/raid1/www/Hosts/bankrupt/TCR_Public/140720.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, July 20, 2014, Vol. 18, No. 200
Headlines
ACAS CLO 2014-1: Moody's Assigns B2 Rating on $13MM Cl. F Notes
ACCESS GROUP 2004-2: Fitch Affirms 'B-sf' Rating of Class B Notes
ALESCO PREFERRED I: S&P Raises Rating on Class A-2 Notes to B+
ALESCO PREFERRED V: S&P Raises Rating on Class B Notes to CCC+
ALESCO PREFERRED IX: S&P Raises Rating on 2 Note Classes to BB+
AMMC CLO XIV: Moody's Assigns Ba3 Rating on $20MM Cl. B-2L Notes
APIDOS CLO XVI: S&P Affirms BB Rating on Class D Notes
ATRIUM V: S&P Affirms 'BB' Rating on Class D Notes
AVERY STREET: Moody's Lowers Rating on $8MM Class E Notes to B3
BAMLL COMMERCIAL 2014-ICTS: S&P Rates Class E Notes (P)BB-
BBCMS TRUST 2013-TYSN: Moody's Assigns Ba2 Rating on Cl. E Certs
BEAR STEARNS 2004-PWR4: Moody's Affirms 'C' Rating on 2 Certs
BXG RECEIVABLES: Moody's Hikes Rating on 3 Note Classes to B3
BLACK DIAMOND 2005-1: Moody's Affirms Ba2 Rating on Class F Notes
BLUEMOUNTAIN CLO 2014-2: S&P Assigns 'BB' Rating on Class E Notes
BUSINESS LOAN 2002-A: S&P Raises Rating on Class A Notes to B-
BUSINESS LOAN 2005-A: S&P Affirms BB+ Rating on Class B Notes
CABELA 2014-II: To Rate Asset-Backed Notes 'BBsf'
CAPITAL AUTO 2013-2: S&P Raises Rating on Class E Notes From BB+
CENT CDO 14: S&P Raises Rating on Class E Notes to 'BB+'
CITIGROUP COMM 2004-C1: Moody's Cuts Cl. X-1 Certs Rating to Caa1
COMMERCIAL CAPITAL: Fitch Affirms CCC Rating on Cl. 3F Certs
COVENANT CREDIT I: S&P Assigns 'BB-' Rating on Class E Notes
CREDIT SUISSE 2008-C1: S&P Affirms CCC- Rating on 2 Note Classes
CUTWATER 2014-I: Moody's Assigns (P)B2 Rating on Class E Notes
DEUTSCHE MORTGAGE 2004-2: Moody's Ups Cl. A-5 Debt Rating to Ba1
EATON VANCE 2014-1: Moody's Rates $28.5MM Class E Notes '(P)Ba3'
FRANKLIN CLO VI: Moody's Affirms Ba1 Rating on Class D Notes
FRANKLIN CLO VI: S&P Affirms 'B+' Rating on Class E Notes
FREMF 2011-K704: Moody's Affirms Ba3 Rating on Cl. X2 Securities
GMACM MORTGAGE 2004-J2: Moody's Cuts Ratings on 2 Tranches to Ba3
GOLDMAN SACHS 2010-C2: Moody's Affirms B2 Rating on Cl. F Certs
HILT 2014-ORL: S&P Assigns Prelim. BB- Rating on Class E Notes
ISHARES J.P. MORGAN: S&P Lowers Rating on Bond ETF to 'B+f'
JFIN REVOLVER 2014: S&P Assigns Prelim. BB Rating on Class E Notes
JP MORGAN 2004-CIBC9: Fitch Raises Class D Notes Rating to CCC
JP MORGAN 2005-CIBC12: Fitch Affirms D Rating on Cl. F Securities
JP MORGAN 2007-C1: S&P Affirms BB- Rating on Class A-M Notes
LB-UBS COMMERCIAL 2006-C3: S&P Lowers Rating on Class B Notes to B
LB-UBS COMMERCIAL 2006-C4: S&P Affirms B+ Rating on Class B Notes
JP MORGAN 2012-PHH: Moody's Affirms Ba1 Rating on Class E Certs
LIMEROCK CLO II: S&P Affirms 'BB' Rating on Class E Notes
MAC CAPITAL: Moody's Affirms 'Ba3' Rating on 2 Note Classes
MERRILL LYNCH 2007-C1: Fitch Affirms CCC Rating of Class AM Certs
PREFERREDPLUS TRUST CTR-1: S&P Affirms BB- Rating on $31.2MM Certs
PORTOLA CLO: Moody's Affirms Ba3 Rating on $16.5MM Class E Notes
RAIT CRE CDO I: Fitch Affirms 'BBsf' Rating on 2 Note Tranches
REGIONAL DIVERSIFIED: Moody's Hikes Rating on $70MM Notes to Caa1
RESOURCE CAPITAL: Moody's Assigns (P)B2 Rating on Cl. C Notes
SHACKLETON 2014-VI: S&P Assigns 'BB' Rating on Class E Notes
SILVER CREEK: Moody's Gives (P)Ba3 Rating on $15.4Mm Cl. E Notes
TRALEE CLO III: Moody's Rates $19.7MM Class E Notes '(P)Ba2'
VERITAS CLO II: Moody's Ups Rating on $9.5MM Class E Notes to Ba1
WACHOVIA BANK 2004-C10: Moody's Cuts Rating on X-C Certs to B2
WACHOVIA BANK 2007-C30: S&P Lowers Rating on Class C Notes to 'D'
WACHOVIA BANK 2007-C34: S&P Affirms B- Rating on 2 Note Classes
* Moody's Takes Action on $301MM Subprime RMBS Issued 2005-2006
* Moody's Takes Action on $104MM of Alt-A RMBS Issued 2003-2004
* Moody's Hikes Rating on $87.3MM Subprime by Various Trusts
* Moody's Hikes Ratings on $74MM Subprime RMS Issued 2002-2004
* Moody's Hikes $1.6-Bil. of Subprime RMBS Issued 2005-2006
* Moody's Takes Action on $3.5MM Subprime RMBS by Various Trusts
* S&P Takes Actions on 58 Classes From 9 Lehman Transactions
*********
ACAS CLO 2014-1: Moody's Assigns B2 Rating on $13MM Cl. F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of notes issued by ACAS CLO 2014-1, Ltd.
Moody's rating action is as follows:
$374,000,000 Class A Senior Secured Floating Rate Notes due July
2026 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
$50,000,000 Class B-1 Senior Secured Floating Rate Notes due July
2026 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf)
$21,250,000 Class B-2 Senior Secured Fixed Rate Notes due July
2026 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf)
$45,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due July 2026 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
$34,250,000 Class D Senior Secured Deferrable Floating Rate Notes
due July 2026 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
$29,500,000 Class E Senior Secured Deferrable Floating Rate Notes
due July 2026 (the "Class E Notes"), Definitive Rating Assigned
Ba2 (sf)
$13,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due July 2026 (the "Class F Notes"), Definitive Rating Assigned B2
(sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes, the Class E Notes and the Class
F Notes are referred to herein, collectively, as the "Rated
Notes."
Ratings Rationale
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
ACAS CLO 2014-1 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans
and unsecured loans. The Issuer's documents require the portfolio
to be at least 70% ramped as of the closing date.
American Capital CLO Management, LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2650
Weighted Average Spread (WAS): 3.85%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.50%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2650 to 3048)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: 0
Class B-2 Notes: 0
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Class F Notes: -1
Percentage Change in WARF -- increase of 30% (from 2650 to 3445)
Rating Impact in Rating Notches
Class A Notes: -1
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -2
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.
ACCESS GROUP 2004-2: Fitch Affirms 'B-sf' Rating of Class B Notes
-----------------------------------------------------------------
Fitch Ratings affirms Access Group Inc.'s 2004-2 Indenture of
Trust class A and B notes. The Rating Outlook for the class A-3,
A-4 and A-5 notes remains Stable. The Outlook for the class A-2
and B notes remains Negative.
Key Rating Drivers
High Collateral Quality: The trust collateral is comprised of 100%
of Federal Family Education Loan Program (FFELP) loans with
guaranties provided by eligible guarantors and reinsurance
provided by the U.S. Department of Education (ED) for at least 97%
of principal and accrued interest. Fitch maintains rating of 'AAA'
Outlook Stable on the United States.
Negative Outlook: The Negative Outlook for the class A-2 and B
notes is due to a high possibility that the class A-2 notes will
not be fully redeemed by its legal final maturity date of Jan. 25,
2016, which would constitute an event of default. When an event of
default occurs, it is highly likely that the class B notes will
not receive timely interest as the principal for the class A notes
must be paid in full prior to the class B notes receiving interest
in an event of default.
Sufficient Credit Enhancement: Credit Enhancement is provided by
overcollateralization, excess spread and for the class A notes,
subordination provided by the class B notes. As of the April 2014
distribution date, total parity is 101.00% and senior parity is
108.95%. Cash is being released from the trust given the trust has
reached its release level threshold of 101.00% parity.
Adequate Liquidity Support: Liquidity support is provided by a
capitalized interest account where the balance is determined as
the greater 0.25% of the outstanding note balance, or (b)
$1,151,208 (0.15% of the initial note balance).
Acceptable Servicing Capabilities: ACS, as the servicer, is
responsible for the day-to-day servicing of this trust. In Fitch's
opinion, ACS is an acceptable servicer of FFELP student loans.
Rating Sensitivities
Since FFELP student loan ABS rely on the U.S. government to
reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in
tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S.
sovereign rating, defaults and basis risk account for the majority
of the risk embedded in FFELP student loan transactions.
Additional defaults and basis shock beyond Fitch's published
stresses could result in future downgrades. Likewise, a buildup of
credit enhancement driven by positive excess spread given
favorable basis factor conditions could lead to future upgrades.
Fitch has affirmed the following:
Access Group, Inc. Series 2004-2:
-- Class A-2 at 'B-sf'; Outlook Negative;
-- Class A-3 at 'AAAsf'; Outlook Stable;
-- Class A-4 at 'AAAsf'; Outlook Stable;
-- Class A-5 at 'AAAsf'; Outlook Stable;
-- Class B at 'B-sf'; Outlook Negative.
ALESCO PREFERRED I: S&P Raises Rating on Class A-2 Notes to B+
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1 and A-2 notes from ALESCO Preferred Funding I Ltd., a
collateralized debt obligation transaction backed by trust-
preferred securities (TruPS) issued by financial institutions. At
the same time, S&P removed these ratings from CreditWatch, where
it placed them with positive implications on April 24, 2014.
The upgrades reflect the improved credit support available to both
the class A-1 and A-2 notes. Since S&P's upgrades in April 2013,
the transaction has paid down the class A-1 notes by approximately
$12.13 million to 25.15% of their original balance. The paydowns
can be attributed to principal and interest proceeds captured
because they failed the transaction's coverage tests. According
to the May 2014 trustee report, nonperforming assets also
decreased to $15.0 million in defaulted and deferring securities
from $25.0 million reported in April 2013.
The upgrades also reflect the improved overcollateralization (O/C)
available to the notes since the April 2013 upgrades, mainly
because of the aforementioned paydowns. The trustee reported the
following increased O/C ratios in the May 2014 monthly report:
-- The class A O/C ratio was 181.82%, up from 164.13% in April
2013.
-- The class B O/C ratio was 89.22%, up from 85.96% in April
2013.
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.
RATINGS LIST
ALESCO Preferred Funding I Ltd.
Rating
Class Identifier To From
A-1 01447YAA2 A+ (sf) BBB+ (sf)/Watch Pos
A-2 01447YAB0 BBB+ (sf) B+ (sf)/Watch Pos
ALESCO PREFERRED V: S&P Raises Rating on Class B Notes to CCC+
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, and B notes from ALESCO Preferred Funding V Ltd., a
collateralized debt obligation transaction backed by trust-
preferred securities (TruPS) issued mainly by financial
institutions. At the same time, S&P removed its rating on the
class A-1 notes from CreditWatch, where it placed it with positive
implications on April 24, 2014.
The upgrades reflect paydowns to the class A-1 notes and the
improved credit support available to the rated notes since S&P's
July 2013 upgrades on the classA-1 and A-2 notes. Since then, the
transaction has paid down the class A-1 notes by approximately
$4.8 million, leaving them at 53.94% of their original balance.
The paydowns can be attributed to principal proceeds and interest
proceeds captured because they failed the transaction's coverage
tests.
The upgrades also reflect the improved overcollateralization (O/C)
available to the notes, mainly due to the aforementioned paydowns,
since our July 2013 rating actions. The trustee reported the
following increased O/C ratios in the June 2014 monthly report:
-- The class A O/C ratio was 152.89%, up from 137.10% in June
2013.
-- The class D O/C ratio was 87.08%, up from 79.61% in June
2013.
The upgrades further reflect the decline in the amount of
nonperforming assets since June 2013. According to the June 2014
trustee report, there were $39.26 million in defaulted and
deferring securities, down from the $66.6 million cited in the
June 2013 report.
Though the class B notes are receiving current interest each
distribution date, they previously deferred some of their
interest. These deferred amounts have yet to be paid.
Subsequently, the class B notes' outstanding balance is 106.15% of
the original amount.
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.
RATINGS LIST
ALESCO Preferred Funding V Ltd.
Rating
Class Identifier To From
A-1 01448TAA2 BBB- (sf) BB (sf)/Watch Pos
A-2 01448TAB0 B+ (sf) CCC (sf)
B 01448TAC8 CCC+ (sf) CCC- (sf)
ALESCO PREFERRED IX: S&P Raises Rating on 2 Note Classes to BB+
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2A, and A-2B notes from ALESCO Preferred Funding IX Ltd., a
collateralized debt obligation transaction backed by trust-
preferred securities (TruPS) issued mainly by financial
institutions, and removed them from CreditWatch, where S&P placed
them with positive implications on April 24, 2014 . At the same
time, S&P affirmed its 'CCC- (sf)'ratings on the class B-1 and B-2
notes from the same transaction.
The upgrades reflect paydowns to the class A-1 notes and the
improved credit support available to the class A-1 and A-2 notes
since our May 2012 upgrades. Since then, the transaction has paid
down the class A-1 notes by approximately $40.2 million, leaving
them at 74.76% of their original balance. The paydowns can be
attributed to principal proceeds and interest proceeds captured
because they failed the transaction's coverage tests.
The upgrades also reflect the improved overcollateralization (O/C)
available to the notes, mainly due to the aforementioned paydowns,
since S&P's May 2012 rating actions. The trustee reported the
following increased O/C ratios in the June 2014 monthly report:
-- The class A O/C ratio was 129.87%, up from 118.39% in May
2012.
-- The class D O/C ratio was 76.35%, up from 73.94% in May
2012.
The upgrades further reflect the decline in the amount of
nonperforming assets since May 2012. According to the June 2014
trustee report, there were $98.0 million in defaulted and
deferring securities, down from the $121.0 million cited in the
May 2012 report.
The rating affirmations on the class B-1 and B-2 notes reflect
S&P's view of the credit support available to the notes.
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.
RATINGS LIST
ALESCO Preferred Funding IX Ltd.
Rating
Class Identifier To From
A-1 01449TAA1 BBB (sf) BB+ (sf)/Watch Pos
A-2A 01449TAB9 BB+ (sf) B+ (sf)/Watch Pos
A-2B 01449TAC7 BB+ (sf) B+ (sf)/Watch Pos
B-1 01449TAD5 CCC- (sf) CCC- (sf)
B-2 01449TAE3 CCC- (sf) CCC- (sf)
AMMC CLO XIV: Moody's Assigns Ba3 Rating on $20MM Cl. B-2L Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by AMMC CLO XIV, Limited:
Moody's rating action is as follows:
$256,000,000 Class A-1L Senior Secured Floating Rate Notes due
2026 (the "Class A-1L Notes"), Definitive Rating Assigned Aaa
(sf)
$53,000,000 Class A-2L Senior Secured Floating Rate Notes due
2026 (the "Class A-2L Notes"), Definitive Rating Assigned Aa2
(sf)
$23,250,000 Class A-3L Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class A-3L Notes"), Definitive Rating
Assigned A2 (sf)
$17,250,000 Class B-1L Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class B-1L Notes"), Definitive Rating
Assigned Baa3 (sf)
$20,000,000 Class B-2L Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class B-2L Notes"), Definitive Rating
Assigned Ba3 (sf)
The Class A-1L Notes, the Class A-2L Notes, the Class A-3L Notes,
the Class B-1L Notes and the Class B-2L Notes are referred to
herein, collectively, as the "Rated Notes."
Ratings Rationale
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
AMMC XIV is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 95.0% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 5.0% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is expected to be at least 75%
ramped as of the closing date.
American Money Management Corporation (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8.0 years.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2700 to 3105)
Rating Impact in Rating Notches
Class A-1L Notes: 0
Class A-2L Notes: -1
Class A-3L Notes: -2
Class B-1L Notes: -1
Class B-2L Notes: -1
Percentage Change in WARF -- increase of 30% (from 2700 to 3510)
Rating Impact in Rating Notches
Class A-1L Notes: -1
Class A-2L Notes: -3
Class A-3L Notes: -4
Class B-1L Notes: -2
Class B-2L Notes: -1
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.
APIDOS CLO XVI: S&P Affirms BB Rating on Class D Notes
------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Apidos
CLO XVI/Apidos CLO XVI LLC's $571 million floating- and fixed-rate
notes following the transaction's effective date as of April 29,
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.
S&P believes that the transaction may see some benefit from
allowing a window of time after the closing date for the
collateral manager to acquire the remaining assets for a CLO
transaction. This window of time is typically referred to as a
"ramp-up period." Because some CLO transactions may acquire most
of their assets from the new issue leveraged loan market, the
ramp-up period may give collateral managers the flexibility to
acquire a more diverse portfolio of assets.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P added.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P noted.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors and take rating actions as S&P deems
necessary.
RATINGS AFFIRMED
Apidos CLO XVI/Apidos CLO XVI LLC
Class Rating Amount
(mil. $)
X AAA (sf) 3.75
A-1 AAA (sf) 383.00
A-2a AA (sf) 34.50
A-2b AA (sf) 30.00
B (deferrable) A (sf) 46.00
C (deferrable) BBB (sf) 31.25
D (deferrable) BB (sf) 27.50
E (deferrable) B (sf) 15.00
ATRIUM V: S&P Affirms 'BB' Rating on Class D Notes
--------------------------------------------------
Atrium V Ratings Raised On Five Classes; Four Ratings Affirmed
NEW YORK (Standard & Poor's) July 10, 2014
Standard & Poor's Ratings Services raised its ratings on the A-1,
A-2b, A-3b, A-4 and B notes from Atrium V, a U.S. collateralized
loan obligation (CLO) transaction managed by CSFB Alternative
Capital Inc., and removed its ratings on those classes from
CreditWatch where S&P had placed them with positive implications.
At the same time, S&P affirmed its ratings on the class A-2a, A-
3a, C, and D from the same transaction and removed the ratings on
class C and D notes from CreditWatch where S&P had placed them
with positive implications.
The upgrades mainly reflect paydowns to the class A-1, A-2a, and
A-3a notes and a subsequent increase in the overcollateralization
(O/C) available to support the notes since our June 2013 rating
actions. Since then, the transaction has paid down the class A-1,
A-2a, and A-3a notes, by a total of approximately $169.76 million.
These paydowns have left the class A-1, A-2a, and A-3a notes at
74.88%, 68.62%, and 72.05% of their original balances,
respectively. S&P expects the class A-1, A-2a, and A-3a notes to
continue paying down, as the transaction's reinvestment period
ended in August 2013.
In S&P's analysis, it considered that Atrium V has a relatively
large bucket of long-dated assets, or underlying securities that
mature after the transaction's stated maturity. Based on the June
2014 trustee report, the long-dated assets constituted 6.96% of
the underlying portfolio. S&P's analysis factored in the
potential market value or settlement-related risk arising from the
remaining securities' potential liquidation on the transaction's
legal final maturity date. This sensitivity analysis was a
limited factor in the rating actions.
Additionally, the upgrades also reflect an improvement in the O/C
available to support the notes, primarily because of the
aforementioned paydowns. The trustee reported the following O/C
ratios in the June 2014 monthly report:
-- The class A O/C ratio was 134.73%, up from 126.06% reported
in May 2013;
-- The class B O/C ratio was 123.25%, up from 117.68% reported
in May 2013;
-- The class C O/C ratio was 116.97%, up from 112.94% reported
in May 2013; and
-- The class D O/C ratio was 113.52%, up from 110.29% reported
in May 2013.
S&P affirmed its ratings on the A-2a, A-3a, C, and D notes to
reflect the available credit support at the current rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them, and will take rating
actions as it deems necessary.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made ncegative 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.
RATINGS LIST
Atrium V
Rating
Class Identifier To From
A-1 04963WAA4 AAA (sf) AA+ (sf)/Watch Pos
A-2a 04963WAB2 AAA (sf) AAA (sf)
A-2b 04963WAC0 AAA (sf) AA+ (sf)/Watch Pos
A-3a 04963WAD8 AAA (sf) AAA (sf)
A-3b 04963WAE6 AAA (sf) AA+ (sf)/Watch Pos
A-4 04963WAF3 AA+ (sf) AA (sf)/Watch Pos
B 04963WAG1 A+ (sf) A (sf)/Watch Pos
C 04963WAH9 BBB (sf) BBB (sf)/Watch Pos
D 04963WAJ5 BB (sf) BB (sf)/Watch Pos
AVERY STREET: Moody's Lowers Rating on $8MM Class E Notes to B3
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Avery Street CLO, Ltd.:
$12,500,000 Class D Deferrable Mezzanine Floating Rate Notes
Due 2018, Downgraded to Ba2 (sf); previously on July 22, 2013
Upgraded to Ba1 (sf)
$8,000,000 Class E Deferrable Junior Floating Rate Notes Due
2018, Downgraded to B3 (sf); previously on July 22, 2013
Affirmed B1 (sf)
Moody's also affirmed the ratings on the following notes:
$163,500,000 Class A Senior Floating Rate Notes Due 2018
(current outstanding balance of $83,772,009.48), Affirmed Aaa
(sf); previously on July 22, 2013 Affirmed Aaa (sf)
$50,000,000 Class A-2 Senior Delayed Draw Floating Rate Notes
Due 2018 (current outstanding balance of $25,618,351.52),
Affirmed Aaa (sf); previously on July 22, 2013 Affirmed Aaa
(sf)
$22,000,000 Class B Senior Floating Rate Notes Due 2018,
Affirmed Aa1 (sf); previously on July 22, 2013 Upgraded to Aa1
(sf)
$7,000,000 Class B Senior Fixed Rate Notes Due 2018, Affirmed
Aa1 (sf); previously on July 22, 2013 Upgraded to Aa1 (sf)
$14,000,000 Class C Deferrable Mezzanine Floating Rate Notes
Due 2018, Affirmed A3 (sf); previously on July 22, 2013
Upgraded to A3 (sf)
Avery Street CLO, Ltd., issued in March 2006, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
April 2012.
Ratings Rationale
According to Moody's, the ratings downgrades on the Class D and E
notes are primarily a result of the deal's growing exposure to
securities that mature after the maturity of the notes (long-dated
assets). Moody's modeled the transaction assuming that long-dated
assets comprise $39.1 million or 22.4% of performing par. The
transaction has increased its exposure to long-dated assets by
$27.7 million since the last rating action in July 2013. These
investments could expose the Class C, D and E notes to market
value risk in the event of liquidation when the notes mature. In
its base case, Moody's assumes the long-dated assets are
liquidated at an average price of 66.2% at the maturity of the
notes. The liquidation price is low because about $16.7 million,
or 42.7% of the long-dated assets mature more than two years after
the maturity of the notes and are modeled at a liquidation value
of 60% or below based on Moody's CLO methodology, which prescribes
the recovery rate as the liquidation value for assets that are
long-dated by more than two years. Although the market values of
these long-dated assets are reasonably high at present, they could
change quickly under distressed market conditions. However, in
consideration of the current market values, Moody's also evaluated
in its analysis scenarios when the long-dated assets are
liquidated at an average price higher than 66.2%, which tempered
the magnitude of the ratings downgrades.
The rating actions also reflect deleveraging of the senior notes
and an increase in the deal's overcollateralization ratios. The
Class A notes have been paid down by approximately 3.8% or $8.1
million since July 2013. Based on the trustee's 10 June 2014
report, the senior overcollateralization, mezzanine
overcollateralization and interest reinvestment diversion tests
are reported at 130.87%, 109.84%, and 104.76%, respectively,
versus 02 July 2013 levels of 125.10%, 109.30%, and 104.08%,
respectively. Other collateral quality metrics, including weighted
average rating factor, weighted average recovery rate, diversity
and spread have remained stable since 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. Realization of higher than assumed
recoveries would positively impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the
lowest priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value. The deal's
increased exposure owing to amendments to loan agreements
extending maturities continues. In light of the deal's sizable
exposure to long-dated assets, which increases its sensitivity to
the liquidation assumptions in the rating analysis, Moody's ran
scenarios using a range of liquidation value assumptions. However,
actual long-dated asset exposures and prevailing market prices and
conditions at the CLO's maturity will drive the deal's actual
losses, if any, from long-dated assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case
modeling results, which may be different from the current public
ratings of the 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% (2292)
Class A: 0
Class A-2: 0
Class B Floating: +1
Class B Fixed: +1
Class C: +2
Class D: +1
Class E: 0
Moody's Adjusted WARF + 20% (Insert WARF level)
Class A: 0
Class A-2: 0
Class B Floating: -2
Class B Fixed: -2
Class C: -2
Class D: -1
Class E: 0
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in 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 $180.7 million, defaulted
par of $3.9 million, a weighted average default probability of
17.53% (implying a WARF of 2865), a weighted average recovery rate
upon default of 50.41%, a diversity score of 38 and a weighted
average spread of 3.47%.
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.
BAMLL COMMERCIAL 2014-ICTS: S&P Rates Class E Notes (P)BB-
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to BAMLL Commercial Mortgage Securities Trust 2014-ICTS's
$188.0 million commercial mortgage pass-through certificates.
The note issuance is a commercial mortgage-backed securities
transaction backed by a $188.0 million commercial mortgage loan
secured by the fee interest in the InterContinental New York Times
Square, a 607-room, 36-story, full-service hotel in New York City.
The preliminary ratings are based on information as of July 8,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsors' and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure. Standard & Poor's determined that
the loan has a 75.4% beginning and ending loan-to-value ratio,
based on Standard & Poor's value, which is 50.2% lower than the
appraised value.
PRELIMINARY RATINGS ASSIGNED
BAMLL Commercial Mortgage Securities Trust 2014-ICTS
Class Rating(i) Amount
(mil. $)
A AAA (sf) 74.82
X-CP BBB- (sf) 151.65(ii)
X-EXT BBB- (sf) 151.65(ii)
B AA- (sf) 28.19
C A- (sf) 20.95
D BBB- (sf) 27.69
E BB- (sf) 36.35
(i) The rating on each class of securities is preliminary and
subject to change at any time. The issuer will issue the
certificates to qualified institutional buyers in line with
Rule 144A of the Securities Act of 1933.
(ii) Notional balance. The aggregate principal distributions and
realized losses allocated to the class A, B, C, and D
certificates will reduce the class X-CP and X-EXT
certificates' notional amount.
BBCMS TRUST 2013-TYSN: Moody's Assigns Ba2 Rating on Cl. E Certs
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings on seven classes of
BBCMS Trust 2013-TYSN, Commercial Mortgage Pass-Through
Certificates, Series 2013-TYSN.
Moody's rating action is as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Sep 1, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Sep 1, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Sep 1, 2013 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on Sep 1, 2013 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Sep 1, 2013 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Sep 1, 2013 Definitive
Rating Assigned Ba2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Sep 1, 2013 Definitive
Rating Assigned Aaa (sf)
Ratings Rationale
The ratings on the six P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR), are
within acceptable ranges.
The rating on the interest only (IO) class was affirmed based on
the stable ratings of the referenced classes, Classes A-1 and
A-2.
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 defeasance in the pool 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, an increase in loan
concentration, an increase in expected losses from specially
serviced and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description of Models Used
Moody's review incorporated the use of the excel-based Large Loan
Model v8.7. 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 June 6, 2014 Payment Date, the transaction's aggregate
certificate balance decreased to $321 million from $325 million at
securitization due to a 30-year amortization schedule. The
transaction is secured by a fixed rate mortgage loan on a regional
mall, the Tyson Galleria located in McLean, VA. The sponsor of the
loan is General Growth Properties (NYSE: GGP). The 7-year loan
matures in September 2020.
The property is 97% leased based on December 2013 rent roll. The
in-line space is 89% leased and anchor (non-owned) space is 100%
leased. Non-collateral anchors include Macy's, Neiman Marcus, and
Saks Fifth Avenue. Comparable in-line sales for tenants less than
10,000 SF for 2013 was $952/SF. The property continues to benefit
from the sponsor's luxury branding and remerchandising efforts.
The property's Net Cash Flow for 2013 was $25.9 million, up from
$23.9 million achieved during the trailing twelve month period
ending in March 2013. Moody's stabilized Net Cash Flow is $27.0
million, the same as at securitization. Moody's trust LTV ratio is
83%, down slightly from that at securitization. Moody's stressed
DSCR for the trust is 0.91X, up slightly from that at
securitization. The trust has not experienced any losses or
interest shortfalls since securitization.
BEAR STEARNS 2004-PWR4: Moody's Affirms 'C' Rating on 2 Certs
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
classes and affirmed the ratings of eight classes of Bear Stearns
Commercial Mortgage Securities Trust, Commercial Pass-Through
Certificates, Series 2004-PWR4 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Nov 21, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aaa (sf); previously on Nov 21, 2013 Upgraded to
Aaa (sf)
Cl. C, Upgraded to Aaa (sf); previously on Nov 21, 2013 Upgraded
to Aa1 (sf)
Cl. D, Upgraded to Aaa (sf); previously on Nov 21, 2013 Upgraded
to Aa3 (sf)
Cl. E, Upgraded to Aa2 (sf); previously on Nov 21, 2013 Affirmed
A3 (sf)
Cl. F, Upgraded to Aa3 (sf); previously on Nov 21, 2013 Affirmed
Baa1 (sf)
Cl. G, Upgraded to A1 (sf); previously on Nov 21, 2013 Affirmed
Baa2 (sf)
Cl. H, Upgraded to Baa3 (sf); previously on Nov 21, 2013 Affirmed
Ba1 (sf)
Cl. J, Upgraded to Ba2 (sf); previously on Nov 21, 2013 Affirmed
Ba3 (sf)
Cl. K, Affirmed B1 (sf); previously on Nov 21, 2013 Affirmed B1
(sf)
Cl. L, Affirmed Caa1 (sf); previously on Nov 21, 2013 Affirmed
Caa1 (sf)
Cl. M, Affirmed Caa3 (sf); previously on Nov 21, 2013 Affirmed
Caa3 (sf)
Cl. N, Affirmed C (sf); previously on Nov 21, 2013 Affirmed C (sf)
Cl. P, Affirmed C (sf); previously on Nov 21, 2013 Affirmed C (sf)
Cl. X, Affirmed Ba3 (sf); previously on Nov 21, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on the investment-grade P&I classes were affirmed
because the transaction's key metrics, including Moody's loan-to-
value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the transaction's Herfindahl Index (Herf), are within
acceptable ranges.
The ratings on the below investment-grade P&I classes were
affirmed because the ratings are consistent with Moody's expected
loss.
The ratings on the P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 71% since Moody's last
review.
The ratings on the IO class was affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 5.2% of the
current balance, compared to 2.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.9% of the
original pooled balance, compared to 2.5% 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 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 6, compared to 17 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 June 11, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $137 million
from $955 million at securitization. The certificates are
collateralized by thirteen mortgage loans ranging in size from
less than 1% to 23% of the pool, with the top ten loans
constituting 63% of the pool. One loans, constituting 38% of the
pool, has defeased and are secured by US government securities.
Six loans, constituting 48% 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.
Four loans have been liquidated from the pool, resulting in an
aggregate realized loss of $11.3 million (for an average loss
severity of 54%). Four loans, constituting 11% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Deerfield Parkway Loan (for $6.4 million 4.7% of the
pool), which is secured by a 117,798 SF industrial property
located in Buffalo Grove, IL. The loan transferred to special
servicing in May 2014 due to imminent payment default.
The remaining three specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $4.5 million
loss for the specially serviced loans (31% expected loss on
average).
Moody's received full year 2012 operating results for 100% of the
pool, and full year 2013 operating results for 100% of the pool.
Moody's weighted average conduit LTV is 86%, compared to 84% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 23% 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 1.27X and 1.30X,
respectively, compared to 1.44X and 1.29X 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 35% of the pool balance. The
largest loan is the Alexandria East Coast Portfolio Loan ($30.9
million -- 22.6% of the pool), which is secured by four office
buildings located in Massachusetts, Pennsylvania and California.
At securitization the loan was secured by five properties;
however, in May 2012, a 66,000 SF property located in San Diego,
California was substituted for two properties with a combined
43,000 SF located in Plymouth Meeting, Pennsylvania. Based on the
substitution, the portfolio now totals approximately 229,000 SF
and the occupancy increased to 97% leased as of March 2014.
Moody's LTV and stressed DSCR 77% and 1.42X, respectively,
compared to 79% and 1.40X at last review.
The second largest loan is the Payson Village Shopping Center Loan
($9.4 million -- 6.9% of the pool), which is secured by a 140,602
SF grocery-anchored retail center located in Payson, AZ. The loan
transferred to special servicing in November 2009 and was modified
in September 2011. The loan is now current. Moody's LTV and
stressed DSCR are 108% and 1.03X, respectively, compared to 118%
and 0.94X at the last review.
The third largest loan is the Eastway Square Shopping Center Loan
($7.9 million -- 5.8% of the pool), which is secured by a 130,586
SF retail property in Charlotte, NC. The property is 94% occupied
as of March 2014. Moody's LTV and stressed DSCR are 97% and 1.03X,
respectively, same as at the last review.
BXG RECEIVABLES: Moody's Hikes Rating on 3 Note Classes to B3
-------------------------------------------------------------
Moody's has upgraded 17 classes of notes from BXG Receivables Note
Trust Series 2006-B, Series 2007-A, and Series 2008-A. The
underlying collateral consists of timeshare loan receivables
issued and serviced by Bluegreen Corporation, with Concord
Servicing Corporation as the back-up servicer.
Complete actions are as follows:
Issuer: BXG Receivables Note Trust 2006-B
Cl. B, Upgraded to Aaa (sf); previously on Dec 20, 2013 Upgraded
to Aa1 (sf)
Cl. C, Upgraded to Aa2 (sf); previously on Dec 20, 2013 Upgraded
to A1 (sf)
Cl. D, Upgraded to A3 (sf); previously on Dec 20, 2013 Upgraded to
Baa2 (sf)
Cl. E, Upgraded to Baa3 (sf); previously on Dec 20, 2013 Upgraded
to Ba2 (sf)
Cl. F, Upgraded to Ba3 (sf); previously on Jul 29, 2009 Downgraded
to B2 (sf)
Issuer: BXG Receivables Note Trust 2007-A
Cl. B, Upgraded to Aa2 (sf); previously on Oct 21, 2007 Assigned
Aa3 (sf)
Cl. C, Upgraded to A3 (sf); previously on Jul 29, 2009 Downgraded
to Baa1 (sf)
Cl. D, Upgraded to Baa1 (sf); previously on Jul 29, 2009
Downgraded to Baa3 (sf)
Cl. E, Upgraded to Baa3 (sf); previously on Jul 29, 2009
Downgraded to Ba2 (sf)
Cl. F, Upgraded to Ba2 (sf); previously on Jul 29, 2009 Downgraded
to B1 (sf)
Cl. G, Upgraded to Ba3 (sf); previously on Jul 29, 2009 Downgraded
to B2 (sf)
Issuer: BXG Receivables Note Trust 2008-A
Cl. B, Upgraded to Aa2 (sf); previously on Mar 31, 2008 Assigned
Aa3 (sf)
Cl. C, Upgraded to A3 (sf); previously on Jul 29, 2009 Downgraded
to Baa1 (sf)
Cl. D, Upgraded to Baa1 (sf); previously on Jul 29, 2009
Downgraded to Baa3 (sf)
Cl. E, Upgraded to Baa3 (sf); previously on Jul 29, 2009
Downgraded to Ba2 (sf)
Cl. F, Upgraded to Ba2 (sf); previously on Jul 29, 2009 Downgraded
to B1 (sf)
Cl. G, Upgraded to Ba3 (sf); previously on Jul 29, 2009 Downgraded
to B2 (sf)
Ratings Rationale
The upgrade was prompted by a build-up in credit enhancement
available to the notes along with continued improving collateral
performance. Credit enhancement from subordination,
overcollateralization and cash reserves for Series 2006-B Class B,
Class C, Class D, Class E and Class F is 65.5%, 50.9%, 34.9%,
27.4% and 22.5% respectively, an increase of 3.2 percentage points
from October 2013, the reporting period for the last rating action
by Moody's on these notes. For Series 2007-A, credit enhancement
of Class B, Class C, Class D, Class E, Class F and Class G is
67.9%, 46.4%, 39.2%, 31.7%, 24.2% and 18.9% respectively, an
increase of 1.4 percentage points during the same period. For
Series 2008-A, credit enhancement of Class B, Class C, Class D,
Class E, Class F and Class G is 66.6%, 46.0%, 39.7%, 31.4%, 23.6%,
19.1% respectively, an increase of 1.2 percentage points during
the same period.
Pool performance continues to improve from recessionary levels as
the rate of gross charge-offs as a percentage of pool reduction
continues its downward trajectory. Rolling twelve-month charge-
offs as a percentage of pool reduction for Series 2006-B has
declined from 21.4% as of October 2013, the reporting period for
the last rating action by Moody's, to 14.8% as of June 2014, the
most recent reporting period. During the same period, the twelve-
month charge-offs as a percentage of pool reduction declined from
26.9% to 22.1% for Series 2007-A and from 27.9% to 24.4% for
Series 2008-A. Moody's new expected net losses for the remaining
lives of the transactions are approximately 17%, 25% and 27% of
the outstanding pool balances of the 2006-B, 2007-A, and 2008-A
transactions, respectively.
Principal Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating Vacation Timeshare Loan Securitizations"
published in September 2011.
Factors that would lead to an upgrade or downgrade of the rating:
Changes to expected remaining gross charge offs or credit
enhancement.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of uncertainty with
regard to expected gross charge-offs are the economic environment,
unemployment rate and other factors, which impact the income-
generating ability of the borrowers.
BLACK DIAMOND 2005-1: Moody's Affirms Ba2 Rating on Class F Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Black Diamond CLO 2005-1 Ltd.:
$61,000,000 Class D-1 Floating Rate Notes, Due June 2017,
Upgraded to A1 (sf); previously on August 28, 2013 Affirmed
A3 (sf)
$6,000,000 Class D-2 Fixed Rate Notes, Due June 2017, Upgraded
to A1 (sf); previously on August 28, 2013 Affirmed A3 (sf)
Moody's also affirmed the ratings on the following notes:
$431,000,000 Class A-1 Floating Rate Notes, Due June 2017
(current outstanding balance of $84,206,491.69), Affirmed Aaa
(sf); previously on August 28, 2013 Affirmed Aaa (sf)
$50,000,000 Class A-1B Floating Rate Notes, Due June 2017
(current outstanding balance of $48,843,672.67), Affirmed Aaa
(sf); previously on August 28, 2013 Affirmed Aaa (sf)
$75,000,000 Class B Floating Rate Notes, Due June 2017, Affirmed
Aaa (sf); previously on August 28, 2013 Affirmed Aaa (sf)
$70,000,000 Class C Floating Rate Notes, Due June 2017, Affirmed
Aaa (sf); previously on August 28, 2013 Affirmed Aaa (sf)
$35,000,000 Class E Floating Rate Notes, Due June 2017, Affirmed
Ba2 (sf); previously on August 28, 2013 Affirmed Ba2 (sf)
Black Diamond CLO 2005-1 Ltd., issued in April 2005, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since August 2013. The Class A notes have
been paid down by approximately 34% or $67.7 million since August
2013. The over-collateralization (OC) ratios as calculated by
Moody's for the Class A/B, Class C, Class D and Class E notes are
at 203.12%, 151.99%, 122.47% and 111.19%, respectively, versus
August 2013 levels of 177.48%, 141.56%, 118.58% and 109.32%,
respectively. OCs, as calculated by Moody's, reflect a $33.3
million payment to the Class A notes on the June 2014 payment
date.
The deal has benefited from an improvement in the credit quality
of the portfolio since August 2013. Based on the trustee's June
2014 report, the weighted average rating factor is currently 2443
compared to 2807 in August 2013.
The portfolio includes a number of investments in securities that
mature after the maturity of the transaction. Based on the
trustee's June 2014 report, these securities make up approximately
8.36% of the portfolio, compared to 17.18% at the time of the last
rating action. These investments could expose the notes to market
risk in the event of liquidation when the notes mature. Moody's
affirmed the rating on the Class E notes owing to market risk
stemming from the exposure to these long-dated assets.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have
adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the
lowest priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case
modeling results, which may be different from the current public
ratings of the 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% (2050)
Class A-1: 0
Class A-1B: 0
Class B: 0
Class C: 0
Class D-1: +2
Class D-2: +2
Class E: +2
Moody's Adjusted WARF + 20% (3050)
Class A-1: 0
Class A-1B: 0
Class B: 0
Class C: 0
Class D-1: -2
Class D-2: -2
Class E: 0
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in 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 $417.7 million, defaulted
par of $39.4 million, a weighted average default probability of
11.95% (implying a WARF of 2542), a weighted average recovery rate
upon default of 49.75%, a diversity score of 31 and a weighted
average spread of 3.09%.
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. Moody's generally applies
recovery rates for CLO securities as published in "Moody's
Approach to Rating SF CDOs". In some cases, alternative recovery
assumptions may be considered based on the specifics of the
analysis of the CLO transaction. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
BLUEMOUNTAIN CLO 2014-2: S&P Assigns 'BB' Rating on Class E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
BlueMountain CLO 2014-2 Ltd./BlueMountain CLO 2014-2 LLC's $511.15
million floating- and fixed-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's assessment of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable to the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy-remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- The transaction's ability to make timely interest and
ultimate principal payments on the rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned ratings under various
interest-rate scenarios, including LIBOR ranging from
0.2228%-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 reinvestment overcollateralization test, a
failure of which during the reinvestment period will lead to
the reclassification of principal proceeds of up to 50% of
the excess interest proceeds that are available before
paying uncapped administrative expenses and fees, hedge
payments, incentive management fees, and subordinate note
payments.
RATINGS ASSIGNED
BlueMountain CLO 2014-2 Ltd./BlueMountain CLO 2014-2 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 340.00
B-1 AA (sf) 43.05
B-2 AA (sf) 17.00
C (deferrable) A (sf) 45.25
D (deferrable) BBB (sf) 27.30
E (deferrable) BB (sf) 22.25
F (deferrable) B (sf) 16.30
Subordinated notes NR 43.60
NR--Not rated.
BUSINESS LOAN 2002-A: S&P Raises Rating on Class A Notes to B-
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A and B notes from BLC Capital Corp.'s series 2002-A, originated
by Business Loan Express. At the same time, S&P lowered its
ratings on the class A, B, and C notes from Business Loan Express
Business Loan Trust 2004-A's series 2004-A. S&P removed all five
ratings from CreditWatch, where it had placed them following the
March 28, 2014, release of S&P's new criteria for small business
loan-backed securitizations.
These transactions are asset-backed securitizations backed by
payments from small business loans that are primarily
collateralized by first liens on commercial real estate.
The downgrades on the series 2004-A 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.
There were 34 loans remaining in the collateral pool; the top
five- and 10-largest obligors represented 31% and 51%,
respectively, of the pool.
The series 2004-A securitization continues to pay down the three
classes pro rata and, as of the June 2014 servicer report, it has
paid down to an 11% pool factor. Delinquencies have remained
consistently below 10% since mid-2012, after peaking at 30% in
mid-2011. The reserve account, currently at $4 million, is only
$140,000 below the required amount.
BLC Capital Corp.'s series 2002-A securitization has paid down to
a 5.2% pool factor and only has seven loans remaining in the pool.
There is approximately $1.26 million in the reserve account, which
is sufficient for at least 10 months of expenses and interest
coverage. With the current amount of funds in the reserve
account, the four largest obligors are able to default before the
funds in the reserve account are necessary to pay interest. There
is no overcollateralization in the securitization, and therefore
the deal relies on recoveries and excess spread to make full
principal payment at maturity in the event of future defaults. As
a result, despite the ample liquidity supporting the two classes,
the ratings are still speculative grade.
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
BLC Capital Corp.
Business loan-backed notes series 2002-A
Rating
Class To From
A B- (sf) CCC+ (sf)/Watch Pos
B CCC+ (sf) CCC- (sf)/Watch Pos
Business Loan Express Business Loan Trust 2004-A
Business loan-backed notes series 2004-A
Rating
Class To From
A A+ (sf) AA+ (sf)/Watch Neg
B BBB+ (sf) A- (sf)/Watch Neg
C BB+ (sf) BBB- (sf)/Watch Neg
BUSINESS LOAN 2005-A: S&P Affirms BB+ Rating on Class B Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
three outstanding classes from Business Loan Express (BLX)
Business Loan-Backed Notes Series 2005-A. S&P removed the rating
on the senior class from CreditWatch positive, where it placed it
on April 10, 2014, following the release of S&P's new criteria for
small business loan-backed securitizations.
The transaction is an asset-backed securitization backed by
payments from small business loans that are primarily
collateralized by first liens on commercial real estate. Per the
June 2014 servicer report, 54 loans had an outstanding balance of
approximately $38.13 million remaining in the collateral pool.
The securitization continues to pay down the three classes pro
rata and has paid down to a 15% pool factor. The reserve account,
which can make certain payments such as current interest, is
currently at $6.40 million and only $80,475 below the required
amount. Similar to other BLX small business securitizations,
delinquencies have remained consistently below 10% since mid-2012,
after peaking at 30% in mid-2011.
There is no overcollateralization in the securitization, and
therefore the deal relies on recoveries and excess spread to make
full principal payment at maturity in the event of future
defaults. As a result, the ratings on two of the classes remain
speculative grade despite the ample liquidity supporting the
securitization.
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.
RATINGS AFFIRMED
Business Loan Express 2005-A
Business loan-backed notes series 2005-A
Rating Rating
Class To From
B BB+ (sf) BB+ (sf)
C B+ (sf) B+ (sf)
CREDITWATCH ACTIONS
Rating
Class To From
A BBB+(sf) BBB+ (sf)/Watch Pos
CABELA 2014-II: To Rate Asset-Backed Notes 'BBsf'
-------------------------------------------------
Fitch Ratings expects to assign the following ratings to Cabela's
Credit Card Master Note Trust's asset-backed notes, series 2014-
II, as follows:
-- $340,000,000 class A floating-rate 'AAAsf'; Outlook Stable;
-- $32,000,000 class B fixed-rate 'Asf'; Outlook Stable;
-- $17,000,000 class C fixed-rate 'BBBsf'; Outlook Stable;
-- $11,000,000 class D fixed-rate 'BBsf'; Outlook Stable.
Key Rating Drivers
Fitch's expected ratings are based on the underlying receivables
pool, available credit enhancement, World's Foremost Bank's
underwriting and servicing capabilities, and the transaction's
legal and cash flow structures, which employ early redemption
triggers.
The transaction structure is similar to series 2014-I, with credit
enhancement totaling 15% for class A, credit enhancement of 7% for
the class B, credit enhancement of 2.75% plus an amount from a
spread account for the class C, and credit enhancement of an
amount from a spread account for the class D notes only.
Rating Sensitivities
Fitch models three different scenarios when evaluating the rating
sensitivity compared to expected performance for credit card
asset-backed securities transactions: 1) increased defaults; 2) a
reduction in monthly payment rate (MPR), and 3) a combination
stress of higher defaults and lower MPR.
Increasing defaults alone has the least impact on rating migration
even in the most severe scenario of a 75% increase in defaults.
The rating sensitivity to a reduction in MPR is more pronounced
with a moderate stress, of a 25% reduction, leading to possible
downgrades across all classes. The harshest scenario assumes both
stresses occur simultaneously. Similarly, the ratings would only
be downgraded under the moderate stress of a 40% increase in
defaults and 20% reduction in MPR; however, the severe stress
could lead to more drastic downgrades to all classes.
CAPITAL AUTO 2013-2: S&P Raises Rating on Class E Notes From BB+
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, and E notes from Capital Auto Receivables Asset Trust
2013-2 (CARAT 2013-2). At the same time, S&P affirmed its ratings
on the four class A notes from the same transaction.
The rating actions reflect S&P's revised expectations regarding
future collateral performance given the final collateral pool at
the end of the revolving period and beginning of the scheduled
amortization, as well as the transaction's structure and credit
enhancement. S&P's analysis also incorporated secondary credit
factors, including credit stability, payment priorities under
various scenarios, and sector- and issuer-specific analysis. More
specifically, the raised and affirmed ratings reflect S&P's view
that the total credit support as a percentage of the amortizing
pool balance, compared with S&P's revised expected remaining
losses, is adequate for each raised or affirmed rating.
The transaction included a one-year revolving period during which
additional receivables were sold to the issuer, subject to certain
eligibility criteria and concentration limits. The revolving
period ended after the June 20, 2014, distribution date, as
scheduled. While the eligibility criteria allow the pool mix to
weaken during the revolving period, series 2013-2's actual pool
composition at amortization was not, in S&P's view, materially
different from the pool composition at closing. The only material
difference was an increase in the average loan seasoning to 20.63
months from 10.89 months.
Based on S&P's analysis of CARAT 2013-2's pool quality at the date
of scheduled amortization as well as S&P's analysis of the
origination static pools, it expects the CARAT 2013-2 collateral
to perform better than S&P's initial net loss expectation. As a
result, S&P is lowering its loss expectation.
As of the June 2014 distribution date, the pool has 12 months of
performance and has experienced 0.65% of cumulative net losses
(calculated as a percentage of the initial pool balance plus
additional receivables purchased during the revolving period).
Receivables that are 60 days or more delinquent represent 0.52% of
the current pool balance.
The transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. It also has
credit enhancement in the form of a nonamortizing reserve account,
overcollateralization, subordination for the higher-rated
tranches, and excess spread.
During the amortization period, the overcollateralization target
amount is 5.25% of the initial aggregate receivables principal
balance, a scheduled increase from 3.75% during the revolving
period. Overcollateralization is currently at 3.75% of the
initial aggregate receivables principal balance.
As of the June 2014 distribution date, the total hard credit
support at the beginning of the amortization period is at the same
levels as at issuance: 20.50%, 16.25%, 11.75%, 7.75% and 4.25% for
class A, B, C, D, and E, respectively. The total hard credit
support is calculated as a percentage of the total gross
receivable pool balance. Excess spread is excluded from the hard
credit support that can also provide additional enhancement.
"Our review of CARAT 2013-2 incorporated cash flow analysis, which
included current and historical performance, to estimate future
performance. Our various cash flow scenarios included forward-
looking assumptions on recoveries, loss timings, and voluntary
absolute prepayment speeds that we believe are appropriate given
each transaction's performance to date. Aside from our break-even
cash flow analysis, we also conducted sensitivity analysis to
determine the impact that a moderate ('BBB') stress scenario would
have on our ratings if losses began trending higher than our
revised base-case loss expectation. In our view, the results
demonstrated that all the classes have adequate credit enhancement
at the raised or affirmed rating levels," S&P said.
S&P will continue to monitor the performance to ensure that the
credit enhancement remains sufficient, in S&P's view, to cover its
revised cumulative net loss expectations under its stress
scenarios for each of the rated classes.
RATINGS LIST
Capital Auto Receivables Asset Trust 2013-2
Rating
Class Identifier To From
A-1 139742AA8 AAA (sf) AAA (sf)
A-2 139742AB6 AAA (sf) AAA (sf)
A-3 139742AC4 AAA (sf) AAA (sf)
A-4 139742AD2 AAA (sf) AAA (sf)
B 139742AE0 AA+ (sf) AA (sf)
C 139742AF7 AA (sf) A (sf)
D 139742AG5 AA- (sf) BBB (sf)
E 139742AH3 BBB+ (sf) BB (sf)
CENT CDO 14: S&P Raises Rating on Class E Notes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2a, B, C, D, and E notes from Cent CDO 14 Ltd., a collateralized
loan obligation transaction managed by Columbia Management
Investment Advisers LLC. At the same time, S&P affirmed its
ratings on the class A-1 and A-2b notes from the same transaction.
In addition, S&P removed its ratings on class A-1, A-2a, A-2b, B,
C, and D notes from CreditWatch, where they were placed with
positive implications on April 9, 2014.
The transaction's reinvestment period ended recently in April
2014, and the deal will be entering its amortization phase
beginning with the July 2014 payment date. The upgrades reflect
the low amount of defaulted assets in the portfolio as well as a
decrease in the amount of 'CCC' rated assets. In addition, the
transaction benefits from the assets' seasoning as it gets closer
to its maturity date.
The affirmations reflect sufficient credit support available to
the notes at its current rating level.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON
Cent CDO 14 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AA+ (sf)/Watch Pos AA+ (sf) 12.29% AA+ (sf)
A-2a AA+ (sf)/Watch Pos AAA (sf) 5.87% AAA (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf) 12.29% AA+ (sf)
B A+ (sf)/Watch Pos AA+ (sf) 1.71% AA+ (sf)
C BBB+ (sf)/Watch Pos A+ (sf) 2.41% A+ (sf)
D BBB- (sf)/Watch Pos BBB+ (sf) 2.96% BBB+ (sf)
E BB (sf)/Watch Pos BB+ (sf) 7.39% 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.
Notional balance (mil.$)
Class November 2011 June 2014
A-1 110.00 110.00
A-2a 236.25 236.25
A-2b 26.25 26.25
B 33.75 33.75
C 24.375 24.375
D 18.75 18.75
E 12.50 12.50
Coverage test (%)
A/B O/C test 120.25 120.38
C O/C test 113.44 113.56
D O/C test 108.71 108.82
E O/C test 105.77 105.88
WAS (%) 3.444 3.196
WAS-Weighted average spread.
O/C-Overcollateralization test.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to our base-case analysis, S&P 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.
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 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
A-2a AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2b AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (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) BBB- (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf)
E BB+ (sf) BB+ (sf) BB+ (sf) BBB- (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-1 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
A-2a AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-2b AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
B AA+ (sf) AA (sf) A+ (sf) AA+ (sf)
C A+ (sf) A (sf) BBB (sf) A+ (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB+ (sf)
E BB+ (sf) BB+ (sf) B+ (sf) BB+ (sf)
RATINGS LIST
Cent CDO 14 Ltd.
Rating
Class Identifier To From
A-1 15135DAA5 AA+ (sf) AA+ (sf)/Watch Pos
A-2a 15135DAJ6 AAA (sf) AA+ (sf)/Watch Pos
A-2b 15135DAL1 AA+ (sf) AA+ (sf)/Watch Pos
B 15135DAC1 AA+ (sf) A+ (sf)/Watch Pos
C 15135DAE7 A+ (sf) BBB+ (sf)/Watch Pos
D 15135DAG2 BBB+ (sf) BBB- (sf)/Watch Pos
E 15134UAA8 BB+ (sf) BB (sf)
CITIGROUP COMM 2004-C1: Moody's Cuts Cl. X-1 Certs Rating to Caa1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six classes,
downgraded the ratings of one class and affirmed the ratings of
two classes of Citigroup Commercial Mortgage Trust 2004-C1,
Commercial Mortgage Pass-Through Certificates, Series 2004-C1 as
follows:
Cl. G, Upgraded to Aaa (sf); previously on Feb 14, 2014 Affirmed
Ba1 (sf)
Cl. H, Upgraded to Aa2 (sf); previously on Feb 14, 2014 Affirmed
B2 (sf)
Cl. J, Upgraded to A1 (sf); previously on Feb 14, 2014 Affirmed
Caa1 (sf)
Cl. K, Upgraded to Ba1 (sf); previously on Feb 14, 2014 Affirmed
Caa3 (sf)
Cl. L, Upgraded to B1 (sf); previously on Feb 14, 2014 Affirmed C
(sf)
Cl. M, Upgraded to Caa3 (sf); previously on Feb 14, 2014 Affirmed
C (sf)
Cl. N, Affirmed C (sf); previously on Feb 14, 2014 Affirmed C (sf)
Cl. P, Affirmed C (sf); previously on Feb 14, 2014 Affirmed C (sf)
Cl. X-1, Downgraded to Caa1 (sf); previously on Feb 14, 2014
Affirmed Ba3 (sf)
Ratings Rationale
The ratings on the P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization, as well as a decline in Moody's expected loss. The
deal has paid down 89% since Moody's last review.
The ratings on the P&I classes 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 6.8% of the
current balance, compared to 4.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.2% of the
original pooled balance, compared to 3.7% 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 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 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 7, compared to 13 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 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 June 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $52.9
million from $1.2 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from less
than 1% to 23% of the pool.
Two loans, constituting 9% 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.
Eighteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $22.6 million (for an average loss
severity of 25%). Two loans, constituting 8% of the pool, are
currently in special servicing. The largest specially serviced
loan is the 2150 Coliseum Drive ($3.4 million -- 6.4% of the
pool), which is secured by a 45,605 SF retail center located in
Hampton, VA. The loan transferred to special servicing in February
2014 due to the borrower requesting a maturity extension.
The remaining specially serviced loans are secured by a single-
tenant retail property. Moody's estimates an aggregate $850,000
loss for the specially serviced loans (19% expected loss on
average).
Moody's received full year 2013 operating results for 100% of the
pool. Moody's weighted average conduit LTV is 90%, compared to 78%
at Moody's last review. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 1.22X and 1.22X,
respectively, compared to 1.57X and 1.38X 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 59% of the pool balance. The
largest loan is the Amboy Plaza Shopping Center ($12.3 million --
23.2% of the pool), which is secured by grocery-anchored retail
property located in Staten Island, New York. As of March 2014 the
property was 98% occupied, compared to 100% at Moody's prior
review. Moody's LTV and stressed DSCR are 84% and 1.22X,
respectively, compared to 87% and 1.18X at the last review.
The second largest loan is the Fred Meyer - Kent Loan ($9.7
million -- 18.3% of the pool), which is secured by a 167,146 SF
single-tenant grocery store located in Kent, WA. Moody's value is
based on a lit-dark blend. Moody's LTV and stressed DSCR are 98%
and 1.05X, respectively, compared to 94% and 1.09X at the last
review.
The third largest loan is the Sanford Farms Shopping Center Loan
($9.4 million -- 17.7% of the pool), which is secured by 102,425
SF retail center located in Amseterdam, NY. The property was 97%
occupied as of March 2014. The loan is benefitting from
amortization and matures in June 2015. Moody's LTV and stressed
DSCR are 102% and 1.01X, respectively, compared to 111% and 0.92X
at the last review.
COMMERCIAL CAPITAL: Fitch Affirms CCC Rating on Cl. 3F Certs
------------------------------------------------------------
Fitch Ratings has affirmed five classes of Commercial Capital
Access One, Series 3 (CCA One, Series 3) commercial mortgage pass-
through certificates.
Key Rating Drivers
The affirmations are due to stable performance and continued pay
down since the last rating action. The pool has experienced $32.0
million (7.4% of the original pool balance) in realized losses to
date. There are 25 loans remaining in the pool; Fitch has
identified three (18.8% of the pool) Loans of Concern, which
includes one specially serviced asset (12.9% of the pool).
As of the June 2014 distribution date, the pool's aggregate
principal balance has been reduced by 83.6% to $71.2 million from
$433.7 million at issuance. Of the remaining pool, six loans (18%
of the pool) are multifamily properties that had low-income
housing tax credits at issuance. All of them are now past their
compliance periods. Additionally, six loans (18% of the pool) are
covered by a SunAmerica limited guaranty. SunAmerica's parent
company, AIG, is rated 'A-' with a Stable Outlook by Fitch. The
guaranty requires Sun America to either pay the special servicer
an amount equal to any realized losses arising from covered
specially serviced loans, or to purchase the covered loans
directly from the trust at par if they become distressed.
The largest loan of the pool (19.3% of the pool) is secured by a
250,428 square foot (sf) office property located in Burlington, MA
(Boston MSA). Aspen Technologies is expected to be vacating their
current 75,000 sf corporate headquarters for a larger space in
Bedford, MA. The move is scheduled for the end of 2014 and per the
December 2013 rent roll the tenant accounts for 30% NRA (47% base
rent) at the property. To date, updated leasing status for the
space has not been received. Fitch will continue to monitor the
leasing status of the property. As of year-end (YE) 2013 occupancy
and DSCR was 95.4% and 1.44x, respectively. The loan remains
current.
The second largest loan in the pool, Denver Mart (12.9%), is in
special servicing. The property is located in Denver, CO and is
comprised of three buildings totaling 790,200 gross sf of
showroom, exhibition, and display space. The loan transferred to
special servicing in 2011 after the borrower filed for bankruptcy.
The court has recently dismissed the bankruptcy claim and property
performance has improved in recent years. As of YE 2012 occupancy
and DSCR was 85.4% and 1.03x, respectively, compared to 93.3% and
1.47x as of YE 2013. The loan is current.
RATING SENSITIVITY
The ratings of classes 3C and 3D are expected to remain stable due
to increasing credit enhancement. Despite high credit enhancement
upgrades are not expected due to the concentrated pool and credit
characteristics of the remaining collateral, including the
uncertainty in the leasing status of the largest loan and binary
risk associated with single-tenant exposure (17.8% of the pool).
The distressed classes (those rated below 'B') are subject to
further downgrades as losses are realized. In addition, class 3E
may be subject to further rating actions should realized losses be
greater than Fitch's expectations.
Fitch affirms the following classes:
-- $31.7 million class 3C at 'AAsf'; Outlook Stable;
-- $19.5 million class 3D at 'BBB+sf'; Outlook Stable;
-- $6.5 million class 3E at 'BBBsf'; Outlook Negative;
-- $10.8 million class 3F at 'CCCsf'; RE 100%;
-- $2.7 million class 3G at 'Dsf'; RE 10%.
COVENANT CREDIT I: S&P Assigns 'BB-' Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Covenant Credit Partners CLO I Ltd./Covenant Credit Partners CLO I
LLC's $466.00 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which primarily
comprises broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest rate
scenarios, including LIBOR ranging from 0.2600% to
13.8391%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which would lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
RATINGS ASSIGNED
Covenant Credit Partners CLO I Ltd./
Covenant Credit Partners CLO I LLC
Amount
Class Rating (Mil. $)
X AAA (sf) 3.50
A AAA (sf) 305.00
B AA (sf) 65.00
C (deferrable) A (sf) 40.00
D (deferrable) BBB (sf) 26.00
E (deferrable) BB- (sf) 26.50
Subordinated notes NR 61.50
NR--Not rated.
CREDIT SUISSE 2008-C1: S&P Affirms CCC- Rating on 2 Note Classes
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 11
classes of commercial mortgage pass-through certificates from
Credit Suisse Commercial Mortgage Trust Series 2008-C1, a U.S.
commercial mortgage-backed securities (CMBS) transaction,
including the class A-X interest-only (IO) certificates.
S&P's affirmations 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 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 ratings.
The affirmed ratings also reflect S&P's analysis of the credit
characteristics and performance of the remaining loans, the
transaction-level changes, and the liquidity support available to
the classes.
S&P affirmed its 'AAA (sf)' rating on the class A-X IO
certificates based on its criteria for rating IO securities.
Reported Credit Enhancement Levels As Of The June 2014 Remittance
Report
Class Reported credit
enhancement level (%)
A-2 33.99
A-2FL 33.99
A-AB 33.99
A-3 33.99
A-1-A 33.99
A-M 20.49
A-J 11.72
B 10.37
C 9.02
D 7.17
A-X N/A
N/A-Not applicable.
RATINGS LIST
Credit Suisse Commercial Mortgage Trust Series 2008-C1
Commercial mortgage pass-through certificates series 2008-C1
Rating
Class Identifier To From
A-2 22546NAB0 AAA (sf) AAA (sf)
A-AB 22546NAC8 AAA (sf) AAA (sf)
A-3 22546NAD6 A (sf) A (sf)
A-1-A 22546NAE4 A (sf) A (sf)
A-2FL 22546NBV5 AAA (sf) AAA (sf)
A-M 22546NAF1 BB (sf) BB (sf)
A-J 22546NAH7 CCC+ (sf) CCC+ (sf)
B 22546NAK0 CCC (sf) CCC (sf)
C 22546NAM6 CCC- (sf) CCC- (sf)
D 22546NAP9 CCC- (sf) CCC- (sf)
A-X 22546NBT0 AAA (sf) AAA (sf)
CUTWATER 2014-I: Moody's Assigns (P)B2 Rating on Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of notes to be issued by Cutwater 2014-I, Ltd.
Moody's rating action is as follows:
$216,600,000 Class A-1a Senior Secured Floating Rate Notes due
2026 (the "Class A-1a Notes"), Assigned (P)Aaa (sf)
$45,000,000 Class A-1b Senior Secured Floating Rate Notes due
2026 (the "Class A-1b Notes"), Assigned (P)Aaa (sf)
$38,200,000 Class A-2 Senior Secured Floating Rate Notes due 2026
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
$25,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class B-1 Notes"), Assigned (P)A2 (sf)
$22,900,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class C Notes"), Assigned (P)Baa3 (sf)
$21,800,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Ba3 (sf)
$7,300,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)B2 (sf)
The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes,
the Class B Notes, the Class C Notes, the Class D Notes and the
Class E Notes are referred to herein, collectively, as the "Rated
Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Cutwater CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans
and unsecured loans. Moody's expect the portfolio to be
approximately 65% ramped as of the closing date.
Cutwater Asset Management Corp. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest up to
50% of unscheduled principal payments and proceeds from sales of
credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2750
Weighted Average Spread (WAS): 3.90%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2750 to 3163)
Rating Impact in Rating Notches
Class A-1a Notes: 0
Class A-1b Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2750 to 3575)
Rating Impact in Rating Notches
Class A-1a Notes: -1
Class A-1b Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
Class E Notes: -2
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
The score for the "Experience of, Arrangements Among and Oversight
of the Transaction Parties," a sub-category of the V Score, is one
notch higher than that of the benchmark CLO, which is Low/Medium.
The score of Medium reflects the fact that this transaction will
be the Manager's first CLO. This higher score for "Experience of,
Arrangements Among and Oversight of the Transaction Parties" does
not, however, cause this transaction's overall composite V Score
of Medium/High to differ from that of the CLO sector benchmark.
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.
DEUTSCHE MORTGAGE 2004-2: Moody's Ups Cl. A-5 Debt Rating to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
in one transaction backed by Alt-A RMBS loans issued by Deutsche
Bank.
Complete rating actions are as follows:
Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan
Trust, Series 2004-2
Cl. A-5, Upgraded to Ba1 (sf); previously on Aug 29, 2013 Upgraded
to Ba3 (sf)
Cl. A-6, Upgraded to Baa1 (sf); previously on Aug 29, 2013
Upgraded to Baa3 (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 this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.1% in June 2014 from 7.5% in
June 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.
EATON VANCE 2014-1: Moody's Rates $28.5MM Class E Notes '(P)Ba3'
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Eaton Vance CLO 2014-1, Ltd.
Moody's rating actions are as follows:
$315,500,000 Class A Senior Secured Floating Rate Notes due 2026
(the "Class A Notes"), Assigned (P)Aaa (sf)
$63,000,000 Class B Senior Secured Floating Rate Notes due 2026
(the "Class B Notes"), Assigned (P)Aa2 (sf)
$29,750,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class C Notes"), Assigned (P)A2 (sf)
$27,000,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$28,500,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Eaton Vance CLO 2014-1 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 95% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 5% of the portfolio may consist of second
lien loans and unsecured loans. The Issuer's portfolio is expected
to be at least 70% ramped as of the closing date and the Issuer's
documents are also expected to require that the portfolio will be
100% ramped within four months thereafter.
Eaton Vance Management (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four-year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk assets, subject to
certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2590
Weighted Average Spread (WAS): 3.4%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2590 to 2979)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2590 to 3367)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
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.
FRANKLIN CLO VI: Moody's Affirms Ba1 Rating on Class D Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Franklin CLO VI, Ltd.:
$38,000,000 Class B Senior Secured Floating Rate Notes Due
August 9, 2019, Upgraded to Aa1 (sf); previously on August 1,
2013 Upgraded to Aa2 (sf);
$18,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due August 9, 2019, Upgraded to A3 (sf); previously on
August 1, 2013 Affirmed Baa1 (sf).
Moody's also affirmed the ratings of the following notes:
$272,000,000 Class A Senior Secured Floating Rate Notes Due
August 9, 2019 (current outstanding balance of $209,331,107),
Affirmed Aaa (sf); previously on August 1, 2013 Affirmed Aaa
(sf);
$15,000,000 Class D Senior Secured Deferrable Floating Rate
Notes Due August 9, 2019, Affirmed Ba1 (sf); previously on
August 1, 2013 Affirmed Ba1 (sf);
$11,500,000 Class E Senior Secured Deferrable Floating Rate
Notes Due August 9, 2019 (current outstanding balance of
$11,035,647), Affirmed Ba2 (sf); previously on August 1, 2013
Affirmed Ba2 (sf).
Franklin CLO VI, Ltd., issued in July 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
August 2013.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization (OC) ratios since August 2013. The Class A notes
have been paid down by approximately 19% or $52 million since
August 2013. Based on the trustee's June 2014 report, the Class
A/B, C, D and E notes OC ratios are 124.7%, 116.3%, 110.1% and
105.9%, respectively, versus August 2013 levels of 120.5%, 113.6%,
108.5% and 105.0%, respectively.
Moody's notes that the actions also reflect consideration of the
issuer's increased exposure to investments in securities that
mature after the notes do. These securities currently make up
approximately $53.9 million, or 17.9% of the portfolio, compared
to $34.6 million, or 10.4% of the portfolio, in June 2013. These
investments could expose the notes to market risk in the event of
liquidation when the notes mature. In addition, the weighted
average spread (WAS) of the portfolio declined to 3.3%, currently,
from 3.6% in August 2013.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can
lead to positive CLO performance. Conversely, a negative shift in
credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the
lowest priority in the capital structure, in particular the Class
D and Class E notes. Moody's assumes that the terminal value of an
asset upon liquidation at maturity will be equal to the lower of
an assumed liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) or the asset's
current market value. The deal's increased exposure owing to
amendments to loan agreements extending maturities continues. In
light of the deal's sizable exposure to long-dated assets, which
increases its sensitivity to the liquidation assumptions in the
rating analysis, Moody's ran scenarios using a range of
liquidation value assumptions. However, actual long-dated asset
exposures and prevailing market prices and conditions at the CLO's
maturity will drive the deal's actual losses, if any, from long-
dated assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case
modeling results, which may be different from the current public
ratings of the 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% (2106)
Class A: 0
Class B: +1
Class C: +2
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3159)
Class A: 0
Class B: -2
Class C: -1
Class D: -1
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $301.4 million, no defaulted
par, a weighted average default probability of 18.67% (implying a
WARF of 2633), a weighted average recovery rate upon default of
50.34%, a diversity score of 43 and a weighted average spread of
3.29%.
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.
FRANKLIN CLO VI: S&P Affirms 'B+' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, and C notes from Franklin CLO VI Ltd., a U.S. collateralized
loan obligation (CLO) managed by Franklin Advisers Inc. S&P
affirmed its ratings on the class D and E notes from the same
transaction. At the same time, S&P removed its rating on the
class A notes from CreditWatch, where they were placed with
positive implications on April 9, 2014.
The upgrades reflect paydowns to the class A notes since S&P's
November 2012 rating actions. The affirmed ratings reflect S&P's
belief that the credit support available is commensurate with
their current rating levels.
The class A notes have paid down by $52.26 million to 76.96% of
its original note balance since our last rating actions, which
were based on the trustee report dated Sept. 25, 2012. The
transaction's overall overcollateralization (O/C) ratio tests have
benefited from the principal paydowns:
-- A/B O/C ratio increased to 124.74% from 120.60%.
-- C O/C ratio increased to 116.28% from 113.76%.
-- D O/C ratio increased to 110.05% from 108.63%.
-- E O/C ratio increased to 105.89% from 105.15%.
The underlying portfolio's credit quality has improved over the
same period. According to the May 2014 trustee report, the
transaction held no defaulted assets and $4.6 million in 'CCC'
rated assets, down from the $3.58 million in defaulted assets and
$14 million 'CCC' rated assets in September 2012.
The transaction held $51.49 million in long-dated assets that
mature after the transaction's stated maturity. S&P's analysis
considered 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 will continue to review whether, in our 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.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Franklin CLO VI Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A AA+ (sf)/Watch Pos AAA (sf) 9.35% AAA (sf)
B AA (sf) AA+ (sf) 6.24% AA+ (sf)
C A (sf) A+ (sf) 6.91% A+ (sf)
D BBB (sf) BBB+ (sf) 4.75% BBB (sf)
E B+ (sf) B+ (sf) 0.35% B+ (sf)
(i) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each
tranche's weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
CORRELATION
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA(sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+(sf)
C A+ (sf) A+ (sf) A+ (sf) AA (sf) A+ (sf)
D BBB+ (sf) BBB- (sf) BBB+ (sf) A- (sf) BBB(sf)
E 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 Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A 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) BBB+ (sf) BB+ (sf) BBB (sf)
E B+ (sf) B+ (sf) CC (sf) B+ (sf)
RATING ACTIONS
Franklin CLO VI Ltd.
Class Rating
To From
A AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) AA (sf)
C A+ (sf) A (sf)
D BBB (sf) BBB (sf)
E B+ (sf) B+ (sf)
FREMF 2011-K704: Moody's Affirms Ba3 Rating on Cl. X2 Securities
----------------------------------------------------------------
Moody's Investors Service has affirmed five classes in FREMF 2011-
K704 Mortgage Trust as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Baa1 (sf); previously on Sep 12, 2013 Affirmed
Baa1 (sf)
Cl. X1, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed Aaa
(sf)
Cl. X2, Affirmed Ba3 (sf); previously on Sep 12, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 2.9% of the
current balance compared to 3.1% at Moody's prior review. Moody's
base expected loss plus realized losses is now 2.9% of the
original pooled balance compared to 3.1% at the prior review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 47, the same as at Moody's last review.
Deal Performance
As of the June 25, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 1.8% to $1.18
billion from $1.20 billion at securitization. The Certificates are
collateralized by 65 mortgage loans ranging in size from less than
1% to 6% of the pool, with the top ten loans representing 32% of
the pool.
Two loans, representing 1.7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
No loans have been liquidated from the pool. One loan,
representing 2.4% of the pool, is in special servicing. The
specially serviced loan is The Retreat at Stonebridge Ranch Loan
($28 million -- 2.4% of the pool), which is secured by a 464 unit
multifamily complex located in McKinney, Texas. The loan was
transferred to special servicing in February 2012 due to an
imminent default resulting from action taken pursuant to a SEC
investigation of the borrowers. The borrowers were accused of
commingling investor funds and paying returns to investors from
new equity raises. A liquidation plan was filed in March 2012 and
the borrower's properties will be marketed for sale. The property
was 91% occupied as of December 2013 compared to 92% leased as of
June 2011. Moody's expects a small loss from the liquidation of
this loan.
Moody's has assumed a high default probability for two poorly-
performing loans representing 2.1% of the pool. Moody's has
estimated an aggregate $7.9 million loss (15% expected loss) from
the specially serviced and troubled loans.
Moody's received full-year 2013 operating results for 94% of the
pool and full or partial year 2014 operating results for 39%.
Moody's weighted average conduit LTV is 97% compared to 103% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 10% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 8.7%.
Moody's actual and stressed conduit DSCRs are 1.44X and 0.97X,
respectively, compared to 1.38X and 0.92X at the 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 13% of the pool
balance. The largest loan is the Rosslyn Heights Apartments Loan
($72.7 million -- 6.2% of the pool), which is secured by a 366
unit multifamily property consisting of four, six-story apartment
buildings and one clubhouse located in Arlington, Virginia. As of
January 2014, the property was 96% leased compared to 97% as of
December 2012. The property is in close proximity to the central
business district (CBD) of Washington, D.C., three blocks east of
the Rosslyn Metro Station and walking distance to the Key Bridge.
Performance has remained stable. Moody's LTV and stressed DSCR are
99% and 0.87X, respectively, the same as at last review.
The second largest loan is the Farms at Cool Springs Loan ($40.8
million -- 3.5% of the pool), which is secured by a 474 unit
multifamily located 18 miles south of Nashville in Franklin,
Tennessee. As of March 2014, the property was 95% leased compared
to 93% leased at last review. The improvements consist of 21 three
and four-story apartment buildings, a clubhouse/leasing office and
five parking structures (711 spaces). The property was originally
constructed in 1998 with no significant renovation occurring since
construction. Performance has remained stable. Moody's LTV and
stressed DSCR are 93% and 1.01X, respectively, compared to 100%
and 0.95X at last review.
The third largest conduit loan is the Highlands at West Village
Loan ($40.7 million -- 3.4% of the pool), which is secured by a
292 unit multifamily property located in Smyrna, Georgia, about
seven miles northwest of Atlanta's CBD. The improvements consist
of nine three and four story apartment buildings and three parking
decks. As of December 2013, the property was 91% leased, the same
as at last review. Moody's LTV and stressed DSCR are 99% and
0.93X, respectively, compared to 104% and 0.88X at last review.
GMACM MORTGAGE 2004-J2: Moody's Cuts Ratings on 2 Tranches to Ba3
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches issued by GMACM Mortgage Loan Trust 2004-J2. The tranches
are backed by Prime Jumbo RMBS loans issued from 2004.
Complete rating actions are as follows:
Issuer: GMACM Mortgage Loan Trust 2004-J2
Cl. A-11, Downgraded to Ba3 (sf); previously on Dec 4, 2012
Downgraded to Ba2 (sf)
Cl. A-12, Downgraded to Ba3 (sf); previously on Dec 4, 2012
Downgraded to Ba2 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pool and reflect Moody's updated loss expectation on
the pool. The ratings downgraded are a result of deteriorating
performance and structural features resulting in higher expected
losses for the bonds than previously anticipated.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.1% in June 2014 down from
7.5% in June 2013. Moody's forecasts an unemployment central range
of 6.0% to 7.0% 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.
GOLDMAN SACHS 2010-C2: Moody's Affirms B2 Rating on Cl. F Certs
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of nine classes
of Goldman Sachs Mortgage Securities Trust 2010-C2 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Aug 29, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug 29, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Aug 29, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Aug 29, 2013 Affirmed A2
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Aug 29, 2013 Affirmed
Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Aug 29, 2013 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Aug 29, 2013 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Aug 29, 2013 Affirmed
Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Aug 29, 2013 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating of the IO Classes, Class X-A and X-B, are consistent
with the expected credit performance of their referenced classes
and thus are affirmed.
Moody's rating action reflects a base expected loss of 1.7% of the
current balance, compared to 2.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.6% of the
original pooled balance, compared to 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 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
pool has a Herf of 23, compared to 24 at Moody's last review.
Deal Performance
As of the June 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 4% to $844 million
from $876 million at securitization. The certificates are
collateralized by 43 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans constituting 52% of
the pool. Five loans, constituting 14% of the pool, have
investment-grade structured credit assessments. Two loans,
constituting 3% of the pool, have defeased and are secured by US
government securities.
Six loans, constituting 14% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
The pool has not experienced any losses and currently there are no
loans in special servicing.
Moody's received full year 2013 operating results for 99% of the
pool. Moody's weighted average conduit LTV is 84%, compared to 88%
at Moody's last review. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 15% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.10%.
Moody's actual and stressed conduit DSCRs are 1.71X and 1.31X,
respectively, compared to 1.65X and 1.24X 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 largest loan with a structured credit assessment is the Cole
Portfolio I Loan ($31.5 million -- 3.7% of the pool balance),
which is secured by a fee interest in 20 single tenant properties
located across 13 states. The portfolio consists of 17 retail
properties, two industrial properties and one ground leased parcel
that is improved with a retail building. In aggregate, the
portfolio contains approximately 555,100 square feet (SF) and was
100% leased as of March 2013. Only one lease, representing 9% of
the net rentable area (NRA) expires during the loan term. Moody's
structured credit assessment and stressed DSCR are baa3 (sca.pd)
and 1.49X, respectively, compared to baa3 (sca.pd) and 1.52X at
last review.
The second largest loan with a structured credit assessment is the
Cole Portfolio II Loan ($30.0 million -- 3.6%), which is secured
by a fee interest in 14 single tenant properties and one multi-
tenant industrial property located across 11 states. In aggregate,
the portfolio contains approximately 331,500 SF and was 100%
leased as of April 2014. Moody's structured credit assessment and
stressed DSCR are baa3 (sca.pd) and 1.54X, compared to baa3
(sca.pd) and 1.55X at last review.
The third largest loan with a structured credit assessment is the
Payless and Brown Industrial Portfolio Loan ($28.2 million --
3.3%), which is secured by two single tenant industrial
properties. The Payless Distribution Center represents the larger
of the two properties and totals approximately 802,000 SF of the
Northbrook Industrial Park in Brookville, Ohio. The property was
built in 2008 and has 32' ceiling heights, three grade drive-in
doors 76 dock high doors, and approximately 25,000 SF of office
space. The remainder of the collateral is represented by the Brown
Shoe Distribution Center, a 352,000 SF warehouse/distribution
building located in Lebec, California within the Tenjon Industrial
Complex. The property was built in 2008 and has 32' ceiling
heights, a single grade drive-in door, 38 exterior docks with
levelers, and approximately 12,000 SF of office space. Moody's
structured credit assessment and stressed DSCR are baa2 (sca.pd)
and 1.70X, compared to baa2 (sca.pd) and 1.78 at last review.
The fourth largest loan with a structured credit assessment is the
ARC Credit Portfolio 2 Loan ($19.6 million -- 2.3%), which is
secured by 10 single tenant retail properties located across five
states. In aggregate, the portfolio contains approximately 116,000
SF that was 100% leased as of December 2012. All of the properties
are occupied by investment grade tenants. Moody's structured
credit assessment and stressed DSCR are a3 (sca.pd) and 1.64X,
respectively, compared to a3 (sca.pd) and 1.61X at last review.
The fifth largest loan with a structured credit assessment is the
Ruxton Towers Loan ($11.8 million -- 1.4%), which is secured by a
16-story apartment building containing 208 units and built in
1927. The property is located in the Upper West Side of Manhattan,
NY. The property was 99% leased as of June 2013. Moody's
structured credit assessment and stressed DSCR are aa2 (sca.pd)
and 2.08X, respectively, compared to aa3 (sca.pd) and 1.74X at
last review.
The top three conduit loans represent 25% of the pool balance. The
largest loan is the 52 Broadway Loan ($88 million -- 10.4% of the
pool), which is secured by a 19-story, 400,000 SF, Class B office
building located in downtown Manhattan, New York. The property was
constructed in 1982 and renovated in 2002 at a cost of $4.5
million ($11.25 PSF). The United Federation of Teachers has
occupied the entire building since the 2002 renovation. They are
currently operating under a long term net lease expiring in August
2034. Moody's LTV and stressed DSCR are 103% and 0.98X,
respectively, compared to 111% and 0.92X at last review.
The second largest conduit loan is the Cleveland Office Portfolio
Loan ($62.1 million -- 7.4%), which is secured by two separate
office properties located at the intersection of East 9th Street
and St Clair Avenue NE in downtown Cleveland, Ohio. One Cleveland
Center is a 34-story, Class A high-rise office building containing
approximately 544,000 SF. The building was constructed in 1983 and
renovated in 2009. The Penton Media Building is a 20-story, Class
A high-rise office building containing approximately 600,000 SF.
The building was constructed in 1974 and has never undergone a
major renovation. Both properties offer attached parking garages
and ground floor retail. In total, the portfolio was 69% leased as
of December 2013 compared to 77% at last review. Moody's LTV and
stressed DSCR are 99% and 1.06X, respectively, compared to 91% and
1.15X at last review.
The third largest conduit loan is the Station Square Loan ($59.1
million -- 7.0%), which is secured by a 670,000 SF mixed use
property located in Pittsburgh, Pennsylvania. The property is
comprised of five buildings containing 449,000 SF of office space
and 220,000 SF of retail space, two open-air parking lots offering
approximately 2,500 spaces, a covered parking garage offering
1,210 spaces, docks leased to the Gateway Clipper Fleet, marina
slips, an outdoor amphitheater leased to a third party operator,
and land under a gas stations owned by a third party operator. The
age of the improvements vary, with the oldest structure built in
1897 and the newest structure built in 2001. Moody's LTV and
stressed DSCR are 82% and 1.25X, respectively, compared to 94% and
1.09X at last review.
HILT 2014-ORL: S&P Assigns Prelim. BB- Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to HILT 2014-ORL Mortgage Trust's $345.0 million
commercial mortgage pass-through certificates series 2014-ORL.
The certificate issuance is a commercial mortgage-backed
securities transaction backed by one floating-rate mortgage loan
totaling $345.0 million secured by a first lien on the borrower's
fee interest in one full-service convention hotel in Orlando, Fla.
The preliminary ratings are based on information as of July 8,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
HILT 2014-ORL Mortgage Trust
Class Rating(i) Amount ($)
A AAA (sf) 116,508,000
X-FP AAA (sf) (ii)
X-CP AAA (sf) (ii)
X-EXT AAA (sf) (ii)
B AA- (sf) 43,885,000
C A- (sf) 32,623,000
D BBB- (sf) 43,108,000
E BB- (sf) 67,963,000
F B (sf) 40,913,000
(i) The rating on each class is preliminary and subject to change
at any time. The issuer will issue the certificates to
qualified institutional buyers in line with Rule 144A of the
Securities Act of 1933.
(ii) The initial notional balances of the class X-FP, X-CP, and
X-EXT certificates will be determined in connection with the
pricing of the certificates. The notional amount of the
class X-FP, X-CP, and X-EXT certificates will be reduced by
the aggregate amount of principal distributions and realized
losses allocated to a portion of the class A certificates.
ISHARES J.P. MORGAN: S&P Lowers Rating on Bond ETF to 'B+f'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its fund credit quality
rating on the iShares J.P. Morgan USD Emerging Markets Bond ETF to
'B+f' from 'BB-f'. At the same time, S&P affirmed its fund
volatility rating on the emerging markets exchange-traded fund
(ETF) at 'S4'.
S&P lowered the rating on the iShares J.P. Morgan USD Emerging
Markets Bond ETF because of the fund's aggregate exposure to
international countries that have undergone downgrades. The fund
has exposure to 'CCC' rated Ukraine (currently 2.95% of the index)
government bonds, which negatively impacts the overall credit
quality of the fund. The fund currently does not have an active
weight to Ukraine versus the index. The Ukraine government
remains an eligible investment for the JPMorgan EMBI Global Core
Index, which the fund tracks. The JPMorgan EMBI Global Core Index
is a liquid U.S. dollar-denominated emerging markets debt
benchmark, which provides exposure to government bonds issued by
emerging market countries. The iShares fund uses a passive
management strategy designed to track the total return performance
of the underlying indexes. Each index is rebalanced monthly on
the last calendar day of the month, and the fund's remaining
balance in Ukraine government bonds reflect the continued
inclusion in the underlying index.
The fund is among more than 220 investment portfolios of the
iShares Trust. The trust was organized as a Delaware statutory
trust on Dec. 16, 1999, and is authorized to have multiple series
or portfolios. The trust is an open-end management investment
company registered under the Investment Company Act of 1940 as
amended. The offering of the trust's shares is registered under
the Securities Act of 1933 as amended. The shares of the trust
are listed and traded at market prices on national securities
exchanges.
BFA is a subsidiary of BlackRock Inc. As of March 31, 2014,
BlackRock's assets under management totaled $4.401 trillion across
equity, fixed-income, cash management, alternative investment,
real estate, and advisory strategies. State Street Bank & Trust
Co. is the administrator, custodian, and transfer agent for the
fund. BlackRock Investments LLC, a subsidiary of BlackRock Inc.,
is the fund's distributor.
S&P's fund credit quality ratings, identified by the 'f'
subscript, reflect the level of protection the fund provides
against losses from credit defaults. The credit quality ratings
scale ranges from 'AAAf' (extremely strong protection against
losses from credit defaults) to 'CCCf' (extremely vulnerable to
losses from credit defaults). The ratings from 'AAf' to 'CCCf'
may be modified by the addition of a plus (+) or minus (-) sign to
show relative standing within the major rating categories.
S&P's fund volatility ratings, identified by the 'S' scale, are
based on its current opinion of a fixed-income fund's sensitivity
to changing market conditions, relative to a portfolio made up of
government securities and denominated in the base currency of the
fund. The volatility ratings are based on a scale from 'S1'
(lowest sensitivity) to 'S6' (highest sensitivity). Volatility
ratings evaluate sensitivity to factors such as interest rate
movements, credit risk, and liquidity.
S&P will monitor the fund monthly to ensure the consistency of the
credit and volatility profiles with the assigned ratings.
JFIN REVOLVER 2014: S&P Assigns Prelim. BB Rating on Class E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to JFIN Revolver CLO 2014 Ltd./JFIN Revolver CLO 2014
LLC's $414.00 million floating-rate notes.
The note issuance is collateralized loan obligation transaction
backed by a revolving pool consisting primarily of revolver and
delayed-drawdown loans.
The preliminary ratings are based on information as of July 10,
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
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria
-- The transaction's credit enhancement, which is necessary to
support the unfunded portion of the revolver and delayed-
draw collateral debt securities.
-- 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 revolver and delayed-draw corporate loans.
-- The asset 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 0.2386%-13.8385%.
-- The transaction's overcollateralization tests, a failure of
which will lead to the diversion of interest and principal
proceeds to reduce the balance of the rated notes
outstanding.
PRELIMINARY RATINGS ASSIGNED
JFIN Revolver CLO 2014 Ltd./JFIN Revolver CLO 2014 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 256.00
B AA (sf) 67.00
C (deferrable) A (sf) 42.00
D (deferrable) BBB (sf) 26.00
E (deferrable) BB (sf) 23.00
Subordinated notes NR 109.00
NR--Not rated.
JP MORGAN 2004-CIBC9: Fitch Raises Class D Notes Rating to CCC
--------------------------------------------------------------
Fitch Ratings has upgraded four classes and affirmed nine classes
of J.P. Morgan Chase Commercial Mortgage Securities Corp.'s
commercial mortgage pass-through certificates 2004-CIBC9.
KEY RATING DRIVERS
The upgrades reflect the increased credit enhancement levels after
significant paydown since Fitch's last rating action. Of the
original 117 loans, only twelve remain. Fitch has designated
three of the remaining loans (27.0%) as Fitch Loans of Concern,
which includes one specially serviced asset (14.8%). Fitch
modeled losses of 1.2% of the remaining pool; expected losses on
the original pool balance total 6.5%, including $71 million (6.4%
of the original pool balance) in realized losses to date.
As of the June 2014 distribution date, the pool's aggregate
principal balance has been reduced by 93.2% to $75.2 million from
$1.1 billion at issuance. The servicer has confirmed that three
additional loans have been paid off since the distribution date.
Taking into account these payoffs, the pool's aggregate balance
will have been reduced by 94.8% at the next distribution. The
Interest shortfalls are currently affecting classes D through NR.
The specially-serviced loan (14.84% of the pool) is the largest
loan in the pool and is secured by a 50 unit multi-family property
with ground floor retail space located in Brooklyn, NY. Retail
tenants include Rite-Aid and Brooklyn Vet Emergency Services. The
loan transferred to special servicing in April 2013 due to the
bankruptcy filing of the borrower. The special servicer is
pursuing all rights and remedies and continues to work through the
borrower's bankruptcy. A resolution is still being determined.
Occupancy at the property remains near 100% as reported by the
June 2014 rent roll.
RATING SENSITIVITY
Rating Outlooks on classes B through D remain Stable. These
senior classes will continue to benefit from paydown as the
remaining loans amortize. No downgrades are expected unless there
is a significant deterioration in the performance of any of the
remaining loans.
Fitch upgrades the following classes and assigns or revises Rating
Outlooks and REs as indicated:
-- $21.5 million class B to 'AAAsf' from 'BBB-sf'; Outlook
Stable;
-- $13.8 million class C to 'Asf' from 'BBsf'; Outlook Stable;
-- $20.7 million class D to 'BBsf' from 'CCCsf'; Outlook
Stable;
-- $11 million class E to 'CCCsf' from 'Csf'; RE 100%.
Fitch affirms the following classes as indicated:
-- $8.3 million class F at 'Dsf'; RE 95%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4 and A1-A certificates have paid in
full. Fitch does not rate the class NR certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
JP MORGAN 2005-CIBC12: Fitch Affirms D Rating on Cl. F Securities
-----------------------------------------------------------------
Fitch Ratings has affirmed 19 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp. (JPMCC), series 2005-CIBC12.
Key Rating Drivers
The affirmations are based on stable performance of the underlying
collateral and sufficient credit enhancement since the last rating
action.
Fitch modeled losses of 6.3% of the remaining pool; expected
losses on the original pool balance total 11.9%, including $179.8
million (8.1% of the original pool balance) in realized losses to
date. Fitch has designated 37 loans (24%) as Fitch Loans of
Concern, which includes 10 specially serviced assets (8.8%).
As of the June 2014 distribution date, the pool's aggregate
principal balance has been reduced by 40.6% to $1.32 billion from
$2.22 billion at issuance. Per the servicer reporting, nine loans
(5.6% of the pool) are defeased. Interest shortfalls are currently
affecting classes D through NR.
The largest contributor to expected losses is a specially-serviced
asset (3% of the pool), which is secured by a 289,000 square foot
(sf) office complex located in Atlanta, GA. The loan transferred
to special servicing in April 2012 and became real estate owned
(REO) as of March 2014. The loan went into default following a
notice from the sole tenant that it intended to downsize its lease
to 83% (of the net rentable area [NRA]) at market rates, which
were significantly lower than the previously executed rental rate.
The special servicer reports that it recently signed a new tenant
for 5.8% and the property is now 88.8% occupied. The special
servicer also reports it is in the process of listing the property
for sale.
The next largest contributor to expected losses is a specially-
serviced asset (0.7%), which is secured by an 87,330 sf office
building located in New London, CT. The loan transferred to the
special servicer in February 2007 and became REO in September
2013. The special servicer reports that the property is being
managed and leased by Northeast Property Group and it is 60%
occupied as of April 30, 2014.
The third largest contributor to expected losses is a specially-
serviced asset (0.8%) which is secured by a 104,013 sf suburban
office building located in Montvale, NJ. The loan transferred to
the special servicer in November 2013 for imminent default. Title
to the property was transferred to the trust via a deed-in-lieu,
and the asset became REO as of June 2014. The special servicer
reports the property's occupancy was 63.4% as of May 29, 2014.
RATING SENSITIVITIES
Rating Outlooks on classes A-3A2 through B remain Stable due to
increasing credit enhancement and continued paydown. A future
upgrade is possible on classes A-J and B due to sufficient credit
enhancement for their respective ratings; limited by the
increasing concentration risk with approximately 80% of the
remaining pool maturing before year-end 2015.
Fitch affirms the following classes and revises REs as indicated:
-- $46.9 million class A-3A2 at 'AAAsf', Outlook Stable;
-- $32.7 million class A-3B at 'AAAsf', Outlook Stable;
-- $649.3 million class A-4 at 'AAAsf', Outlook Stable;
-- $18.2 million class A-SB at 'AAAsf', Outlook Stable;
-- $216.7 million class A-M at 'AAAsf', Outlook Stable;
-- $162.5 million class A-J at 'BBBsf', Outlook Stable;
-- $43.3 million class B at 'Bsf', Outlook Stable;
-- $19 million class C at 'CCCsf', RE 100%;
-- $32.5 million class D at 'CCCsf', RE 35%.
-- $27.1 million class E at 'CCsf', RE 0%;
-- $19.2 million class F at 'Dsf', RE 0%;
-- $0 class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%;
-- $50 million class UHP at 'B-sf', Outlook Stable.
The class A-1, A-2 and A-3A1 certificates have paid in full. Fitch
does not rate the class NR certificates. Fitch previously withdrew
the ratings on the interest-only class X-1 and X-2 certificates.
JP MORGAN 2007-C1: S&P Affirms BB- Rating on Class A-M Notes
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1, a
U.S. commercial mortgage-backed securities (CMBS) transaction. In
addition, S&P affirmed its ratings on five other classes from the
same transaction, including the 'AAA (sf)' ratings on the class X-
1 and X-2 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 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 said.
S&P raised its rating on the class A-SB certificates to 'AAA (sf)'
after considering its cash flow analysis, which indicated that the
class should receive its full principal repayment because of time
tranching.
In addition, S&P upgraded class A-4 to 'A (sf)' to reflect its
expectation of this class' available credit enhancement, which S&P
believes is greater than its most recent estimate of necessary
credit enhancement for the respective rating level. The upgrade
also reflects S&P's views regarding the current and future
performance of the transaction's collateral, as well as the
deleveraging of the transaction.
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 ratings.
The affirmed ratings also reflect S&P's analysis of the credit
characteristics and performance of the remaining assets, the
transaction-level changes, and the liquidity support available to
the classes.
S&P affirmed its 'AAA (sf)' ratings on the classes X-1 and X-2 IO
certificates based on its criteria for rating IO securities.
Reported Credit Enhancement Levels
As of the June 2014 Remittance Report
Class Reported credit
enhancement level (%)
A-3 32.99
A-4 32.99
A-SB 32.99
A-M 20.33
A-J 14.63
X-1 N/A
X-2 N/A
N/A-Not applicable.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1
Commercial mortgage pass-through certificates series 2007-C1
Rating
Class Identifier To From
A-3 46630DAC6 AAA (sf) AAA (sf)
A-4 46630DAD4 A (sf) BBB+ (sf)
A-SB 46630DAE2 AAA (sf) BBB+ (sf)
X-2 46630DAF9 AAA (sf) AAA (sf)
A-M 46630DAG7 BB- (sf) BB- (sf)
A-J 46630DAH5 CCC (sf) CCC (sf)
X-1 46630DAJ1 AAA (sf) AAA (sf)
LB-UBS COMMERCIAL 2006-C3: S&P Lowers Rating on Class B Notes to B
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
pooled classes and affirmed its ratings on five other pooled
classes of commercial mortgage pass-through certificates from LB-
UBS Commercial Mortgage Trust 2006-C3, a U.S. commercial mortgage-
backed securities (CMBS) transaction. Concurrently, S&P raised
its ratings on three nonpooled "NBT" rake classes from the same
transaction.
The rating actions on the pooled classes reflect S&P's 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 loans in the
pool, the transaction structure, and the liquidity available to
the trust.
The lowered ratings on the pooled class certificates reflect the
actual credit support erosion experienced by the transaction, as
well as additional credit support erosion that S&P anticipates
upon the eventual resolution of the one loan ($17.7 million, 1.6%)
currently with the special servicer, C-III Asset Management LLC.
The affirmations of the ratings on the pooled principal- and
interest-paying classes reflect S&P's expectation that the
available credit enhancement for these classes will be within
S&P's necessary credit enhancement estimate required for the
current ratings.
S&P affirmed its 'AAA (sf)' rating on the class X-CL interest-only
(IO) certificates based on its criteria for rating IO securities.
The raised ratings on the nonpooled "NBT" rake classes reflect
S&P's analysis of the Northborough Tower loan that has a $19.1
million whole-loan balance comprising an $11.0 million senior
pooled component (1.0% of aggregate pool balance) and an $8.0
million subordinate nonpooled component, down from a $21.0 million
whole-loan balance at issuance. The loan is scheduled to mature
in January 2016 and is secured by a 207,908-sq.-ft. office
building in Houston that is 99.1% leased to Noble Energy Inc.
('BBB/Stable') through April 2018. The subordinate nonpooled
portion of this loan is the sole source of cash flow for these
"NBT" rake classes.
S&P's analysis considered the collateral property's operating
performance and the majority tenant's increased base rent
effective May 2013. Based on S&P's analysis, its expected-case
value yielded a 51.6% Standard & Poor's loan-to-value ratio on the
whole-loan balance. While the loan credit metrics indicate the
potential for further upgrades, S&P's analysis also considered the
limited liquidity available to the rake certificates, as well as
the tenant concentration risk.
Credit Enhancement Levels as of the June 2014 Remittance Report
Class Credit enhancement level
(%)
A-4 32.61
A-1A 32.61
A-M 17.70
A-J 8.57
B 7.26
C 5.21
D 3.72
E 2.60
F 0.74
NBT-2 N/A
NBT-3 N/A
NBT-4 N/A
X-CL N/A
N/A-Not applicable.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2006-C3
Commercial mortgage pass-through certificates series 2006-C3
Rating
Class Identifier To From
A-4 52108MFS7 AAA (sf) AAA (sf)
A-1A 52108MFT5 AAA (sf) AAA (sf)
A-M 52108MFU2 A- (sf) A- (sf)
A-J 52108MFV0 BB (sf) BB (sf)
B 52108MFW8 B (sf) BB- (sf)
C 52108MFX6 B- (sf) B+ (sf)
D 52108MFY4 B- (sf) B+ (sf)
E 52108MFZ1 B- (sf) B (sf)
F 52108MGA5 CCC- (sf) CCC+ (sf)
NBT-2 52108MGW7 AA+ (sf) A+ (sf)
NBT-3 52108MGX5 AA- (sf) A- (sf)
NBT-4 52108MGY3 A+ (sf) BBB+ (sf)
X-CL 52108MGP2 AAA (sf) AAA (sf)
LB-UBS COMMERCIAL 2006-C4: S&P Affirms B+ Rating on Class B Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
pooled classes of commercial mortgage pass-through certificates
from LB-UBS Commercial Mortgage Trust 2006-C4, a U.S. commercial
mortgage-backed securities (CMBS) transaction. S&P also affirmed
its ratings on six other classes from the same transaction.
The rating actions reflect S&P's 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 structure, the liquidity available to the
trust, and the results of S&P's cash flow analysis.
S&P raised its ratings on the class A-4 and A-1A certificates to
'AAA (sf)' after considering its cash flow analysis, which
indicated that the classes should receive their full principal
repayments due to time tranching. S&P also considered the past
liquidations of the Rivergate Plaza and Belmont at Cowan Place
assets, which were both with the special servicer and resolved at
lower loss severities than anticipated.
S&P upgraded class A-M to reflect its anticipated credit
enhancement level, which is above the current rating's
requirement.
The affirmations of the ratings on classes A-J through D reflect
the classes' anticipated credit enhancement levels, which are in-
line with those required at the current ratings.
The affirmation of the 'CCC (sf)' rating on class E reflects S&P's
concerns with the three specially serviced assets that the master
servicer has declared nonrecoverable ($20.7 million, 1.4%).
Nonrecoverable assets can potentially cause unanticipated interest
shortfalls depending on the master servicer's schedule for
recouping its advances, which could reduce the liquidity available
to this class.
S&P affirmed its 'AAA (sf)' rating on the class X interest-only
(IO) certificates based on our criteria for rating IO securities.
Reported Credit Enhancement Levels As Of The June 2014 Remittance
Report
Class Reported credit
enhancement level (%)
A-4 36.00
A-1A 36.00
A-M 22.87
A-J 13.02
B 11.87
C 10.23
D 9.08
E 8.09
X N/A
N/A-Not applicable.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2006-C4
Commercial mortgage pass-through certificates series 2006-C4
Rating
Class Identifier To From
A-4 52108RAE2 AAA (sf) AA- (sf)
A-1A 52108RDT6 AAA (sf) AA- (sf)
A-M 52108RAF9 A (sf) BB (sf)
A-J 52108RAG7 BB- (sf) BB- (sf)
B 52108RAH5 B+ (sf) B+ (sf)
C 52108RAJ1 B (sf) B (sf)
D 52108RAK8 B- (sf) B- (sf)
E 52108RAL6 CCC (sf) CCC (sf)
X 52108RAP7 AAA (sf) AAA (sf)
JP MORGAN 2012-PHH: Moody's Affirms Ba1 Rating on Class E Certs
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings on six classes of
JP Morgan Chase Commercial Mortgage Securities Trust 2012-PHH,
Commercial Mortgage Pass-Through Certificates, Series 2012-PHH.
Moody's rating action is as follows:
Cl. A, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Sep 12, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Sep 12, 2013 Affirmed A2
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Sep 12, 2013 Affirmed
Baa3 (sf)
Cl. E, Affirmed Ba1 (sf); previously on Sep 12, 2013 Affirmed Ba1
(sf)
Cl. X-CP, Affirmed Aa3 (sf); previously on Sep 12, 2013 Affirmed
Aa3 (sf)
Ratings Rationale
The ratings on the five P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR), are
within acceptable ranges. The rating on one interest only (IO)
class was affirmed based on the stable ratings of the referenced
classes, Classes A, B and C.
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 defeasance in the pool 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, an increase in loan
concentration, an increase in expected losses from specially
serviced and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description of Models Used
Moody's review incorporated the use of the excel-based Large Loan
Model v8.7. 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 June 16, 2014 Distribution Date, the transaction's
aggregate certificate balance remains unchanged from
securitization at $175 million. The Certificates are
collateralized by a single floating rate loan backed by a first
lien commercial mortgage related to the fee simple interest in the
Palmer House Hilton, a 1,639 room, full-service hotel located in
Chicago, IL. The loan's final maturity date including three one-
year extension options is in October 2017. In addition to the
trust debt there is non-trust mezzanine loans for a total of $365
million in total debt outstanding.
The property's Net Cash Flow (NCF) for 2013 was $31.6 million,
very close to the levels achieved during the trailing twelve month
period ending September 2012. Moody's stabilized NCF is $28.5
million, and stabilized Moody's value is $272 million, the same as
at securitization.
Moody's weighted average trust loan to value (LTV) ratio is 64%,
the same as at securitization. Moody's stressed debt service
coverage ratio (DSCR) for the trust is at 1.76X, the same as at
securitization. The trust has not experienced any losses or
interest shortfalls since securitization.
LIMEROCK CLO II: S&P Affirms 'BB' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Limerock CLO II Ltd./Limerock CLO II LLC's $615.50 million fixed-
and floating-rate notes following the transaction's effective date
as of May 13, 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 its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P added.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our 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 we deem
necessary," S&P noted.
RATINGS AFFIRMED
Limerock CLO II Ltd./Limerock CLO II LLC
Class Rating Amount
(mil. $)
A AAA (sf) 406.25
B-1 AA (sf) 59.75
B-2 AA (sf) 20.00
C-1 A (sf) 47.00
C-2 A (sf) 1.50
D BBB (sf) 34.75
E BB (sf) 30.25
F B (sf) 16.00
MAC CAPITAL: Moody's Affirms 'Ba3' Rating on 2 Note Classes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by MAC Capital, Ltd.:
$49,000,000 Class A-2L Floating Rate Notes Due July 2023,
Upgraded to Aaa (sf); previously on August 7, 2013 Upgraded to Aa2
(sf);
$35,000,000 Class A-3L Floating Rate Notes Due July 2023,
Upgraded to A1 (sf); previously on August 7, 2013 Confirmed at
Baa1 (sf);
$16,600,000 Class B-1F Fixed Rate Notes Due July 2023, Upgraded
to Baa3 (sf); previously on August 7, 2013 Confirmed at Ba1 (sf);
$4,400,000 Class B-1L Floating Rate Notes Due July 2023, Upgraded
to Baa3 (sf); previously on August 7, 2013 Confirmed at Ba1 (sf);
$27,700,000 Class C-1 Combination Securities due July 2023
(current outstanding rated balance of $11,607,265), Upgraded to A2
(sf); previously on August 7, 2013 Upgraded to Baa2 (sf); and
$12,500,000 Class C-3 Combination Securities due July 2023
(current outstanding rated balance of $3,649,369), Upgraded to A3
(sf); previously on August 7, 2013 Upgraded to Ba2 (sf).
Moody's also affirmed the ratings on the following notes:
$203,000,000 Class A-1L Floating Rate Notes Due July 2023
(current outstanding balance of $50,407,390), Affirmed Aaa (sf);
previously on August 7, 2013 Affirmed Aaa (sf);
$75,000,000 Class A-1LV Floating Rate Revolving Notes Due July
2023 (current outstanding balance of USD 13,318,267, EUR
2,313,726, and GBP 1,433,032), Affirmed Aaa (sf); previously on
August 7, 2013 Affirmed Aaa (sf);
$5,000,000 Class B-2F Fixed Rate Notes Due July 2023, Affirmed
Ba3 (sf); previously on August 7, 2013 Confirmed at Ba3 (sf); and
$14,000,000 Class B-2L Floating Rate Notes Due July 2023,
Affirmed Ba3 (sf); previously on August 7, 2013 Confirmed at Ba3
(sf).
MAC Capital, Ltd., issued in May 2007, is a collateralized loan
obligation backed primarily by a portfolio of U.S. dollar-
denominated senior secured loans and mezzanine debt, and some
exposure to EUR and GBP denominated assets. The transaction's
reinvestment period ended in July 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 the last rating action in August
2013. The Class A-1 notes have been paid down by approximately
72.5% or $182.5 million (based on the applicable exchange rates)
since the last rating action. Based on the latest trustee report
dated May 19, 2014, the Senior Class A, Class A, Class B-1 and
Class B-2 overcollateralization ratios are reported at 197.87%,
152.69%, 134.30% and 121.10%, respectively, versus July 2013
levels of 138.35%, 124.02%, 116.77% and 110.90%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since July 2013. Based on the trustee's May 19, 2014, report, the
weighted average rating factor is currently 3379 compared to 3234
on July 15, 2013.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have
adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
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.
7) Currency exposure: The deal has some exposure to non-USD
denominated assets. Volatilities in foreign exchange rate will
have a direct impact on interest and principal proceeds available
to the transaction, which may affect the expected loss of rated
tranches. Furthermore, a higher amortization speed, in either the
USD or Non-USD denominated assets, exposes the transaction to
foreign currency risk because the principal proceeds have to be
converted at the spot exchange rate to pay down the pro-rata
liabilities.
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 relative to the base case
modeling results, which may be different from the current public
ratings of the 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% (2642)
Class A-1L: 0
Class A-1LV: 0
Class A-2L: 0
Class A-3L: +3
Class B-1F: +3
Class B-1L: +3
Class B-2F: +1
Class B-2L: +1
Combo Notes C-1: +2
Combo Notes C-3: +1
Moody's Adjusted WARF + 20% (3963)
Class A-1L: 0
Class A-1LV: 0
Class A-2L: 0
Class A-3L: -2
Class B-1F: -1
Class B-1L: -1
Class B-2F: -1
Class B-2L: -1
Combo Notes C-1: -2
Combo Notes C-3: 0
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in 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 underlying collateral pool to have a
performing par of $220.8 million in USD denominated assets, EUR2.3
million in EUR denominated assets and GBP1.4 million in GBP
denominated assets, defaulted par of $10.4 million in USD
denominated assets, a weighted average default probability of
23.55% (implying a WARF of 3302), a weighted average recovery rate
upon default of 41.33%, a diversity score of 40 and a weighted
average spread of 3.63%.
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% of the collateral
pool.
MERRILL LYNCH 2007-C1: Fitch Affirms CCC Rating of Class AM Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 21 classes of Merrill Lynch Mortgage
Trust commercial mortgage pass-through certificates, series 2007-
C1 (MLMT 2007-C1).
Key Rating Drivers
The affirmations are the result of sufficient credit enhancement
despite the increase in modeled losses when compared to the
previous review. Fitch modeled losses of 23.1% of the remaining
pool; expected losses on the original pool balance total 23.7%,
including $323.2 million (8% of the original pool balance) in
realized losses to date. Fitch has designated 76 loans (52%) as
Fitch Loans of Concern, which includes seven specially serviced
assets (3.6%).
As of the June 2014 distribution date, the pool's aggregate
principal balance has been reduced by 32.2% to $2.75 billion from
$4.05 billion at issuance. Interest shortfalls are currently
affecting classes AJ through Q.
The largest two contributors to expected losses are the Empirian
Portfolio Pool 1 (12.5% of the pool) and Pool 3 (10.4%) loans.
Both loans were transferred to the special servicer in November
2010 and returned to the master servicer in February 2013 after
being modified. The modifications consisted of bifurcating both
loans into an A and a B note with a 70/30 split. Pool 1 was
originally secured by 78 multifamily properties (7,964 units)
located across eight states. Pool 3 was originally secured by 79
multifamily properties (6,864 units) located across eight states.
The borrower is permitted to release a limited amount of
properties from the portfolio prior to full payoff of the
loans;Pool 1 has released 15 properties while Pool 3 has released
19 properties to date. The properties within the two portfolios
are generally of class B and C collateral quality, many of which
were constructed in the 1980s and lack common amenities. Most of
the properties have significant deferred maintenance and only a
small amount of the required repair obligations have been
completed on the remaining portfolio. As of January 2014, the
occupancy for Pool 1 and Pool 3 were approximately 89%,
representing a decline from the 93% and 90.9% reported at
issuance.
The next largest contributor to expected losses is the
DRA/Colonial Office Portfolio loan (7.6% of the pool). The
interest-only loan is secured by 16 office and retail buildings
that comprise approximately 4.4 million square feet (sf) and are
located across five metropolitan statistical areas (MSAs),
primarily in the south and southeast. The loan has a total balance
of $621.8 million and is split into three equal pari passu notes.
The loan transferred to special servicing in August 2012 for
imminent default due to declining occupancy with significant
rollover. The loan was returned to the master servicer in May 2013
after the loan was modified which included an increased interest-
only period for 24 months with a new maturity of July 2016. The
servicer-reported net operating income (NOI) debt service coverage
ratio (DSCR) was 1.21x as of September 2013, and the occupancy was
84.5% as of year-end 2013.
RATING SENSITIVITIES
Rating Outlooks on classes A-3 through A-1A are revised to
Negative as downgrades are possible if losses to the Empirian
Portfolios or other large assets in pool increase. Fitch will
continue to monitor property releases from the Empirian
Portfolios, paying attention to the remaining collateral to ensure
the asset quality and performance reflects Fitch's views from the
current review. The distressed classes (those rated below 'B') are
expected to be subject to further downgrades as losses are
realized on specially serviced loans.
Fitch affirms the following classes and revises Rating Outlooks as
indicated:
-- $219.9 million class A-3 at 'Asf'; Outlook to Negative from
Stable;
-- $88.7 million class A-3FL at 'Asf'; Outlook to Negative from
Stable;
-- $57.2 million class A-SB at 'Asf'; Outlook to Negative from
Stable;
-- $442.2 million class A-4 at 'Asf'; Outlook to Negative from
Stable;
-- $1 billion class A-1A at 'Asf'; Outlook to Negative from
Stable;
-- $405 million class AM at 'CCCsf'; RE 65%;
-- $134.1 million class AJ at 'CCsf'; RE 0%;
-- $200 million class AJ-FL at 'CCsf'; RE 0%;
-- $86.1 million class B at 'Csf'; RE 0%;
-- $40.5 million class C at 'Csf'; RE 0%;
-- $26.2 million class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2 and A-2FL certificates have paid in full. Fitch
does not rate the class Q certificates. Fitch previously withdrew
the rating on the interest-only class X certificates.
PREFERREDPLUS TRUST CTR-1: S&P Affirms BB- Rating on $31.2MM Certs
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'BB-' rating on
PreferredPLUS Trust Series CTR-1's $31.2 million trust
certificates, and removed it from CreditWatch, where S&P placed it
with negative implications on July 9, 2013.
The rating on the certificates is based on S&P's rating on the
underlying security, Cooper Tire & Rubber Co.'s 8.00% notes due
Dec. 15, 2019 ('BB-').
The rating action reflects S&P's June 30, 2014, affirmation of its
'BB-' rating on the underlying security, and its removal from
CreditWatch with negative implications. S&P may take subsequent
rating actions on the certificates due to changes in its rating
assigned to the underlying security.
PORTOLA CLO: Moody's Affirms Ba3 Rating on $16.5MM Class E Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Portola CLO, Ltd.:
$44,500,000 Class B-1 Floating Rate Notes Due November 2021,
Upgraded to Aaa (sf); previously on September 11, 2013 Upgraded to
Aa1 (sf);
$5,000,000 Class B-2 Fixed Rate Notes Due November 2021, Upgraded
to Aaa (sf); previously on September 11, 2013 Upgraded to Aa1
(sf);
$22,000,000 Class C Deferrable Floating Rate Notes Due November
2021, Upgraded to A1 (sf); previously on September 11, 2013
Upgraded to A2 (sf).
Moody's also affirmed the ratings on the following notes:
$360,000,000 Class A Floating Rate Notes Due November 2021
(current outstanding balance of $235,575,461), Affirmed Aaa (sf);
previously on September 11, 2013 Affirmed Aaa (sf);
$17,500,000 Class D Deferrable Floating Rate Notes Due November
2021, Affirmed Baa3 (sf); previously on September 11, 2013
Upgraded to Baa3 (sf);
$16,500,000 Class E Deferrable Floating Rate Notes Due November
2021 (current outstanding balance of $15,109,888), Affirmed Ba3
(sf); previously on September 11, 2013 Affirmed Ba3 (sf).
Portola CLO, Ltd., issued in December 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
November 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 November 2013. The Class A
notes have been paid down by approximately 31% or $103.9 million
since November 2013. Based on the trustee's June 4, 2014 report,
the OC ratios for the Class A, Class B, Class C, Class D and Class
E notes are reported at 153.69%, 126.65%, 117.58%, 111.24% and
106.29%, respectively, versus November 2013 levels of 137.21%,
119.49%, 113.09%, 108.47% and 104.78%, respectively.
The rating actions also reflect corrections to Moody's modeling of
the payment waterfall. In previous rating actions, the interest
diversion test was modeled to apply only during the reinvestment
period, not during and after the end of the reinvestment period,
and certain interest payments to the notes were not modeled in the
correct order. These errors have now been corrected, and the
rating actions reflect these changes.
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 relative to the base case
modeling results, which may be different from the current public
ratings of the 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% (2036)
Class A: 0
Class B-1: 0
Class B-2: 0
Class C: +3
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3053)
Class A: 0
Class B-1: -1
Class B-2: -1
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 $360.25 million, defaulted
par of $1.81 million, a weighted average default probability of
16.61% (implying a WARF of 2544), a weighted average recovery rate
upon default of 52.09%, a diversity score of 48 and a weighted
average spread of 2.96%.
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.
RAIT CRE CDO I: Fitch Affirms 'BBsf' Rating on 2 Note Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of RAIT CRE CDO I Ltd. (RAIT
CRE CDO I) reflecting Fitch's base case loss expectation of 50.2%.
Fitch's performance expectation incorporates prospective views
regarding commercial real estate market value and cash flow
declines.
Key Rating Drivers
Since the last rating action, the senior classes, A-1A and A-1B,
have received $63.4 million in pay down from the removal of
approximately 14 loan interests and scheduled amortization. While
recoveries were higher than expected on these assets, realized
losses on the removed assets still totaled $15.9 million, and many
of the remaining assets are significantly overleveraged with high
losses modeled.
Approximately 105 different assets are contributed to the CDO.
Since the revolving period ended in November 2011, only 11% of the
collateral has been repaid or otherwise resolved. The current
percentage of defaulted assets and loans of concern is 2.2% and
46.2%, respectively. Many of the remaining loans have been
modified, including maturity extensions, since origination.
Further, RAIT affiliates now have ownership interests in over 35
of the CDO assets totaling approximately $507 million (57%).
As of the June 2014 trustee report, and per Fitch categorization,
the CDO is substantially invested as follows: whole loans/A-notes
(69%), B-notes (0.6%), mezzanine debt (21%), preferred equity
(8%), and REIT debt (1%). Fitch expects significant losses upon
default for many of the loan positions as they are significantly
over leveraged. All over-collateralization and interest coverage
tests were in compliance.
Under Fitch's methodology, approximately 86% of the portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. In this scenario, the modeled average cash flow
decline is 7.4% from, generally, YE 2013 or T12 1Q 2014. Modeled
recoveries are average at 41.7%.
The largest contributor to Fitch's base case loss expectation is a
preferred equity position (3.6% of the pool) on an office complex
located in Boca Raton, FL. After a period of vacancy, the property
was 100% leased to a new tenant in 2011. However, the property
remains overleveraged, and Fitch modeled a substantial loss in its
base case scenario on this position.
The next largest component of Fitch's base case loss expectation
is a whole loan (4.4%) secured by an office building located in
Scottsdale, AZ. As of year-end 2013, occupancy had declined to 75%
from 95% the prior year. Cash flow does not support debt service.
Fitch modeled a substantial loss in its base case scenario on this
loan.
The third largest component of Fitch's base case loss expectation
is a whole loan (3.4%) secured by a poorly performing regional
mall located in South Carolina. Cash flow does not support debt
service. Fitch modeled a substantial loss in its base case
scenario on this loan.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The default
levels were then compared to the breakeven levels generated by
Fitch's cash flow model of the CDO under the various defaults
timing and interest rate stress scenarios as described in the
report 'Global Criteria for Cash Flow Analysis in CDOs'. The
breakeven rates for classes A-1 through A-2 are consistent with
the ratings listed below.
The 'CCC' and below ratings for classes B through J are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Assets of Concern, factoring in anticipated
recoveries relative to each class's credit enhancement.
RAIT CRE CDO I is managed by RAIT Partnership, L.P.
Rating Sensitivities
The Negative Outlooks for classes A-1 through A-2 reflect the
potential for further negative credit migration of the underlying
collateral. The junior classes are subject to further downgrade
should realized losses begin to increase.
Fitch affirms the following classes:
-- $160.7 million class A-1A notes at 'BBsf'; Outlook Negative;
-- $220.9 million class A-1B notes at 'BBsf'; Outlook Negative;
-- $90 million class A-2 notes at 'Bsf'; Outlook Negative;
-- $110 million class B notes at 'CCCsf'; RE 0%;
-- $41.5 million class C notes at 'CCCsf'; RE 0%;
-- $22.5 million class D notes at 'CCCsf'; RE 0%;
-- $16 million class E notes at 'CCsf'; RE 0%;
-- $500,000 class F notes at 'CCsf'; RE 0%;
-- $12.5 million class G notes at 'CCsf'; RE 0%.
-- $17.5 million class H notes at 'CCsf'; RE 0%;
-- $35 million class J notes at 'CCsf'; RE 0%.
REGIONAL DIVERSIFIED: Moody's Hikes Rating on $70MM Notes to Caa1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Regional Diversified Funding 2005-1
Ltd.:
$170,000,000 Class A-1a Floating Rate Senior Notes Due 2036
(Current Balance $79,763,215.13), Upgraded to Ba3 (sf); previously
on June 26, 2014 B2 (sf) Placed Under Review for Possible Upgrade
$10,000,000 Class A-1b Fixed Rate Senior Notes Due 2036 (Current
Balance $4,691,953.75), Upgraded to Ba3 (sf); previously on June
26, 2014 B2 (sf) Placed Under Review for Possible Upgrade
$70,000,000 Class A-2 Floating Rate Senior Notes Due 2036,
Upgraded to Caa1 (sf); previously on June 26, 2014 Caa3 (sf)
Placed Under Review for Possible Upgrade
Regional Diversified Funding 2005-1 Ltd., issued on April 12,
2005, is a collateral debt obligation backed by a portfolio of
bank trust preferred securities and TruPS CDO tranches (the "TruPS
CDO")
Ratings Rationale
The rating actions are primarily a result of updates to Moody's
TruPS CDOs methodology, as described in "Moody's Approach to
Rating TruPS CDOs" published in June 2014. They also reflect
deleveraging of the Class A-1 notes, an increase in the
transaction's over-collateralization ratios and resumption of
interest payments of previously deferring assets since the rating
action on July 2013.
The transaction has benefited from the updates to Moody's TruPS
CDOs methodology, including (1) removing the current 25% macro
default probability stress for bank and insurance TruPS; (2)
expanding the default timing profiles from one to six probability-
weighted scenarios; (3) incorporating a redemption profile for
bank and insurance TruPS; (4) using a loss distribution generated
by Moody's CDOROM for deals that do not permit reinvestment; and
(5) giving full par credit to deferring bank TruPS that meet
certain criteria.
In addition, the Class A-1a and Class A-1b notes have paid down by
approximately 11% each or $10.3 million and $0.606 million,
respectively since July 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 202.23% from 97.65% since July 2013, by Moody's
calculations. Based on the trustee's April 2014 report, the senior
principal coverage test was 107.28% (limit 125.00%), versus 58.85
% in July 2013, and that of the senior subordinate principal
coverage test, 48.70% (limit) 104.2%), versus 36.92% in July 2013.
The Class A-1 notes will continue to benefit from the diversion of
excess interest and the use of proceeds from redemptions of any
assets in the collateral pool.
In addition, the total par amount that Moody's treated as having
defaulted or deferring declined to $119.35 million from $204.22
million in July 2013. Since July 2013, three previously deferring
banks with a total par of $18 million have resumed making interest
payments on their TruPS; four previously deferring TruPS CDO
tranches with a total par of $41.3 million have resumed receiving
interest payments; and one asset with a total par of $11.5 million
has redeemed at par.
Moody's also observed that the credit quality of the underlying
portfolio has deteriorated since July 2013. The deterioration is
due to the treatment of previously deferring TruPS CDO tranches
that are in the portfolio as performing which are rated at Caa
level. Based on Moody's calculations, the weighted average rating
factor with credit estimate stresses (WARF) increased to 2535,
from 963 in July 2013. The significant deterioration in the WARF
has slightly offset the benefits from the updates to Moody's TruPS
CDOs methodology and the positive credit performance as described
above.
In taking the foregoing actions, Moody's also announced that it
had concluded its review of its rating(s) on the issuer's Class A-
1a, Class A-1b Notes and Class A-2 Notes announced on June 26,
2014. At that time, Moody's had placed their ratings on review for
upgrade as a result of the aforementioned methodology updates.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par and of
$170.8 million (including $8 million of par credit to deferring
assets that meet the criteria), defaulted/deferring par of $119.35
million, a weighted average default probability of 26.3896%
(implying a WARF of 2535), and a weighted average recovery rate
upon default of 10%. In addition to the quantitative factors
Moody's explicitly models, qualitative factors are part of rating
committee considerations. Moody's considers the structural
protections in the transaction, the risk of an event of default,
recent deal performance under current market conditions, the legal
environment and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
inputs from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, can influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TruPS CDOs," published in June 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. For bank TruPS CDOs 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 and
number of TruPS CDOs have resumed making interest payments on
their CDO tranches. 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 or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM v.2.13.1 to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM)
cash flow model. CDOROM v. 2.13.1 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 mainly 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,
an econometric model developed by Moody's KMV, to derive credit
scores. Moody's evaluation of the credit risk of most of the bank
obligors in the pool relies on FDIC Q1-2014 financial data.
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 relative to the base case
modeling results, which may be different from the current public
ratings of the 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):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 1426)
Class A-1a: +2
Class A-1b: +2
Class A-2: +1
Class B-1: 0
Class B-2: 0
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 3436)
Class A-1a: -2
Class A-1b: -2
Class A-2: -1
Class B-1: 0
Class B-2: 0
RESOURCE CAPITAL: Moody's Assigns (P)B2 Rating on Cl. C Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Resource
Capital Corp. 2014-CRE2, Ltd.
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Baa3 (sf)
Cl. C, Assigned (P)B2 (sf)
Ratings Rationale
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.
Moody's provisional ratings of the Class A, Class B, and Class C
Notes address the expected loss posed to noteholders. The
provisional ratings reflect the risks due to defaults on the
underlying portfolio of loans, the transaction's legal structure,
and the characteristics of the underlying assets.
Resource Capital Corp. 2014-CRE2, Ltd is a static cash flow CRE
CLO. The issued notes will be collateralized initially by a pool
of 16 commercial real estate loans in the form of whole loans,
pari-passu participations and senior participations. All of the
assets, except for one asset (approximately 2.2% of the collateral
balance) are expected to be ramped as of the closing date with a
par amount of $352,770,000. The assets are floating rate with a
5.05% weighted average spread. The transaction is expected to
close on July 30, 2014.
Park Bridge Lender Services LLC will act as operating advisor to
the asset pool during the life of the transaction. Resource Real
Estate Funding, Inc. originated all of the collateral loans.
Resource Real Estate, Inc. will act as special servicer and an
affiliate company, RCC Real Estate, Inc., will act as advancing
agent. Wells Fargo Bank, NA will act as servicer and back-up
advancing agent on the underlying collateral.
The transaction incorporates overcollateralization triggers which,
subject to transaction performance, divert interest proceeds to
pay down the Class A and Class B Notes.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CLO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CLO pool.
Moody's have completed credit assessments for all of the
collateral. Moody's modeled a WARF of 4211.
Moody's modeled to a WAL of 4.9 years as of the closing date.
Moody's modeled a fixed WARR of 56.7%.
Moody's modeled a MAC of 33.5% corresponding to a pair-wise
correlation of 35%.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will
also affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes in any one or combination
of the key parameters may have rating implications on certain
classes of rated notes. However, in many instances, a change in
key parameter assumptions in certain stress scenarios may be
offset by a change in one or more of the other key parameters.
Rated notes are particularly sensitive to changes in rating factor
assumptions of the underlying collateral. Holding all other key
parameters static, stressing the portfolio WARF to 5158 would
result in no rating movement on the Class A or C notes and a -1
notch in the rating movement on the Class B notes (e.g., minus one
notch implies a ratings movement of Baa3 to Ba1). Stressing the
portfolio to 5667 would result in no rating movement on the Class
A or C notes and a -1 notch in the rating movement on the Class B
notes.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
positive direction along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, a consistent upward trend will not be evident until the
volume of investment activity steadily increases for a significant
period, non-performing properties are cleared from the pipeline,
and fears of a Euro area recession.
SHACKLETON 2014-VI: S&P Assigns 'BB' Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Shackleton 2014-VI CLO Ltd./Shackleton 2014-VI CLO LLC's $473.50
million floating- 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 ratings reflect S&P's assessment of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not including excess spread).
-- The 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 make timely interest and
ultimate principal payments on the rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned ratings under various
interest-rate scenarios, including LIBOR ranging from
0.2228%-13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which during the reinvestment period will lead to the
reclassification of up to 50% of available excess interest
proceeds (before paying uncapped administrative expenses,
subordinate and incentive management fees, refinancing and
additional security issuance expenses, expense reserve
account top-up, hedge amounts, and subordinated note
payments) as principal proceeds to purchase additional
collateral assets or to pay principal on the notes
sequentially, at the collateral manager's discretion.
RATINGS ASSIGNED
Shackleton 2014-VI CLO Ltd./Shackleton 2014-VI CLO LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 159.50
A-2 AAA (sf) 153.50
B-1 AA (sf) 25.00
B-2 AA (sf) 37.50
C (deferrable) A (sf) 39.00
D (deferrable) BBB (sf) 26.00
E (deferrable) BB (sf) 20.50
F (deferrable) B (sf) 12.50
Subordinated notes NR 44.75
NR--Not rated.
SILVER CREEK: Moody's Gives (P)Ba3 Rating on $15.4Mm Cl. E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes issued by Silver Creek CLO, Ltd.
$236,250,000 Class A Senior Secured Floating Rate Notes due 2026
(the "Class A Notes"), Assigned (P)Aaa (sf)
$31,500,000 Class B Senior Secured Floating Rate Notes due 2026
(the "Class B Notes"), Assigned (P)Aa2 (sf)
$16,100,000 Class C Secured Deferrable Floating Rate Notes due
2026 (the "Class C Notes"), Assigned (P)A2 (sf)
$20,650,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$15,400,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Silver Creek CLO is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 95% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is expected to be approximately 72%
ramped as of the closing date.
40|86 Advisors, Inc. (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four-year reinvestment period.
Thereafter, the Manager may reinvest 50% of unscheduled principal
payments and proceeds from sales of credit risk assets, subject to
certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $350,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2500
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 5.50%
Weighted Average Recovery Rate (WARR): 48.00%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2500 to 2875)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2500 to 3250)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
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.
TRALEE CLO III: Moody's Rates $19.7MM Class E Notes '(P)Ba2'
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Tralee CLO III, Ltd.
Moody's rating action is as follows:
$150,000,000 Class A-1 Senior Secured Floating Rate Notes due
2026 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
$128,000,000 Class A-2 Senior Secured Floating Rate Notes due
2026 (the "Class A-2 Notes"), Assigned (P)Aaa (sf)
$64,000,000 Class B Senior Secured Fixed Rate Notes due 2026 (the
"Class B Notes"), Assigned (P)Aa2 (sf)
$29,000,000 Class C Secured Deferrable Floating Rate Notes due
2026 (the "Class C Notes"), Assigned (P)A2 (sf)
$24,000,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$19,750,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)Ba2 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes and the Class E Notes are
referred to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Tralee III is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans and eligible investments, and up
to 10% of the portfolio may consist of second lien loans and
senior unsecured loans. Moody's expect the portfolio to be
approximately 50% ramped as of the closing date.
Par-Four Investment Management, LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in February 2014.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 63
Weighted Average Rating Factor (WARF): 2675
Weighted Average Spread (WAS): 3.85%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2675 to 3076)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2675 to 3478)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -2
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009 and available on
www.moodys.com.
VERITAS CLO II: Moody's Ups Rating on $9.5MM Class E Notes to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Veritas CLO II, Ltd.:
$20,600,000 Class C Fourth Priority Mezzanine Secured Floating
Rate Deferrable Interest Notes Due 2021, Upgraded to Aa2 (sf);
previously on August 27, 2013 Upgraded to Aa3 (sf)
$10,500,000 Class D Fifth Priority Mezzanine Secured Floating
Rate Deferrable Interest Notes Due 2021, Upgraded to A3 (sf);
previously on August 27, 2013 Upgraded to Baa2 (sf)
$9,500,000 Class E Sixth Priority Mezzanine Secured Floating Rate
Deferrable Interest Notes Due 2021, Upgraded to Ba1 (sf);
previously on August 27, 2013 Upgraded to Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
$196,600,000 Class A-1T First Priority Senior Secured Floating
Rate Notes Due 2021 (current outstanding balance of $65,800,192),
Affirmed Aaa (sf); previously on August 27, 2013 Affirmed Aaa (sf)
$30,000,000* Class A-1R First Priority Senior Secured Revolving
Notes Due 2021 (current outstanding balance of $10,040,721),
Affirmed Aaa (sf); previously on August 27, 2013 Affirmed Aaa (sf)
$25,200,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2021, Affirmed Aaa (sf); previously on August 27,
2013 Affirmed Aaa (sf)
$15,200,000 Class B Third Priority Senior Secured Floating Rate
Notes Due 2021, Affirmed Aaa (sf); previously on August 27, 2013
Upgraded to Aaa (sf)
Veritas CLO II, Ltd., issued in June 2006, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in July
2012.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios (OC) since last rating action in August
2013. The Class A-1 notes have been paid down by approximately
31.8% or $35.3 million since August 2013. Based on the trustee's
May 2014 report, the OC ratios for the Class A/B, Class C, Class D
and Class E notes are reported at 148.7%, 126.3%, 117.3% and
110.2%, respectively, versus August 2013 levels of 129.8%, 117.0%,
111.5% and 106.9%, respectively.
The deal has benefited from an improvement in the credit quality
of the portfolio since August 2013. Based on the trustee's May
2014 report, the weighted average rating factor (WARF) is
currently 2359 compared to 2427 in August 2013.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have
adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
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 relative to the base case
modeling results, which may be different from the current public
ratings of the 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% (1978)
Class A-1T: 0
Class A-1R: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (2966)
Class A-1T: 0
Class A-1R: 0
Class A-2: 0
Class B: 0
Class C: -2
Class D: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $172.9 million, no defaulted
par, a weighted average default probability of 17.75% (implying a
WARF of 2472), a weighted average recovery rate upon default of
48.7%, a diversity score of 47 and a weighted average spread of
3.2%.
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. Moody's generally applies
recovery rates for CLO securities as published in "Moody's
Approach to Rating SF CDOs". In some cases, alternative recovery
assumptions may be considered based on the specifics of the
analysis of the CLO transaction. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
WACHOVIA BANK 2004-C10: Moody's Cuts Rating on X-C Certs to B2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
classes, downgraded the rating of one class, and affirmed the
ratings of seven classes in Wachovia Bank Commercial Mortgage
Securities Trust, Commercial Mortgage Pass-Through Certificates,
Series 2004-C10 as follows:
Cl. D, Affirmed Aaa (sf); previously on Aug 15, 2013 Upgraded to
Aaa (sf)
Cl. E, Affirmed Aaa (sf); previously on Aug 15, 2013 Upgraded to
Aaa (sf)
Cl. F, Upgraded to Aa1 (sf); previously on Aug 15, 2013 Upgraded
to Aa3 (sf)
Cl. G, Upgraded to A1 (sf); previously on Aug 15, 2013 Upgraded to
A3 (sf)
Cl. H, Upgraded to Baa1 (sf); previously on Aug 15, 2013 Affirmed
Baa3 (sf)
Cl. J, Upgraded to Baa3 (sf); previously on Aug 15, 2013 Affirmed
Ba2 (sf)
Cl. K, Affirmed B2 (sf); previously on Aug 15, 2013 Affirmed B2
(sf)
Cl. L, Affirmed Caa1 (sf); previously on Aug 15, 2013 Affirmed
Caa1 (sf)
Cl. M, Affirmed Caa3 (sf); previously on Aug 15, 2013 Affirmed
Caa3 (sf)
Cl. N, Affirmed Ca (sf); previously on Aug 15, 2013 Affirmed Ca
(sf)
Cl. O, Affirmed C (sf); previously on Aug 15, 2013 Affirmed C (sf)
Cl. X-C, Downgraded to B2 (sf); previously on Aug 15, 2013
Affirmed Ba3 (sf)
Ratings Rationale
The ratings on four P&I classes were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization, as well as anticipated paydowns. The deal has paid
down 86% since Moody's last review.
The ratings on two P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on five P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO Class (Class X-C) 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 16.6% of
the current balance compared to 2.3% at Moody's prior review.
Moody's base expected loss plus realized losses is now 3.1% of the
original pooled balance compared to 3.0% at the prior review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 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 2, compared to 11 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 June 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $111 million
from $1.29 billion at securitization. The Certificates are
collateralized by nine mortgage loans ranging in size from 1% to
71% of the pool. One loans, representing 1.5% of the pool has
defeased and is secured by US Government securities.
Four loans, representing 91% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Ten loans have been liquidated from the pool, resulting in an
aggregate realized loss of $22 million (37% loss severity on
average). Two loans, representing 4% of the pool, are in special
servicing. The largest specially serviced loan is the One Michigan
Place Loan ($2.6 million -- 2.4% of the pool), which is secured by
a 43,860 square foot (SF) portion of a retail center shadow
anchored by Kroger located in Westland, Michigan. Lender had
scheduled a foreclosure sale for June 2014. The servicer has
recognized an $1.5 million appraisal reduction for this loan.
The remaining specially serviced loan is secured by a multifamily
property. Moody's estimates an aggregate $403,000 loss for the
specially serviced loans (8.9% expected loss on average).
Moody's received full-year 2013 operating results for 100% of the
pool and full or partial year 2014 operating results for 50%.
Moody's weighted average conduit LTV is 106% compared to 91% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12% 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 1.42X and 0.94X,
respectively, compared to 1.36X and 1.13X at the 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 88% of the pool
balance. The largest loan is the North Riverside Park Mall Loan
($78.4 million -- 71% of the pool), which is secured by the
borrower's interest in a 1.1 million square foot (SF) regional
mall located 11 miles west of Chicago's CBD in North Riverside,
Illinois. The mall is anchored by non-collateral tenants J.C.
Penney, Carson Pirie Scott & Co, and Sears. The 440,000 SF
collateral portion was 98% leased as of January 2014 compared to
93% as of May 2013. The loan passed its ARD date in February 2014;
consequently, the servicer implemented hard lockbox cash
management as required under the loan documents and the loan now
amortizes. Moody's LTV and stressed DSCR are 113% and 0.86X,
respectively, compared to 119% and 0.82X at the last review.
The second largest loan is the Merritt Creek Farm Shopping Center
Loan ($15 million -- 14% of the pool), which is secured by a
257,000 SF portion of a retail center in Barboursville, West
Virginia. The property is anchored by Target and Home Depot, of
which only the latter serves as part of the collateral. The
property was 96% leased as of December 2013 compared to 94% as of
December 2012. Moody's LTV and stressed DSCR are 98% and 0.99X,
respectively.
The third largest loan is the 2625 Highway 14 Loan ($4 million --
4% of the pool), which is secured by a 50,000 SF retail center in
Millbrook, Alabama. The property is anchored by Winn Dixie and was
97% leased as of December 2013. Moody's LTV and stressed DSCR are
80% and 1.21X, respectively, compared to 83% and 1.18X at last
review.
WACHOVIA BANK 2007-C30: S&P Lowers Rating on Class C Notes to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2007-C30, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P lowered its ratings on three classes and
affirmed its ratings on seven other classes, including its 'AAA
(sf)' ratings on the class X-C and X-W interest-only (IO)
certificates, from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
The upgrades of the class A-5 and A-1A certificates reflect S&P's
expectation for these classes' available credit enhancement, which
S&P believes is greater than its most recent necessary credit
enhancement estimate for the respective rating levels. The
upgrades also reflect S&P's views regarding available liquidity
support, the current and future performance of the transaction's
collateral, and the deleveraging of the transaction.
"We lowered our rating on the class C certificates to 'D (sf)'
because we expect this class to continue to experience interest
shortfalls and its accumulated interest shortfalls to remain
outstanding for the foreseeable future. As of the June 17, 2014,
trustee remittance report, the trust experienced monthly interest
shortfalls totaling $4.5 million, driven primarily by $2.1 million
in appraisal subordinate entitlement reductions (against which
there were $171,127 in recoveries), $1.9 million in shortfalls
from interest rate modifications, $430,457 in special servicing
fees, and $21,449 in workout fees. The current monthly interest
shortfalls affected classes subordinate to and including class A-
J. Class C has accumulated interest shortfalls outstanding for two
consecutive months and 15 months in total since July 2012," S&P
said.
The lowered ratings on the class A-J and B certificates reflect
the actual credit support erosion experienced by the transaction,
as well as additional credit support erosion that S&P anticipates
will occur upon the eventual resolution of 24 ($2.050 billion,
30.1%) of the 27 assets ($2.066 billion, 30.4%) currently with the
special servicer, CWCapital Asset Management LLC. In addition,
S&P considered the available liquidity support and the current
interest shortfalls to these classes, which S&P expects to
continue in the near term. The class A-J and B certificates have
experienced interest shortfalls for two consecutive months.
The affirmations of the principal- and interest-paying
certificates reflect S&P's expectation that the available credit
enhancement for these classes will be within its estimated
necessary credit enhancement requirement for the current
outstanding ratings. The affirmations also reflect our views of
the available liquidity support, transaction-level changes, and
the collateral's current and future performance.
S&P affirmed its 'AAA (sf)' rating on the class X-C and X-W IO
certificates based on its criteria for rating IO securities.
Credit Enhancement Levels As Of The June 17, 2014, Trustee
Remittance Report
Class Credit enhancement level
(%)
A-3 33.19
A-4 33.19
A-PB 33.19
A-5 33.19
A-1A 33.19
A-M 21.59
A-MFL 21.59
A-J 11.73
B 11.00
C 9.84
X-C N/A
X-W N/A
N/A--Not applicable.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C30
Rating
Class Identifier To From
A-3 92978QAC1 AAA (sf) AAA (sf)
A-4 92978QAE7 AAA (sf) AAA (sf)
A-PB 92978QAD9 AAA (sf) AAA (sf)
A-5 92978QCB1 AA (sf) A+ (sf)
A-1A 92978QAF4 AA (sf) A+ (sf)
A-M 92978QAH0 BB (sf) BB (sf)
A-J 92978QAJ6 CCC (sf) B (sf)
B 92978QAK3 CCC- (sf) B- (sf)
C 92978QAL1 D (sf) CCC- (sf)
A-MFL 92978QCC9 BB (sf) BB (sf)
X-C 92978QBX4 AAA (sf) AAA (sf)
X-W 92978QBZ9 AAA (sf) AAA (sf)
WACHOVIA BANK 2007-C34: S&P Affirms B- Rating on 2 Note Classes
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2007-C34, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P lowered its rating on the class G certificates
from the same transaction to 'D (sf)'. Lastly, S&P affirmed its
ratings on eight other classes, including its 'AAA (sf)' rating on
the class IO interest-only (IO) certificates, from the same
transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using S&P's 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 on the class A-3, A-1A, A-M, and A-J certificates
reflect S&P's expected available credit enhancement for these
classes, which S&P believes is greater than its most recent
estimate of the necessary credit enhancement for the respective
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, as well as the deleveraging of
the transaction.
S&P lowered its rating on the class G certificates to 'D (sf)'
because it expects the accumulated interest shortfalls to remain
outstanding for the foreseeable future. As of the June 17, 2014,
trustee remittance report, the trust experienced monthly interest
shortfalls totalling $434,682, driven primarily by $365,866 in
appraisal subordinate entitlement reductions (against which there
were $46,906 in recoveries), $47,101 in special servicing fees,
$40,882 in reimbursements for interest on advances, $36,009 in
interest not advanced on loans deemed nonrecoverable, and $6,579
in workout fees. The current monthly interest shortfalls affected
classes subordinate to and including class G. Class G has
accumulated interest shortfalls outstanding for 11 consecutive
months.
The affirmations of the principal- and interest-paying
certificates reflect S&P's expectation that the available credit
enhancement for these classes will be within its estimate of the
necessary credit enhancement for the current ratings. The
affirmations also reflect S&P's views of the available liquidity
support, transaction-level changes, and the collateral's current
and future performance.
S&P affirmed its 'AAA (sf)' rating on the class IO certificates
based on its criteria for rating IO securities.
Credit Enhancement Levels And Reported Interest Shortfalls
As of the June 17, 2014, trustree remittance report
Reported interest shortfalls ($)
Credit enhancement
Class level (%) Current Accumulated
A-2 32.79 0 0
A-PB 32.79 0 0
A-3 32.79 0 0
A-1A 32.79 0 0
A-M 21.17 0 0
A-J 14.20 0 0
B 12.75 0 0
C 11.45 0 0
D 10.14 0 0
E 9.27 0 0
F 8.25 0 0
G 6.94 17,109 311,866
IO N/A 0 0
N/A-Not applicable.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates, series 2007-C34
Rating
Class Identifier To From
A-2 92979FAB6 AAA (sf) AAA (sf)
A-PB 92979FAC4 AAA (sf) AAA (sf)
A-3 92979FAD2 AA (sf) A (sf)
A-1A 92979FAE0 AA (sf) A (sf)
IO 92979FAF7 AAA (sf) AAA (sf)
A-M 92979FAG5 BBB- (sf) BB (sf)
A-J 92979FAH3 B (sf) B- (sf)
B 92979FAJ9 B- (sf) B- (sf)
C 92979FAK6 B- (sf) B- (sf)
D 92979FAL4 CCC (sf) CCC (sf)
E 92979FAM2 CCC (sf) CCC (sf)
F 92979FAN0 CCC- (sf) CCC- (sf)
G 92979FAP5 D (sf) CCC- (sf)
* Moody's Takes Action on $301MM Subprime RMBS Issued 2005-2006
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches from three subprime RMBS transactions and downgraded the
ratings of two tranches from two subprime RMBS transactions, which
are all backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2006-2
Cl. A-4, Upgraded to Caa2 (sf); previously on May 27, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2006-HE4
Cl. A-2D, Upgraded to Caa3 (sf); previously on Jun 21, 2010
Downgraded to Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2006-FM1
Cl. A-2B, Downgraded to Caa3 (sf); previously on Jul 19, 2010
Downgraded to Caa2 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2006-2
Cl. A-2C, Downgraded to Ca (sf); previously on Jul 14, 2010
Downgraded to Caa3 (sf)
Issuer: Soundview Home Loan Trust 2005-1
Cl. M-4, Upgraded to B2 (sf); previously on Mar 14, 2013 Affirmed
Caa1 (sf)
Cl. M-5, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed
C (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 are a
result of deteriorating performance of the related pools and/or
slower pay-down of the bonds due to low prepayments/slower
liquidations. 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 6.1% in June 2014 from 7.5% in
June 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 $104MM of Alt-A RMBS Issued 2003-2004
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of seven
tranches and upgraded the rating of one tranche from three RMBS
transactions backed by Alt-A RMBS loans.
Complete rating actions are as follows:
Issuer: Banc of America Alternative Loan Trust 2003-11
Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Mar 11, 2013
Affirmed Baa3 (sf)
Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Mar 11, 2013
Downgraded to Baa2 (sf)
Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Mar 11, 2013
Affirmed Ba1 (sf)
Issuer: Banc of America Alternative Loan Trust 2004-10
Cl. 1-CB-1, Downgraded to B2 (sf); previously on Mar 15, 2011
Downgraded to B1 (sf)
Cl. 2-CB-1, Downgraded to Caa1 (sf); previously on Mar 15, 2011
Downgraded to B2 (sf)
Cl. CB-IO, Downgraded to B2 (sf); previously on Mar 15, 2011
Downgraded to B1 (sf)
Cl. X-PO, Downgraded to B3 (sf); previously on Mar 15, 2011
Downgraded to B2 (sf)
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series
2004-6CB
Cl. M-1, Upgraded to Caa1 (sf); previously on Aug 29, 2013
Upgraded to Caa3 (sf)
Ratings Rationale
The ratings downgraded are a result of deteriorating performance
and higher than expected losses on bonds where the credit support
has been depleted. The rating upgraded is due to an increase in
the credit enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 6.1% in June 2014 from 7.5% in
June 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 Rating on $87.3MM Subprime by Various Trusts
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
tranches from four transactions issued by various issuers, backed
by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series 2003-
WF1
Cl. M-2, Upgraded to B3 (sf); previously on May 4, 2012 Downgraded
to Caa2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2002-5
Cl. M-1, Upgraded to B1 (sf); previously on May 2, 2012 Downgraded
to B3 (sf)
Issuer: Long Beach Mortgage Loan Trust 2004-2
Cl. M-1, Upgraded to Ba2 (sf); previously on May 2, 2012 Confirmed
at B1 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on May 2, 2012
Downgraded to Ca (sf)
Issuer: RAMP Series 2001-RS2 Trust
Cl. M-II-2, Upgraded to Baa2 (sf); previously on Dec 19, 2013
Upgraded to Baa3 (sf)
Cl. M-II-3, Upgraded to Ba2 (sf); previously on Dec 19, 2013
Upgraded to B1 (sf)
Cl. B-II, Upgraded to Caa3 (sf); previously on Mar 18, 2013
Affirmed 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 May 2014 from 7.5% in
May 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 $74MM Subprime RMS Issued 2002-2004
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
tranches from five subprime RMBS transactions, which are all
backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2003-3, Asset-Backed Notes,
Series 2003-3
Cl. A-2, Upgraded to B3 (sf); previously on Sep 12, 2013 Confirmed
at Caa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: GSAMP Trust 2003-HE1
Cl. M-1, Upgraded to B2 (sf); previously on Apr 9, 2012 Downgraded
to Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust, Series 2002-HE1
Cl. A-1, Upgraded to Ba2 (sf); previously on Mar 21, 2011
Downgraded to B1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 21, 2011
Downgraded to Caa3 (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC4
Cl. M-1, Upgraded to Ba3 (sf); previously on Mar 15, 2011
Downgraded to B2 (sf)
Issuer: Structured Asset Investment Loan Trust 2004-9
Cl. M1, Upgraded to B2 (sf); previously on May 25, 2012 Downgraded
to B3 (sf)
Cl. M2, Upgraded to Caa2 (sf); previously on Mar 4, 2011
Downgraded to Caa3 (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 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 6.1% in June 2014 from 7.5% in
June 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 $1.6-Bil. of Subprime RMBS Issued 2005-2006
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 49 tranches
from 14 RMBS transactions backed by subprime mortgage loans.
Complete rating action is as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2005-10
Cl. MV-2, Upgraded to Ba3 (sf); previously on Apr 21, 2014
Upgraded to B2 (sf)
Cl. MV-3, Upgraded to Caa2 (sf); previously on Apr 21, 2014
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-12
Cl. 2-A-3, Upgraded to Baa3 (sf); previously on Feb 5, 2014
Upgraded to Ba2 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Feb 5,
2014 Upgraded to Ba2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Upgraded to B2,
Outlook Stable on May 21, 2014)
Cl. 2-A-4, Upgraded to Ba1 (sf); previously on Feb 5, 2014
Upgraded to Ba2 (sf)
Cl. 2-A-5, Upgraded to Baa3 (sf); previously on Feb 5, 2014
Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Jun 27, 2013 Upgraded
to B3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-14
Cl. 2-A-2, Upgraded to Ba2 (sf); previously on Feb 18, 2014
Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Ba2 (sf); previously on Feb 18,
2014 Upgraded to Ba3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Upgraded to B2,
Outlook Stable on May 21, 2014)
Cl. 3-A-3, Upgraded to Ba1 (sf); previously on Feb 18, 2014
Upgraded to B1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Feb 18, 2014
Upgraded to Caa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-15
Cl. 1-AF-3, Upgraded to Ba2 (sf); previously on Apr 21, 2014
Upgraded to B1 (sf)
Cl. 1-AF-4, Upgraded to Ba3 (sf); previously on Apr 21, 2014
Upgraded to B2 (sf)
Cl. 1-AF-5, Underlying Rating: Upgraded to Ba3 (sf); previously on
Apr 21, 2014 Upgraded to B2 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at
A2, Outlook Stable on July 2, 2014)
Cl. 1-AF-6, Upgraded to Ba2 (sf); previously on Apr 21, 2014
Upgraded to Ba3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-17
Cl. 2-AV, Upgraded to Caa1 (sf); previously on Sep 20, 2012
Downgraded to Caa3 (sf)
Cl. 3-AV-1, Upgraded to B1 (sf); previously on Sep 20, 2012
Downgraded to B3 (sf)
Cl. 3-AV-2, Upgraded to Caa1 (sf); previously on Sep 20, 2012
Downgraded to Caa3 (sf)
Cl. 4-AV-2A, Upgraded to Baa3 (sf); previously on Apr 21, 2014
Upgraded to Ba1 (sf)
Cl. 4-AV-2B, Upgraded to Ba1 (sf); previously on Apr 21, 2014
Upgraded to Ba3 (sf)
Cl. 4-AV-3, Upgraded to B1 (sf); previously on Apr 21, 2014
Upgraded to B3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-3
Cl. AF-4, Upgraded to B1 (sf); previously on Jul 15, 2011
Downgraded to B3 (sf)
Cl. AF-5A, Upgraded to Caa1 (sf); previously on Jul 15, 2011
Downgraded to Caa3 (sf)
Cl. AF-5B, Upgraded to Caa1 (sf); previously on Jul 15, 2011
Downgraded to Caa3 (sf)
Underlying Rating: Upgraded to Caa1 (sf); previously on Jul 15,
2011 Downgraded to Caa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. AF-6, Upgraded to B2 (sf); previously on Jul 15, 2011
Downgraded to B3 (sf)
Cl. MV-3, Upgraded to Ba1 (sf); previously on Jan 3, 2014 Upgraded
to Ba3 (sf)
Cl. MV-4, Upgraded to B2 (sf); previously on Jan 3, 2014 Upgraded
to Caa1 (sf)
Cl. MV-5, Upgraded to Ca (sf); previously on Apr 14, 2010
Downgraded to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-4
Cl. AF-4, Upgraded to B1 (sf); previously on Mar 14, 2013 Affirmed
B3 (sf)
Cl. AF-5A, Upgraded to B3 (sf); previously on Mar 14, 2013
Affirmed Caa2 (sf)
Cl. AF-5B, Underlying Rating: Upgraded to B3 (sf); previously on
Mar 14, 2013 Affirmed Caa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Upgraded to B2,
Outlook Stable on May 21, 2014)
Cl. AF-6, Upgraded to B1 (sf); previously on Mar 14, 2013 Affirmed
B3 (sf)
Cl. MV-2, Upgraded to Ba1 (sf); previously on Mar 14, 2013
Upgraded to Ba3 (sf)
Cl. MV-3, Upgraded to B3 (sf); previously on Mar 14, 2013 Affirmed
Caa2 (sf)
Cl. MV-4, Upgraded to Caa3 (sf); previously on Mar 14, 2013
Affirmed C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-6
Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 12, 2013 Upgraded
to Ba3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 12, 2013
Affirmed Caa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-7
Cl. MF-1, Upgraded to Ca (sf); previously on Apr 14, 2010
Downgraded to C (sf)
Cl. MV-2, Upgraded to Ba3 (sf); previously on Jan 24, 2014
Upgraded to B2 (sf)
Cl. MV-3, Upgraded to Caa2 (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-8
Cl. M-2, Upgraded to Ba1 (sf); previously on Feb 5, 2014 Upgraded
to Ba2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Feb 5, 2014 Upgraded
to Caa2 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 14, 2010
Downgraded to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC5
Cl. M-1, Upgraded to Ba2 (sf); previously on Jan 24, 2014 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 24, 2014
Upgraded to Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-BC1
Cl. 1-A, Upgraded to Ba2 (sf); previously on Apr 14, 2010
Downgraded to B1 (sf)
Cl. 2-A-3, Upgraded to Ba2 (sf); previously on Feb 18, 2014
Upgraded to B1 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on Feb 18, 2014
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-BC2
Cl. 1-A, Upgraded to Ba2 (sf); previously on Apr 14, 2010
Downgraded to B1 (sf)
Cl. 2-A-3, Upgraded to Ba3 (sf); previously on Apr 14, 2010
Downgraded to B2 (sf)
Cl. 2-A-4, Upgraded to B3 (sf); previously on Jan 24, 2014
Upgraded to Caa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-BC3
Cl. 1-A, Upgraded to Ba1 (sf); previously on Apr 14, 2010
Downgraded to Ba2 (sf)
Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)
Ratings Rationale
The rating actions reflect recent performance of the underlying
pools and Moody's updated loss expectations on the pools. The
upgrade actions are a result of improving performance of the
related pools and/or improving credit enhancement on the bonds due
to continued availability of spread and failure of performance
triggers.
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 6.1% in June 2014 from 7.5% in
June 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 $3.5MM Subprime RMBS by Various Trusts
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
from one transaction and downgraded the rating of one tranche from
another transaction, both backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: IMC Home Equity Loan Trust 1998-5
M-1, Downgraded to Caa1 (sf); previously on Mar 9, 2011 Downgraded
to B2 (sf)
Issuer: WMC Mortgage Loan Trust 1998-B
M-1, Upgraded to Ba1 (sf); previously on Mar 4, 2011 Downgraded to
Ba2 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrade is a result of improving performance of the
related pool. The downgrade is a result of deteriorating
performance and structural features resulting in higher expected
losses for the bond 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 6.1% in June 2014 from 7.5% in
June 2013. Moody's forecasts an unemployment central range of 6.5%
to 7.5% for the 2014 year. Deviations from this central scenario
could lead to rating actions in the sector. House prices are
another key driver of US RMBS performance. Moody's expects house
prices to continue to rise in 2014. Lower increases than Moody's
expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
* S&P Takes Actions on 58 Classes From 9 Lehman Transactions
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 23
classes and affirmed its ratings on 34 classes from nine Lehman
Brothers Small Balance Commercial transactions. S&P also lowered
its rating on the class 1A2 certificates from Lehman Brothers
Small Balance Commercial Mortgage Trust 2007-2. In addition, S&P
removed 17 of these ratings from CreditWatch, where it had placed
15 of them with positive implications and two of 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.
These transactions are asset-backed securitizations backed by
payments from small business loans primarily collateralized by
first-liens on commercial real estate.
The downgrade reflects S&P's applied largest obligor default test,
which is a supplemental test it adopted in our 2014 U.S. small
business loan securitization criteria update to address event and
model risk that may be present, and the transactions' continued
deteriorating performance. Although delinquencies have stalled in
most deals, defaults have increased in a couple of the
transactions and recoveries are low and taking substantial time to
materialize. After applying S&P's new criteria, it upgraded the
mezzanine and subordinate classes in many of these securitizations
to reflect collateral seasoning and credit enhancement buildup.
S&P summarizes each transaction's performance since it took its
previous rating actions on them in March and May of 2013.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL'S MORTGAGE PASS-THROUGH
CERTIFICATES SERIES 2005-1
The transaction has paid down approximately $19.6 million to the
class A certificates. According to the April 2014 servicer
report, there are 138 loans left in the pool and delinquent and
defaulted loans decreased to approximately 5.4% from 18.12% in
April 2013. The reserve account's current balance has also
increased to $4.97 million from $1.14 million in April 2013, which
is still below the $8.21 million current requisite. S&P upgraded
the class M1, M2, and B certificates, affirmed its 'A+ (sf)'
rating on the class A certificates, and removed the ratings on
classes M1 and A from CreditWatch positive.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL'S MORTGAGE PASS-THROUGH
CERTIFICATES SERIES 2005-2
The transaction has paid down approximately $22.3 million combined
to the class 1A and 2A certificates. According to the April 2014
servicer report, there are 162 loans left in the pool and
delinquent and defaulted loans decreased to approximately 11.3%
from 16.82% in March 2013. There is now $1.74 million in the
reserve account after being unfunded in March 2013, and while it
is still below the $6.25 million current requisite, the class B
certificates have cured their carry forward interest amount. S&P
upgraded the class M1, M2, M3, and B certificates, affirmed its
'A+ (sf)' ratings on classes 1A and 2A, and removed the ratings on
classes M1, 1A, and 2A from CreditWatch positive.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL'S MORTGAGE PASS-THROUGH
CERTIFICATES SERIES 2006-1
The transaction has paid down approximately $41.9 million combined
to the class 1A, 2A, and 3A3 certificates. According to the April
2014 servicer report, there are 201 loans left in the pool and
delinquent and defaulted loans represented approximately 18.2%,
which is in line with S&P's previous review in March 2013. There
is still no reserve account, breaching the $6.51 million current
requisite, but the class B certificates have cured their carry
forward interest amount. S&P upgraded all seven tranches still
outstanding and removed the ratings on the class 1A, 2A, 3A3, and
M1 certificates from CreditWatch positive.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2006-2
The transaction has paid down approximately $31.1 million combined
to the class 1A and 2A3 certificates. According to the April 2014
servicer report, there are 165 loans left in the pool and
delinquent and defaulted loans represented approximately 20%,
which is down from about 29% in March 2013. There is still no
reserve account, breaching the $4.07 million current requisite,
and while the class M2 certificates have cured their carry forward
interest amount, the class M3 and B certificates' carry forward
interest have both increased. Despite S&P's cash flow analysis
suggesting higher ratings for the class M2, M3, and B
certificates, they were all constrained by the largest obligor
default test. S&P upgraded the class 1A, 2A3, M1, and M2
certificates, affirmed its ratings on the class M3 and B
certificates, and removed its ratings on the class 1A, 2A3, and M1
certificates from CreditWatch positive.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2006-3
The transaction has paid down the class 2A2 certificates in full
and approximately $24.7 million combined to the class 1A and 2A3
certificates. According to the April 2014 servicer report, there
are 180 loans left in the pool and delinquent and defaulted loans
represented approximately 28%, which is similar to when S&P took
its March 2013 rating actions. There is still no reserve account,
breaching the $4.8 million current requisite. The class M2, M3,
and B certificates' carry forward interest amounts have all
increased and S&P's ratings on them were affected by the newly
introduced largest obligor default test. S&P upgraded the class
M1 and M3 certificates under the new criteria, affirmed its
ratings on the class M2, B, 1A, and 2A3 certificates, and removed
the latter two from CreditWatch positive.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL LOAN TRUST 2006-SBA
The transaction is a pass-through of the series 2006-3 transaction
and has paid down approximately $1.2 million to the class A
certificates; S&P affirmed its 'BBB- (sf)' rating assigned to them
at closing.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2007-1
The transaction has paid down approximately $35 million to 40.5%
of its original outstanding balance. According to the May 2014
servicer report, there were 242 loans left in the pool and
delinquent and defaulted loans represented approximately 30%,
almost exactly the same as in March 2013. There is still no
reserve account, breaching the $6.542 million current requisite.
S&P affirmed its ratings ranging from 'BBB- (sf)' to 'CCC- (sf)'
on all seven classes.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2007-2
The transaction has paid down approximately $49.5 million to 44.5%
of its original outstanding balance. According to the May 2014
servicer report, there were 466 loans left in the pool and
delinquent and defaulted loans represented approximately 22%,
slightly down from 25% in March 2013. There is still no reserve
account, breaching the $10.0 million current requisite. S&P
affirmed its ratings on eight of the 10 outstanding classes and
removed two of them from CreditWatch negative. S&P lowered its
rating to 'A- (sf)' from 'A+ (sf)' on class 1A2, the most senior
tranche and removed it from CreditWatch positive. Although S&P's
preliminary analysis indicated this tranche might warrant an
upgrade after applying its new criteria, the increased defaults
and slower recoveries outweighed the benefit of the paydowns to
these senior certificates. However, S&P raised its rating to 'B+
(sf)' from 'B- (sf)' on class M1 after applying its new criteria
and observing increased credit enhancement for this class.
LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2007-3
The transaction has paid down approximately $55.9 million to 47.9%
of its original outstanding balance. According to the May 2014
servicer report, there were 636 loans left in the pool and
delinquent and defaulted loans decreased slightly to approximately
21% from 23% in March 2013. There is still no reserve account,
breaching the $14.0 million current requisite. S&P raised its
ratings one and two notches on the two mezzanine classes M1 and
AJ, respectively, and affirmed its ratings on the nine other
outstanding classes.
S&P will continue to review whether, in its view, the ratings
currently assigned to the certificates remain consistent with the
credit enhancement available to support them and will take further
rating actions as S&P deems necessary.
RATING AND CREDITWATCH ACTIONS
Lehman Brothers Small Balance Commercial
Mortgage pass-through certificates series 2005-1
Rating
Class To From
A A+ (sf) A+ (sf)/Watch Pos
M1 A+ (sf) A (sf)/Watch Pos
M2 A- (sf) BBB+ (sf)
B BBB+ (sf) BB+ (sf)
Lehman Brothers Small Balance Commercial
Mortgage pass-through certificates series 2005-2
Rating
Class To From
1A A+ (sf) A+ (sf)/Watch Pos
2A A+ (sf) A+ (sf)/Watch Pos
M1 A (sf) BB+ (sf)/Watch Pos
M2 A- (sf) BB (sf)
M3 BBB+ (sf) B+ (sf)
B BB+ (sf) CCC+ (sf)
Lehman Brothers Small Balance Commercial
Mortgage pass-through certificates series 2006-1
Rating
Class To From
1A AA- (sf) A+ (sf)/Watch Pos
2A AA- (sf) A+ (sf)/Watch Pos
3A3 AA- (sf) A+ (sf)/Watch Pos
M1 A+ (sf) BBB+ (sf)/Watch Pos
M2 A (sf) BB+ (sf)
M3 BBB+ (sf) B+ (sf)
B BB+ (sf) CCC+ (sf)
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2
Rating
Class To From
1A AA- (sf) BBB+ (sf)/Watch Pos
2A3 AA- (sf) BBB+ (sf)/Watch Pos
M1 A+ (sf) BB+ (sf)/Watch Pos
M2 BBB+ (sf) B+ (sf)
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3
Rating
Class To From
1A BBB+ (sf) BBB+ (sf)/Watch Pos
2A3 BBB+ (sf) BBB+ (sf)/Watch Pos
M1 BBB (sf) B+ (sf)
M3 CCC+ (sf) CCC- (sf)
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2
Rating
Class To From
1A2 A- (sf) A+ (sf)/Watch Pos
1A3 BB+ (sf) BB+ (sf)/Watch Neg
1A4 BB+ (sf) BB+ (sf)/Watch Neg
M1 B+ (sf) B-(sf)
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3
Rating
Class To From
AJ BB+ (sf) BB- (sf)
M1 B (sf) B- (sf)
RATINGS AFFIRMED
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2
Class Rating
M3 CCC+ (sf)
B CCC- (sf)
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3
Class Rating
M2 CCC+ (sf)
B CCC- (sf)
Lehman Brothers Small Balance Commercial Loan Trust 2006-SBA
Class Rating
A BBB- (sf)
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1
Class Rating
1A BBB- (sf)
2A3 BBB- (sf)
M1 B- (sf)
M2 CCC (sf)
M3 CCC- (sf)
M4 CCC- (sf)
B CCC- (sf)
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2
Class Rating
2A3 BB+ (sf)
M2 CCC+ (sf)
M3 CCC- (sf)
M4 CCC- (sf)
M5 CCC- (sf)
B CCC- (sf)
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3
Class Rating
1A3 A+ (sf)
1A4 A+ (sf)
2A3 A+ (sf)
AM A+ (sf)
M2 CCC (sf)
M3 CCC- (sf)
M4 CCC- (sf)
M5 CCC- (sf)
B CCC- (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
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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
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Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com by e-mail.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to the nation's bankruptcy courts. The
list includes links to freely downloadable of these small-dollar
petitions in Acrobat PDF documents.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
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S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez,
Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2014. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-241-8200.
*** End of Transmission ***