since October 2013, by Moody's calculations. Based on the
trustee's 24 March 2014 report, the senior principal coverage test
was reported at 119.45% (limit 128.00%), versus 108.61% in
September 2013. Additionally, the Class B and Class C mezzanine
principal coverage tests are currently reported at 97.15% (limit
115%) and 78.51% (limit 107.00%) respectively, versus 89.67% and
73.42% in September 2013. Since the last action, $15.8 million of
principal proceeds used to pay down the Class A-1 notes came from
the redemption and partial redemption of two assets. Additionally,
$22.1 million of assets cured their deferrals.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par of $349.5
million, defaulted and deferring par of $195.3 million, a weighted
average default probability of 29.92% (implying a WARF of 1685), a
Moody's Asset Correlation of 14.63%, and a weighted average
recovery rate upon default of 8.96%. In addition to the
quantitative factors Moody's explicitly models, qualitative
factors are part of rating committee considerations. Moody's
considers the structural protections in the transaction, the risk
of an event of default, recent deal performance under current
market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs," published in May 2011.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's current expectations could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Note
repayments that are faster than Moody's current expectations could
have a positive impact on the notes' ratings, beginning with the
notes with the highest payment priority.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant
positive impact on the transaction's over-collateralization ratios
and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) or
credit estimates. Moody's evaluates the sensitivity of the ratings
of the notes to the volatility of these credit assessments.
Loss and Cash Flow Analysis
Moody's modeled the transaction's portfolio using CDOROM(TM)
v.2.12-2 to develop the default distribution from which it derives
the Moody's Asset Correlation parameter. Moody's then used the
parameter as an input in a cash flow model using CDOEdge.
CDOROM(TM) v.2.12-2 is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The portfolio of this CDO contains trust preferred securities
issued by small to medium sized U.S. community banks that Moody's
does not rate publicly. To evaluate the credit quality of bank
TruPS that do not have public ratings, Moody's uses RiskCalc(TM),
an econometric model developed by Moody's Analytics, to derive
credit scores. Moody's evaluation of the credit risk of most of
the bank obligors in the pool relies on FDIC Q4-2013 financial
data. For insurance TruPS that do not have public ratings, Moody's
relies on the assessment of its Insurance team, based on the
credit analysis of the underlying insurance firms' annual
statutory financial reports.
In addition to the base case, Moody's conducted a number of
sensitivity analyses of the results to certain key factors driving
the ratings. Moody's analyzed the sensitivity of the model results
to changes in the portfolio WARF (representing an improvement or
deterioration in the credit quality of the collateral pool).
Increasing the WARF by 236 points from the base case of 1685
lowers the model-implied rating on the Class A-1 notes by one
notch from the base case result. Decreasing the WARF by 13 points
from the base case raises the model implied rating on the Class A-
1 notes by one notch.
Moody's also conducted two additional sensitivity analyses, as
described in "Sensitivity Analyses on Deferral Cures and Default
Timing for Monitoring TruPS CDOs," published in August 2012. In
the first analysis, Moody's gave par credit to banks that are
deferring interest on their TruPS but satisfy other credit
criteria and thus are highly likely to resume interest payments;
in this case, Moody's gave par credit to $12.5 million of bank
TruPS.
In the second sensitivity analysis, Moody's ran alternative
default-timing profile scenarios to reflect the lower likelihood
of a large spike in defaults. Below is a summary of the impact on
all of the rated notes (in terms of the difference in the number
of notches versus the current model-implied output, in which a
positive difference corresponds to a lower expected loss):
Sensitivity Analysis 1: Par Credit Given to Deferring Banks
Class A-1: +1
Class A-2: +1
Class A-3: +1
Class B: +2
Class C: 0
Sensitivity Analysis 2: Alternative Default Timing Profile
Class A-1: +1
Class A-2: +1
Class A-3: +1
Class B: +1
Class C: 0
PRUDENTIAL SECURITIES 1999-NRF1: Fitch Hikes J Certs Rating to BB
-----------------------------------------------------------------
Fitch Ratings has upgraded and revised the Rating Outlook on the
class J notes for Prudential Securities Secured Financing Corp.'s
(Prudential) commercial mortgage pass-through certificates, series
1999-NRF1.
-- $3.4 million class J to 'BBsf' from 'B-sf'; Outlook to Stable
from Negative.
Key Rating Drivers
The upgrade is due to increased credit enhancement and stable
performance of the remaining collateral. Fitch modeled losses of
18.7% of the remaining pool; expected losses on the original pool
balance total 3.3%, including $28.8 million (3.1% of the original
pool balance) in realized losses to date.
There are six loans remaining in the pool, three are designated as
Fitch Loans of Concern (73.3%), which includes one specially
serviced asset (29.2%). As of the May 2014 distribution date, the
pool's aggregate principal balance has been reduced by 98.7% to
$11.7 million from $928.9 million at issuance. Interest shortfalls
are currently affecting classes K through M.
The largest loan in the pool (29.2%), is secured by a 66,000
square-foot flex industrial/office complex in Novi, MI. The
property continues to experience cash flow issues due to low
occupancy. As of March 2014, occupancy is approximately 20% as the
largest tenant vacated in 2013, but will continue to pay rent
until its July 2014 lease expiration. The special servicer is
pursuing foreclosure.
Rating Sensitivity
The upgrade to class J reflects the high credit enhancement to the
class. However, further upgrades will be limited as the pool is
highly concentrated; the remaining six loans are primarily secured
by properties located in tertiary markets. Three of the remaining
loans (26.5%) are fully amortizing and mature beginning in 2018.
The classes A-1, A-2, B, C, D, E, F, G and H have paid in full.
Fitch does not rate the class K, L and M certificates. Fitch
previously withdrew the rating on the interest-only class A-EC
certificates.
RBSGC 2006-B: Moody's Cuts Rating on Cl. A-1 Certs to Caa2
----------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
issued by RBSGC Structured Trust Pass-Through Certificates, Series
2008-B. The resecuritization is backed by Class IA-10 and Class
IA-12 issued by CitiMortgage Alternative Loan Trust 2007-A6 which
is backed by Alt-A collateral.
Complete rating actions are as follows:
Issuer: RBSGC Structured Trust Pass-Through Certificates, Series
2008-B
Cl. A-1, Downgraded to Caa3 (sf); previously on Feb 23, 2011
Downgraded to Caa2 (sf)
Ratings Rationale
The rating downgraded is primarily due to expected depletion of
credit support provided by Cl. A-2.
The principal methodology used in this rating was "Moody's
Approach to Rating Resecuritizations" published in February 2014.
The methodology used in determining the ratings of the underlying
bonds 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 6.3% in April 2014 from 7.5%
in April 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.
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.
TRAPEZA CDO IX: Moody's Raises Rating on 3 Note Classes to Caa3
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Trapeza CDO IX, Ltd.:
$162,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes due January 27, 2040 (current outstanding balance of
$115,155,999), Upgraded to A2 (sf); previously on April 4, 2013
Upgraded to A3 (sf)
$27,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes due January 27, 2040, Upgraded to Baa1 (sf);
previously on April 4, 2013 Upgraded to Ba1 (sf)
$23,000,000 Class A-3 Third Priority Senior Secured Floating
Rate Notes due January 27, 2040, Upgraded to Baa3 (sf);
previously on April 4, 2013 Upgraded to Ba2 (sf)
$23,000,000 Class B-1 Fourth Priority Secured Floating Rate
Notes due January 27, 2040 (current outstanding balance of
$23,287,926), Upgraded to Caa3 (sf); previously on April 4,
2013 Affirmed Ca (sf)
$10,000,000 Class B-2 Fourth Priority Secured Fixed/Floating
Rate Notes due January 27, 2040 (current outstanding balance of
$10,125,185), Upgraded to Caa3 (sf); previously on April 4,
2013 Affirmed Ca (sf)
$25,000,000 Class B-3 Fourth Priority Secured Fixed/Floating
Rate Notes due January 27, 2040 (current outstanding balance of
$25,881,846), Upgraded to Caa3 (sf); previously on April 4,
2013 Affirmed Ca (sf)
Trapeza CDO IX, Ltd., issued in January 2006, is a collateralized
debt obligation backed by a portfolio of bank and insurance trust
preferred securities (TruPS).
Ratings Rationale
The rating actions are primarily a result of the deleveraging of
the senior-most notes, an increase in the transaction's over-
collateralization ratios, and improvement in the credit quality of
the underlying portfolio since September 2013.
The Class A-1 notes have paid down by approximately 11% or $14
million since September 2013, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. The Class A-1 notes' par coverage has thus
improved to 194.61% from 179.74% since September 2013, by Moody's
calculations. Based on the trustee's 18 Apr 2014 report, the over-
collateralization ratio of the Class A-3 notes was 137.21% (limit
121.51%), versus 129.60% on September 30, 2013 and that of the
Class C notes, 94.23% (limit 101.57%), versus 91.13%. The Class A-
1 notes will continue to benefit from the diversion of excess
interest and the use of proceeds from redemptions of any assets in
the collateral pool. Moody's notes that the Class B notes have
been receiving interest payments and are no longer deferring
interest.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. The total par amount that Moody's
treated as having defaulted or deferring declined to $39 million
from $47 million in September 2013. In March 2014, one previously
deferring bank with a total par of $5 million has resumed making
interest payments on its TruPS.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par of $224.1
million, defaulted/deferring par of $38.5 million, a weighted
average default probability of 27.83% (implying a WARF of 1566), a
Moody's Asset Correlation of 16.06%, and a weighted average
recovery rate upon default of 8.30%. In addition to the
quantitative factors Moody's explicitly models, qualitative
factors are part of rating committee considerations. Moody's
considers the structural protections in the transaction, the risk
of an event of default, recent deal performance under current
market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs," published in May 2011.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector. Moody's maintains its stable outlook on the US insurance
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's current expectations could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Note
repayments that are faster than Moody's current expectations could
have a positive impact on the notes' ratings, beginning with the
notes with the highest payment priority.
4) Resumption of interest payments by deferring assets: A bank has
resumed making interest payments on its TruPS. The timing and
amount of deferral cures could have significant positive impact on
the transaction's over-collateralization ratios and the ratings on
the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) or
credit estimates. Moody's evaluates the sensitivity of the ratings
of the notes to the volatility of these credit assessments.
Loss and Cash Flow Analysis:
Moody's modeled the transaction's portfolio using CDOROM(TM)
v.2.12-2 to develop the default distribution from which it derives
the Moody's Asset Correlation parameter. Moody's then used the
parameter as an input in a cash flow model using CDOEdge.
CDOROM(TM) v.2.12-2 is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The portfolio of this CDO contains TruPS issued by small to medium
sized U.S. community banks and insurance companies that Moody's
does not rate publicly. To evaluate the credit quality of bank
TruPS that do not have public ratings, Moody's uses RiskCalc(TM),
an econometric model developed by Moody's Analytics, to derive
credit scores. Moody's evaluation of the credit risk of most of
the bank obligors in the pool relies on FDIC Q4-2013 financial
data. For insurance TruPS that do not have public ratings, Moody's
relies on the assessment of its Insurance team, based on the
credit analysis of the underlying insurance firms' annual
statutory financial reports.
In addition to the base case, Moody's conducted a number of
sensitivity analyses of the results to certain key factors driving
the ratings. Moody's analyzed the sensitivity of the model results
to changes in the portfolio WARF (representing an improvement or
deterioration in the credit quality of the collateral pool).
Increasing the WARF by 14 points from the base case of 1566 lowers
the model-implied rating on the Class A-1 notes by one notch from
the base case result; decreasing the WARF by 146 points raises the
model-implied rating on the Class A-1 notes by one notch from the
base case result.
Moody's also conducted one additional sensitivity analysis, as
described in "Sensitivity Analyses on Deferral Cures and Default
Timing for Monitoring TruPS CDOs," published in August 2012. In
this sensitivity analysis, Moody's ran alternative default-timing
profile scenarios to reflect the lower likelihood of a large spike
in defaults. Below is a summary of the impact on all of the rated
notes (in terms of the difference in the number of notches versus
the current model-implied output, in which a positive difference
corresponds to a lower expected loss):
Sensitivity Analysis: Alternative Default Timing Profile
Class A-1: +1
Class A-2: +1
Class A-3: +1
Class B-1: +1
Class B-2: +1
Class B-3: +1
WACHOVIA BANK 2004-C12: Fitch Raises Rating on Class J Notes to BB
------------------------------------------------------------------
Fitch Ratings has upgraded five and affirmed 10 classes of
Wachovia Bank Commercial Mortgage Trust, commercial mortgage pass-
through certificates, series 2004-C12 (WBCMT 2004-C12).
KEY RATING DRIVERS
The upgrades reflect an improvement in credit enhancement from
amortization and paydown from maturing loans. Since Fitch's last
rating action, the transaction experienced significant paydown as
nearly $455 million (43% of the original pool balance) either
liquidated or paid in full; realized losses increased by 0.1% of
the original pool balance. The affirmation of the remaining
classes reflects sufficient credit enhancement to offset Fitch
modeled losses and portfolio concentration. There are 35 loans
remaining out of the original 97 loans at issuance, of which 56%
of the pool is secured by retail loans.
Fitch modeled losses of 4.8% of the remaining pool; expected
losses on the original pool balance total 1.9%, including $9.7
million (0.9% of the original pool balance) in realized losses to
date. Fitch has designated 16 loans (57.9%) as Fitch Loans of
Concern, which includes two specially serviced assets (17.2%).
As of the April 2014 distribution date, the pool's aggregate
principal balance has been reduced by 79.9% to $213.8 million from
$1.06 billion at issuance. Per the servicing report, two loans
(6.4%) are defeased. Cumulative interest shortfalls are currently
affecting the unrated class P.
The largest contributor to modeled losses is the specially
serviced The Mall at Waycross loan (4.5%). The loan, which is
secured by a 380,982 square foot (sf) retail property located in
Waycross, GA, was recently transferred to special servicing in
January 2014 for imminent default. The borrower sent a hardship
letter indicating its inability to refinance the loan by the May
2014 maturity date. The special servicer has commenced due
diligence while preserving all of the lender's rights and
remedies.
As of the February 2014 rent roll, the property was 67.5% occupied
compared to 94.2% at issuance. The majority of the occupancy
decline was associated with Sear's (22.6% of property square
footage) closing its store in February 2010. The Sear's lease
expires in March 2020 and the space remains dark. According to
the latest rent roll, near-term lease rollover risk includes 1.7%
of the property square footage in 2014, 10.3% in 2015, and 48.4%
in 2016. The property is anchored by JC Penney and Belk, both
with lease expirations in August 2016. Two of the larger tenants,
Staples and the Georgia Theatre Corporation, have lease
expirations in February 2015 and August 2016, respectively.
The largest loan in the pool, The Eastdale Mall (12.8%),
transferred to special servicing in November 2013 for imminent
default. The loan is secured by 485,722 square feet of a 757,612
sf regional mall located in Montgomery, AL. As of the September
2013 rent roll, the overall mall occupancy was 90.7%; collateral
occupancy was 85.3%. The Eastdale Cinemas (6% of collateral
square footage) vacated the property in March 2013 after operating
on a month-to-month lease. JC Penney, one of the collateral
anchors, is currently on a month-to-month lease after its lease
expired in March 2012.
In December 2013, a modification eliminated the loan's June 2014
anticipated repayment date provisions and changed the final
maturity to December 2018 from June 2037 in exchange for extending
the lease of two of the mall's collateral anchor tenants, Sear's
and Belk. The borrower exercised lease extensions with Sear's to
February 2017 from September 2014 and with Belk to January 2018
from January 2015 by investing a combined $2 million. The loan is
expected to be returned to the master servicer. The loan's net
operating income debt service coverage ratio has declined to 1.39x
for the first six months of 2013 from 1.93x at issuance.
RATINGS SENSITIVITIES
Rating Outlooks on classes A-1A through G remain Stable due to
increasing credit enhancement and continued paydown. The Negative
Outlooks on classes H through M reflect the pool's concentration,
the thin nature of these classes, and the uncertainty surrounding
the workout and possibility for further underperformance of the
two specially serviced loans. Additional downgrades to the
distressed classes are possible as losses are realized.
Fitch has upgraded the following classes
-- $9.3 million class C to 'AAAsf' from 'AA+sf'; Outlook Stable;
-- $22.6 million class D to 'AAAsf' from 'AA-sf'; Outlook Stable;
-- $10.6 million class E to 'AAsf' from 'Asf'; Outlook Stable;
-- $12 million class F to 'Asf' from 'A-sf'; Outlook Stable;
-- $12 million class G to 'Asf' from 'BBB+sf'; Outlook Stable.
In addition, Fitch has affirmed the following classes:
-- $23.8 million class A-1A at 'AAAsf'; Outlook Stable;
-- $57.4 million class A-4 at 'AAAsf'; Outlook Stable;
-- $25.2 million class B at 'AAAsf'; Outlook Stable;
-- $13.3 million class H at 'BBB-sf'; Outlook Negative;
-- $4 million class J at 'BBsf'; Outlook Negative;
-- $2.7 million class K at 'BBsf'; Outlook Negative;
-- $5.3 million class L at 'Bsf'; Outlook Negative;
-- $4 million class M at 'B-sf'; Outlook Negative;
-- $2.7 million class N at 'CCCsf'; RE 100%;
-- $2.7 million class O at 'CCCsf'; RE 30%.
WACHOVIA BANK 2007-C30: Moody's Affirms C Rating on 12 Certs
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 21 classes
and upgraded the ratings on four classes of Wachovia Bank
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2007-C30 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. A-PB, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. A-1A, Upgraded to Aa1 (sf); previously on Jun 6, 2013 Affirmed
Aa3 (sf)
Cl. A-5, Upgraded to Aa1 (sf); previously on Jun 6, 2013 Affirmed
Aa3 (sf)
Cl. A-M, Upgraded to A3 (sf); previously on Jun 6, 2013 Affirmed
Baa1 (sf)
Cl. A-MFL, Upgraded to A3 (sf); previously on Jun 6, 2013 Affirmed
Baa1 (sf)
Cl. A-J, Affirmed B3 (sf); previously on Jun 6, 2013 Affirmed B3
(sf)
Cl. B, Affirmed Caa1 (sf); previously on Jun 6, 2013 Affirmed Caa1
(sf)
Cl. C, Affirmed Caa2 (sf); previously on Jun 6, 2013 Affirmed Caa2
(sf)
Cl. D, Affirmed Caa3 (sf); previously on Jun 6, 2013 Affirmed Caa3
(sf)
Cl. E, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. O, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. P, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. Q, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. X-C, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3
(sf)
Cl. X-W, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on P&I classes A-1A through A-MFL were upgraded based
on lower expected losses due to strengthening real estate markets.
The ratings on P&I classes A-3, A-4, A-PB 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 remaining 16 P&I classes were affirmed because
the ratings are consistent with Moody's expected loss.
The ratings on the two IO classes were affirmed based on the
credit performance (or the weighted average rating factor) of
their respective referenced classes.
Moody's rating action reflects a base expected loss of 11.4% of
the current balance compared to 13.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 11.2% of
the original pooled balance compared to 12.7% 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 structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured 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
conduit portion of the pool has a Herf of 24 compared to 21 at
Moody's last review.
Deal Performance
As of the May 16, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 14% to $6.81
billion from $7.90 billion at securitization. The certificates are
collateralized by 229 mortgage loans ranging in size from less
than 1% to 22% of the pool, with the top ten loans constituting
54% of the pool. Two loans, constituting less than 0.05% of the
pool, have defeased and are secured by US government securities.
Fifty loans, constituting 17% 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-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $110 million (for an average loss
severity of 47%). Twenty-eight loans, constituting 30% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Peter Cooper Village and Stuyvesant Town
(PCV/ST) ($1.5 billion -- 22.0% of the pool), which represents a
pari-passu interest in a $3.0 billion first mortgage loan spread
among five separate CMBS deals. There is also $1.4 billion in
mezzanine debt secured by the borrower's interest. The loan is
secured by two adjacent multifamily apartment complexes with
11,229 units located on the east side of Manhattan, New York that
is managed by CompassRock Real Estate.
The loan transferred to special servicing in November 2009 for
imminent default after the Court of Appeals upheld the Appellate
Division, First Department's reversal of an August 2007 decision
of the State Supreme Court, which held that properties receiving
tax benefits, including those pursuant to the J-51 program, be
permitted to decontrol rent stabilized apartments pursuant to New
York State rent stabilization laws. On April 10, 2013, the New
York State Supreme Court approved a settlement in the tenant's
class action lawsuit regarding improperly deregulated rent-
stabilized units and the special servicer anticipated full
implementation of the settlement would take approximately 18
months. In May 2014, the special servicer indicated it planned to
foreclose on a $300 million portion of the mezzanine debt. The
foreclosure sale is scheduled for June 13, 2014. The UCC sale is a
first step in any ultimate resolution for the asset.
Overall, property performance has improved significantly since the
end of 2011. The 2013 year net operating income (NOI) was $177.5
million which represented a 7% increase from 2012 and over a 33%
increase from 2011. The property was appraised for $3.4 billion in
September 2013 up from $3.2 in September 2012 and $3.0 in
September 2011. The whole loan currently has over $580 million in
cumulative ASERs, P&I and other advances to date. The special
servicer believes that the complete implementation of the April
2013 settlement and continued recovery from Hurricane Sandy and
collection of the associated insurance claim are prerequisites to
optimal capital recovery.
The second largest specially serviced loan is the Park Hyatt
Aviara Resort ($186.5 million -- 2.7% of the pool) which is
secured by a 329-key resort hotel located in Carlsbad, California.
The loan originally transferred to special servicing in January
2011 and a modification was executed which reduced the interest
rate (with future annual steps), extended the maturity date to
February 2017 and established an operating/debt service reserve.
The corrected loan returned to the master servicer in May 2011 but
subsequently transferred back to the special servicer in April
2013 due to imminent monetary default. As of the trailing twelve
month period ending October 2013 the property had an occupancy of
only 58.6% and RevPAR of $137.71. The special servicer indicated
they are in the process of completing a deed-in-lieu of
foreclosure.
The remaining 26 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $416.2 million loss
for the specially serviced loans (20% expected loss on average).
Moody's has assumed a high default probability for 27 poorly
performing loans, constituting 9% of the pool, and has estimated
an aggregate loss of $201.7 million (34% expected loss on average)
from these troubled loans. The high expected loss on the troubled
loans is partially due to the inclusion of over $102 million of B-
Notes from previously modified loans.
Moody's received full year 2012 and full or partial 2013 operating
results for 95% of the pool. Moody's weighted average conduit LTV
is 114% compared to 120% at Moody's last review. Moody's conduit
component excludes defeased loans, specially serviced and troubled
loans. Moody's net cash flow (NCF) reflects a weighted average
haircut of 9% to the most recently available net operating income
(NOI). Moody's value reflects a weighted average capitalization
rate of 8.8%.
Moody's actual and stressed conduit DSCRs are 1.32X and 0.87X,
respectively, compared to 1.23X and 0.82X 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 18% of the pool. The largest
conduit loan is the Five Times Square Loan ($536.0 million -- 7.9%
of the pool), which represents a 50% pari-passu interest in a
$1.07 billion senior first mortgage loan. The loan is secured by a
1.1 million square foot (SF) Class A office building located in
the Times Square submarket of Manhattan, New York. The property
has maintained 100% occupancy since securitization. The office
component represents 97% of the total building's net rentable area
(NRA) of which the majority is leased to Ernst and Young through
May 2022 and serves as its U.S. Headquarters. Property performance
improved significantly in 2013 due to a nearly 11% rent bump in
Ernst & Young lease that occurred in May 2012. The loan was
previously on the servicer's watchlist due to a low DSCR, but was
removed in 2013 when the in-place DSCR increased above 1.10X. The
loan is interest throughout the entire term. Moody's LTV and
stressed DSCR are 135% and 0.64X, respectively, compared to 136%
and 0.63X at last review.
The second largest conduit loan is the State Street Financial
Center Loan ($387.5 million -- 5.7% of the pool), which represents
a 50% pari-passu interest in a $775.0 million first mortgage loan.
The loan is secured by a 1.0 million SF Class A office building
located in the Financial District of Boston, Massachusetts. The
property is 100% leased to State Street Corporation (senior
unsecured rating: A1 -- stable outlook) through September 2023 and
serves as its headquarters. The loan is interest only throughout
its entire term. Moody's LTV and stressed DSCR are 137% and 0.69X,
respectively, compared to 130% and 0.73X at last review.
The third largest conduit loan is the 485 Lexington Avenue Loan
($315.0 million -- 4.6% of the pool), which represents a 70% pari-
passu interest in a $450.0 million first mortgage loan. The loan
is secured by a 915,000 SF Class A office building located near
Grand Central Station in Manhattan. The property was essentially
100% leased as of March 2013, which is the same as last review.
The largest tenants include Citibank, N.A. (32% of the NRA; lease
expiration February 2017) and Travelers Indemnity Company (19% of
the NRA; lease expiration August 2016). Nearly a third of
Citibank's space is subleased to Xerox Corp. The loan is interest
only throughout its entire term. Moody's LTV and stressed DSCR are
125% and 0.72X, respectively, compared to 129% and 0.67X at last
review.
WACHOVIA BANK 2007-C31: Moody's Hikes Cl. C Certs Rating to Caa2
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes and
upgraded eight classes of Wachovia Bank Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2007-C31 as
follows:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. A-PB, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed
Aaa (sf)
Cl. A-1A, Upgraded to Aaa (sf); previously on Jun 6, 2013 Affirmed
Aa2 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Jun 6, 2013 Affirmed
Aa2 (sf)
Cl. A-5, Upgraded to Aaa (sf); previously on Jun 6, 2013 Affirmed
Aa2 (sf)
Cl. A-5FL, Upgraded to Aaa (sf); previously on Jun 6, 2013
Affirmed Aa2 (sf)
Cl. A-M, Upgraded to A3 (sf); previously on Jun 6, 2013 Affirmed
Baa2 (sf)
Cl. A-J, Upgraded to B1 (sf); previously on Jun 6, 2013 Affirmed
B2 (sf)
Cl. B, Upgraded to B3 (sf); previously on Jun 6, 2013 Affirmed
Caa1 (sf)
Cl. C, Upgraded to Caa2 (sf); previously on Jun 6, 2013 Affirmed
Caa3 (sf)
Cl. D, Affirmed Ca (sf); previously on Jun 6, 2013 Affirmed Ca
(sf)
Cl. E, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. IO, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on eight P&I classes were upgraded based on an
increase in credit support resulting from loan paydowns,
liquidations and amortization as well as lower expected losses due
to strengthening real estate markets. The deal has paid down 8%
since Moody's last review.
The ratings on P&I classes A-2, A-3, A-PB 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 P&I classes D through M were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor) of its
referenced classes.
Moody's rating action reflects a base expected loss of 9.6% of the
current balance compared to 12.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 10.5% of the
original pooled balance compared to 12.3% 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 structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured 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 29 compared to 34 at Moody's last review.
Deal Performance
As of the May 16, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 19% to $4.75
billion from $5.85 billion at securitization. The certificates are
collateralized by 151 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten loans constituting
46% of the pool. Two loans, constituting less than 0.5% of the
pool, have defeased and are secured by US government securities.
Twenty-nine loans, constituting 18% 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, contributing
to an aggregate certificate realized loss of $154 million (for an
average loss severity of 30%). Nineteen loans, constituting 11% of
the pool, are currently in special servicing. The largest
specially serviced loan is the Peter Cooper Village and Stuyvesant
Town (PCV/ST) ($247.7 million -- 5.2% of the pool), which
represents a pari-passu interest in a $3.0 billion first mortgage
loan spread among five separate CMBS deals. There is also $1.4
billion in mezzanine debt secured by the borrower's interest. The
loan is secured by two adjacent multifamily apartment complexes
with 11,229 units located on the east side of Manhattan, New York
that is managed by CompassRock Real Estate.
The loan transferred to special servicing in November 2009 for
imminent default after the Court of Appeals upheld the Appellate
Division, First Department's reversal of an August 2007 decision
of the State Supreme Court, which held that properties receiving
tax benefits, including those pursuant to the J-51 program, be
permitted to decontrol rent stabilized apartments pursuant to New
York State rent stabilization laws. On April 10, 2013, the New
York State Supreme Court approved a settlement in the tenant's
class action lawsuit regarding improperly deregulated rent-
stabilized units and the special servicer anticipated full
implementation of the settlement would take approximately 18
months. In May 2014, the special servicer indicated it planned to
foreclose on a $300 million portion of the mezzanine debt. The
foreclosure sale is scheduled for June 13, 2014. The UCC sale is a
first step in any ultimate resolution for the asset.
Overall, property performance has improved significantly since the
end of 2011. The 2013 year net operating income (NOI) was $177.5
million which represented a 7% increase from 2012 and over a 33%
increase from 2011. The property was appraised for $3.4 billion in
September 2013 up from $3.2 in September 2012 and $3.0 in
September 2011. The whole loan currently has over $580 million in
cumulative ASERs, P&I and other advances to date. The special
servicer believes that the complete implementation of the April
2013 settlement and continued recovery from Hurricane Sandy and
collection of the associated insurance claim are prerequisites to
optimal capital recovery.
The remaining 18 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $141.3 million loss
for the specially serviced loans (28% expected loss on average).
Moody's has assumed a high default probability for 22 poorly
performing loans, constituting 13% of the pool, and has estimated
an aggregate loss of $146.5 million (23% expected loss on average)
from these troubled loans.
Moody's received full year 2012 operating results for 92% of the
pool, and full or partial year 2013 operating results for 91% of
the pool. Moody's weighted average conduit LTV is 117% compared to
121% at Moody's last review. Moody's conduit component excludes
defeased loans, specially serviced and troubled loans. Moody's net
cash flow (NCF) reflects a weighted average haircut of 6% to the
most recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.0%.
Moody's actual and stressed conduit DSCRs are 1.33X and 0.87X,
respectively, compared to 1.33X and 0.83X 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 represent 24% of the pool.
The largest performing conduit loan is the Five Times Square Loan
($536.0 million -- 11.3% of the pool), which represents a 50%
pari-passu interest in a $1.07 billion senior first mortgage loan.
The loan is secured by a 1.1 million square foot (SF) Class A
office building located in the Times Square submarket of
Manhattan, New York. The property has maintained 100% occupancy
since securitization. The office component represents 97% of the
total building's net rentable area (NRA) of which the majority is
leased to Ernst and Young through May 2022 and serves as its U.S.
Headquarters. Property performance improved significantly in 2013
due to a nearly 11% rent bump in Ernst & Young lease that occurred
in May 2012. The loan was previously on the servicer's watchlist
due to a low DSCR, but was removed in 2013 when the in-place DSCR
increased above 1.10X. The loan is interest throughout the entire
term. Moody's LTV and stressed DSCR are 135% and 0.64X,
respectively, compared to 136% and 0.63X at last review.
The second largest conduit loan is the A-Note related to the 666
Fifth Avenue Loan ($357.6 million -- 7.5% of the pool), which
represents a pari-passu interest in a $1.215 billion first
mortgage loan. In December 2011, as part of a modification, the
original loan was bifurcated into $1.1 billion A-Note and a $115
million B-Note. The B-Note interest was reduced to 0%, while the
A-Note interest pay rate was initially reduced to 3%. The current
A-Note pay rate is 4.5% and the pay rate increases annually until
it returns to the original 6.353%. The property was recapitalized
with $110 million of new equity as part of the modification. The
borrower contributed $30 million, while Vornado contributed $80
million. The loan is secured by a 1.5 million SF Class A office
building located in Midtown Manhattan, New York. The property was
87% leased as of March 2014 compared to 82% in September 2012 and
77% in December 2011. The loan returned to the master servicer in
March 2012 and is performing under the modified terms. Moody's
considers the B-Note ($37.4 million) as a troubled loan and
recognized a significant loss against it. Moody's LTV and stressed
DSCR for the modified A-Note are 138% and 0.63X, respectively
compared to 134% and 0.64X at last review.
The third largest conduit loan is the Mall at Rockingham Park Loan
($260.0 million -- 5.5% of the total pool), which is secured by a
382,000 SF portion of a 1.2 million SF regional mall in Salem, New
Hampshire. The property is the dominant mall in its trade area and
the non-collateral anchors include Sears, Macy's, J.C. Penney and
Lord & Taylor. The collateral was 95% leased as of December 2013
compared to 97% at the last review. Financial performance has been
stable over the past three years. The loan is interest only for
its entire ten-year term. Moody's LTV and stressed DSCR are 108%
and 0.85X, respectively, compared to 107% and 0.86X at last
review.
* Moody's Takes Action on $508MM of Alt-A RMBS Issued in 2005
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 13 tranches
and downgraded the rating of one tranche issued by miscellaneous
issuers. The tranches are backed by Alt-A RMBS loans issued in
2005.
Complete rating actions are as follows:
Issuer: GSAA Home Equity Trust 2005-6
Cl. A-3, Upgraded to Baa1 (sf); previously on Jul 24, 2013
Upgraded to Baa2 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Jul 24, 2013 Upgraded
to Caa2 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on May 11, 2010
Downgraded to C (sf)
Issuer: GSAA Home Equity Trust 2005-8
Cl. A-5, Upgraded to B1 (sf); previously on Jul 24, 2013 Upgraded
to B3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A6
Cl. I-A-1, Upgraded to Ba3 (sf); previously on Sep 4, 2013
Upgraded to B2 (sf)
Cl. I-A-2, Upgraded to Ca (sf); previously on Apr 1, 2010
Downgraded to C (sf)
Cl. II-A-4, Upgraded to Caa1 (sf); previously on Sep 4, 2013
Upgraded to Caa3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8
Cl. A-2A, Upgraded to B1 (sf); previously on Jul 24, 2013 Upgraded
to B3 (sf)
Cl. A-3A2, Upgraded to Ba3 (sf); previously on Apr 1, 2010
Downgraded to B2 (sf)
Cl. A-3A3, Upgraded to B2 (sf); previously on Aug 27, 2012
Confirmed at Caa1 (sf)
Cl. A-2B1, Upgraded to B1 (sf); previously on Aug 27, 2012
Upgraded to B3 (sf)
Cl. A-2B2, Upgraded to Caa1 (sf); previously on Jul 24, 2013
Upgraded to Caa3 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2005-AR5
Cl. B-1, Downgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to B2 (sf)
Issuer: Wells Fargo Alternative Loan 2005-2 Trust
Cl. M-1, Upgraded to B2 (sf); previously on Jul 26, 2013 Upgraded
to Caa1 (sf)
Ratings Rationale
The rating actions are a result of performance on the underlying
pools and reflect Moody's updated loss expectations on the pools.
The rating downgrade is due to the weak performance of the
underlying collateral. The ratings upgraded reflect the buildup of
credit enhancement to the underlying bonds through
overcollateralization and excess spread. Pool performance has
remained stable.
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 6.3% in April 2014 from 7.5%
in April 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 $2.2-Bil of RMBS by Various Issuers
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 85 tranches
and downgraded the ratings of four tranches from 32 transactions
issued by various issuers, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: HSBC Home Equity Loan Trust (USA) 2007-1
Cl. A-M, Downgraded to Aa2 (sf); previously on Aug 28, 2013
Downgraded to Aa1 (sf)
Cl. A-S, Downgraded to Aa1 (sf); previously on Aug 28, 2013
Confirmed at Aaa (sf)
Cl. M-1, Downgraded to A2 (sf); previously on Aug 28, 2013
Confirmed at A1 (sf)
Cl. M-2, Downgraded to Baa2 (sf); previously on Aug 28, 2013
Confirmed at A3 (sf)
Issuer: RAMP Series 2005-RS3 Trust
Cl. M-2, Upgraded to Baa2 (sf); previously on Jul 11, 2013
Upgraded to Ba1 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on Jul 11, 2013 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 11, 2013
Upgraded to Ca (sf)
Cl. M-5, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE7
Cl. I-A-1, Upgraded to B2 (sf); previously on Aug 7, 2013 Upgraded
to Caa1 (sf)
Issuer: RAMP Series 2005-EFC1 Trust
Cl. M-3, Upgraded to Baa1 (sf); previously on Jul 11, 2013
Upgraded to Baa2 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on Jul 11, 2013 Upgraded
to B1 (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2005-EFC2 Trust
Cl. M-3, Upgraded to A3 (sf); previously on Jul 11, 2013 Upgraded
to Baa1 (sf)
Cl. M-4, Upgraded to Baa3 (sf); previously on Jul 11, 2013
Upgraded to Ba2 (sf)
Cl. M-5, Upgraded to B3 (sf); previously on Aug 1, 2012 Confirmed
at Caa2 (sf)
Issuer: RAMP Series 2005-EFC3 Trust
Cl. M-3, Upgraded to A3 (sf); previously on Jul 11, 2013 Upgraded
to Baa2 (sf)
Cl. M-4, Upgraded to Baa3 (sf); previously on Jul 11, 2013
Upgraded to Ba3 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on Jul 11, 2013
Upgraded to Ca (sf)
Cl. M-6, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: RAMP Series 2005-EFC4 Trust
Cl. M-2, Upgraded to Baa1 (sf); previously on Jul 11, 2013
Upgraded to Baa3 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on Jul 11, 2013 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2005-EFC5 Trust
Cl. M-1, Upgraded to A3 (sf); previously on Jul 11, 2013 Upgraded
to Baa1 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Jul 11, 2013 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2005-EFC6 Trust
Cl. M-1, Upgraded to A3 (sf); previously on Jul 11, 2013 Upgraded
to Baa2 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Jul 11, 2013 Upgraded
to B3 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2005-RS1 Trust
Cl. A-I-4, Upgraded to Baa3 (sf); previously on Jul 11, 2013
Upgraded to Ba2 (sf)
Cl. A-I-5, Upgraded to Ba3 (sf); previously on Jul 11, 2013
Upgraded to B2 (sf)
Cl. A-I-6, Upgraded to Ba1 (sf); previously on Jul 11, 2013
Upgraded to Ba3 (sf)
Cl. M-I-1, Upgraded to Ca (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Cl. M-II-1, Upgraded to Ba1 (sf); previously on Aug 1, 2012
Upgraded to B1 (sf)
Issuer: RAMP Series 2005-RS2 Trust
Cl. M-2, Upgraded to A3 (sf); previously on Jul 11, 2013 Upgraded
to Baa2 (sf)
Cl. M-3, Upgraded to Baa3 (sf); previously on Jul 11, 2013
Upgraded to Ba3 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Jul 11, 2013 Upgraded
to Caa2 (sf)
Issuer: RAMP Series 2005-RS4 Trust
Cl. M-2, Upgraded to A3 (sf); previously on Jul 11, 2013 Upgraded
to Baa1 (sf)
Cl. M-3, Upgraded to Baa3 (sf); previously on Jul 11, 2013
Upgraded to Ba2 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on Jul 11, 2013 Upgraded
to B3 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2005-RS6 Trust
Cl. M-2, Upgraded to Baa1 (sf); previously on Jul 11, 2013
Upgraded to Baa3 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on Jul 11, 2013 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2005-RS7 Trust
Cl. A-3, Upgraded to Baa2 (sf); previously on Jul 11, 2013
Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on Jul 11, 2013 Upgraded
to B3 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2005-RS8 Trust
Cl. A-3, Upgraded to Baa2 (sf); previously on Jul 11, 2013
Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Jul 11, 2013 Upgraded
to Caa1 (sf)
Issuer: RAMP Series 2005-RZ3 Trust
Cl. M-2, Upgraded to Ba1 (sf); previously on Jul 11, 2013 Upgraded
to Ba3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Aug 1, 2012 Upgraded
to Caa2 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Jul 15, 2011
Downgraded to C (sf)
Issuer: RAMP Series 2006-EFC2 Trust
Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Caa2 (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2006-NC2 Trust
Cl. A-2, Upgraded to B2 (sf); previously on Apr 6, 2010 Downgraded
to Caa1 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RAMP Series 2006-RS4 Trust
Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Caa2 (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Jan 9, 2013 Upgraded
to Ca (sf)
Issuer: RAMP Series 2006-RZ2 Trust
Cl. A-2, Upgraded to Ba2 (sf); previously on Dec 2, 2013 Upgraded
to B1 (sf)
Cl. A-3, Upgraded to B1 (sf); previously on Dec 2, 2013 Upgraded
to B3 (sf)
Issuer: RAMP Series 2006-RZ3 Trust
Cl. A-2, Upgraded to Baa2 (sf); previously on Jul 15, 2011
Downgraded to Ba1 (sf)
Cl. A-3, Upgraded to Baa3 (sf); previously on Jul 20, 2012
Confirmed at Ba2 (sf)
Issuer: RASC Series 2005-AHL1 Trust
Cl. M-1, Upgraded to Baa3 (sf); previously on Jul 17, 2013
Upgraded to Ba2 (sf)
Issuer: RASC Series 2005-AHL3 Trust
Cl. A-2, Upgraded to Ba2 (sf); previously on Dec 2, 2013 Upgraded
to B1 (sf)
Cl. A-3, Upgraded to B3 (sf); previously on Dec 2, 2013 Upgraded
to Caa2 (sf)
Issuer: RASC Series 2005-KS11 Trust
Cl. M-1, Upgraded to Ba1 (sf); previously on Jul 17, 2013 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 17, 2013
Upgraded to Caa3 (sf)
Issuer: RASC Series 2005-KS12 Trust
Cl. M-1, Upgraded to Ba1 (sf); previously on Dec 2, 2013 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Dec 2, 2013 Upgraded
to Caa2 (sf)
Cl. A-3, Upgraded to Baa1 (sf); previously on Dec 2, 2013 Upgraded
to Baa2 (sf)
Issuer: RASC Series 2005-KS3 Trust
Cl. M-4, Upgraded to A3 (sf); previously on Nov 13, 2013 Upgraded
to Baa1 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on Nov 13, 2013 Upgraded
to B1 (sf)
Cl. M-6, Upgraded to B3 (sf); previously on Nov 13, 2013 Upgraded
to Caa2 (sf)
Issuer: RASC Series 2005-KS4 Trust
Cl. M-2, Upgraded to Baa3 (sf); previously on Nov 13, 2013
Upgraded to Ba3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Nov 13, 2013 Upgraded
to Caa1 (sf)
Issuer: RASC Series 2005-KS5 Trust
Cl. M-4, Upgraded to Baa1 (sf); previously on Nov 13, 2013
Upgraded to Baa2 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on Nov 13, 2013 Upgraded
to B1 (sf)
Cl. M-6, Upgraded to B2 (sf); previously on Nov 13, 2013 Upgraded
to Caa1 (sf)
Issuer: RASC Series 2005-KS7 Trust
Cl. M-3, Upgraded to Baa2 (sf); previously on Jul 17, 2013
Upgraded to Ba1 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on Jul 17, 2013 Upgraded
to B3 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on Jul 15, 2011
Upgraded to Ca (sf)
Issuer: RASC Series 2005-KS8 Trust
Cl. M-2, Upgraded to Baa1 (sf); previously on Dec 2, 2013 Upgraded
to Baa2 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on Dec 2, 2013 Upgraded
to B1 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Dec 2, 2013 Upgraded
to Caa1 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 5, 2013 Affirmed
C (sf)
Issuer: RASC Series 2005-KS9 Trust
Cl. M-3, Upgraded to Baa3 (sf); previously on Dec 2, 2013 Upgraded
to Ba2 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Dec 2, 2013 Upgraded
to Caa1 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 5, 2013 Affirmed
C (sf)
Issuer: RASC Series 2006-KS5 Trust
Cl. A-3, Upgraded to B3 (sf); previously on Apr 6, 2010 Downgraded
to Caa2 (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Jul 20, 2012
Upgraded to Ca (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations.The 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:
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 6.3% in April 2014 from 7.5%
in April 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 $2-Bil. RMBS Issued From 2005-2007
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 53 tranches
and downgraded the ratings of two tranches from 22 subprime RMBS
transactions, which are all backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1
Cl. M-1, Upgraded to Baa3 (sf); previously on Jul 26, 2013
Upgraded to Ba1 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on Jul 26, 2013 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Jul 26, 2013 Upgraded
to Caa2 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 26, 2013
Upgraded to Caa3 (sf)
Issuer: Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2
Cl. M-2, Upgraded to Baa3 (sf); previously on Jul 26, 2013
Upgraded to Ba1 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on Jul 26, 2013 Upgraded
to B3 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Jul 26, 2013 Upgraded
to Caa2 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 17, 2009
Downgraded to C (sf)
Issuer: Accredited Mortgage Loan Trust 2006-1
Cl. A-4, Upgraded to B3 (sf); previously on Jul 26, 2013 Upgraded
to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2006-2
Cl. 1A1, Upgraded to Ba3 (sf); previously on Aug 21, 2013 Upgraded
to B2 (sf)
Cl. 1A2, Upgraded to Caa2 (sf); previously on Aug 21, 2013
Upgraded to Ca (sf)
Cl. 2A4, Upgraded to Caa1 (sf); previously on Sep 11, 2012
Upgraded to Caa3 (sf)
Cl. 2A5, Upgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to C (sf)
Issuer: GSAMP Trust 2006-NC1
Cl. A-2, Upgraded to Ba3 (sf); previously on Jun 21, 2010
Downgraded to B3 (sf)
Cl. A-3, Upgraded to B3 (sf); previously on Jun 21, 2010
Downgraded to Caa3 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to C (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-WMC1
Cl. M-2, Upgraded to Ba2 (sf); previously on Aug 21, 2013 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Aug 21, 2013
Upgraded to Ca (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CH2
Cl. AF-2, Downgraded to Ca (sf); previously on Jul 14, 2010
Downgraded to Caa2 (sf)
Cl. AF-6, Downgraded to Ca (sf); previously on Jul 14, 2010
Downgraded to Caa3 (sf)
Cl. AV-3, Upgraded to Caa1 (sf); previously on Jul 14, 2010
Downgraded to Caa3 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2005-WMC1
Cl. M-2, Upgraded to Baa1 (sf); previously on Jul 31, 2013
Upgraded to Baa2 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Aug 22, 2012
Confirmed at Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-NC2
Cl. M-4, Upgraded to B1 (sf); previously on Aug 21, 2013 Upgraded
to B3 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-WMC1
Cl. A-1, Upgraded to Baa3 (sf); previously on Aug 21, 2013
Upgraded to Ba2 (sf)
Cl. A-2c, Upgraded to Caa1 (sf); previously on Sep 12, 2012
Upgraded to Caa3 (sf)
Issuer: Morgan Stanley Home Equity Loan Trust 2005-1
Cl. M-3, Upgraded to Baa3 (sf); previously on Aug 21, 2013
Upgraded to Ba1 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Aug 21, 2013 Upgraded
to Caa1 (sf)
Issuer: Morgan Stanley Home Equity Loan Trust 2005-3
Cl. M-2, Upgraded to Baa3 (sf); previously on Aug 21, 2013
Upgraded to Ba2 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Dec 28, 2010
Upgraded to Ca (sf)
Issuer: New Century Home Equity Loan Trust, Series 2005-1
Cl. M-2, Upgraded to B1 (sf); previously on Aug 2, 2013 Upgraded
to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 1, 2010
Downgraded to Caa3 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2005-2
Cl. M-2, Upgraded to Ba1 (sf); previously on Aug 2, 2013 Upgraded
to Ba2 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Aug 2, 2013 Upgraded
to Caa2 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2005-2
Cl. M-2, Upgraded to Ba1 (sf); previously on Jul 31, 2013 Upgraded
to Ba3 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Jul 31, 2013 Upgraded
to Caa2 (sf)
Issuer: Saxon Asset Securities Trust 2006-2
Cl. A-1, Upgraded to Ba1 (sf); previously on Aug 9, 2012 Confirmed
at Ba3 (sf)
Cl. A-2, Upgraded to Ba1 (sf); previously on Aug 9, 2012 Confirmed
at Ba3 (sf)
Cl. A-3C, Upgraded to Ba2 (sf); previously on Aug 9, 2012
Confirmed at Ba3 (sf)
Cl. A-3D, Upgraded to B1 (sf); previously on Aug 9, 2012 Confirmed
at B3 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Jul 16, 2010
Downgraded to Caa3 (sf)
Issuer: Saxon Asset Securities Trust 2007-4
Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 9, 2012
Confirmed at Caa3 (sf)
Issuer: Soundview Home Loan Trust 2006-WF2
Cl. A-1, Upgraded to Baa2 (sf); previously on Jul 11, 2013
Upgraded to Ba1 (sf)
Cl. A-2C, Upgraded to Baa1 (sf); previously on Jul 11, 2013
Upgraded to Baa3 (sf)
Cl. A-2D, Upgraded to Baa3 (sf); previously on Jul 11, 2013
Upgraded to Ba2 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jul 11, 2013 Upgraded
to Caa1 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Jun 17, 2010
Downgraded to C (sf)
Issuer: Structured Asset Investment Loan Trust 2005-2
Cl. M2, Upgraded to B1 (sf); previously on Aug 21, 2013 Upgraded
to Caa1 (sf)
Cl. M3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Investment Loan Trust 2005-3
Cl. M2, Upgraded to Ba1 (sf); previously on Aug 21, 2013 Upgraded
to Ba3 (sf)
Cl. M3, Upgraded to Caa2 (sf); previously on Aug 21, 2013 Upgraded
to Ca (sf)
Issuer: Structured Asset Investment Loan Trust 2005-6
Cl. M2, Upgraded to B1 (sf); previously on Aug 21, 2013 Upgraded
to B3 (sf)
Cl. M3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Investment Loan Trust 2005-HE1
Cl. M1, Upgraded to Baa1 (sf); previously on Aug 21, 2013 Upgraded
to Baa3 (sf)
Cl. M2, Upgraded to Caa2 (sf); previously on Jul 15, 2011
Downgraded to Ca (sf)
Ratings Rationale
The upgrade actions 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 actions of Cl. AF-2
and Cl. AF-6 from J.P. Morgan Mortgage Acquisition Trust 2006-CH2
are primarily a result of the change in principal priority for the
Group 1 senior bonds from sequential-pay to pro-rata pay upon the
recent depletion of the Group 1 mezzanine classes. The actions
reflect Moody's updated loss expectations on those 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 6.3% in April 2014 from 7.5%
in April 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 Hikes Ratings on $1BB of Subprime RMBS Issued 2005-2007
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 16 tranches
from 10 transactions issued by various trusts, backed by Subprime
mortgage loans.
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE12
Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 7, 2013 Upgraded
to Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE2
Cl. M-2, Upgraded to Caa3 (sf); previously on May 21, 2010
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10
Cl. I-A-2, Upgraded to B2 (sf); previously on Aug 7, 2013 Upgraded
to Caa1 (sf)
Cl. I-A-3, Upgraded to Caa1 (sf); previously on Aug 7, 2013
Upgraded to Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE6
Cl. I-A-1, Upgraded to B2 (sf); previously on Aug 7, 2013 Upgraded
to Caa1 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-CB2
Cl. AV, Upgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-WL1
Cl. I/II-M3, Upgraded to B1 (sf); previously on Aug 7, 2013
Upgraded to B3 (sf)
Cl. III-M2, Upgraded to Caa2 (sf); previously on Aug 7, 2013
Upgraded to Ca (sf)
Issuer: Nationstar Home Equity Loan Trust 2006-B
Cl. AV-3, Upgraded to Ba1 (sf); previously on Aug 9, 2013 Upgraded
to Ba3 (sf)
Cl. AV-4, Upgraded to B2 (sf); previously on Aug 9, 2013 Upgraded
to Caa1 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded
to C (sf)
Issuer: Nationstar Home Equity Loan Trust 2007-A
Cl. AV-3, Upgraded to B3 (sf); previously on Aug 9, 2013 Confirmed
at Caa2 (sf)
Cl. AV-4, Upgraded to Caa2 (sf); previously on Aug 9, 2012
Confirmed at Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2006-BC6
Cl. A4, Upgraded to Caa2 (sf); previously on Aug 20, 2012
Confirmed at Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC1
Cl. A4, Upgraded to B1 (sf); previously on Jul 22, 2013 Upgraded
to B3 (sf)
Cl. A5, Upgraded to Ca (sf); previously on Apr 12, 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 6.3% in April 2014 from 7.5%
in April 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 $1.19-Bil. RMBS Issued 2003 to 2007
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 35 tranches
from 18 transactions, and downgraded the ratings of 3 tranches
from 1 transaction, all backed by Subprime mortgage loans.
Complete rating action is as follows:
Issuer: Ameriquest Mortgage Securities Inc., Series 2003-13
Cl. M-1, Upgraded to Ba2 (sf); previously on Jul 31, 2013
Confirmed at B1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R4
Cl. M-3, Upgraded to B1 (sf); previously on Jul 15, 2013 Upgraded
to Caa1 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 15, 2013
Upgraded to Ca (sf)
Issuer: Argent Securities Inc., Series 2004-W2
Cl. M-2, Upgraded to B2 (sf); previously on Mar 18, 2011
Downgraded to B3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-16
Cl. 4-AV-4, Upgraded to B2 (sf); previously on Sep 20, 2012
Confirmed at Caa2 (sf)
Cl. MV-1, Upgraded to Caa3 (sf); previously on Apr 14, 2010
Downgraded to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC1
Cl. M-6, Upgraded to Ba3 (sf); previously on Jul 15, 2013 Upgraded
to B3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC2
Cl. M-4, Upgraded to Ba2 (sf); previously on Jul 30, 2013 Upgraded
to Ba3 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on Jul 30, 2013 Upgraded
to Caa2 (sf)
Issuer: Encore Credit Receivables Trust 2005-1
Cl. M-2, Upgraded to Ba2 (sf); previously on Sep 11, 2012
Confirmed at B1 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Jul 14, 2010
Downgraded to Caa2 (sf)
Cl. M-4, Upgraded to Ca (sf); previously on Jul 14, 2010
Downgraded to C (sf)
Issuer: Encore Credit Receivables Trust 2005-2
Cl. M-3, Upgraded to Ba3 (sf); previously on Oct 23, 2013 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 12, 2013
Affirmed C (sf)
Issuer: Encore Credit Receivables Trust 2005-3
Cl. M-3, Upgraded to Ba2 (sf); previously on Oct 23, 2013 Upgraded
to Ba3 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on Oct 23, 2013 Upgraded
to B3 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 14, 2013
Affirmed C (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF1
Cl. I-A, Upgraded to Baa3 (sf); previously on Aug 5, 2013 Upgraded
to Ba3 (sf)
Cl. II-A-3, Upgraded to Ba1 (sf); previously on Aug 5, 2013
Upgraded to B1 (sf)
Cl. II-A-4, Upgraded to Ba3 (sf); previously on Aug 5, 2013
Upgraded to B3 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Jul 18, 2011
Downgraded to C (sf)
Issuer: MASTR Asset Backed Securities Trust 2006-HE1
Cl. A-3, Upgraded to Baa2 (sf); previously on Jul 15, 2013
Upgraded to Ba1 (sf)
Cl. A-4, Upgraded to Ba1 (sf); previously on Jul 15, 2013 Upgraded
to Ba3 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on Jul 15, 2013
Upgraded to Ca (sf)
Issuer: Option One Mortgage Loan Trust 2005-3
Cl. M-2, Upgraded to Ba3 (sf); previously on Aug 9, 2012 Confirmed
at B3 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on Jul 18, 2011
Downgraded to Ca (sf)
Issuer: Option One Mortgage Loan Trust 2005-4
Cl. M-1, Upgraded to Ba2 (sf); previously on Aug 9, 2012 Confirmed
at B1 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on Aug 6, 2010
Downgraded to Ca (sf)
Issuer: Option One Mortgage Loan Trust 2007-6
Cl. II-A-2, Downgraded to Ca (sf); previously on Aug 6, 2010
Downgraded to Caa3 (sf)
Cl. II-A-3, Downgraded to Ca (sf); previously on Aug 6, 2010
Downgraded to Caa3 (sf)
Cl. II-A-4, Downgraded to Ca (sf); previously on Aug 6, 2010
Downgraded to Caa3 (sf)
Issuer: OwnIt Mortgage Loan Trust 2005-2
Cl. M-4, Upgraded to Ba2 (sf); previously on Aug 5, 2013 Upgraded
to Ba3 (sf)
Cl. M-5, Upgraded to B3 (sf); previously on Aug 5, 2013 Upgraded
to Caa3 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-5
Cl. A-1A, Upgraded to B2 (sf); previously on Jul 14, 2010
Downgraded to Caa1 (sf)
Issuer: Speciality Underwriting and Residential Finance 2005-AB3
Cl. A-1A, Upgraded to Ba2 (sf); previously on Jul 15, 2013
Upgraded to Ba3 (sf)
Cl. A-2C, Upgraded to Baa3 (sf); previously on Jul 15, 2013
Upgraded to Ba3 (sf)
Issuer: Specialty Underwriting and Residential Finance Series
2005-BC4
Cl. A-2C, Upgraded to Baa1 (sf); previously on Jul 15, 2013
Upgraded to Baa2 (sf)
Issuer: Wachovia Mortgage Loan Trust 2005-WMC1
Cl. M-1, Upgraded to B1 (sf); previously on Aug 9, 2012 Confirmed
at B3 (sf)
Ratings Rationale
The upgrade actions 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 actions primarily
reflect the change in principal priority for these senior bonds
from sequential-pay to pro-rata pay upon the depletion of the
mezzanine classes.
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 6.3% in April 2014 from 7.5%
in April 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 $498MM Option ARM RMBS Issued 2005-2007
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 13 tranches
from six transactions backed by Option ARM RMBS loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX2
Cl. A-1-A, Upgraded to B2 (sf); previously on Dec 1, 2010
Downgraded to Caa1 (sf)
Cl. A-1-B, Upgraded to B1 (sf); previously on Dec 1, 2010
Downgraded to B3 (sf)
Cl. A-1-C, Upgraded to Caa1 (sf); previously on Dec 1, 2010
Downgraded to Caa2 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX4
Cl. 2-A-1, Upgraded to B2 (sf); previously on Dec 1, 2010
Downgraded to Caa1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS
Cl. A-2A, Upgraded to Ba1 (sf); previously on Oct 31, 2013
Upgraded to Ba2 (sf)
Cl. A-2B, Upgraded to Ba1 (sf); previously on Oct 31, 2013
Upgraded to Ba2 (sf)
Cl. A-3, Upgraded to B1 (sf); previously on Apr 30, 2013 Upgraded
to B3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2005-AR6
Trust
Cl. 1-A-1A, Upgraded to B3 (sf); previously on Jul 26, 2013
Upgraded to Caa1 (sf)
Cl. 2-A-1B2, Upgraded to B2 (sf); previously on Jul 26, 2013
Upgraded to Caa1 (sf)
Cl. 2-A-1B3, Upgraded to B2 (sf); previously on Jul 26, 2013
Upgraded to Caa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR11
Cl. A-1B2, Upgraded to B2 (sf); previously on Jul 26, 2013
Upgraded to Caa1 (sf)
Cl. A-1B3, Upgraded to B2 (sf); previously on Jul 26, 2013
Upgraded to Caa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR9
Cl. A-1C3, Upgraded to Caa2 (sf); previously on Jul 26, 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 ratings upgraded are a result of improving
collateral performance and credit enhancement available to 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 6.3% in April 2014 from 7.5%
in April 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 Ups Rating on $58MM of Subprime RMBS by Various Trusts
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six tranches
from three transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-
ASAP2
Cl. A-2C, Upgraded to Ba1 (sf); previously on Jul 22, 2013
Upgraded to Ba3 (sf)
Issuer: Amortizing Residential Collateral Trust, Series 2002-BC3
Cl. A, Upgraded to B1 (sf); previously on Mar 18, 2011 Downgraded
to B2 (sf)
Cl. M1, Upgraded to Caa2 (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Cl. M2, Upgraded to Caa2 (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE3
Cl. M-2, Upgraded to Ba2 (sf); previously on Aug 26, 2013 Upgraded
to Ba3 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Aug 26, 2013 Upgraded
to Caa2 (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 rating 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:
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
7.5% in April 2013 to 6.3% in April 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.
* S&P Lowers 48 Classes & Affirms 132 Classes From 25 RMBS
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 48
classes and affirmed its ratings on 132 classes from 25 U.S.
residential mortgage-backed securities (RMBS) Alternative-A
(Alt-A), negative amortization (Neg-Am), and prime jumbo
transactions.
The transactions in this review were issued between 2002 and 2006
and are backed primarily by adjustable- and fixed-rate Alt-A, Neg-
Am, and prime jumbo mortgage loans secured primarily by first-
liens on one- to four-family residential properties.
These transactions have generally experienced increased projected
losses, primarily because of increased delinquencies, decreased
credit enhancement provided to the classes, a noticeable
increase/decrease in constant prepayment rates and tail risk.
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add a layer of volatility
to S&P's loss assumptions when they are stressed at the rating as
suggested by S&P's cash flow models. In these circumstances where
S&P's model may have recommended a higher rating, it affirmed its
ratings on those classes to promote ratings stability. In
general, the affected bonds reflect the following:
-- Insufficient subordination and/or overcollateralization to
warrant an upgrade;
-- Delinquency trends;
-- Low priority in principal payments; and
-- Significant growth in observed loss severities.
In addition, some of the reviewed transactions have failed their
current delinquency triggers, thereby stopping unscheduled
principal payments to the subordinate classes. However, if the
deals that failed their delinquency triggers begin passing them
again, these transactions allow for an increased percentage of
unscheduled principal to resume being paid to the subordinate
classes. S&P therefore affirmed certain ratings even though some
of these classes passed a higher stress scenario.
Of the 48 downgrades, S&P lowered its ratings on five classes to
speculative grade from investment grade, lowering its ratings to
between 'BB+ (sf)' and 'BB (sf)' on each, while 19 of the lowered
ratings remain investment grade. The remaining 24 downgraded
classes already had speculative-grade ratings before the
downgrades.
Of the 132 affirmations, S&P affirmed 41 ratings in investment-
grade categories, while it affirmed its ratings on 91 classes with
speculative-grade ratings ranging between 'BB+ (sf)' and 'CC
(sf)'. S&P believes that the projected credit support for the
'CCC (sf)' and 'CC (sf)' rated classes will remain insufficient to
cover the revised base-case projected losses to these classes.
According to S&P's counterparty criteria, it considered any
applicable hedges related to these securities when taking these
rating actions.
These transactions generally receive credit support from
subordination, overcollateralization (when available), and excess
interest, as applicable. Some classes may also benefit from bond
insurance. In these cases, the long-term rating on the class
reflects the higher of the rating on the bond insurer and the
underlying credit rating on the security without the bond
insurance benefit.
ECONOMIC OUTLOOK
When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
its view of how the loans will behave under various economic
conditions. Standard & Poor's baseline macroeconomic outlook
assumptions for variables that it believes could affect
residential mortgage performance are as follows:
-- The unemployment rate will fall to 6.4% for 2014 from 7.4%
in 2013.
-- Home prices will increase 6% in 2014, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index.
-- Real GDP growth will be 2.6% in 2014; while this rate has
been revised downward once again, it is still up from 1.9%
in 2013.
-- The 30-year mortgage rate will average 4.6% for 2014.
-- The inflation rate will be 1.9% in 2014--an increase from
1.5% in 2013.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve mildly. However, if the U.S.
economy became stressed in line with Standard & Poor's downside
forecast, S&P believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario incorporates the following key
assumptions:
-- Home prices once again decline as a result of higher
defaults, additional shadow inventory, and less purchase
activity.
-- Total unemployment rises to 7.0% in 2014, and job growth
slows to almost zero.
-- Downward pressure causes 1.2% GDP growth in 2014, fueled by
increased unemployment levels.
-- The 30-year fixed mortgage rate falls back to 4.4% in 2014,
but limited access to credit and pressure on home prices
largely prevents consumers from capitalizing on such lower
rates.
*********
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
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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
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Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez,
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Copyright 2014. All rights reserved. ISSN: 1520-9474.
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