/raid1/www/Hosts/bankrupt/TCR_Public/141102.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, November 2, 2014, Vol. 18, No. 305
Headlines
AGATE BAY 2014-3: S&P Assigns Prelim. BB Rating on Class B-4 Notes
ANCHORAGE CAPITAL 5: Moody's Rates Rating on Class F Notes (P)B3
ASTORIA POWER: Fitch Affirms 'BB-' Rating on Series C Certificates
ATRIUM XI: Moody's Assigns B3 Rating on $11MM Class F Notes
BALLYROCK CLO 2014-1: Moody's Rates $23MM Class D Notes '(P)Ba3'
BANC OF AMERICA 2000-2: Moody's Affirms Caa3 Rating on Cl. X Debt
BANC OF AMERICA 2004-5: Moody's Lowers Rating on XC Debt to Caa1
BANC OF AMERICA 2006-1: S&P Lowers Rating on Class G Notes to D
BATTALION CLO VII: Moody's Assigns (P)Ba3 Rating on $21MM D Notes
BEAR STEARNS 2004-PWR5: Fitch Raises Rating on Class H Notes to BB
BELHURST CLO: S&P Affirms 'BB+' Rating on Class E Notes
CABCO SERIES 2004-101: S&P Lowers Rating on Certificates to BB
CANTOR COMMERCIAL 2011-C2: Fitch Affirms BB Rating on Cl. F Certs
CARLYLE GLOBAL 2012-1: Moody's Rates on $22.7MM Cl. E Notes 'Ba2'
CD COMMERCIAL 2007-CD5: Fitch Affirms BB Rating on 2 Certs
CEDAR FUNDING IV: S&P Assigns BB Rating on Class E Notes
CITIGROUP 2014-J2: S&P Assigns Prelim. BB Rating on B-4 Notes
CITIGROUP 2003-HE4: Moody's Raises Cl. M-5 Secs. Rating to Ca
COMM 2012-CCRE5: Moody's Affirms B2 Rating on Class G Certs
COMM 2014-CCRE20: Fitch to Rate Class E Certificates 'BB-sf'
CREDIT SUISSE 2002-CP5: S&P Withdraws D Rating on 8 Notes
CREDIT SUISSE 2003-C3: Fitch Affirms CC Rating on Cl. J Certs
CSFB MORTGAGE 2004-C4: Moody's Cuts Cl. A-X Debt to Caa2
CSMC TRUST 2014-TIKI: Moody's Assigns (P)B3 Rating on Cl. F Certs
GREEN TREE 1998-6: S&P Lowers Rating on Class M-1 Certs to 'D'
DEAN WITTER 2003-HQ2: Moody's Affirms C Rating on Class N Certs.
GE COMMERCIAL 2005-C1: Fitch Cuts Rating on Class G Certs to 'Csf'
GMAC COMMERCIAL 1997-C2: Moody's Affirms H Rating on Cl. H Certs
GOLDMAN SACHS CAPITAL: S&P Cuts Rating on 16 Classes
HEWETT'S ISLAND: Moody's Affirms Ba3 Rating on Class E Notes
INDEPENDENCE I CDO: Moody's Affirms C Rating on Class C Notes
JP MORGAN 2004-CIBC10: Moody's Cuts Cl. X-1 Certs Rating to Caa1
JP MORGAN 2006-CIBC16: S&P Lowers Rating on 4 Notes to 'D'
JP MORGAN 2006-LDP7: Fitch Lowers Rating on Class D Notes to 'Csf'
JP MORGAN 2014-C25: Fitch Expects to Rate Class F Notes 'B-sf'
JP MORGAN 2014-CBM: S&P Assigns Prelim. BB- Rating on E Notes
LAKESIDE CDO II: Moody's Raises Rating on Cl. A-1 Notes to Ba1
LB-UBS 2005-C5: S&P Raises Rating on Class D Notes to BB+
LIME STREET CLO: Moody's Hikes Rating on $15MM Cl. D Notes to Ba1
LNR CDO IV: Moody's Affirms 'C' Ratings on 14 Note Classes
MACH ONE 2004-1: Fitch Raises Rating on Class H Notes to 'BBsf'
MANUFACTURED HOUSING: S&P Corrects Rating on Cl. B-1 Certificate
MASTR ASSET 2006-AB1: Moody's Cuts Rating on Cl. A-2 Secs to Ba1
MORGAN STANLEY 2004-HQ4: Fitch Ups Class G Certs Rating From B-
MORGAN STANLEY 2006-TOP21: S&P Affirms CCC- Rating on 3 Notes
MOTEL 6 TRUST: Fitch Raises Rating on E Notes From 'B+'
NAUTIQUE FUNDING: S&P Raises Rating on Class D Notes to BB+
NEUBERGER BERMAN XVII: S&P Affirms BB- Rating on 2 Notes
PHOENIX CLO I: Moody's Affirms Ba3 Rating on $15.5MM Cl. D Notes
PREFERRED PASS-THROUGH 2006-A: S&P Lowers Rating on 2 Notes to BB
REALT 2014-1: Fitch Assigns 'Bsf' Rating on Class G Notes
RESOURCE REAL 2007-1: Moody's Affirms 'Caa3' Rating on 4 Notes
SCHOONER TRUST 2005-3: Moody's Affirms B1 Rating on Class J Notes
SHACKLETON 2014-V: S&P Affirms B Rating on 2 Note Classes
STARWOOD RETAIL: S&P Assigns Prelim. BB- Rating on Class E Notes
THACHER PARK: Moody's Assigns Ba3 Rating on 2 Note Classes
TELOS CLO 2014-6: S&P Assigns Prelim. BB Rating on Class E Notes
UNITED ARTISTS: Moody's Affirms B3 Rating on 1995-A Certificate
VOYA CLO III: Moody's Raises Rating on $13MM Cl. D Notes to Ba2
WACHOVIA BANK 2006-C25: Moody's Affirms C Rating on 2 Certs
WAMU 2004-AR8: Moody's Hikes Rating on Cl. A-3 Debt to Caa2
* Moody's Takes Action on $186 Million of Subprime RMBS
* Moody's Takes Action on $113.4 MM RMBS Issued by Various Trusts
* Moody's Takes Action on $91MM RMBS Issued 2005 to 2008
* Moody's Takes Action on $135MM of Subprime RMBS
* S&P Lowers 7 Classes From 4 Bank of America-Related Transactions
*********
AGATE BAY 2014-3: S&P Assigns Prelim. BB Rating on Class B-4 Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Agate Bay Mortgage Trust 2014-3's $356.332 million
mortgage pass-through certificates series 2014-3.
The certificate issuance is a residential mortgage-backed
securities transaction backed by first-lien, fixed-rate
residential mortgage loans secured by one- to four-family
residential properties, condominiums, and planned unit development
residences to prime borrowers.
The preliminary ratings are based on information as of Oct. 28,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The high-quality collateral included in the pool, as
described in the Collateral Summary section.
-- The associated transaction participants in conjunction with
each of their roles.
-- The credit enhancement provided and the associated
structural deal mechanics.
PRELIMINARY RATINGS ASSIGNED
Agate Bay Mortgage Trust 2014-3
Class Rating Amount
(mil. $)
A-1 AAA (sf) 333.704
A-2 AAA (sf) 311.076
A-3 AAA (sf) 233.307
A-4 AAA (sf) 233.307
A-5 AAA (sf) 77.769
A-6 AAA (sf) 62.215
A-7 AAA (sf) 15.554
A-8 AAA (sf) 248.861
A-9 AAA (sf) 248.861
A-10 AAA (sf) 62.215
A-11 AAA (sf) 15.554
A-12 AAA (sf) 46.661
A-13 AAA (sf) 22.628
A-14 AAA (sf) 22.628
A-X-1 AAA (sf) Notional
A-X-2 AAA (sf) Notional
A-X-3 AAA (sf) Notional
A-X-4 AAA (sf) Notional
A-X-5 AAA (sf) Notional
B-1 AA (sf) 2.138
B-2 A (sf) 4.811
B-3 BBB (sf) 3.385
B-4 BB (sf) 6.592
B-5 NR 5.702
NR--Not rated.
ANCHORAGE CAPITAL 5: Moody's Rates Rating on Class F Notes (P)B3
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of notes to be issued by Anchorage Capital CLO 5,
Ltd.
Moody's rating action is as follows:
$2,000,000 Class X Senior Secured Floating Rate Notes due 2017
(the "Class X Notes"), Assigned (P)Aaa (sf)
$305,000,000 Class A Senior Secured Floating Rate Notes due 2026
(the "Class A Notes"), Assigned (P)Aaa (sf)
$57,500,000 Class B Senior Secured Floating Rate Notes due 2026
(the "Class B Notes"), Assigned (P)Aa2 (sf)
$30,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class C Notes"), Assigned (P)A2 (sf)
$35,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$30,000,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)Ba3 (sf)
$12,500,000 Class F Secured Deferrable Floating Rate Notes due
2026 (the "Class F Notes"), Assigned (P)B3 (sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes, the Class E Notes and the Class F
Notes are referred to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Anchorage 5 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans and eligible investments, and up
to 10.0% of the portfolio may consist of second lien loans and
unsecured loans. The underlying portfolio is expected to be
approximately 65% ramped as of the closing date.
Anchorage Capital Group, L.L.C. (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 3.9 year
reinvestment period. Thereafter, the Manager may purchase
additional collateral using principal proceeds from prepayments
and sales of credit risk obligations, subject to certain
conditions.
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: 50
Weighted Average Rating Factor (WARF): 3000
Weighted Average Spread (WAS): 3.90%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.25%
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 3000 to 3450)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Class F Notes: -2
Percentage Change in WARF -- increase of 30% (from 3000 to 3900)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -4
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.
ASTORIA POWER: Fitch Affirms 'BB-' Rating on Series C Certificates
------------------------------------------------------------------
Fitch Ratings has affirmed the ratings for Astoria Power Project
Pass-Through Trust's (Astoria) series A, B, and C certificates as:
-- $515 million series A certificates due 2016 at 'BBB-';
-- $210 million series B certificates due 2021 at 'BB';
-- $69.5 million series C certificates due 2021 at 'BB-'.
The Rating Outlook is Stable for each series.
The affirmation reflects Astoria's operational stability and the
continued prospect of gradual improvement in the NYISO energy and
capacity markets. Fitch believes that Astoria's ratings
adequately reflect each respective tranche's probability of
default given the power purchase agreement's (PPA) floor pricing
and the structural features of the debt. Manageable post-PPA
leverage levels, the anticipated market price recovery, and the
estimated 20 years of remaining useful life help mitigate
refinancing risk.
KEY RATING DRIVERS
Revenue Risk: Midrange
Contracted Price Floor: The PPA with an investment-grade
counterparty provides for a capacity and energy price floor that
supports the payment of scheduled debt service through 2016.
Fitch recognizes that the price floor reduces the potential for
revenue volatility, but cash flow remains subject to the risk of
operational shortfalls or increased costs. Astoria's strong
competitive position in the NYISO Zone J, historically among the
most capacity constrained markets in the U.S., helps mitigate
dispatch risk and enhances capacity and energy price prospects
during the post-2016 merchant period.
Debt Structure: Midrange (series A); Weaker (series B & C)
Manageable Refinance Risk: Astoria's fixed rate debt is subject to
refinance risk due to the first lien target amortization profile
and second lien payment-in-kind feature. Fitch believes that the
debt structure provides financial flexibility and reduces the
probability of default in a low market price environment. Fitch
views the estimated leverage of approximately 2.5 times (x) cash
flow available for debt service at the first lien maturity date as
a refinance risk mitigant.
Operating Risk: Midrange
Solid Operating Profile: The project utilizes conventional, proven
combined cycle technology and has demonstrated relatively stable
operating performance over the past five years. Astoria has
effectively managed costs and realized nearly 25% cost-savings,
resulting in an operating cost profile of $45 per kW consistent
with the lower end of the range for comparable projects. Astoria
remains exposed to potential increases in O&M and/or emissions
costs. Energy sales are subject to an implied heat rate factor
under the PPA and a competitive dispatch position will be
essential during the merchant period, increasing the importance of
operational stability and efficiency.
Supply Risk: Midrange
Minimal Supply Risk: Astoria procures natural gas under a long-
term contract with an investment-grade counterparty. Fitch
believes that supply risk is mitigated by the competitive and
highly liquid nature of the natural gas fuel market and Astoria's
dual-fuel capability and on-site oil reserves.
Financial Metrics
Adequate Projected Coverage Ratios: The Fitch rating case projects
scheduled series A debt service coverage ratios (DSCRs) in excess
of 1.2x and series B and C DSCRs near breakeven levels throughout
the PPA period. The Fitch base case forecasts a similar DSCR
profile given the continued payment of PPA energy floor prices and
relatively weak energy margins. Fitch expects more robust
coverage during the merchant period in the Fitch base case due to
an anticipated recovery in market capacity prices and spark
spreads, an assumed long-term refinancing of the first lien
balloon payment that reduces annual debt service requirements, and
manageable medium-term leverage relative to Astoria's estimated 30
year useful life.
Peer Comparison: Fitch recognizes that Astoria's unique debt
structure and PPA provisions do not provide for a direct
comparison. The project's financial metrics during the PPA period
fall somewhat below that of rated thermal peers, but the rapid
amortization profile should allow for additional debt capacity
during a refinancing and/or potentially strong DSCRs during the
merchant period.
RATING SENSITIVITIES
Negative -- Persistent Operational Challenges: Decreased project
availability, frequent heat rate excursions, or an inability to
effectively manage operating costs could impair the project's
ability to refinance.
Negative -- Structural Shift in Market Prices: Sustained weakness
in market capacity prices and energy margins could erode the
revenue and refinancing outlooks.
SECURITY
Astoria Depositor Corp. deposited with the trust a first and
second lien loan executed by Astoria Energy LLC. The loans are
secured by a first or second priority mortgage lien on the real
estate, security interest in all of Astoria's personal property,
including the PPA and other contracts, and a pledge of all
accounts and the membership interests of Astoria Project Partners
LLC in the project.
Astoria Power Project Pass-through Trust was formed to issue the
certificates. The proceeds were used to purchase the rights,
titles, and interests of Astoria's lender in Astoria Energy LLC's
first and second lien loans and corresponding collateral. Each of
the certificates represents a fractional interest in the trust.
Fitch views the credit quality of the series A certificates and
series B certificates to be closely aligned to the credit quality
of the first and second lien loans, respectively. Fitch considers
the series C certificates to be structurally subordinated to the
series A and B certificates given their position in the waterfall
and lower priority in the event of foreclosure. Additionally,
Fitch notes that the lien priorities would remain intact until
full cash payment of the first lien principal and interest. This
includes the commencement of a new first lien credit agreement.
TRANSACTION SUMMARY
Astoria has performed well above projections through Q3 2014 due
to the extremely high margins on energy sales during the first
quarter, when extraordinarily severe weather drove up electricity
demand. Both PPA capacity payments and non-fuel operating costs
have otherwise remained stable compared to the same period in
2013. The additional cash flow allowed Astoria to achieve
financial metrics in excess of projections with a 1.63x DSCR on
the first lien loan and a 1.23x DSCR on the second lien loan for
the first half of 2014. The project also made a $7.1 million
payment of target principal on the first lien loan, the first such
payment since 2009.
The project's operating profile has generally returned to average
historical levels following major outages in 2013 and 2014. NERC
availability reached 89.9% and the heat rate remained stable at
7,306 btu/kWh through Q3 2014. However, the facility experienced
a higher than normal forced outage rate and a lower capacity
factor due to a steam turbine issue that was subsequently resolved
in the spring outage, which was extended an additional two weeks.
Fitch believes that the project's anticipated merchant profile and
the level of refinancing risk remain effectively unchanged. Fitch
expects the project to receive energy prices generally consistent
with the contracted price floor for the next two to three years
due to continued market weakness. The Fitch base case indicates
that first lien DSCRs should approach 1.20x with second lien DSCRs
at breakeven levels in 2015.
Fitch understands that recent changes in Astoria's ownership have
had no impact on day-to-day operations or project management.
Mitsui purchased a 20.58% ownership stake from GDF Suez in
December 2013 and partnered with JEMB Realty and Harbert
Management to acquire SNC-Lavalin's 12.35% ownership interest in
October 2014. While GDF Suez is no longer majority owner, its
economic interest remains the largest amongst the sponsor group.
Astoria Energy LLC (Astoria) was formed to develop, construct,
own, and operate a 550MW natural gas- and diesel-fired power plant
in Queens, New York. The facility provides electric generating
capacity for NYISO's Zone J and sells the majority of its capacity
and energy to Consolidated Edison (Fitch rated 'BBB+' with a
Stable Outlook) under a PPA expiring May 2016. Thereafter, the
project would operate as a fully merchant generator. The PPA's
rate structure is priced at a 5% discount from the prevailing
market price, which is subject to a floor for capacity and energy
sales and a ceiling for capacity sales.
ATRIUM XI: Moody's Assigns B3 Rating on $11MM Class F Notes
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to four
classes of notes issued by Atrium XI.
Moody's rating action is as follows:
$602,250,000 Class A-1 Floating Rate Notes due October 2025
(the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
$10,000,000 Class A-2 Fixed Rate Notes due October 2025 (the
"Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
$59,250,000 Class E Deferrable Floating Rate Notes due October
2025 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
$11,000,000 Class F Deferrable Floating Rate Notes due October
2025 (the "Class F Notes"), Definitive Rating Assigned B3 (sf)
The Class A-1 Notes, the Class A-2 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.
Atrium XI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second lien loans
and senior unsecured loans. The portfolio is approximately 80.7%
ramped as of the closing date.
Credit Suisse Asset Management, LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue four other
classes of notes, including subordinated notes. The transaction
incorporates interest and par coverage tests which, if triggered,
divert interest and principal proceeds to pay down the notes 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: $1,000,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2825
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 44.0%
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 2825 to 3249)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: 0
Class E Notes: -1
Class F Notes: -2
Percentage Change in WARF -- increase of 30% (from 2825 to 3673)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -1
Class E Notes: -1
Class F Notes: -4
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 Score provides 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. The V Score applies to the entire
transaction, rather than individual tranches.
BALLYROCK CLO 2014-1: Moody's Rates $23MM Class D Notes '(P)Ba3'
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Ballyrock CLO 2014-1 Ltd.
Moody's rating action is as follows:
$251,000,000 Class A-1 Senior Secured Floating Rate Notes due
2026 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
$52,000,000 Class A-2 Senior Secured Floating Rate Notes due 2026
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
$22,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class B Notes"), Assigned (P)A2 (sf)
$23,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class C Notes"), Assigned (P)Baa3 (sf)
$23,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class D Notes"), Assigned (P)Ba3 (sf)
The Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C
Notes, and Class D Notes are referred to herein, collectively, as
the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Ballyrock 2014-1 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash and eligible investments
representing principal proceeds and up to 10% of the portfolio may
consist of second lien loans and unsecured loans. The portfolio is
expected to be approximately 80% ramped as of the closing date.
Ballyrock Investment Advisors LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
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): 2700
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 46.5%
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 2700 to 3105)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2700 to 3510)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D 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.
BANC OF AMERICA 2000-2: Moody's Affirms Caa3 Rating on Cl. X Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class of
Banc of America Commercial Mortgage Inc., Commercial Mortgage
Pass-Through Certificates, Series 2000-2 as follows:
Cl. X, Affirmed Caa3 (sf); previously on Dec 5, 2013 Affirmed Caa3
(sf)
Ratings Rationale
The rating of the IO class, Class X, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes. The IO class is the only outstanding
Moody's-rated class in this transaction.
Factors that would lead to an upgrade or downgrade of the rating:
The rating of an IO class is based on the credit performance of
its referenced classes. An IO class may be upgraded based on a
lower weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description Of Models Used
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.7. 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. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Deal Performance
As of the October 15, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $10 million
from $889 million at securitization. The certificates are
collateralized by three mortgage loans ranging in size from less
than 1% to 54% of the pool.
Thirty-three loans have been liquidated from the pool, resulting
in an aggregate realized loss of $56 million (for an average loss
severity of 25%). No loans are on the master servicer's watchlist
or in special servicing, and Moody's did not identify any troubled
loans.
Moody's was provided with full year 2013 and partial year 2014
operating results for 100 % and 67% of the pool, respectively.
There are only three loans in the pool. The largest loan is the
Gateway Village Shopping Center Loan ($5.5 million -- 54% of the
pool), which is secured by a retail complex located in Glendale,
Arizona. The property was 79% leased as of July 2014 compared to
76% as of March 2013. Moody's current LTV and stressed DSCR are
63% and 1.8X, respectively, compared to 66% and 1.7X at last
review.
The second largest loan is the 500 South Sepulveda Boulevard Loan
($4.6 million -- 45% of the pool). The loan is secured by a 43,000
square foot (SF) office property located in Los Angeles,
California. The property was 100% leased as of September 2014, the
same as at Moody's last review. Moody's current LTV and stressed
DSCR are 59% and 1.78X, respectively, compared to 57% and 1.84X at
last review.
The third largest loan is the Baldwin Hills Shopping Center Loan
($60,666 -- 0.6% of the pool). The loan is secured by a grocery
and drug-anchored neighborhood shopping center located in Los
Angeles, California. The property was 100% leased as of February
2014, the same as at Moody's last review. The loan is fully
amortizing and matures in 5 months. Moody's current LTV and
stressed DSCR are 0.5% and >4.00X respectively, compared to 1.5%
and >4.00X at last review.
BANC OF AMERICA 2004-5: Moody's Lowers Rating on XC Debt to Caa1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes,
affirmed the ratings on six classes and downgraded the rating on
one class in Banc of America Commercial Mortgage Inc., Commercial
Mortgage Pass-Through Certificates, Series 2004-5 as follows:
Cl. D, Upgraded to Aa1 (sf); previously on Apr 17, 2014 Affirmed
Aa3 (sf)
Cl. E, Upgraded to Aa3 (sf); previously on Apr 17, 2014 Affirmed
A2 (sf)
Cl. F, Affirmed Baa3 (sf); previously on Apr 17, 2014 Affirmed
Baa3 (sf)
Cl. G, Affirmed Ba2 (sf); previously on Apr 17, 2014 Affirmed Ba2
(sf)
Cl. H, Affirmed Caa2 (sf); previously on Apr 17, 2014 Downgraded
to Caa2 (sf)
Cl. J, Affirmed C (sf); previously on Apr 17, 2014 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Apr 17, 2014 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Apr 17, 2014 Affirmed C (sf)
Cl. XC, Downgraded to Caa1 (sf); previously on Apr 17, 2014
Affirmed Ba3 (sf)
Ratings Rationale
The ratings on P&I classes D and E were upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 76% since Moody's last
review.
The ratings on P&I classes F and G 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 P&I classes H through L were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO Class (Class XC) 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 32.6% of
the current balance compared to 10.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.3% of the
original pooled balance compared to 4.1% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The 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.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of BACM 2004-5.
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 4 compared to 26 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 October 10, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $118.7
million from $1.36 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from 2% to
43% of the pool.
Five loans, constituting 23% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $5.9 million (for an average loss
severity of 4.7%). Three loans, constituting 58% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Cheltenham Square Mall Loan($50.7 million -- 43% of
the pool), which is secured by a 423,440 square foot (SF) portion
of a 763,061 SF anchored mall located approximately nine miles
north of downtown Philadelphia, Pennsylvania. The total mall was
92% leased as of May 2014 compared to 93% as of December 2013. The
loan was transferred to special servicing in June 2012 due to
Imminent Monetary Default. A receiver was appointed on July 1,
2013. The property was taken to market by CBRE. According to the
servicer, the property is under contract for sale and is expected
to close by the end of the year.
The second largest specially serviced loan is the Falls at
Ocotillo Loan ($13.3 million -- 11.2% of the pool), which is
secured by a 70,333 SF retail center located in Chandler, Arizona.
The loan was transferred to special servicing in June 2014 due to
imminent default. Counsel is presently preparing a motion for
appointment of a receiver and foreclosure. The property was 72%
leased as of June 2014 compared to 82% as of December 2013.
The remaining specially serviced loan is the Rush Creek II Loan
($4.25 million -- 3.6% of the pool), which is secured by 100,789
SF industrial/flex building located in Worthington, Ohio. The loan
was transferred to special servicing in December 2013 due to
imminent default as result of decrease in occupancy. The
servicer's strategy is to stabilize the asset and then take it to
market. Moody's has assumed a high default probability for one
poorly performing loan, constituting 2.7% of the pool. Moody's
estimates an aggregate $36.2 million loss for the specially
serviced and troubled loans (50.6% expected loss on average).
Moody's received full or partial year 2013 operating results for
100% of the pool and partial year 2014 operating results for 50%
of the pool. Moody's weighted average conduit LTV is 90% compared
to 81% 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 17% 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 1.35X and 1.15X,
respectively, compared to 1.38X and 1.32X 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 33.4% of the pool balance.
The largest loan is the L'Oreal Warehouse Loan ($18.3 million --
15.4% of the pool), which is secured by a 649,250 SF mixed-use
office and warehouse building that is 100% leased to L'Oreal
through October 2019. Built to suit in 2004 for L'Oreal, the
property has 51 overhead doors and 40 trailer parking spots, and
has good access to major highways connecting to Cleveland,
Youngstown, Akron, Ohio and Pittsburgh, Pennsylvania. Due to the
single tenant exposure, Moody's stressed the value of this
property utilizing a lit/dark analysis. Moody's LTV and stressed
DSCR are 87% and 1.12X, respectively.
The second largest loan is the Medical Mutual of Ohio - Toledo
Loan ($16.2 million -- 13.6% of the pool), which is secured by an
office property in a suburban office park in the northwest part of
Toledo, Ohio. The property is 100% leased to Medical Mutual of
Ohio through March 2020. Due to the single tenant exposure,
Moody's stressed the value of this property utilizing a lit/dark
analysis. Moody's LTV and stressed DSCR are 97% and 1.06X,
respectively.
The third largest loan is the Country Club Ridge Loan ($5.1million
-- 4.3% of the pool), which is secured by a 247 unit co-op
property in Hartsdale, Westchester County, New York. Property's
occupancy has been stable over recent three years at 100%. Moody's
LTV and stressed DSCR are 79% and 1.3X, respectively, essentially
the same as Moody's last review.
BANC OF AMERICA 2006-1: S&P Lowers Rating on Class G Notes to D
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
A-M commercial mortgage pass-through certificates from Banc of
America Commercial Mortgage Trust 2006-1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
lowered its rating on class G and affirmed its ratings on 11 other
classes from the same transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, 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.
S&P raised its rating on class A-M to 'AA+ (sf)' to reflect its
expectation of the available credit enhancement for this class,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating level. The
upgrade also follows S&P's views regarding the reduced trust
balance.
S&P lowered its rating on class G to 'D (sf)' to reflect
accumulated interest shortfalls that S&P expects to remain
outstanding for the foreseeable future and credit support erosion
that S&P anticipates will occur upon the eventual resolution of
the three assets ($16.7 million, 1.2% of the current pool) with
the special servicer (discussed below).
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.
S&P affirmed its 'AAA (sf)' rating on the class XC interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the Oct. 10, 2014, trustee remittance report, the collateral
pool balance was $1.43 billion, which is 70.0% of the pool balance
at issuance. The pool currently includes 136 loans secured by
real estate, 15 defeased loans, and one real estate-owned (REO)
asset, down from 192 loans at issuance. Three assets are with the
special servicer, Torchlight Loan Services LLC (Torchlight), and
32 loans ($178.4 million, 12.5%) are on the master servicer's
watchlist. The master servicer, KeyBank Real Estate Capital,
reported financial information for 90.1% of the non-defeased loans
in the pool, of which 74.3% was partial- or full-year 2013 or
partial-year 2014 data.
S&P calculated a Standard & Poor's weighted average debt service
coverage (DSC)of 1.50x and loan-to-value (LTV) ratio of 75.9%
using a Standard & Poor's weighted average capitalization rate of
7.88%. The DSC, LTV, and capitalization rate calculations exclude
the specially serviced assets, defeased loans, and nine
nonreporting loans ($27.5 million, 1.9%). The top 10 non-defeased
loans have a $505.3 million (35.4%) aggregate outstanding pool
trust balance. S&P calculated a Standard & Poor's weighted
average DSC and LTV ratio of 1.65x and 73.8%, respectively, for
the top 10 loans.
The properties securing the underlying assets are concentrated
within the New York-Newark-Jersey City, Cleveland-Elyria, and
Dallas-Fort Worth-Arlington metropolitan statistical area (MSAs).
Standard & Poor's U.S. Public Finance Group provides credit
ratings on Westchester County, Cuyahoga County, and Collin County,
which participate within those MSAs.
-- New York-Newark-Jersey City: S&P considers Westchester
County's ('AAA/Stable', General Obligation) economy to be
very strong, with projected per capita effective buying
income at 176% of the U.S. The total market value of all
real estate within the county reached $150 billion for 2014,
down 3% from the prior year. The county's per capita real
estate market value was $155,188 for 2014. With a
population of 1 million, the county participates in the New
York-Newark-Jersey City MSA in New York, which S&P considers
to be strong . The county's unemployment rate for calendar
year 2013 was 6%. The largest loan secured by properties
located in Westchester County is the Waterfront at Port
Chester loan ($98.3 million, 6.9%).
-- Cleveland-Elyria: We consider Cuyahoga County's ('AA-
/Stable', General Obligation) economy to be weak, with
projected per capita effective buying income at 97% of the
U.S. The total market value of all real estate within the
county reached $84 billion for 2014, up 3% from the prior
year. The county's per capita real estate market value was
$67,083 for 2014. With a population of 1 million, the
county participates in the Cleveland-Elyria MSA in Ohio,
which S&P considers to be strong. The county's unemployment
rate for calendar year 2013 was 8%. Some of the loans
secured by properties located in Cuyahoga County include the
Medical Mutual Headquarters ($48.4 million, 3.4%), Parma
Woods Apartments ($9.6 million, 0.7%), and Bent Tree
Apartments ($6.4 million, 0.5%) loans.
-- Los Angeles-Long Beach-Anaheim: S&P considers Orange
County's ('AA-/Stable', General Obligation) economy to be
very strong, with projected per capita effective buying
income at 122% of the U.S. The total market value of all
real estate within the county reached $443 billion for 2014.
The county's per capita real estate market value was
$144,921 for 2014. With a population of 3 million, the
county participates in the Los Angeles-Long Beach-Anaheim
MSA in California, which S&P considers to be strong. The
county's unemployment rate for calendar year 2012 was 8%.
Some of the loans secured by properties located in Orange
County include the Plaza Antonio ($37.2 million, 2.6%) and
Peregrine Pharmaceuticals ($6.5 million, 0.5%) loans.
To date, the transaction has experienced $116.9 million in
principal losses, or 5.7% of the original pool trust balance. S&P
expects losses to reach approximately 6.2% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the three specially
serviced assets' eventual resolution.
CREDIT CONSIDERATIONS
As of the Oct. 10, 2014, trustee remittance report, three assets
in the pool were with the special servicer, Torchlight.
The largest specially serviced asset is the Residence Inn REO
asset ($8.7 million, 0.6%), with $10.4 million in total reported
exposure. The REO asset is a 129-room lodging property located in
Merrimack, N.H. The loan was transferred to the special servicer
in November 2009 and the property became REO in January 2014.
According to Torchlight, the property is in the process of
converting to a Hawthorne Suites by Wyndham flag and the majority
of the property improvement plans are completed. In addition, the
property is fully operational within the Wyndham's reservation
system. The reported DSC was 0.13x for the six months ended
June 30, 2014. S&P expects a significant loss upon this asset's
eventual resolution.
The Comfort Inn-Hyannis loan ($4.1 million, 0.3%) is the second-
largest with the special servicer, with $4.3 million in total
reported exposure. The loan's payment status is 90-plus days
delinquent and it is secured by a 104-room lodging property
located in Hyannis, Mass. The loan was transferred to the special
servicer in July 2014 for monetary default. According to
Torchlight, they are currently in the process of conducting their
due diligence and discussions include negotiations with the
borrower for a possible discounted payoff. S&P expects a minimal
loss upon this loan's ultimate resolution.
The Associated Banc-Corporate Building loan ($3.9 million, 0.3%)
is the smallest with the special servicer, with $4.0 million in
total reported exposure. The loan's payment status is 90-plus
days delinquent. and it is secured by a 52,962-sq.-ft. office
property located in Green Bay, Wis. The loan was transferred to
the special servicer in June 2014 for imminent default. According
to Torchlight, they are currently in the process of negotiating
with the borrower to foreclose on the property. S&P expects a
significant loss upon this loan's ultimate resolution.
S&P estimated losses on the specially serviced assets, deriving a
weighted-average loss severity of 59.8%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Banc of America Commercial Mortgage Trust 2006-1
Commercial mortgage pass-through certificates series 2006-1
Rating
Class Identifier To From
A-3B 05947U7K8 AAA (sf) AAA (sf)
A-4 05947U7L6 AAA (sf) AAA (sf)
A-1A 05947U7V4 AAA (sf) AAA (sf)
A-M 05947U7M4 AA+ (sf) AA (sf)
A-J 05947U7N2 BBB (sf) BBB (sf)
B 05947U7Q5 BBB- (sf) BBB- (sf)
C 05947U7R3 BB (sf) BB (sf)
D 05947U7S1 B+ (sf) B+ (sf)
A-SBFL 05947U7T9 AAA (sf) AAA (sf)
E 05947U6C7 B (sf) B (sf)
F 05947U6E3 B- (sf) B- (sf)
G 05947U6G8 D (sf) CCC- (sf)
XC 05947U7E2 AAA (sf) AAA (sf)
BATTALION CLO VII: Moody's Assigns (P)Ba3 Rating on $21MM D Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Battalion CLO VII Ltd.
Moody's rating action is as follows:
$252,000,000 Class A-1 Senior Secured Floating Rate Notes due
2026 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
$50,000,000 Class A-2 Senior Secured Floating Rate Notes due 2026
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
$17,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class B Notes"), Assigned (P)A2 (sf)
$28,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class C Notes"), Assigned (P)Baa3 (sf)
$21,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class D Notes"), Assigned (P)Ba3 (sf)
The Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C
Notes, and Class D Notes are referred to herein, collectively, as
the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Battalion VII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 95% of the portfolio must consist of
first lien senior secured loans and eligible investments
representing principal proceeds and up to 5% of the portfolio may
consist of second lien loans and unsecured loans. The portfolio is
expected to be approximately 50% ramped as of the closing date.
Brigade Capital Management, LP (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
35% of the collateral principal amount 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: 47
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 7.0%
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 Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2800 to 3220)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 2800 to 3640)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
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.
BEAR STEARNS 2004-PWR5: Fitch Raises Rating on Class H Notes to BB
------------------------------------------------------------------
Fitch Ratings has upgraded six and affirmed six classes of Bear
Stearns Commercial Mortgage Securities Trust (BSCMSI) commercial
mortgage pass-through certificates series 2004-PWR5.
KEY RATING DRIVERS
The upgrades are the result of significant paydown and increase in
credit enhancement (CE); the pool has paid down $576.9 million
since the last rating action. The affirmations of the junior
classes are the result of sufficient CE in light of ongoing
concerns with pool concentration and maturity defaults.
As of the October 2014 distribution date, the pool's aggregate
principal balance has been reduced by 90.7% to $114.4 million from
$1.23 billion at issuance. Of the original 130 loans, 15 remain,
two of which are defeased (46.7%) and four are in special
servicing (11.3%). The nine remaining loans mature in 2014 (two
loans, 24%), 2019 (four loans, 15.7%) and 2024 (three loans,
18.1%); the defeased loans have maturity dates in April 2019.
Two loans (24%) have passed their August 2014 maturity dates and
may transfer to special servicing soon if not paid off. The four
specially serviced loans are categorized as non-performing matured
loans and represent approximately 84% of total modeled losses.
Interest shortfalls are currently affecting classes P through Q.
Fitch modeled losses of 11.7% of the remaining pool; expected
losses on the original pool balance total 2.2%, including $13.2
million (1.1% of the original pool balance) in realized losses to
date.
The largest contributor to expected losses is the largest
specially-serviced loan, Dash Pointe Metropolitan Market loan
(3.2% of the pool). The loan is secured by a vacant grocery store
totaling 33,255 square feet (sf) located in Federal Way, WA
(Seattle/Tacoma MSA). The property was built in 2004 for a single
tenant, grocer Metropolitan Market, which ceased operations at
this location in 2010. The tenant has maintained lease payments
and has marketed the property for sublease, but has been
unsuccessful in finding replacement tenants. The lease expires in
2024. The loan transferred to the special servicer due to
imminent maturity default in Sept. 2014. The borrower has been
unable to refinance due to the physical vacancy.
The next largest contributor to expected losses is the specially-
serviced North Orchard Plaza loan (2.8% of the pool), which is
secured by two retail outlots in Farmington Hills, MI (Detroit
MSA). Outlot A is improved with a 7,843 sf two-tenant restaurant
retail building that was built in 2003. Currently the
improvements of outlot A are 40.8% occupied by IHookah, which
occupies a 3,200 sf unit on a three-year lease through July 2015.
Outlot B is ground lease that is improved with a former TGI
Friday's restaurant. TGI Friday's vacated their space in 2010 and
upon lease expiration in August 2014 the improvements reverted
back to the landowner. The property is shadow-anchored by a Home
Depot and Sam's Club, which are not part of the collateral. The
loan was transferred to the special servicer in April 2014 due to
imminent default prior to the loan's July 2014 maturity. The
borrower has been unable to refinance due to vacancy at the
property. The special servicer is dual-tracking foreclosure with
a potential note sale.
The third largest contributor to expected losses is the specially-
serviced Pottsburg Plaza loan (3.2%), which is secured by a 35,905
sf neighborhood retail center built in phases in 1953 and 1996 on
2.94 acres in Jacksonville, FL. The property consists of two
buildings, a 13,905 sf free-standing Walgreens and a 22,000 sf in-
line retail building. Per the special servicer's inspection in
June 2014, the in-line space is 18% occupied. The Walgreens lease
expires in 2056; however, the lease contains a termination option
in 2016; early termination may further increase vacancy at the
property. The loan transferred to the special servicer due to
maturity default in May 2014 at the loan maturity.
RATING SENSITIVITIES
Rating Outlooks on classes C through H are Stable due to
increasing CE and continued expected paydown from amortization and
loan payoffs. Fitch ran additional stresses on the pool,
including stresses on the second largest loan in the pool, Liberty
Center II (19.5%). The loan has passed its August 2014 maturity
date, and per the servicer's comments, the property is being
marketed for sale. The office property located in Chantilly, VA
is 100% occupied by a single tenant with a lease expiration in
2022. Further upgrades are limited by the concentration of the
remaining assets, the potential increase in defaulted specially
serviced assets due to inability to refinance at maturity, and
continued adverse selection as the pool continues to mature.
Fitch upgrades these classes and revises Rating Outlooks as
indicated:
-- $8.9 million class C to 'AAAsf' from 'AAsf', Outlook to
Stable from Positive;
-- $20 million class D to 'AAAsf' from 'AAsf', Outlook Stable;
-- $13.9 million class E to 'AAAsf' from 'Asf', Outlook Stable;
-- $15.4 million class F to 'AAAsf' from 'BBB+sf', Outlook
Stable;
-- $9.3 million class G to 'Asf' from 'BBBsf', Outlook Stable;
-- $18.5 million class H to 'BBsf' from 'Bsf', Outlook Stable.
Fitch affirms these classes and revises Recovery Estimates as
indicated:
-- $4.6 million class J at 'CCCsf', RE 100%;
-- $4.6 million class K at 'CCCsf', RE 100%;
-- $6.2 million class L at 'CCsf', RE 50%;
-- $4.6 million class M at 'CCsf', RE 0%;
-- $4.6 million class N at 'CCsf', RE 0%;
-- $3.1 million class P at 'Csf', RE 0%.
The class A-1, A-2, A-3, A-4, A-5 and B certificates have paid in
full. Fitch does not rate the class Q certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
BELHURST CLO: S&P Affirms 'BB+' Rating on Class E Notes
-------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C and D notes from Belhurst CLO Ltd., and affirmed S&P's ratings
on the class A-1, A-2, A-3, B, E, and principal protected notes.
At the same time, S&P removed its ratings on the class C, D, and E
notes from CreditWatch, where it placed them with positive
implications on Aug. 29, 2014. Belhurst CLO Ltd. is a
collateralized loan obligation (CLO) transaction that closed in
March 2006 and is primarily composed of broadly syndicated loans.
The transaction's reinvestment period ended in Jan. 2012, and it
has since paid down $334.77 million cumulatively to the class A
notes, which are currently at 13.05% of their original balances.
The Oct. 3, 2014, trustee report, which S&P referenced in its
rating actions, indicated these overcollateralization (O/C)
increases from the Aug. 7, 2013, trustee report referenced for
S&P's last rating actions:
-- The class A/B O/C increased to 210.9% from 146.3% in Aug.
2013.
-- The class C O/C increased to 143.4% from 122.1% in Aug.
2013.
-- The class D O/C increased to 128.7% from 115.3% in Aug.
2013.
The transaction holds only 1.7% 'CCC' rated collateral, down from
the 2.7% at the time of S&P's last rating actions. In addition,
defaulted holdings have decreased to $77,190 from $4.48 million in
Aug. 2013.
The ratings on the class D and E notes are constrained by the
application of S&P's supplemental top obligor test, introduced as
part of S&P's 2009 criteria update to address concentration risk
within a portfolio.
The principal protected notes are backed by a strip from a senior
unsecured bond issued by Fannie Mae, a U.S. government-related
entity, whose rating is linked to our sovereign rating on the U.S.
The affirmations reflect S&P's belief that the credit support
available to the notes remains commensurate with their current
rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Belhurst CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1 AAA (sf) AAA (sf) 35.68% AAA (sf)
A-2 AAA (sf) AAA (sf) 35.68% AAA (sf)
A-3 AAA (sf) AAA (sf) 35.68% AAA (sf)
B AAA (sf) AAA (sf) 35.68% AAA (sf)
C AA- (sf)/Watch Pos AAA (sf) 12.55% AAA (sf)
D BBB+ (sf)/Watch Pos AA+ (sf) 12.89% A+ (sf)
E BB+ (sf)/Watch Pos A+ (sf) 6.44% BB+ (sf)
(i) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated scenarios in
which it made negative adjustments of 10% to the current
collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) A+ (sf)
E A+ (sf) A (sf) A+ (sf) AA- (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 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA+ (sf) AA- (sf) A+ (sf)
E A+ (sf) A+ (sf) BB+ (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Belhurst CLO Ltd.
Rating
Class To From
C AAA (sf) AA- (sf)/Watch Pos
D A+ (sf) BBB+ (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM CREDITWATCH POSITIVE
Belhurst CLO Ltd.
Rating
Class To From
E BB+ (sf) BB+ (sf)/Watch Pos
RATINGS AFFIRMED
Belhurst CLO Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
A-3 AAA (sf)
B AAA (sf)
Principal protected AA+p (sf)
P--Principal only.
CABCO SERIES 2004-101: S&P Lowers Rating on Certificates to BB
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
Goldman Sachs Capital I-related repackaged transactions, CABCO
Series 2004-101 Trust (Goldman Sachs Capital I) and PPLUS Trust
Series GSC-2, to 'BB' from 'BB+'. The ratings on these repackaged
transactions depend on the lower of S&P's rating on the underlying
security and our long-term rating on the swap counterparty or
guarantor.
The downgrades reflect the Sept. 29, 2014, downgrade of the
underlying security issued by Goldman Sachs Capital I to 'BB' from
'BB+' following a criteria revision. S&P may take subsequent
rating actions on these transactions if it changes its ratings on
the related underlying security or the related swap ounterparties.
RATINGS LOWERED
CABCO Series 2004-101 Trust (Goldman Sachs Capital I)
$150 million callable certificates series 2004-101
Class Rating
To From
Certs BB BB+
Note: The underlying security is Goldman Sachs Capital I's $2.75
billion 6.345% capital securities ('BB'), and the swap
counterparty is UBS AG, London
Branch ('A/A-1').
PPLUS Trust Series GSC-2
$35 million PPLUS trust certificates series GSC-2
Rating
To From
BB BB+
Note: The underlying security is Goldman Sachs Capital I's $2.75
billion 6.345% capital securities ('BB'), and the guarantor is
Bank of America Corp.
('A-/A-2').
CANTOR COMMERCIAL 2011-C2: Fitch Affirms BB Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Cantor Commercial Real
Estate (CFCRE) Commercial Mortgage Trust 2011-C2 commercial
mortgage pass-through certificates.
Key Rating Drivers
The affirmations are due to stable pool performance since
issuance. Fitch modeled losses of 2.5% of the remaining pool;
expected losses on the original pool balance total 2.4%. The pool
has experienced no realized losses to date. As of the September
remittance report, there were two specially serviced assets (2.1%)
in the pool. However, the largest (1.5%) was subsequently fully
repaid on Oct. 2, 2014. There are no other current Fitch Loans of
Concern.
As of the September 2014 distribution date, the pool's aggregate
principal balance has been reduced by 3.6% to $746.6 million from
$774.1 million at issuance. Per the servicer reporting, one loan
(1.4% of the pool) is defeased. Interest shortfalls are currently
affecting class NR.
The remaining specially serviced loan (0.5%) is secured by a
mixed-use property located in Dearborn, MI. The collateral
consists of a ground-floor retail component tenanted by Buffalo
Wild Wings and Panera, and 28 multifamily units. The loan
transferred to the special servicer in May 2014 after failing to
comply with financial reporting requirements under the loan
documents. It remains delinquent on its March 2014 payment.
Further, there is ongoing litigation involving the sponsorship of
the loan. A receiver is currently in place until the parties
settle their dispute. While no recent financials have yet to be
provided, the Receiver has indicated cash flow is insufficient to
cover debt service.
The largest loan in the pool (12.8%) is the RiverTown Crossings
Mall, a 637,814 square foot (sf) interest in a 1.3 million sf
regional mall located in Grandville, MI. Anchors include: Macy's,
Younkers, Sears, JC Penney, and Kohl's (non-collateral). As of
year-end (YE) 2013, the servicer-reported collateral occupancy and
debt service coverage ratio (DSCR) was 94.5% and 1.99x,
respectively.
Rating Sensitivities
All classes maintain Stable Outlooks. Due to the recent issuance
of the transaction and stable performance, Fitch does not foresee
positive or negative ratings migration until a material economic
or asset-level event changes the transaction's portfolio-level
metrics.
Fitch affirms the following classes:
-- $24.8 million class A-1 at 'AAAsf', Outlook Stable;
-- $341.4 million class A-2 at 'AAAsf', Outlook Stable;
-- $34.1 million class A-3 at 'AAAsf', Outlook Stable;
-- $114 million class A-4 at 'AAAsf', Outlook Stable;
-- $592.7 million class X-A* at 'AAAsf'; Outlook Stable;
-- $78.4 million class A-J at 'AAAsf', Outlook Stable;
-- $28.1 million class B at 'AAsf', Outlook Stable;
-- $31.9 million class C at 'Asf', Outlook Stable;
-- $18.4 million class D at 'BBB+sf', Outlook Stable;
-- $28.1 million class E at 'BBB-sf', Outlook Stable;
-- $10.6 million class F at 'BBsf', Outlook Stable;
-- $9.7 million class G at 'Bsf', Outlook Stable.
*Notional amount and interest only
Fitch does not rate the $27,093,416 class NR certificates.
CARLYLE GLOBAL 2012-1: Moody's Rates on $22.7MM Cl. E Notes 'Ba2'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Carlyle Global Market Strategies CLO 2012-1, Ltd.:
$10,000,000 Combination Notes due April 2022 (current rated
balance of $8,158,480.91), Upgraded to Aa2 (sf); previously on
March 27, 2012 Definitive Rating Assigned Baa3 (sf)
Moody's also affirmed the ratings on the following notes:
$320,000,000 Class A Senior Floating Rate Notes due April 2022
(the "Class A Notes"), Affirmed Aaa (sf); previously on March 27,
2012 Definitive Rating Assigned Aaa (sf)
$22,725,000 Class E Secured Deferrable Floating Rate Notes due
April 2022 (the "Class E Notes"), Affirmed Ba2 (sf); previously on
March 27, 2012 Definitive Rating Assigned Ba2 (sf)
Carlyle Global Market Strategies CLO 2012-1, Ltd., issued in March
2012, is a collateralized loan obligation (CLO) backed primarily
by a portfolio of senior secured loans. The transaction's
reinvestment period will end in April 2016. The Combination Notes
are composed of $7,200,000 of the Class B notes, $775,000 of the
Class F notes and $2,025,000 of the Subordinated Notes.
Ratings Rationale
The rating upgrade on the Combination Notes is primarily a result
of the reduction in the notes' rated balance by $1.84 million, or
18.4%, from its original balance of $10 million. The rated balance
of the Combination Notes has been reduced by significant
distributions to the Subordinated Notes and to a lesser extent,
interest payments to the Class B and Class F notes. Currently the
Class B notes component accounts for 88% of the Combination Notes'
rated balance, versus 72% at closing.
The rating of the Combination Notes addresses the repayment of the
rated balance on or before the legal final maturity. The rated
balance is equal at anytime to the principal amount of the
combination notes on the issue date minus the aggregate of all
payments made from the issue date to such date, either through
interest or principal payments.
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 commence in the amortization period 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) Combination notes: The rating on the combination notes, which
combines cash flows from one or more of the CLO's debt tranches
and the equity tranche, is subject to a higher degree of
volatility than the other rated notes. Moody's models haircuts to
the cash flows from the equity tranche based on the target rating
of the combination notes. Actual equity distributions that differ
significantly from Moody's assumptions can lead to a faster (or
slower) speed of reduction in the combination notes' rated
balance, thereby resulting in better (or worse) ratings
performance than previously expected.
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% (2474)
Class A: 0
Class E: +1
Combination Notes: 0
Moody's Adjusted WARF + 20% (3712)
Class A: 0
Class E: -1
Combination Notes: -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 $500 million, no defaulted
par, a weighted average default probability of 24.30% (implying a
WARF of 3093), a weighted average recovery rate upon default of
50.60%, a diversity score of 65 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.
CD COMMERCIAL 2007-CD5: Fitch Affirms BB Rating on 2 Certs
----------------------------------------------------------
Fitch Ratings has affirmed the ratings for 21 classes of CD
Commercial Mortgage Trust commercial mortgage pass-through
certificates series 2007-CD5 due to stable performance since
Fitch's last review.
Key Rating Drivers
Fitch modeled losses of 6.8% of the remaining pool; expected
losses on the original pool balance total 9.2%, including $82.1
million (3.9% of the original pool balance) in realized losses to
date. Fitch has designated 61 loans (43%) as Fitch Loans of
Concern, which includes 15 specially serviced assets (17.8%). Ten
of the specially serviced assets (30%) are REO and have been REO
for an average of 22 months. The largest loan in special
servicing, Lincoln Square (9.8% of the pool), is expected to be
resolved by year-end 2014.
As of the October 2014 distribution date, the pool's aggregate
principal balance has been reduced by 21.9% to $1.64 billion from
$2.09 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes H through S.
The largest contributor to expected losses is the specially-
serviced Versar Center Office Building loan (1.7% of the pool),
which is secured by two office properties totaling 217,396 sf
located in Springfield, VA. The loan transferred to the special
servicer in October 2014 due to imminent default. The property has
struggled with occupancy issues since the economic downturn and
the borrower has indicated that it can no longer fund shortfalls.
Additionally, the parent company of the borrower has been working
to restructure its debt and divest certain holdings. The special
servicer is in the process of reviewing the file and determining a
workout strategy.
The next largest contributor to expected losses is the Copper
Beech Townhomes - Statesboro, GA loan (1.9%), which is secured by
a 246-unit student housing property located in Statesboro, GA,
home of Georgia State University. The property has had
historically strong performance but occupancy has fallen recently
due to increased competition in the market. As of year-end (YE)
2013, occupancy fell to 72% compared to near 100% since issuance.
The YE 2013 net cash flow debt service coverage ratio (NCF DSCR)
was 0.84x versus 1.37x at YE 2012 and 1.16x underwritten at
issuance.
The third largest contributor to expected losses is the specially-
serviced Mission West Millbrook loan (1.1%), which is secured by a
368-unit multifamily complex in Raleigh, NC. The loan transferred
to the special servicer in July 2013 for monetary default. The
asset became REO in February 2014 and the special servicer is
working to stabilize the property prior to marketing it for sale.
Rating Sensitivities
Rating Outlooks for classes A-4 through A-M remain Stable due to
increasing credit enhancement and continued paydown. Rating
Outlooks on the A-M classes are revised to Positive; should the
larger specially serviced loans resolve with losses at or better
than modeled, the ratings may be upgraded. Rating Outlooks on
classes C through E are negative due to uncertainty surrounding
several large loans in special servicing as well as loans that are
currently performing but have significant occupancy declines or
upcoming lease rollover. If the sponsors are unable to lease up
the vacant space or if other issues arise downgrades to these
classes are possible.
Fitch affirms the following classes as indicated:
-- $892.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $196.8 million class A-1A at 'AAAsf'; Outlook Stable;
-- $168.7 million class AM at 'AAAsf'; Outlook Stable;
-- $40.7 million class A-MA at 'AAAsf'; Outlook Stable;
-- $111.8 million class AJ at 'BBBsf'; Outlook to Positive from
Stable;
-- $27 million class A-JA at 'BBBsf'; Outlook to Positive from
Stable;
-- $20.9 million class B at 'BBBsf'; Outlook to Stable from
Negative;
-- $20.9 million class C at 'BBsf'; Outlook Negative;
-- $20.9 million class D at 'BBsf'; Outlook Negative;
-- $18.3 million class E at 'Bsf'; Outlook Negative;
-- $18.3 million class F at 'CCCsf'; RE 50%;
-- $20.9 million class G at 'CCsf'; RE 0%;
-- $23.6 million class H at 'CCsf'; RE 0%;
-- $23.6 million class J at 'Csf'; RE 0%;
-- $20.9 million class K at 'Csf'; RE 0%;
-- $9.6 million class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
Fitch previously withdrew the ratings on the interest-only class
XP and XS certificates. Fitch does not rate class S. Classes A-1
through A-AB have paid in full.
CEDAR FUNDING IV: S&P Assigns BB Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Cedar
Funding IV CLO Ltd./Cedar Funding IV CLO LLC's $440.75 million
fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy-remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the 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 0.260%-13.839%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
RATINGS ASSIGNED
Cedar Funding IV CLO Ltd./Cedar Funding IV CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 238.00
A-F AAA (sf) 62.00
B-1 AA (sf) 35.50
B-F AA (sf) 32.00
C (deferrable) A (sf) 31.00
D (deferrable) BBB (sf) 24.25
E (deferrable) BB (sf) 18.00
Subordinated notes NR 45.50
NR--Not rated.
CITIGROUP 2014-J2: S&P Assigns Prelim. BB Rating on B-4 Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Citigroup Mortgage Loan Trust 2014-J2's $204.028
million mortgage pass-through certificates series 2014-J2.
The certificate issuance is a RESIDENTIAL MORTGAGE -backed
securities transaction backed by first-lien, fixed-rate
residential mortgage loans secured by one- to four-family
residential properties, condominiums, and planned unit
developments.
The preliminary ratings are based on information as of Oct. 27,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's high-quality collateral and
-- The credit enhancement and the associated structural deal
mechanics.
PRELIMINARY RATINGS ASSIGNED
Citigroup MORTGAGE LOAN Trust 2014-J2
Class Rating Amount
(mil. $)
A-1A AAA (sf) 129.155
A-1B AAA (sf) 51.783
A-1-IO AAA (sf) (i)
A-2 AAA (sf) 8.873
A-2-IO AAA (sf) (ii)
B-1 AA (sf) 3.424
B-2 A (sf) 3.633
B-3 BBB (sf) 2.594
B-4 BB (sf) 4.566
B-5 NR 3.529
A-1 AAA (sf) 180.938
A-1W AAA (sf) 180.938
A-2W AAA (sf) 8.873
A AAA (sf) (iii)
A-IO AAA (sf) 189.811
AW AAA (sf) 189.811
(i) The notional amount for the class A-1-IO will be equal to
the sum of the class A-1A and A-1B outstanding balance.
(ii) The notional amount for the class A-1-IO will be equal to
the class A-2 outstanding balance.
(iii) The notional amount for class A will be equal to the sum of
the class A-1A, A-1B, and A-2 outstanding balance.
NR--Not rated.
CITIGROUP 2003-HE4: Moody's Raises Cl. M-5 Secs. Rating to Ca
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
and downgraded the ratings of five tranches from two RMBS
transactions. The collateral backing these deals primarily
consists of first lien, fixed and adjustable rate "scratch and
dent" residential mortgages.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities Trust 2006-2
Cl. M-1, Downgraded to Baa3 (sf); previously on Feb 4, 2013
Downgraded to A3 (sf)
Cl. M-2, Downgraded to Baa3 (sf); previously on Feb 4, 2013
Downgraded to A3 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE4
Cl. M-1, Downgraded to Baa3 (sf); previously on Feb 4, 2013
Downgraded to A3 (sf)
Cl. M-2, Downgraded to B1 (sf); previously on Feb 4, 2013 Upgraded
to Ba1 (sf)
Cl. M-3, Downgraded to B1 (sf); previously on Feb 4, 2013 Upgraded
to Ba3 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Feb 4, 2013 Upgraded
to Caa3 (sf)
Cl. M-5, Upgraded to Ca (sf); previously on Feb 4, 2013 Affirmed C
(sf)
Ratings Rationale
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are primarily due to the build-up
in credit enhancement due to sequential pay structure, non-
amortizing subordinate bonds, and availability of excess spread.
Collateral performance has remained generally stable from Moody's
last review. The downgrade actions are primarily due to interest
shortfall ($6,589.90 for Class M-1 and $14,916.45 for Class M-2 in
Bear Stearns Asset Backed Securities Trust 2006-2. $7,929.72 for
Class M-1, $2,343.85 for Class M-2 and $4,866.75 for Class M-3 in
Citigroup Mortgage Loan Trust, Series 2003-HE4) incurred in recent
months. Structural limitations in the transactions prevent
recoupment of missed interest payments for the tranche.
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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% for the 2014 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2014. Lower increases than
Moody's expects or decreases could lead to negative rating
actions. Finally, performance of RMBS continues to remain highly
dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
COMM 2012-CCRE5: Moody's Affirms B2 Rating on Class G Certs
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings of 15 classes of
COMM 2012-CCRE5 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-CCRE5 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Oct 24, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Oct 24, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Oct 24, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Oct 24, 2013 Affirmed
Aaa (sf)
Cl. A-M, Affirmed Aaa (sf); previously on Oct 24, 2013 Affirmed
Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Oct 24, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Oct 24, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Oct 24, 2013 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Oct 24, 2013 Affirmed
Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Oct 24, 2013 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Oct 24, 2013 Affirmed Ba2
(sf)
Cl. G, Affirmed B2 (sf); previously on Oct 24, 2013 Affirmed B2
(sf)
Cl. PEZ, Affirmed Aa3 (sf); previously on Oct 24, 2013 Affirmed
Aa3 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Oct 24, 2013 Affirmed
Aaa (sf)
Cl. X-B, Affirmed Aa2 (sf); previously on Oct 24, 2013 Affirmed
Aa2 (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.
The transaction contains a group of exchangeable certificates.
Classes A-M (Aaa (sf)), B (Aa2 (sf)) and C (A2 (sf)) may be
exchanged for Class PEZ (Aa3 (sf)) certificates and Class PEZ may
be exchanged for the Classes A-M, B and C. The PEZ certificates
will be entitled to receive the sum of interest and principal
distributable on the Classes A-M, B and C certificates that are
exchanged for such PEZ certificates. The initial certificate
balance of the Class PEZ certificates is equal to the aggregate of
the initial certificate balances of the Class A-M, B and C and
represent the maximum certificate balance of the PEZ certificates
that may be issued in an exchange.
Moody's rating action reflects a base expected loss of 3.3% of the
current balance compared to 2.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.2% of the
original pooled balance compared to 2.3% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of COMM 2012-CCRE5.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade structured credit assessments with the conduit
model credit enhancement for an overall model result. Moody's
incorporates negative pooling (adding credit enhancement at the
structured credit assessment level) for loans with similar
structured credit assessments in the same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 29, the same as at last review.
Deal Performance
As of the October 10, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $1.10 billion
from $1.13 billion at securitization. The certificates are
collateralized by 63 mortgage loans ranging in size from less than
1% to 8% of the pool, with the top ten loans constituting 50% of
the pool. Two loans, constituting 9% of the pool, have investment-
grade structured credit assessments.
Six loans, constituting 5% 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.
No loans have been liquidated from the pool, and no loans are
currently in special servicing.
Moody's has assumed a high default probability for four poorly
performing loans, constituting 5% of the pool, and has estimated
an aggregate loss of $8 million (a 30% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2013 operating results for 89% of the
pool. Moody's weighted average conduit LTV is 96% compared to 97%
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 5% 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 1.63X and 1.08X,
respectively, compared to 1.64X and 1.07X 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 200
Varick Street Loan ($67.6 million -- 6.1% of the pool), which is
secured by a 12-story, Class B office building located in New
York; Hudson Square submarket in Manhattan. The property was 100%
leased as of December 2013 compared to 99% at securitization.
Moody's structured credit assessment and stressed DSCR are baa1
(sca.pd) and 1.56X, respectively, compared to baa1 (sca.pd) and
1.53X at last review.
The second largest loan with a structured credit assessment is the
Ritz Carlton Miami Beach Loan ($33.7 million -- 3.0% of the pool),
which is secured by a long-term ground lease that commenced in
1999 and is scheduled to expire on September 9, 2128. The
collateral land underlies a 375-room luxury hotel know as the
Ritz-Carlton South Beach, Miami, Florida. Moody's current
structured credit assessment is aaa (sca.pd), the same as at last
review.
The top three conduit loans represent 20% of the pool. The largest
conduit loan is the Eastview Mall and Commons Loan ($90.0 million
-- 8.0% of the pool), which is secured by a 725,303 SF portion
within a 1.4 million SF super-regional mall and a 86,368 SF
portion of a 341,871 SF adjacent power center, both located in
Victor, New York. This loan represents a pari passu interest in a
$210.0 million loan. Performance has declined due to an increase
in real estate taxes. Moody's LTV and stressed DSCR are 99% and
0.90X, compared to 85% and 1.05X at last review.
The second largest conduit loan is the Harmon Corner Loan ($72.6
million -- 6.6% of the pool), which is secured by a 66,833 SF
portion of a 110,000 SF anchored retail center located in Las
Vegas, Nevada. The property was constructed between 2010 and 2012
as a part of the larger Harmon Center retail development. As of
June 2014, the property was 81% leased compared to 99% at Moody's
prior review. This loan represents a pari passu interest in a
$106.5 million loan. Moody's LTV and stressed DSCR are 83% and
1.05X, respectively, compared to 84% and 1.03X at last review.
The third largest conduit loan is the Metroplex Loan ($62.6
million -- 5.7% of the pool), which is secured by a 404,656 SF
Class A office building located in Los Angeles, California. As of
March 2014, the property was 88% leased compared to 86% at
securitization. Performance is line with the expectations. The
largest tenant is County of Los Angeles (28% of NRA, lease
expiration May 2019). Moody's LTV and stressed DSCR are 103% and
0.97X, respectively, compared to 105% and 0.96X at last review.
COMM 2014-CCRE20: Fitch to Rate Class E Certificates 'BB-sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report on Deutsche Bank
Securities, Inc.'s COMM 2014-CCRE20 Commercial Mortgage Trust
Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $57,053,000 class A-1 'AAAsf'; Outlook Stable;
-- $99,016,000 class A-2 'AAAsf'; Outlook Stable;
-- $79,067,000 class A-SB 'AAAsf'; Outlook Stable;
-- $275,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $317,679,000 class A-4 'AAAsf'; Outlook Stable;
-- $891,379,000a class X-A 'AAAsf'; Outlook Stable;
-- $63,564,000b class A-M 'AAAsf'; Outlook Stable;
-- $57,652,000bc class B 'AA+sf'; Outlook Stable;
-- $199,563,000b class PEZ 'A-sf'; Outlook Stable;
-- $78,347,000b class C 'A-sf'; Outlook Stable;
-- $135,999,000ac class X-B 'A-sf'; Outlook Stable;
-- $60,608,000c class D 'BBB-sf'; Outlook Stable;
-- $60,608,000ac class X-C 'BBB-sf'; Outlook Stable;
-- $26,608,000c class E 'BB-sf'; Outlook Stable.
-- $11,826,000c class F 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Class A-M, B and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for
class A-M, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Oct. 15, 2014. Fitch does not expect to rate the
$26,608,000 interest-only class X-D, the $11,826,000 interest-only
class X-E, the $17,739,000 class G, the $17,739,000 interest-only
class X-F, the $38,434,627 class H or the $38,434,627 interest-
only class X-G certificates.
The certificates represent the beneficial ownership interest in
the trust, primary assets of which are 64 loans secured by 101
commercial properties having an aggregate principal balance of
approximately $1.18 billion, as of the cutoff date. The loans were
contributed to the trust by Cantor Commercial Real Estate Lending,
L.P., German American Capital Corporation, UBS Real Estate
Securities, Inc., and Natixis Real Estate Capital LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 67% of the properties by
balance, cash flow analysis of 73.1%, and asset summary reviews on
73.1% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: This transaction has higher leverage than
other recent Fitch-rated fixed-rate deals. The pool's Fitch DSCR
of 1.19x matches the first-half 2014 average. However the pool's
Fitch LTV of 111.1% exceeds the first-half 2014 average of 105.6%.
High Hotel Concentration: Hotel properties comprise 27.9% of the
pool, which is greater than the 2013 and first-half 2014 averages
of 14.7% and 13.3%, respectively. Hotels have the highest
probability of default in Fitch's multiborrower model.
Limited Amortization: The pool is scheduled to amortize by 13.5%
of the initial pool balance prior to maturity. Eight loans
(32.1%), including four of the top 10 loans, are full-term
interest only, and 24 loans (23.15%) are partial interest only.
Fitch-rated transactions in the first quarter of 2014 had an
average full-term interest only percentage of 15.8% and a partial
interest only percentage of 37.6%. This transaction has a higher
amount of full-term interest only.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.8% below
the most recent net operating income (NOI; for properties for
which a recent NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severities on defaulted loans, and could result in potential
rating actions on the certificates. Fitch evaluated the
sensitivity of the ratings assigned to COMM 2014-CCRE20
certificates and found that the transaction displays slightly
above average sensitivity to further declines in NCF. In a
scenario in which NCF declined a further 20% from Fitch's NCF, a
downgrade of the junior 'AAAsf' certificates to 'A-sf' could
result. In a more severe scenario, in which NCF declined a further
30% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'BBBsf' could result. The presale report includes
a detailed explanation of additional stresses and sensitivities on
pages 83 - 84.
The master servicer will be Wells Fargo Bank, N.A, rated 'CMS1-'
by Fitch. The special servicer will be Torchlight Loan Services,
LLC, rated 'CSS2-'.
CREDIT SUISSE 2002-CP5: S&P Withdraws D Rating on 8 Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed and subsequently
withdrew its 'D (sf)' ratings on 12 classes from three U.S.
commercial mortgage-backed securities (CMBS).
S&P is affirming the outstanding 'D (sf)' ratings on the affected
classes; and is subsequently withdrawing these ratings because it
is no longer providing ongoing surveillance for these classes.
S&P had previously lowered the ratings to 'D (sf)' because of
principal losses to the classes, and accumulated interest
shortfalls that S&P still believes would remain outstanding for an
extended period of time.
RATINGS WITHDRAWN
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CP5
Rating
Class To interim From
H NR D (sf) D (sf)
J NR D (sf) D (sf)
K NR D (sf) D (sf)
L NR D (sf) D (sf)
M NR D (sf) D (sf)
N NR D (sf) D (sf)
O NR D (sf) D (sf)
P NR D (sf) D (sf)
J.P. Morgan Commercial Mortgage Finance Corp.
Commercial mortgage pass-through certificates series 1998-C6
Rating
Class To interim From
G NR D (sf) D (sf)
H NR D (sf) D (sf)
Merrill Lynch Floating Trust
Commercial mortgage pass-through certificates series 2006-1
Rating
Class To interim From
L NR D (sf) D (sf)
M NR D (sf) D (sf)
NR--Not rated.
CREDIT SUISSE 2003-C3: Fitch Affirms CC Rating on Cl. J Certs
-------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed six classes of
Credit Suisse First Boston Mortgage Securities Corp., series 2003-
C3 (CSFB 2003-C3) commercial mortgage pass-through certificates.
Key Rating Drivers
The upgrade and affirmations are the result of sufficient credit
enhancement despite significant pool concentration as only 14
loans remain. Fitch modeled losses of 10.6% of the remaining pool;
expected losses on the original pool balance total 3.2%, including
$51.9 million (2.9% of the original pool balance) in realized
losses to date. Fitch has designated five loans (72.8% of the
remaining pool) as Fitch Loans of Concern, which includes all
three specially serviced assets (39.5%).
As of the October 2014 distribution date, the pool's aggregate
principal balance has been reduced by 97.8% to $38.3 million from
$1.76 billion at issuance. Per the servicer reporting, one loan
(0.6% of the pool) is defeased. Interest shortfalls are currently
affecting classes K, O and P.
The largest specially serviced loan is a 163,393 square foot (sf)
suburban office building located in Colorado Springs, CO (22.3% of
the pool). The property is a single-tenant building occupied by
Honeywell International (rated 'A'; Outlook Stable by Fitch as of
October 2014). The loan transferred to special servicing in
February 2013 due to maturity default and foreclosure was
completed in May 2014. Honeywell extended their lease in 2013 for
three years to run through November 2016. According to the special
servicer, Honeywell does not yet know if they will be in a
position to extend after 2016. The property performance remains
stable with 100% occupancy by Honeywell and a 2013 year-end net
operating income debt service coverage ratio (NOI DSCR) of 1.84x.
Although Fitch is not modeling losses on the property at this
time, the loan will continue to be monitored as Honeywell's lease
nears its expiration in November 2016.
The largest contributor to expected losses is secured by a 64,665
sf suburban office building located in Elmsford, NY. The loan
initially transferred to special servicing in December 2012 for
imminent maturity default. The loan was modified with terms that
included an extension of the maturity through January 2015, a
principal paydown of $245,755, and waiver of default interest. The
loan was subsequently returned to the master servicer in September
2014. The loan is being monitored for financial hardship by the
master servicer. The property continues to underperform with a
2013 year-end occupancy of 60% and NOI DSCR of 0.9x.
Rating Sensitivities
The upgrade of class H is due to increasing credit enhancement and
continued paydown, which offsets the increasing concentration and
continued risk of adverse selection. Downgrades to class J could
be possible should expected losses from the specially serviced
loans increase.
Fitch upgrades the following classes and assigns or revises Rating
Outlooks as indicated:
--$12.5 million class H to 'Bsf' from 'CCCsf', assigned Stable
Outlook.
Fitch affirms the following classes and assigns REs as indicated:
-- $19.4 million class J at 'CCsf', RE 100%;
-- $6.4 million class K at 'Dsf', RE 45%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-4, A-5, A-SP, B, C, D, E, F, G and 622A
through 622F certificates have paid in full. Fitch does not rate
the class P certificates. Fitch previously withdrew the ratings on
the interest-only class A-X and A-Y certificates.
CSFB MORTGAGE 2004-C4: Moody's Cuts Cl. A-X Debt to Caa2
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes,
affirmed the ratings on four classes and downgraded the rating on
one class in CSFB Mortgage Securities Corp. Commercial Mortgage
Pass-Through Certificates, Series 2004-C4 as follows:
Cl. A-X, Downgraded to Caa2 (sf); previously on Jul 10, 2014
Downgraded to B2 (sf)
Cl. A-Y, Affirmed Aaa (sf); previously on Jul 10, 2014 Affirmed
Aaa (sf)
Cl. C, Upgraded to Aaa (sf); previously on Jul 10, 2014 Upgraded
to Aa2 (sf)
Cl. D, Upgraded to A1 (sf); previously on Jul 10, 2014 Upgraded to
A3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Jul 10, 2014 Upgraded to
Ba2 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Jul 10, 2014 Affirmed
Caa3 (sf)
Cl. G, Affirmed C (sf); previously on Jul 10, 2014 Affirmed C (sf)
Ratings Rationale
The ratings on P&I classes C and D were upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 75% since Moody's last
review.
The rating on P&I class E was 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 P&I classes F and G were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class A-Y was affirmed based on the credit
performance (or the weighted average rating factor) of the
referenced collateral.
The rating on the IO Class A-X was downgraded due to the decline
in the credit performance of its reference classes resulting from
principal paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 8.3% of the
current balance compared to 3.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.1% of the
original pooled balance compared to 4.4% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of CSFB 2004-C4.
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 3, compared to seven 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 October 20, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $51.3
million from $1.13 billion at securitization. The certificates are
collateralized by 22 mortgage loans ranging in size from less than
1% to 27% of the pool. Two loans, constituting 5% of the pool,
have defeased and are secured by US government securities.
Thirteen residential cooperative (co-op) loans, representing 56%
of the pool, have aaa (sca.pd) structured credit assessments.
Eleven of the properties securing the loans are located in New
York and two in New Jersey. Of the 13 loans, one is interest-only,
five have balloon payments and seven are fully amortizing.
One loan, constituting 4% of the pool, is 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.
Twelve loans have been liquidated from the pool, resulting in an
aggregate realized loss of $42.8 million (for an average loss
severity of 29%). Four loans, constituting 28% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Marina Gate Shopping Center ($5.5 million -- 10.5% of
the pool), which is secured by a 81,256 square foot (SF)
unanchored retail shopping center located in Webster, Texas. The
loan transferred to special servicing in June 2014 due to imminent
balloon default. The borrower has not been successful in re-
financing the loan. As of June 2014, the property was 54% leased
compared to 60% at year-end 2012. The servicer is currently
reviewing a Phase II Environmental Site Assessment and has not yet
determined its strategy.
The remaining three specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $4.29 million
loss for specially serviced loans (38% expected loss on average).
Moody's received full or partial year 2013 operating results for
87% of the pool. Moody's weighted average conduit LTV is 58%
compared to 73% 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 24% to the
most recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 8.3%.
Moody's actual and stressed conduit DSCRs are 1.68X and 3.02X,
respectively, compared to 1.52X and 1.55X 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 10.7% of the pool balance.
The largest loan is the ATYS Industrial Building Loan ($2.9
million -- 5.6% of the pool), which is secured by 98,150 SF
industrial building located in Centerville, Tennessee. The
property is 100% occupied by Agrana Fruit US, Inc., through a
triple net lease, which expires in February 2019. Due to the
single tenant exposure, Moody's stressed the value of this
property utilizing a lit/dark analysis. Moody's LTV and stressed
DSCR are 70% and 1.39X, respectively.
The second largest loan is the Diamond Bar Plaza Loan ($1.3
million -- 2.7% of the pool), which is secured by a 36,464 SF
retail center located in Diamond Bar, California. As of December
2013, the property was 87% leased compared to 82% the prior year.
This loan is fully amortizing. Moody's LTV and stressed DSCR are
32% and 3.29X, respectively, compared to 30% and 3.42X at the last
review.
The third largest loan is The Village Apartments Loan ($1.19
million -- 2.3% of the pool), which is secured by a 240 unit
multi-family property located in Bartlesville, Oklahoma. As of
June 2014, the property was 96% leased compared to 99% as of
December 2013. This loan is fully amortizing. Moody's LTV and
stressed DSCR are 19% and >4.00X, respectively, compared to 18%
and >4.00X at the last review.
CSMC TRUST 2014-TIKI: Moody's Assigns (P)B3 Rating on Cl. F Certs
-----------------------------------------------------------------
Moody's Investors Service has provisionally assigned ratings to
eight classes of CMBS securities, issued by CSMC Trust, Commercial
Mortgage Pass-Through Certificates, Series 2014-TIKI.
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B3 (sf)
Cl. X-CP, Assigned (P)Aaa (sf)*
Cl. X-NCP, Assigned (P)Aaa (sf)*
* Interest-Only Class
Ratings Rationale
The ratings are based on the collateral and the structure of the
transaction.
The CMBS securities are collateralized by a single loan backed by
a first lien commercial mortgage related to a fee simple interest
in a full-service resort hotel known as the Four Seasons Resort
Maui at Wailea. The property is located on an approximately 16.2
acre oceanfront site on Wailea Beach in Maui, Hawaii. The Property
is indirectly wholly owned by special purpose entity in turn
controlled and owned by MSD Portfolio, L.P.
The subject hotel contains 380 guestrooms and is the only 5
Diamond and 5-Star luxury resort on Maui. Amenities include three
restaurants, one lounge, a pool bar, 14,181 SF of indoor meeting
space, 20,744 SF of outdoor space, three swimming pools, a spa, a
fitness center and retail shops. Hotel improvements primarily
consist of two connected, rectangular, eight-story towers that are
oriented east-west on the site, toward the Pacific Ocean. Both the
North and South Towers contain guestrooms on levels two through
eight with the majority of the public spaces located on the lobby
and lower lobby levels of both towers. The Property is located
within the upscale master-planned resort community of Wailea on
Maui's southwest coast, offering guests unobstructed access to and
views of the Pacific Ocean and Wailea Beach. Wailea is
characterized by first-class and luxury beachfront resorts,
residential single-family and condominium housing, retail, first
class recreational facilities such as The Wailea Country Club with
three 18-hole championship courses and Wailea Tennis Club (both
approximately 0.25 miles north and available to the Property's
guests) and multiple beaches.
Moody's rating approach for securities backed by a single loan
compares the credit risk inherent in the underlying properties
with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single-borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of the loan is determined primarily by two
factors: 1) Moody's assessment of the probability of default,
which is largely driven by the DSCR, and 2) Moody's assessment of
the severity of loss in the event of default, which is largely
driven by the LTV of the underlying loan.
Moody's Actual DSCR of 3.95X is much higher than other floating-
rate standalone-property loans that have been assigned an bottom-
dollar rating of B3, however, Moody's Stressed DSCR of 0.99X is
in-line with the bottom-dollar rating. Moody's also considers the
effects of additional subordinate debt outside of the Trust in its
analysis. Moody's Total Debt Stressed DSCR (inclusive of mezzanine
financing at a 9.25% constant) is only 0.66X.
Moody's Trust LTV Ratio of 109.4% is higher than other floating-
rate standalone securitizations that have previously been assigned
an underlying rating of B3. Moody's also considers subordinate
financing outside of the Trust when assigning ratings. The loan is
structured with $175 million of additional financing in the form
of mezzanine debt, raising Moody's Total LTV ratio to 164.1%.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.7. 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. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations. Moody's analysis
also uses the CMBS IO calculator v 1.1 which references the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type corresponding to an IO type as defined in
the published methodology.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the securities is subject to uncertainty. The
certificates' performance is sensitive to the performance of the
underlying Property, which in turn depends on economic and credit
conditions that may change. The servicing decisions of the master
and special servicer with respect to the collateral and oversight
of the transaction will also affect the performance of the
securities.
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, or 22%, the model-indicated rating for the currently
rated Aaa classes would be Aa2, A2, or Baa2, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
GREEN TREE 1998-6: S&P Lowers Rating on Class M-1 Certs to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
M-1 certificates from Green Tree Financial Corp. Manufactured
Housing Trust 1998-6, an asset-backed securities transaction
backed by fixed-rate manufactured housing loans, to 'D (sf)' from
'CC (sf)'.
The downgrade on the class M-1 certificates reflects a payment
default resulting from the class' interest shortfall on the Sept.
2014 payment date. S&P believes that the interest shortfall will
likely persist due to the adverse performance trends S&P has
observed in the underlying collateral pool.
DEAN WITTER 2003-HQ2: Moody's Affirms C Rating on Class N Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings on six classes in
Morgan Stanley Dean Witter Capital I Trust, Commercial Pass-
Through Certificates, Series 2003-HQ2 as follows:
Cl. J, Affirmed B1 (sf); previously on Dec 13, 2013 Affirmed B1
(sf)
Cl. K, Affirmed B2 (sf); previously on Dec 13, 2013 Affirmed B2
(sf)
Cl. L, Affirmed Caa1 (sf); previously on Dec 13, 2013 Affirmed
Caa1 (sf)
Cl. M, Affirmed Caa3 (sf); previously on Dec 13, 2013 Affirmed
Caa3 (sf)
Cl. N, Affirmed C (sf); previously on Dec 13, 2013 Affirmed C (sf)
Cl. X-1, Affirmed Caa2 (sf); previously on Dec 13, 2013 Downgraded
to Caa2 (sf)
Ratings Rationale
The ratings on classes J and K were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the classes L, M and N were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class, Class X-1, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 39.6% of
the current balance, compared to 55.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.6% of the
original pooled balance, compared to 2.0% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description Of Models Used
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 4, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.7 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 October 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $21 million
from $932 million at securitization. The certificates are
collateralized by five mortgage loans ranging in size from 10% to
34% of the pool. The pool does not contain any defeased loans or
any loans with structured credit assessments.
One loan, constituting 14% of the pool, is 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.
Three loans have been liquidated at a loss from the pool,
resulting in an aggregate realized loss of $6.8 million (for an
average loss severity of 42%). Three loans, constituting 66% of
the pool, are currently in special servicing. The largest
specially serviced loan is the 200 SW Michigan Building Loan ($7
million -- 33.8% of the pool), which is secured by an 83,000
square foot (SF) office property located in Seattle, Washington.
The loan transferred to special servicing in November 2012 due to
maturity default and became real estate owned (REO) in September
2013. The property was 13% leased as of July 2014, the same as at
last review. The loan has been deemed non-recoverable.
The second largest specially serviced loan is the Arlington Green
Executive Center Loan ($5 million -- 22.2% of the pool), which is
secured by a 62,000 SF office located in Arlington Heights,
Illinois. The loan transferred to special servicing in February
2012 due to Imminent Payment Default and became REO in August
2013. The property was 51% leased as of July 2014, the same as at
last review. An existing tenant is in the process of expanding,
which will bring occupancy up to approximately 55%.
The third largest specially serviced loan is the Salisbury
Professional Center Loan ($2 million -- 10.0% of the pool). The
loan is secured by a 39,000 SF office property located in
Jacksonville, Florida. The loan transferred to special servicing
in December 2012 due to maturity default. The property was 60%
leased as of July 2014. The special servicer is currently
reviewing an offer to buy the property.
Moody's estimates an aggregate $7.6 million loss for specially
serviced loans (55 % expected loss on average).
There are two loans remaining in the pool which are not in special
servicing. The 2310 & 2344 Washington Street Loan ($4 million --
19.7% of the pool) is secured by a 44,000 SF office building in
Newton, Massachusetts. The property is fully leased with average
rents of approximately $30 per square foot. No leases have 2014
lease expirations, but 13% of the NRA expires in 2015 and 75%
expires in 2016. Moody's LTV and stressed DSCR are 70% and 1.55X,
respectively, compared to 66% and 1.64X at last review.
The Star Village Commons Loan ($3.0 million -- 14.3% of the pool)
is secured by a retail property located in Lake Worth, Texas. The
loan was previously modified while in special servicing. The
previous modification included a $1.47 million principal
reduction, coupon reduction to 4.5% from 5.19% and a three-year
extension. The loan is currently on the servicer's watchlist due
to low occupancy. The property was 78% leased as of August 2014,
up from 72% as of September 2013. Moody's LTV and stressed DSCR
are 113% and 0.88X, respectively, compared to 137.1% and 0.73X at
last review.
GE COMMERCIAL 2005-C1: Fitch Cuts Rating on Class G Certs to 'Csf'
------------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 15 classes of
GE Commercial Mortgage Corporation (GECMC) commercial mortgage
pass-through certificates series 2005-C1.
KEY RATING DRIVERS
The affirmations reflect stable performance of the underlying
collateral pool. While credit enhancement continues to increase
for classes A-J, B and C, these classes have previously been
impacted by interest shortfalls and the pool continues to be more
concentrated. Fitch believes with the majority of the pool
maturing over the next 12 months that there is a possibility for
these classes to experience interest shortfalls again prior to
repayment. According to Fitch's global criteria for rating caps,
Fitch will not assign or maintain 'AAA' or 'AA' ratings if there
is a high vulnerability to interest shortfalls (see 'Criteria for
Rating Caps and Limitations in Global Structured Finance
Transactions', dated May 28, 2014, for more details). Interest
shortfalls are currently affecting classes F through P. The
downgrade to class G reflects a greater certainty of losses.
Fitch modeled losses of 5.6% of the remaining pool; expected
losses on the original pool balance total 5.9%, including $62.1
million (3.7% of the original pool balance) in realized losses to
date. Fitch has designated 17 loans (39.6%) as Fitch Loans of
Concern, which includes both specially serviced assets (2.9%).
As of the October 2014 distribution date, the pool's aggregate
principal balance has been reduced by 61.4% to $646.6 million from
$1.67 billion at issuance. Per the servicer reporting, 10 loans
(32.6% of the pool) are defeased, including the largest loan.
The largest contributor to expected losses is a 133,631 square
foot (sf) grocery-anchored retail center in Cincinnati, OH (2.1%
of the pool). The property is anchored by Remke Markets (formerly
Biggs Supermarket). The loan was transferred to special servicing
in May 2012 due to imminent default resulting from cash flow
issues and foreclosure was completed in January 2014. The special
servicer indicated that since the property has become real estate
owned (REO), the property manager and leasing agent are working to
stabilize the property as well as work with a structural engineer
to repair cracks in the flooring. Damage estimates are yet to be
determined. The property reported occupancy of 62% as of June 2014
which is consistent with prior years.
The second largest contributor to expected losses is the Lakeside
Mall loan (12%), the second largest loan in the pool. The loan is
secured by the in-line space and one of five anchors (Macy's Men's
& Home) of a two-level 1.5 million sf regional mall located in
Sterling Heights, MI within the Detroit metropolitan statistical
area (MSA). Additional non-collateral anchors include JC Penney,
Lord & Taylor and Sears. The servicer reported the collateral
occupancy at 93% as of year-end 2013. The net operating income
(NOI) debt service coverage ratio (DSCR) for 2013 was reported at
1.15x, a decline from 1.29x for YE December 2012 and 1.25x for YE
December 2011. The decline is primarily due to a scheduled
increase in debt service payments beginning January 2013, which
was included in the January 2010 modification of the loan. The
loan is sponsored by General Growth Properties.
Rating Sensitivities
Rating Outlooks on classes A-5 through D are Stable due to
increasing credit enhancement, defeasance, and continued paydown.
The Negative Outlook on class E reflects the thin supporting
tranches, as well as the concentration of upcoming loan maturities
over the next 12 months. This makes the class E bond, as well as
classes F and G, susceptible to further downgrades should loans
not refinance or if losses exceed Fitch expectations.
Fitch downgrades the following class and assigns Recovery
Estimates (REs) as indicated:
-- $14.6 million class G to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes and assigns or revises Rating
Outlooks and REs as indicated:
-- $325.4 million class A-5 at 'AAAsf', Outlook Stable;
-- $56.1 million class A-1A at 'AAAsf', Outlook Stable;
-- $110.9 million class A-J at 'Asf', Outlook Stable;
-- $41.9 million class B at 'Asf', Outlook Stable;
-- $16.7 million class C at 'Asf', Outlook Stable;
-- $27.2 million class D at 'BBBsf', Outlook to Stable from
Negative;
-- $14.6 million class E at 'BBB-sf', Outlook Negative;
-- $23 million class F at 'CCCsf', RE 95%;
-- $16 million class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-4 and A-AB certificates have paid in
full. Fitch does not rate the class P certificates. Fitch
previously withdrew the ratings on the interest-only class X-P and
X-C certificates.
GMAC COMMERCIAL 1997-C2: Moody's Affirms H Rating on Cl. H Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes of GMAC Commercial Mortgage Securities, Inc., Mortgage
Pass-Through Certificates, Series 1997-C2 as follows:
Cl. G, Affirmed Aaa (sf); previously on Dec 13, 2013 Upgraded to
Aaa (sf)
Cl. H, Affirmed C (sf); previously on Dec 13, 2013 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Dec 13, 2013 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating of Class G was 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 Class H was affirmed because the rating is
consistent with Moody's expected loss. Class H has incurred a 65%
realized loss as of the October remittance statement.
The rating of the IO Class, Class X, is affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description of Models Used
Moody's 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, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 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 October 15, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $19.4
million from $1.1 billion at securitization. The Certificates are
collateralized by three mortgage loans remaining in the pool,
representing 54% of the pool, and one defeased loan, representing
46% of the pool. The defeased loan is collateralized with U.S.
Government securities.
There are no loans on the watchlist or in special servicing.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $57.5 million (for an average loss
severity of 20%).
Moody's received full year 2013 operating results for 57% of the
performing pool.
The top three loans represent 54% of the pool balance. The largest
loan is Kmart - Laredo Loan ($5.4 million -- 27.5% of the pool),
which is secured by a 112,000 square foot (SF) single-tenant
retail property located in Laredo, Texas. The property is 100%
leased to Kmart through October 2022. Performance continues to
remain stable. The loan amortizes 100% during its term and is co-
terminus with the lease maturity. Moody's LTV and stressed DSCR
are 74% and 1.47X, respectively, compared to 80% and 1.35X at last
review.
The second largest loan is the Kmart - Lafayette Loan ($4.5
million -- 23.3% of the pool), which is secured by a 119,000 SF
retail property located in Lafayette, Indiana, which is 100%
leased to Kmart through October 2022. The property is part of a
larger strip center which is not part the collateral. The loan
amortizes 100% during its term and is co-terminus with the lease
maturity. Performance continues to remain stable. Moody's LTV and
stressed DSCR are 88% and 1.23X, respectively, compared to 95% and
1.14X at last review.
The last loan is the CVS Drugstore Loan ($566,000 -- 2.9% of the
pool), which is secured by a 9,400 SF single-tenant retail
property located in located in a suburban retail corridor in
Media, Pennsylvania, 12 miles east of Philadelphia. The property
is 100% leased to CVS through January 2018. The loan amortizes
100% during its term and is co-terminus with the lease maturity.
Performance continues to remain stable. Moody's LTV and stressed
DSCR are 26% and 4.11X, respectively, compared to 35% and 3.08X at
last review.
GOLDMAN SACHS CAPITAL: S&P Cuts Rating on 16 Classes
----------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 16
classes from nine Goldman Sachs Capital I-related transactions.
The ratings on the classes from the nine transactions depend on
S&P's rating on the underlying security, Goldman Sachs Capital I's
$2.75 billion 6.345% capital securities due Feb. 15, 2034 ('BB').
The downgrades reflect the Sept. 29, 2014, downgrade of the
aforementioned underlying security to 'BB' from 'BB+' following a
criteria revision. S&P may take subsequent rating actions on
these transactions if S&P changes its rating on the related
underlying security.
RATINGS LOWERED
CABCO Series 2004-1 Trust (Goldman Sachs Capital I)
$62.5 million callable certificates series 2004-1
Class Rating
To From
A-1 BB BB+
Corporate Backed Trust Certificates, Goldman Sachs Capital I
Securities-Backed
Series 2004-6
$25 million trust certificates series 2004-6
Class Rating
To From
Certs BB BB+
CorTS Trust II For Goldman Sachs Capital I
$90 million certificates series 2004-5
Class Rating
To From
A BB BB+
B BB BB+
PPLUS Trust Series GSC-1
$50 million certificates series GSC-1
Class Rating
To From
A BB BB+
B BB BB+
PPLUS Trust Series GSC-3
$100 million PPLUS trust certificates series GSC-3
Class Rating
To From
A BB BB+
B BB BB+
PPLUS Trust Series GSC-4
$27 million PPLUS trust certificates series GSC-4
Class Rating
To From
A BB BB+
B BB BB+
SATURNS Trust 2005-1
$61.574 million 6.125% class A callable units, initial notional
amortizing
balance of class B interest-only amortizing callable units
Class Rating
To From
A BB BB+
B BB BB+
SATURNS Trust No. 2004-4
$81 million callable units series 2004-4
Class Rating
To From
A BB BB+
B BB BB+
SATURNS Trust 2004-6
$80 million callable units series 2004-6
Class Rating
To From
A BB BB+
B BB BB+
HEWETT'S ISLAND: Moody's Affirms Ba3 Rating on Class E Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Hewett's Island CLO I-R, Ltd.:
$15,700,000 Class B Second Priority Senior Secured Floating Rate
Notes Due 2019, Upgraded to Aaa (sf); previously on August 7, 2013
Upgraded to Aa3 (sf)
$11,250,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due 2019, Upgraded to A1 (sf); previously on
August 7, 2013 Affirmed Baa1 (sf)
$9,900,000 Class D Fourth Priority Mezzanine Secured Deferrable
Floating Rate Notes Due 2019, Upgraded to Baa3 (sf); previously on
August 7, 2013 Affirmed Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
$195,850,000 Class A First Priority Senior Secured Floating Rate
Notes Due 2019 (current outstanding balance of $118,803,072),
Affirmed Aaa (sf); previously on August 7, 2013 Upgraded to Aaa
(sf)
$10,300,000 Class E Fifth Priority Mezzanine Secured Deferrable
Floating Rate Notes Due 2019 (current outstanding balance of
$6,900,574), Affirmed Ba3 (sf); previously on August 7, 2013
Affirmed Ba3 (sf)
Hewett's Island CLO I-R, Ltd., issued in November 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 ratios since February 2014. The Class A notes
have been paid down by approximately 34% or $61.3 million since
that time. Based on the trustee's October 2014 report, the over-
collateralization (OC) ratios for the Class A/B, Class C, Class D
and Class E notes are reported at 125.4%, 115.7%, 108.3% and
103.7%, respectively, versus February 2014 levels of 118.2%,
111.8%, 106.7% and 103.4%, respectively.
The deal has benefited from an improvement in the credit quality
of the portfolio since February 2014. Based on the trustee's
October 2014 report, the weighted average rating factor is
currently 2308 compared to 2412 in February 2014.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have
adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
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% (1919)
Class A: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +2
Moody's Adjusted WARF + 20% (2879)
Class A: 0
Class B: -1
Class C: -2
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 $167.5 million, defaulted
par of $2.7 million, a weighted average default probability of
13.5% (implying a WARF of 2399), a weighted average recovery rate
upon default of 51.8%, a diversity score of 36.0 and a weighted
average spread of 2.8%.
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.
INDEPENDENCE I CDO: Moody's Affirms C Rating on Class C Notes
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following notes issued by Independence I CDO, Ltd.:
Cl. B Second Priority Senior Secured Floating Rate Notes, Affirmed
Ca (sf); previously on Nov 26, 2013 Affirmed Ca (sf)
Cl. C Mezzanine Secured Floating Rate Notes, Affirmed C (sf);
previously on Nov 26, 2013 Affirmed C (sf)
Ratings Rationale
Moody's has affirmed the ratings of two classes of notes because
the key transaction metrics are commensurate with the existing
ratings. The rating actions are the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO and Re-REMIC) transactions.
Independence CDO I, Ltd. is a static cash transaction backed by a
portfolio of: i) asset back securities (ABS) (59.5% of the pool
balance) primarily in the form of manufactured housing and
aircraft leases; ii) commercial mortgage backed securities (CMBS)
(25.5%); and iii) collateralized debt obligations (CDO) (15.0%)
primarily in the form of CRE CDOs. As of the September 26, 2014
trustee report, the aggregate note balance of the transaction has
decreased to $90.8 million from $288.5 million at issuance, with
the paydown directed to the senior most outstanding class of
notes, as a result of regular amortization and the transaction's
default acceleration status.
There are fifteen assets with a par balance of $27.3 million
(42.3% of the current pool balance) that are considered defaulted
interests as of the September 26, 2014 trustee report, compared
with eleven assets with a par balance of $22.9 million (31.7%) at
last review. These assets consist of ABS (47.5% of defaulted
balance), CDO (35.2%) and CMBS (17.3%).
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF (excluding
defaulted securities) of 4462, compared to 5045 at last review.
The current ratings on the Moody's-rated collateral and the
assessments of the non-Moody's rated collateral follow: Aaa-Aa3
and 20.7%, compared to 15.6% at last review; A1-A3 and 0.3%,
compared to 6.1% at last review; Baa1-Baa3 and 1.9% compared to
0.5% at last review; Ba1-Ba3 and 9.4%, compared to 0.0% at last
review; B1-B3 and 8.8% compared to 17.7% at last review; Caa1-Ca/C
and 59% compared to 60.1% at last review.
Moody's modeled a WAL of 3.5 years, compared to 5.0 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral pool.
Moody's modeled a fixed WARR of 1.3%, compared to 10.4% at last
review.
Moody's modeled a MAC of 0%, compared to 100% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will
also affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the
rated notes, although a change in one key parameter assumption
could be offset by a change in one or more of the other key
parameter assumptions. The rated notes are particularly sensitive
to changes in the recovery rates of the underlying collateral and
credit assessments. Increasing the recovery rates by 5% would
result in no rating movement on the rated notes. Decreasing the
recovery rates to 0% would result in no rating movement on the
rated notes.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
JP MORGAN 2004-CIBC10: Moody's Cuts Cl. X-1 Certs Rating to Caa1
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of eleven classes,
upgraded the rating of one class and downgraded the ratings of two
classes of J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2004-CIBC10
as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Oct 30, 2013 Affirmed
Aaa (sf)
Cl. A-J, Upgraded to Aaa (sf); previously on Oct 30, 2013 Affirmed
Aa1 (sf)
Cl. B, Affirmed Baa2 (sf); previously on Oct 30, 2013 Downgraded
to Baa2 (sf)
Cl. C, Affirmed Ba2 (sf); previously on Oct 30, 2013 Downgraded to
Ba2 (sf)
Cl. D, Downgraded to B1 (sf); previously on Oct 30, 2013
Downgraded to Ba3 (sf)
Cl. E, Affirmed B3 (sf); previously on Oct 30, 2013 Downgraded to
B3 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Oct 30, 2013 Downgraded
to Caa3 (sf)
Cl. G, Affirmed C (sf); previously on Oct 30, 2013 Downgraded to C
(sf)
Cl. H, Affirmed C (sf); previously on Oct 30, 2013 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Oct 30, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Oct 30, 2013 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Oct 30, 2013 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Oct 30, 2013 Affirmed C (sf)
Cl. X-1, Downgraded to Caa1 (sf); previously on Oct 30, 2013
Affirmed Ba3 (sf)
Ratings Rationale
The rating on P&I Class A-J was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 65% since Moody's last
review.
The ratings on P&I Classes A-1A, B and C 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 P&I Classes E, F, G, H, J, K, L and M were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on P&I Class D was downgraded due to recurring interest
shortfalls related to loans deemed non-recoverable.
The rating on IO 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 25.1% of
the current balance compared to 11.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.6% of the
original pooled balance compared to 8.9% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of JPMCC 2004-CIBC10.
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 13 compared to 47 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 October 14, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 80% to $394 million
from $2.0 billion at securitization. The certificates are
collateralized by 56 mortgage loans ranging in size from less than
1% to 22% of the pool, with the top ten loans constituting 57% of
the pool. Six loans, constituting 7% of the pool, have defeased
and are secured by US government securities.
Twenty-one loans, constituting 24% 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.
Seventeen loans have been liquidated from the pool, resulting in
an aggregate realized loss of $49.8 million (for an average loss
severity of 25%). Eight loans, constituting 36% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Continental Plaza Loan ($88.0 million -- 22.3% of the
pool). The loan is secured by three office buildings and a single
story retail center totaling 639,000 square feet (SF) which are
located in Hackensack, New Jersey. The loan was transferred to
special servicing in April 2009 due to imminent default and is now
real estate owned (REO). The property was 72% leased as of
September 2014 compared to 68% at last review.
The remaining seven specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $92.4 million
loss for specially serviced loans (65% expected loss on average).
Moody's has assumed a high default probability for four poorly
performing loans, constituting 4% of the pool, and has estimated
an aggregate loss of $2.3 million (a 16% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2012 and 2013 operating results for 98%
and 96% of the pool, respectively. Moody's weighted average
conduit LTV is 67% compared to 82% 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 11% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.43X and 1.60X,
respectively, compared to 1.36X and 1.31X 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 14% of the pool balance. The
largest loan is the The Greens at Hurricane Creek Apartments Loan
($21.1 million -- 5.4% of the pool), which is secured by a 576-
unit apartment complex located in Bryant, Arkansas. The property
was 98% leased as of March 2014, same as at Moody's prior review.
Moody's LTV and stressed DSCR are 66% and 1.39X, respectively,
compared to 69% and 1.34X at the last review.
The second largest loan is the 65-75 Lower Welden Streen Loan
($17.1 million -- 4.3% of the pool), which is secured by a 149,105
SF suburban office building located in Franklin, Vermont
(approximately five miles from the Canada border). The property is
100% occupied, the same as at Moody's prior review. The largest
tenant is the Department of Homeland Security (95% of NRA, lease
through 2021). Moody's value is based on a lit/dark blend. Moody's
LTV and stressed DSCR are 70% and 1.31X, respectively, compared to
73% and 1.26X at the last review.
The third largest loan is the The Links at Oxford Apartments Loan
($16.7 million -- 4.3% of the pool), which is secured by a 492-
unit multifamily complex located in Oxford, Mississippi. The
property was 100% leased as of December 2013, the same as at
Moody's prior review. Moody's LTV and stressed DSCR are 57% and
1.58X, respectively, compared to 60% and 1.49X at the last review.
JP MORGAN 2006-CIBC16: S&P Lowers Rating on 4 Notes to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, a
U.S. commercial mortgage-backed securities (CMBS) transaction. In
addition, S&P affirmed its ratings on four other classes from the
same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow 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's
structure, and the liquidity available to the trust.
S&P lowered its rating on class A-M to reflect its expectation of
the available credit enhancement for this class, which S&P
believes is lower than its most recent estimate of necessary
credit enhancement at the rating level. The downgrade also
follows S&P's views regarding the current and future performance
of the transaction's collateral and available liquidity support.
The downgrades of classes A-J through E to 'D (sf)' reflect
accumulated interest shortfalls that S&P expects to remain
outstanding for the foreseeable future. Accumulated interest
shortfalls have affected these classes for the past 12 consecutive
months. As of the Oct. 14, 2014, trustee remittance report, the
net monthly interest shortfalls totaled $770,597, and primarily
reflected:
-- $640,047 of interest deferred on the modified One & Two
Prudential Plazas loan, $453,129 of which reflected the
partially deferred interest on the senior A note, and
$186,918 of which reflected the fully deferred interest
on the subordinate B hope note;
-- $95,891 in other shortfalls associated with three liquidated
assets; and
-- $39,554 in special servicing and workout fees.
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 estimates of the
necessary credit enhancement required for the current ratings.
The affirmations also reflect S&P's views regarding the current
and future performance of the transaction's collateral, the
transaction structure, and liquidity support available to the
classes.
S&P affirmed its 'AAA (sf)' rating on the class X-1 interest-only
(IO) certificate based on its criteria for rating IO securities.
As of the Oct. 14, 2014, trustee remittance report, the collateral
pool balance was $1.48 billion, which is 69.1% of the pool balance
at issuance. The pool currently includes 97 loans (excluding one
subordinate B hope note), down from 120 loans at issuance. Five
loans ($82.0 million, 5.5%) are with the special servicer, three
($24.0 million, 1.6%) are defeased and 33 ($357.0 million, 24.0%)
are on the master servicer's watchlist. The master servicer,
Berkadia Commercial Mortgage LLC, reported financial information
for 98.7% of the nondefeased loans in the pool, a majority of
which (90.1%) reflected year-end 2013 data. S&P calculated a
Standard & Poor's weighted average debt service coverage (DSC) of
1.25x and loan-to-value (LTV) ratio of 89.6% using a Standard &
Poor's weighted average capitalization rate of 7.67%. The DSC and
LTV calculations exclude the five specially serviced loans, three
defeased loans, one subordinate B hope note ($37.0 million, 2.5%),
and one loan S&P classified as nonreporting ($18.7 million, 1.3%).
The top 10 loans have a $796.8 million (53.6%) aggregate
outstanding pool trust balance. Using servicer-reported numbers,
S&P calculated a Standard & Poor's weighted average DSC and LTV of
1.17x and 104.5%, respectively, for eight of the top 10 loans.
The remaining two loans are specially serviced and discussed
below.
Standard & Poor's U.S. Public Finance group provides credit
ratings on Cook County, Arlington County, and Oakland County, the
transaction's top three county exposures.
-- Cook County in the Chicago-Naperville-Elgin metropolitan
statistical area (MSA): S&P considers Cook County's
(AA/Stable, general obligation debt rating) economy to be
strong, with projected per capita effective buying income at
105% of the U.S. The total market value of all real estate
within the county reached $443 billion for 2014. The
county's per capita real estate market value was $85,239 for
2014. With a population of 5.2 million, the county
participates in the Chicago-Naperville-Elgin MSA in
Illinois, Indiana, and Wisconsin, which S&P considers to be
strong. Some of the larger loans secured by properties
located in Cook County include One & Two Prudential Plazas,
Paradise LLC, and 9264-9280 West 159th Street.
-- Arlington County in the Washington-Arlington-Alexandria MSA:
S&P considers Arlington County's (AAA/Stable, general
obligation debt rating) economy to be very strong, with
projected per capita effective buying income at 248% of the
U.S. The total market value of all real estate within the
county reached $66 billion for 2013. The county's per
capita real estate market value was $293,780 for 2013. With
a population of 0.2 million, the county participates in the
Washington-Arlington-Alexandria MSA in District of Columbia,
Virginia, and West Virginia, which S&P considers to be
strong. The county's unemployment rate for calendar year
2013 was 4%. Sequoia Plaza is the largest loan in the pool
with exposure to Arlington County.
-- Oakland County in the Detroit-Warren-Dearborn MSA: consider
Oakland County's (AAA/Stable, general obligation debt
rating) economy to be strong, with projected per capita
effective buying income at 120% of the U.S. The total
market value of all real estate within the county reached
$110 billion for 2015. The county's per capita real estate
market value was $90,381 for 2015. With a population of 1.2
million, the county participates in the Detroit-Warren-
Dearborn MSA in Michigan, which S&P considers to be strong.
The county's unemployment rate for calendar year 2013 was
8%. Some of the larger loans with exposure to Oakland
County include the Lightstone Michigan Multifamily Portfolio
and REPM Portfolio.
CREDIT CONSIDERATIONS
As of the Oct. 14, 2014, trustee remittance report, five loans
($82.0 million, 5.5%) in the pool were with the special servicer,
C-III Asset Management LLC (C-III). Details of the two largest
specially serviced loans, both of which are top 10 loans, are:
-- The Westfield Richland Mall loan ($37.0 million, 2.5%) has
$37.4 million in reported total exposure and is secured by a
396,000-sq.-ft. retail property in Mansfield, Ohio. The
loan was transferred to C-III on June 20, 2014, for imminent
default when the borrower stated his unwillingness to fund
operating shortfalls. The loan was reported as two months
delinquent in its payments. A foreclosure filing occurred
on Sept. 9, 2014. The reported DSC as of June 2014 was
0.78x. S&P expects a moderate loss upon the loan's eventual
resolution.
-- The Capitol Commons loan ($33.8 million, 2.3%) has $33.8
million in reported total exposure and is secured by a
185,500-sq.-ft. office in Lansing, Mich. The loan was
transferred to C-III on Oct. 4, 2013, for imminent default.
The borrower stated that the Michigan state government,
which is the sole tenant at the property, demanded a reduced
rental rate and footprint at the property. The special
servicer requested a broker's opinion of value. The
reported DSC as of Sept. 2013 was 1.27x. S&P expects a
moderate loss upon the loan's eventual resolution.
The three remaining loans with the special servicer have
individual balances that represent less than 0.5% of the total
pool trust balance. S&P estimated losses for all five specially
serviced loans, deriving a weighted-average loss severity of
30.4%.
With respect to the specially serviced loans noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16
Commercial mortgage pass-through certificates series 2006-CIBC16
Rating Rating
Class Identifier To From
A-4 46629GAE8 AAA (sf) AAA (sf)
A-SB 46629GAF5 AAA (sf) AAA (sf)
A-1A 46629GAG3 AAA (sf) AAA (sf)
A-M 46629GAH1 A- (sf) A (sf)
A-J 46629GAJ7 D (sf) B (sf)
X-1 46629GAK4 AAA (sf) AAA (sf)
B 46629GAM0 D (sf) B- (sf)
C 46629GAN8 D (sf) B- (sf)
D 46629GAP3 D (sf) CCC (sf)
E 46629GAQ1 D (sf) CCC- (sf)
JP MORGAN 2006-LDP7: Fitch Lowers Rating on Class D Notes to 'Csf'
------------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 14 classes of
J. P. Morgan Chase Commercial Mortgage Securities Corp (JPMCC)
commercial mortgage pass-through certificates series 2006-LDP7.
KEY RATING DRIVERS
Fitch modeled losses of 12.9% of the remaining pool; expected
losses on the original pool balance total 13.6%, including $138.7
million (3.5% of the original pool balance) in realized losses to
date. Fitch has designated 57 loans (27%) as Fitch Loans of
Concern, which includes 23 specially serviced assets (16.8%).
As of the September 2014 distribution date, the pool's aggregate
principal balance has been reduced by 21.9% to $3.08 billion from
$3.94 billion at issuance. Per the servicer reporting, 12 loans
(5.5% of the pool) are defeased. Interest shortfalls are
currently affecting classes B through NR.
The largest contributor to expected losses is the specially-
serviced Westfield Centro Retail Portfolio loan (7.8% of the
pool), which is secured by a portfolio of four regional malls and
one anchored retail center totaling 2.4 million square feet (sf)
(1.7 million sf of collateral) located in OH, CT, MO, CA, and CO.
The retail centers are all managed by Madison Marquette. The loan
transferred to special servicing in May 2014 for imminent default
as the sponsor is unable to continue to fund property operating
shortfalls. Additionally, the borrower is unable to fund any
future leasing expenses required at the properties. The decline
in performance is mostly attributed to Midway Mall's (Elryia, OH)
underperformance. The space vacated by Dillards (157,580sf)
remains vacant since Aug. 2007. The property is currently
anchored by Best Buy (41,479 sf) and JCPenney (159,334 sf) both
with lease expirations in 2016. The remaining properties,
Westland Town Center, Enfield Mall, and Eagle Rock continue to
have occupancies in the mid 90's, and West Park is 72% occupied.
Overall, the portfolio is 83% occupied as of July 2014. The
trailing 12 month (TTM) June 2013, debt-service coverage ratio
(DSCR) for the portfolio is 1.05x. The most recently reported
DSCR as of March 31, 2014 is 0.82x. The borrower has requested a
loan modification and the special servicer continues negotiations
with the borrower while dual-tracking foreclosure until a
resolution is achieved.
The next largest contributor to expected losses is the One and Two
Prudential Plaza loan (6.6%), which is secured by two connected
properties in Chicago, IL. One Prudential Plaza is a 1,202,772 sf
office property and Two Prudential Plaza is a 990,749 sq ft office
property. The largest tenants are McGraw Hill Financial, Inc.
(13%), lease expiration November 2016; Optiver US LLC (4%),
expiration April 2018; and Marketing Werks Inc. (4%), expiration
June 2019. The properties have a combined occupancy of 61% as of
June 2014. The decline in occupancy is a result of the tenant,
Integrys Business Support, vacating 205,000 sf at lease expiration
in May 2014. Additionally, according to news articles, a new 10-
year lease for approximately 49,464 sf was recently signed with
tenant, Cision, who is expected to take occupancy in March 2015.
The loan was previously modified in June 2013. The loan was
assumed, with new sponsors & guarantors, Michael Silberberg and
Mark Karasick which have contributed approximately $80 million in
new equity to the property. The sponsors continue with planned
capital improvements which include updates to the lobby and plaza
areas in addition to new and upgraded amenities throughout the
building in an effort to attract tenants.
The third largest contributor to expected losses is the specially-
serviced Shoreview Corporate Center loan (1.7%), which is secured
by a 552,927 sf office property (1.6%) located in Shoreview, MN,
approximately 12 miles north of the Minneapolis CBD. The
collateral consists of five buildings built in 1973 and renovated
in 2005. The loan was transferred to special servicing in October
2009 due to imminent default due to the largest tenant, (41%)
vacating at lease expiration. The property became real estate
owned (REO) on March 28, 2012. The largest tenant at the property
is Land O Lakes (34%) whose lease expires in Sept. 2018. The
property is 54% occupied as of Aug. 2014. Per the special
servicer, various buildings are in need of roof
repairs/replacement. The special servicer continues to evaluate
all possible disposition alternatives.
RATING SENSITIVITIES
Rating Outlooks on classes A-3 through A-1A remain Stable due to
increasing credit enhancement and continued paydown. The Rating
Outlook on class A-M is revised to Negative due to the
concentration of real estate owned (REO) assets (%) and the
potential for increased fees and expenses associated with those
assets the longer they remain in special servicing.
Fitch downgrades these classes and assigns or revises Recovery
Estimates (REs) as indicated:
-- $310.3 million class A-J to 'CCCsf' from 'BBsf', RE 85%;
-- $78.8 million class B to 'CCsf' from 'CCCsf', RE 0%;
-- $14.8 million class D to 'Csf' from 'CCsf', RE 0%.
Fitch affirms these classes and revises the Rating Outlook as
indicated:
-- $394 million class A-M at 'AAAsf', Outlook to Negative from
Stable.
Fitch affirms these classes:
-- $70.5 million class A-3B at 'AAAsf', Outlook Stable;
-- $1.6 billion class A-4 at 'AAAsf', Outlook Stable;
-- $36.3 million class A-SB at 'AAAsf', Outlook Stable;
-- $310.4 million class A-1A at 'AAAsf', Outlook Stable;
-- $44.3 million class C at 'CCsf', RE 0%;
-- $39.4 million class E at 'Csf', RE 0%;
-- $39.4 million class F at 'Csf', RE 0%;
-- $49.2 million class G at 'Csf', RE 0%;
-- $39.4 million class H at 'Csf', RE 0%;
-- $33.6 million class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%.
The class A-1, A-2, A-3A and A-3FL certificates have paid in full.
Fitch does not rate the class N, P, Q and NR certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
JP MORGAN 2014-C25: Fitch Expects to Rate Class F Notes 'B-sf'
--------------------------------------------------------------
Fitch Ratings has issued a presale report on J.P. Morgan Chase
Commercial Mortgage Securities Trust's JPMBB 2014-C25 commercial
mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
on:
-- $38,041,000 class A-1 'AAAsf'; Outlook Stable;
-- $109,506,000 class A-2 'AAAsf'; Outlook Stable;
-- $14,362,000 class A-3 'AAAsf'; Outlook Stable;
-- $190,000,000 class A-4A1 'AAAsf'; Outlook Stable;
-- $307,915,000 class A-5 'AAAsf'; Outlook Stable;
-- $84,188,000 class A-SB 'AAAsf'; Outlook Stable;
-- $919,315,000b class X-A 'AAAsf'; Outlook Stable;
-- $51,813,000b class X-B 'AA-sf'; Outlook Stable;
-- $90,303,000a class A-S 'AAAsf'; Outlook Stable;
-- $51,813,000a class B 'AA-sf'; Outlook Stable;
-- $42,931,000a class C 'A-sf'; Outlook Stable;
-- $185,047,000a class EC 'A-sf'; Outlook Stable;
-- $85,000,000c class A-4A2 'AAAsf'; Outlook Stable;
-- $42,931,00bc class X-C 'A-sf'; Outlook Stable;
-- $78,460,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $28,128,000bc class X-E 'BB-sf'; Outlook Stable;
-- $11,843,000bc class X-F 'B-sf'; Outlook Stable;
-- $51,812,811bc class X-NR 'NR';
-- $78,460,000c class D 'BBB-sf'; Outlook Stable;
-- $28,128,000c class E 'BB-sf'; Outlook Stable;
-- $11,843,000c class F 'B-sf'; Outlook Stable;
-- $51,812,812c class NR 'NR';
-- $10,000,000cd class BNB 'NR'.
(a) Class A-S, B, and C certificates may be exchanged for class
EC certificates, and class EC certificates may be exchanged
for class A-S, B, and C certificates.
(b) Notional amount and interest only. Privately placed and
pursuant to rule 144A.
(c) Privately placed and pursuant to rule 144A.
(d) The class BNB certificates will only receive distributions
from, and will only incur losses with respect to, the non-
pooled component of the BankNote Building loan.
NR - (Not rated).
The expected ratings are based on information provided by the
issuer as of Oct. 23, 2014. Fitch does not expect to rate the
$51,812,811 class NR, or the $51,812,811 interest only class X-NR.
Fitch does not expect to rate the $10,000,000 class BNB, which
will only receive distributions from, and will only incur losses
with respect to, the non-pooled component of the BankNote Building
mortgage loan.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 65 loans secured by 157 commercial
properties having an aggregate principal balance of approximately
$1.184 billion as of the cutoff date. The loans were contributed
to the trust by JPMorgan Chase Bank, National Association; Ladder
Capital Finance LLC; Barclays Bank PLC; Starwood Mortgage Funding
II LLC; Redwood Commercial Mortgage Corporation; Column Financial,
Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 68.1% of the properties
by balance, cash flow analysis on 75.0%, and asset summary reviews
on 75.0% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.18x, a Fitch stressed loan-to-value (LTV) of 103.7%,
and a Fitch debt yield of 9.1%. Fitch's aggregate net cash flow
represents a variance of 6.4% to issuer cash flows.
KEY RATING DRIVERS
Fitch Leverage: The Fitch leverage is slightly better than recent
transactions rated by Fitch. The pool's Fitch DSCR and LTV are
1.18x and 103.7%, which is slightly better than the first-half
2014 averages of 1.19x and 105.6%, though worse than 2013 averages
and 1.29x and 101.6%.
Limited Amortization: Limited Amortization. Seven loans (23.9%)
are full term interest-only while an additional 31 loans (54.9%)
have a partial interest-only period. The pool will amortize by
10.6%, which is less than other recent transactions.
Credit Opinion: The third largest loan in the pool, Grapevine
Mills (6.16%) has a stand-alone credit opinion of 'BBB-'. The
loan is collateralized by a 1.6 million-sf regional shopping
center located in Grapevine, TX.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 7.66% below
the most recent NOI (for properties that a recent NOI was
provided, excluding properties that were stabilizing during this
period). Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans, and could result in potential rating actions on the
certificates. Fitch evaluated the sensitivity of the ratings
assigned to JPMBB 2014-C25 certificates and found that the
transaction displays average sensitivity to further declines in
NCF. In a scenario in which NCF declined a further 20% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'BBB+sf' could result. In a more severe scenario, in which NCF
declined a further 30% from Fitch's NCF, a downgrade of the junior
'AAAsf' certificates to 'BBB-sf' could result.
The master servicer will be Wells Fargo Bank, National
Association, rated 'CMS1-' by Fitch. The special servicer will be
Rialto Capital Advisors, LLC, rated 'CSS2-' by Fitch.
JP MORGAN 2014-CBM: S&P Assigns Prelim. BB- Rating on E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust
2014-CBM's $415.0 million commercial mortgage-backed securities
series 2014-CBM.
The certificate issuance is a commercial mortgage-backed
securities transaction backed by one two-year, floating-rate
commercial mortgage loan totaling $415.0 million, with three one-
year extension options, secured by cross-collateralized and cross-
defaulted mortgages on the borrowers' fee and leasehold interests
in 40 limited-service hotels and by a first-lien mortgage
encumbering all of the operating lessee's rights in the
properties.
The preliminary ratings are based on information as of Oct. 23,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historic and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-CBM
Class Rating(i) Amount ($)
A AAA (sf) 133,600,000
X-CP B- (sf) 415,000,000(ii)
X-EXT B- (sf) 415,000,000(ii)
B AA- (sf) 48,700,000
C A- (sf) 36,200,000
D BBB- (sf) 52,100,000
E BB- (sf) 75,400,000
F B- (sf) 69,000,000
(i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities
Act of 1933.
(ii) Notional balance. The notional amount of the class X-CP and
X-EXT certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the
class A, B, C, D, E, and F certificates.
LAKESIDE CDO II: Moody's Raises Rating on Cl. A-1 Notes to Ba1
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Lakeside CDO II, Ltd:
$1,170,000,000 Class A-1 First Priority Senior Secured Floating
Rate Delayed Draw Notes Due 2040 (current outstanding balance
of $100,161,852.41), Upgraded to Ba1 (sf); previously on April
8, 2014 Upgraded to B3 (sf).
Lakeside CDO II, Ltd., issued in March 2004, is a collateralized
debt obligation backed primarily by a portfolio of RMBS, SF CDOs,
and TruPS CDOs originated from 2001 to 2004.
Ratings Rationale
The rating action is primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since April 2014. The Class A-1 notes
have paid down by approximately 21.9%, or $28.1 million since that
time. Based on Moody's calculation, the over-collateralization
ratio of the Class A-1 notes is 245.7 %, versus 170.9% in April
2014.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in March 2014.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic: Primary causes of uncertainty about assumptions
are the extent of any slowdown in growth in the current
macroeconomic environment and in the residential real estate
property markets. The residential real estate property market is
subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, and excess interest proceeds
will continue and at what pace. Faster deleveraging than Moody's
expects could have a significant impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the notes' ratings.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge(TM) cash flow
model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities 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):
Caa ratings notched up by two rating notches:
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Caa ratings notched down by two notches:
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
LB-UBS 2005-C5: S&P Raises Rating on Class D Notes to BB+
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on eight
classes of commercial mortgage pass-through certificates from LB-
UBS Commercial Mortgage Trust 2005-C5, a U.S. commercial mortgage-
backed securities (CMBS) transaction. In addition, S&P affirmed
its 'AAA (sf)' ratings on three other classes from the same
transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow 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's
structure, and the liquidity available to the trust.
S&P raised its ratings on eight classes to reflect its expectation
of the available credit enhancement for these classes, which S&P
believes is greater than its most recent necessary credit
enhancement estimate at the respective rating levels. The
upgrades are also based on S&P's views regarding the collateral's
current and future performance, available liquidity support, and
lower trust balance.
S&P affirmed its 'AAA (sf)' ratings on classes A-4 and A-1A to
reflect its 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 affirmations
also reflect S&P's views regarding the collateral's current and
future performance, the transaction structure, and liquidity
support available to the classes.
S&P affirmed its 'AAA (sf)' rating on the class X-CL interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the Oct. 20, 2014, trustee remittance report, the collateral
pool balance was $1.31 billion, or 56.0% of the pool balance at
issuance. The pool currently includes 91 loans and one real
estate owned (REO) asset (reflecting cross-collateralized and
cross-defaulted loans), down from 114 loans at issuance. Five
assets ($59.1 million, 4.5% of the pool trust balance) are with
the special servicer, six loans ($53.8 million, 4.1%) are
defeased, and 24 loans ($227.9 million, 17.4%) are on the master
servicer's watchlist. The master servicer, Wells Fargo Bank N.A.,
stated that one additional loan ($3.9 million, 0.3%) defeased on
Oct. 2, 2014. Wells Fargo reported year-end 2013 or partial-year
2014 financial information for 95.3% of the nondefeased loans in
the pool.
S&P calculated a 1.50x Standard & Poor's weighted average debt
service coverage (DSC) and a 76.2% loan-to-value (LTV) ratio using
a 7.54% Standard & Poor's weighted average capitalization rate.
The DSC, LTV ratio, and capitalization rate calculations exclude
the five specially serviced assets, six defeased loans, and one
subordinate B hope note ($17.1 million, 1.3%). The top 10
nondefeased loans have an aggregate outstanding pool trust balance
of $782.8 million (59.7%). Using servicer-reported numbers, S&P
calculated a Standard & Poor's weighted average DSC and LTV ratio
of 1.60x and 71.3%, respectively, for nine of the top 10
nondefeased performing loans. The remaining top 10 loan is with
the special servicer (details below).
The properties securing the underlying loans are concentrated
within the New York-Newark-Jersey City, Washington-Arlington-
Alexandria, and Florence metropolitan statistical areas (MSAs).
Standard & Poor's U.S. Public Finance group provides credit
ratings on New York City, Montgomery County, and Florence County,
which participate within those MSAs.
-- New York City in the New York-Newark-Jersey City MSA: S&P
considers New York City's (AA/Stable general obligation debt
rating) economy to be strong, with projected per capita
effective buying income at 106% of the U.S. The total
market value of all real estate within the city reached $929
billion for 2015, up 11% from the prior year. The city's
per capita real estate market value was $111,609 for 2015.
With a population of 8.3 million, the city participates in
the New York-Newark-Jersey City MSA in New York, New Jersey,
and Pennsylvania, which we consider to be strong. The
city's unemployment rate for 2013 was 9%. Some of the loans
secured by properties located in New York City include the
200 Park Avenue, 1345 Avenue of the Americas, and Park
Avenue Plaza loans.
-- Montgomery County in the Washington-Arlington-Alexandria
MSA: S&P considers Montgomery County's (AAA/Stable general
obligation debt rating) economy to be very strong, with
projected per capita effective buying income at 182% of the
U.S. The total market value of all real estate within the
county reached $174 billion for 2013, down 2% from the prior
year. The county's per capita real estate market value was
$172,089 for 2013. With a population of 1 million, the
county participates in the Washington-Arlington-Alexandria
MSA in the District of Columbia, Virginia, and West
Virginia, which we consider to be strong. The county's
unemployment rate for 2013 was 5%. Some of the loans
secured by properties located in Montgomery County include
the 270 Corporate Center and 401 Frederick loans.
-- Florence County in the Florence MSA: S&P considers Florence
County's (AA-/Stable general obligation debt rating) economy
to be weak, with projected per capita effective buying
income at 82% of the U.S. The total market value of all
real estate within the county reached $8 billion for 2014,
the same as the prior year. The county's per capita real
estate market value was $59,594 for 2014. With a population
of 100,000, the county participates in the Florence MSA in
South Carolina, which S&P considers to be weak. The largest
loan secured by properties located in Florence County is the
Magnolia Mall loan.
To date, the transaction has experienced $30.5 million in
principal losses, or 1.3% of the original pool trust balance. S&P
expects losses to reach approximately 2.1% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the five specially serviced assets.
CREDIT CONSIDERATIONS
As of the Oct. 20, 2014, trustee remittance report, five assets in
the pool were with the special servicer, LNR Partners LLC (LNR).
Details of the two largest specially serviced assets, one of which
is a top 10 nondefeased loan, are:
-- The Sandpiper Apartments loan ($31.0 million, 2.4%) is the
eighth-largest nondefeased loan in the pool and has a total
reported exposure of $31.0 million. The loan is secured by
a 488-unit multifamily apartment complex in Las Vegas. The
loan, which has a "current" payment status, was transferred
to LNR on Oct. 1, 2012, because the borrower requested a
loan restructure. LNR stated that it is currently
discussing workout options with the borrower. S&P expects a
minimal loss upon the loan's eventual resolution.
-- The Centre at Lake in the Hills REO asset ($14.3 million,
1.1%) has a total reported exposure of $15.6 million. The
asset is a 99,451-sq.-ft. retail property in Lake in the
Hills, Ill. The loan was transferred to the special
servicer on May 18, 2011, and the property became REO on
March 14,2013. LNR stated that the property is currently
86.0% occupied and it is currently exploring disposition
options. An appraisal reduction amount of $9.3 million is
in effect against the asset. S&P expects a significant loss
upon the asset's eventual resolution.
The three remaining assets with the special servicer have
individual balances that represent less than 0.6% of the total
pool trust balance. S&P estimated losses for the five specially
serviced assets, arriving at a 31.4% weighted average loss
severity.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2005-C5
Commercial mortgage pass-through certificates series 2005-C5
Rating Rating
Class Identifier To From
A-4 52108H6W9 AAA (sf) AAA (sf)
A-1A 52108H6X7 AAA (sf) AAA (sf)
A-M 52108H6Y5 AAA (sf) A+ (sf)
A-J 52108H6Z2 A (sf) BBB (sf)
B 52108H7A6 A- (sf) BBB- (sf)
C 52108H7B4 BBB (sf) BB+ (sf)
D 52108H7C2 BB+ (sf) BB (sf)
E 52108H7D0 BB (sf) BB- (sf)
F 52108H7E8 BB- (sf) B+ (sf)
X-CL 52108H7T5 AAA (sf) AAA (sf)
G 52108H7G3 B (sf) CCC- (sf)
LIME STREET CLO: Moody's Hikes Rating on $15MM Cl. D Notes to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Lime Street CLO, Ltd.:
$30,000,000 Class B Senior Floating Rate Notes Due 2021, Upgraded
to Aaa (sf); previously on July 31, 2013 Upgraded to Aa3 (sf)
$22,000,000 Class C Deferrable Floating Rate Notes Due 2021,
Upgraded to A3 (sf); previously on July 31, 2013 Upgraded to Baa1
(sf)
$15,000,000 Class D Deferrable Floating Rate Notes Due 2021,
Upgraded to Ba1 (sf); previously on July 31, 2013 Affirmed Ba2
(sf)
Moody's also affirmed the ratings on the following notes:
$290,000,000 Class A Senior Floating Rate Notes Due 2021 (current
outstanding balance of $181,798,094.60), Affirmed Aaa (sf);
previously on July 31, 2013 Upgraded to Aaa (sf)
$12,600,000 Class E Deferrable Floating Rate Notes Due 2021,
Affirmed B1 (sf); previously on July 31, 2013 Affirmed B1 (sf)
Lime Street CLO, Ltd., issued in August 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
September 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 October 2013. The Class A notes
have been paid down by approximately 37.3% or $108.2 million since
October 2013. Based on the trustee's October 2014 report, the
Class A/B, Class C, Class D, and Class E overcollateralization
(OC) ratios are reported at 130.15%, 117.90%, 110.80%, and
105.46%, respectively, versus October 2013 levels of 119.34%,
111.67%, 106.97%, and 103.33%, respectively.
The portfolio includes securities that mature after the notes do.
Based on the trustee's October 2014 report, securities that mature
after the notes do currently make up approximately 3.10% of the
portfolio (or $8.2 million). These investments could expose the
notes to market risk in the event of liquidation when the notes
mature. Despite the increase in the OC ratio of the Class E notes,
Moody's affirmed the rating on the Class E notes owing to market
risk stemming from the exposure to these long-dated assets.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have
adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/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% (2346)
Class A: 0
Class B: 0
Class C: +2
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3519)
Class A: 0
Class B: -1
Class C: -2
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 $274.3 million, defaulted
par of $5.7 million, a weighted average default probability of
21.55% (implying a WARF of 2932), a weighted average recovery rate
upon default of 48.77%, a diversity score of 51 and a weighted
average spread of 4.00%.
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of
the assets in the collateral pool. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
LNR CDO IV: Moody's Affirms 'C' Ratings on 14 Note Classes
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following notes issued by LNR CDO IV Ltd.:
Cl. A, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C (sf)
Cl. B-FL, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C
(sf)
Cl. B-FX, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C
(sf)
Cl. C-FL, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C
(sf)
Cl. C-FX, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C
(sf)
Cl. D-FL, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C
(sf)
Cl. D-FX, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C
(sf)
Cl. E, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C (sf)
Cl. F-FL, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C
(sf)
Cl. F-FX, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C
(sf)
Cl. G, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Dec 18, 2013 Affirmed C (sf)
Ratings Rationale
Moody's has affirmed the ratings on the transaction because key
transaction metrics are commensurate with the existing ratings.
The rating action is the result of Moody's on-going surveillance
of commercial real estate collateralized debt obligation (CRE CDO
and Re-REMIC) transactions.
LNR CDO IV Ltd. is a static cash CRE CDO transaction. The
transaction is backed by a portfolio of commercial mortgage backed
securities (CMBS) (100% of the pool balance). As of the September
29, 2014 payment date, the collateral par amount is $326.9
million, representing a $1.27 billion decrease since
securitization primarily due to realized losses to the collateral
pool.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 9,117,
compared to 8,537 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follows: Aaa-Aa3 and 0.8% compared to 3.2% at
last review; Baa1-Baa3 and 0.0% compared to 4.5% at last review;
Ba1-Ba3 and 3.4% compared to 0.0% at last review; B1-B3 and 1.9%
compared to 5.4% at last review; and Caa1-Ca/C and 93.9% compared
to 86.9% at last review.
Moody's modeled a WAL of 3.0 years, compared to 4.1 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral.
Moody's modeled a fixed WARR of 0.3%, compared to 3.2% at last
review.
Moody's modeled a MAC of 0.0%, same as at last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will
also affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
recovery rate of the underlying collateral and credit assessments.
However, in light of the performance indicators noted above,
Moody's believes that it is unlikely that the ratings announced
are sensitive to further change.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
MACH ONE 2004-1: Fitch Raises Rating on Class H Notes to 'BBsf'
---------------------------------------------------------------
Fitch Ratings has upgraded seven classes and affirmed two classes
of MACH ONE 2004-1, LLC (MACH ONE). Upgrades and affirmations are
a result of increased credit enhancement to the notes from
principal paydowns.
KEY RATING DRIVERS
Since the last rating action in November 2013, none of the
collateral has been downgraded and 27.6% has been upgraded.
Currently, 43.8% of the portfolio has a Fitch derived rating below
investment grade and 8.9% has a rating in the 'CCC' category and
below, compared to 53.6% and 19.7%, respectively, at the last
rating action. Over this period, the transaction has received
$38.9 million for a total of $509.2 million in principal paydowns
since issuance.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Additionally, a deterministic analysis was performed
where the recovery estimate on the distressed collateral was
modeled in accordance with the principal waterfall. An asset by
asset analysis was then performed for the remaining assets to
determine the collateral coverage for the remaining liabilities.
Based on these analyses, classes F through K pass at or above the
assigned rating below. The below ratings reflect these results as
well as the risk of adverse selection as the portfolio continues
to amortize.
For the class L through N notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default
(but with increasing credit enhancement due to paydown), the class
L and M notes have been upgraded to 'CCCsf', indicating that
default is possible. Similarly, the N notes have been affirmed at
'Csf', indicating default is inevitable. The class O notes have
been affirmed at 'Dsf' due to incurred principal losses
(approximately $2.1 million since the last rating action).
The Stable Outlook on the class F through K notes reflect Fitch's
view that the transaction will continue to delever.
RATING SENSITIVITIES
In addition to the sensitivities discussed above, additional
negative migration and defaults beyond those projected by SF PCM
as well as increasing concentration of weaker credit quality
assets could lead to downgrades for the more junior classes. The
senior notes are expected to continue to amortize as 56% of the
collateral are senior positions in their respective underlying
transactions.
MACH ONE is a static Re-REMIC backed by CMBS B-pieces that closed
July 28, 2004. The transaction is collateralized by 11 assets
from nine obligors from the 1997 through 2000 vintages.
Fitch has taken these actions:
-- $4,647,375 class F notes upgraded to 'Asf' from 'BBsf';
Outlook remains Stable;
-- $15,277,000 class G notes upgraded to 'Asf' from 'Bsf';
Outlook revised to Stable from Positive;
-- $14,473,000 class H notes upgraded to 'BBsf' from 'CCCsf';
assign Outlook Stable;
-- $17,689,000 class J notes upgraded to 'Bsf' from 'CCCsf';
assign Outlook Stable;
-- $8,844,000 class K notes upgraded to 'Bsf' from 'CCCsf';
assign Outlook Stable;
-- $8,040,000 class L notes upgraded to 'CCCsf' from 'CCsf';
-- $8,844,000 class M notes upgraded to 'CCCsf' from 'Csf';
-- $6,432,000 class N notes affirmed at 'Csf';
-- $4,321,314 class O notes affirmed at 'Dsf'.
Classes P-1 through P-6 are NR.
MANUFACTURED HOUSING: S&P Corrects Rating on Cl. B-1 Certificate
----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on
Manufactured Housing Contract Sr/Sub Pass-Through Cert Series
2002-1's class B-1 certificates by lowering it to 'D (sf)' from
'CC (sf)'.
This transaction did not make its full interest payment on class
B-1 on the July 1, 2011, remittance date. Due to an error, S&P's
rating action on class B-1 did not occur contemporaneously with
the interest payment shortfall.
MASTR ASSET 2006-AB1: Moody's Cuts Rating on Cl. A-2 Secs to Ba1
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches from two MASTR Asset Backed Securities Trusts, backed by
Alt-A RMBS loans.
Complete rating actions are as follows:
Issuer: MASTR Asset Backed Securities Trust 2005-AB1
Cl. A-3A, Downgraded to Ba2 (sf); previously on Nov 25, 2013
Downgraded to Baa3 (sf)
Underlying Rating: Downgraded to Ba2 (sf); previously on Nov 25,
2013 Downgraded to Baa3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-3B, Downgraded to Ba2 (sf); previously on Nov 25, 2013
Downgraded to Baa3 (sf)
Issuer: MASTR Asset Backed Securities Trust 2006-AB1
Cl. A-2, Downgraded to Ba1 (sf); previously on Nov 25, 2013
Downgraded to Baa2 (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 of certain senior tranches were downgraded
as they are expected to incur interest shortfalls since they are
projected to be under collateralized. This will eventually create
a mismatch between the interest accrued on the collateral and that
due on the larger balance 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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% 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.
MORGAN STANLEY 2004-HQ4: Fitch Ups Class G Certs Rating From B-
---------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed seven classes
of Morgan Stanley Capital I Trust's (MSCI) commercial mortgage
pass-through certificates, series 2004-HQ4.
Key Rating Drivers
The upgrades reflect the increased credit enhancement as a result
of significant principal paydown since Fitch's last rating action
in May 2014.
As of the October 2014 distribution date, the pool's aggregate
principal balance has been reduced by 98.7% (including 3.6% of
realized losses) to $18.2 million from $1.37 billion at issuance.
Approximately $290 million in paydown, mostly from maturing loans,
has occurred since the last rating action. Per the servicer
reporting, one loan (22.9% of the pool) is defeased. Interest
shortfalls in the amount of $1.46 million are currently affecting
classes J through Q. Fitch has designated four loans (77.1%) as
Fitch Loans of Concern which includes the three specially serviced
loans, two of which transferred since the previous rating action.
Of the original 117 loans, five remain, three (56.1%) of which are
in special servicing. The non-specially serviced loans have
maturity dates in August 2016 (22.9%) and May 2034 (20.9%). The
loan maturing in August 2016 is defeased.
The largest loan remaining in the pool is a specially serviced
asset (28.5% of the pool), which is secured by a 44,206 square
foot (sf) mixed-use retail/office property located in Glendale,
CA. The loan was transferred to the special servicer in March 2014
due to imminent default caused by a drop in occupancy. Occupancy
fell to 20% in March 2014 after a tenant occupying 39% of the net
rentable area (NRA) vacated. In July, a letter of intent (LOI) was
executed for the purchase of the property and in August the
special servicer extended the forbearance period until Nov. 6,
2014 to allow time for the sale to be completed.
The largest non-defeased loan (20.9%) is a 46,688 sf neighborhood
retail property located in Calumet Park, Illinois. The borrower
did not pay off the loan at the anticipated repayment date (ARD)
of May 1, 2015 and the actual maturity date is not until May 2034.
The net operating income (NOI) debt service coverage ratio (DSCR)
for 2013 was reported at 1.65x, down from 1.89x for YE December
2012. The decline is primarily due to a decline in occupancy from
100% to 67%, where it remains as of May 2014.
Rating Sensitivities
Upgrades to classes G and H are supported by increased credit
enhancement due to paydown from maturities and the percentage of
defeased loans (22.9%) remaining in the pool. The Rating Outlook
on class G is revised to Stable as no additional rating changes
are expected due to increasing credit enhancement from continued
paydown, which offsets concerns of pool concentration.
Fitch upgrades the following classes and assigns or revises Rating
Outlooks and REs as indicated:
-- $658,329 class G to 'Asf' from 'B-sf', Outlook to Stable from
Negative;
-- $12 million class H to 'CCCsf' from 'Csf', RE 100%.
Fitch affirms the following classes and assigns REs as indicated:
-- $5.5 million class J at 'Dsf', RE 5%.
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%.
The class A1 to A-7, B, C, D, E and F certificates have paid in
full. Fitch does not rate the class Q and S certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
MORGAN STANLEY 2006-TOP21: S&P Affirms CCC- Rating on 3 Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 16
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2006-TOP21, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The affirmations on the principal- and interest-paying
certificates follow 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's
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 S&P's estimate of the
necessary credit enhancement required for the current ratings.
The affirmations also reflect S&P's views regarding the current
and future performance of the transaction's collateral, the
transaction's structure, liquidity support available to the
classes, as well as the magnitude of performing loans (excluding
the SBC - Hoffman Estates loan [$73.7million, 8.0% of the pool
trust balance] with a Dec. 1, 2010, anticipated repayment date and
a Dec. 1, 2035, final maturity date) maturing by 2015 (77 loans;
$713.4 million, 77.7%).
S&P affirmed its 'AAA (sf)' rating on the class X interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the Oct. 14, 2014, trustee remittance report, the collateral
pool balance was $918.3 million, which is 66.7% of the pool
balance at issuance. The pool currently includes 97 loans, down
from 121 loans at issuance. One of these loans ($1.5 million,
0.2%) is with the special servicer; two ($13.1 million, 1.4%) are
defeased; and 27 ($194.3 million, 21.2%) are on the master
servicer's watchlist. The master servicer, Wells Fargo Bank N.A.,
reported financial information for 99.8% of the nondefeased loans
in the pool, the majority of which was year-end 2013 data.
S&P calculated a Standard & Poor's weighted-average debt service
coverage (DSC) of 1.80x and a loan-to-value (LTV) ratio of 75.4%
using a Standard & Poor's weighted-average capitalization rate of
7.88%. The DSC, LTV, and capitalization rate calculations exclude
the specially serviced and defeased loans.
The top 10 loans have an aggregate outstanding pool trust balance
of $523.8 million (57.0%). Using servicer-reported numbers, S&P
calculated a Standard & Poor's weighted average DSC and LTV of
1.48x and 79.5%, respectively, for the top 10 loans. The largest
loan in the pool is the Monmouth Mall loan, with a $155.6 million
trust balance that is divided into a $129.2 million senior pooled
component (14.1% of the pool trust balance) and a $26.4 million
subordinate nonpooled component that provide 100% of the cash flow
to the class MMA-NA and MMB-NA raked certificates. In addition,
the equity interests in the borrower of the whole loan secure
$10.0 million in mezzanine debt. The loan is secured by 980,487
sq. ft. of a 1.44 million-sq.-ft. regional mall in Eatontown, N.J.
The loan matures on Sept. 1, 2015. Wells Fargo reported a 1.34x
DSC on the trust balance for year-end 2013. Our expected case
valuation,using an 8.00% capitalization rate, yielded a 90.4% in-
trust LTV ratio.
The properties securing the underlying loans are concentrated
within the New York-Newark-Jersey City and Chicago-Naperville-
Elgin metropolitan statistical area (MSAs). Standard & Poor's U.S.
Public Finance Group provides credit ratings on Monmouth County,
N.J.; Cook County, Ill.; and New York City, which participate
within those MSAs:
-- New York-Newark-Jersey City: S&P considers Monmouth County's
(AAA/Stable' general obligation debt rating) economy to be
very strong, with projected per capita effective buying
income at 157% of the U.S. The total market value of all
real estate within the county reached $112 billion for 2014,
up 2% from the prior year. The county's per capita real
estate market value was $177,716 for 2014. With a
population of 0.6 million, the county participates in the
New York-Newark-Jersey City MSA in New York, New Jersey, and
Pennsylvania, which S&P considers to be strong. The
county's unemployment rate for calendar year 2013 was 8%.
The largest loan secured by properties located in Monmouth
County is the Monmouth Mall loan.
-- Chicago-Naperville-Elgin: S&P considers Cook County's
(AA/Stable general obligation debt rating) economy to be
strong, with projected per capita effective buying income at
105% of the U.S. The total market value of all real estate
within the county reached $443 billion for 2014. The
county's per capita real estate market value was $85,239 for
2014. With a population of 5.2 million, the county
participates in the Chicago-Naperville-Elgin MSA in
Illinois, Indiana, and Wisconsin, which S&P considers to be
strong. The largest loan secured by properties located in
Cook County is the SBC - Hoffman Estates loan.
-- New York-Newark-Jersey City: S&P considers New York City's
(AA/Stable general obligation debt rating) economy to be
strong, with projected per capita effective buying income at
106% of the U.S. The total market value of all real estate
within the county reached $929 billion for 2015, up 11% from
the prior year. The city's per capita real estate market
value was $111,609 for 2015. With a population of 8.3
million, the city participates in the New York-Newark-Jersey
City MSA in New York, New Jersey, and Pennsylvania, which
S&P considers to be strong. The city's unemployment rate
for calendar year 2013 was 9%. Some of the loans secured by
properties located in New York City include the Plaza East
($35.3 million, 3.8%), 45 East 89th Street Condop ($14.0
million, 1.5%), and 8-12 West 14th Street ($12.5 million,
1.4%) loans.
To date, the transaction has experienced $13.0 million in
principal losses, or 0.9% of the original pool trust balance. S&P
expects losses to reach approximately 1.0% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the sole specially serviced loan.
CREDIT CONSIDERATIONS
As of the Oct. 14, 2014, trustee remittance report, one loan in
the pool was with the special servicer, C-III Asset Management
LLC. The 4510 E. Thousand Oaks Building loan has a one-month
delinquent payment status and has a total reported exposure of
$1.5 million. The loan is secured by a 10,181-sq.-ft. office
property in Westlake Village, Calif. The loan was transferred to
C-III on March 10, 2014, because of payment default. C-III
indicated that it is currently pursuing foreclosure. No recent
financial data was available. S&P expects a minimal loss (less
than 25%) upon the loan's eventual resolution.
RATINGS LIST
Morgan Stanley Capital I Trust 2006-TOP21
Commercial mortgage pass-through certificates series 2006-TOP21
Rating
Class Identifier To From
A-3 617451CP2 AAA (sf) AAA (sf)
A-AB 617451CQ0 AAA (sf) AAA (sf)
A-4 617451CR8 AAA (sf) AAA (sf)
A-M 617451CS6 AAA (sf) AAA (sf)
A-J 617451CT4 A (sf) A (sf)
B 617451CV9 BBB+ (sf) BBB+ (sf)
C 617451CW7 BBB- (sf) BBB- (sf)
D 617451CX5 BB+ (sf) BB+ (sf)
E 617451CY3 BB (sf) BB (sf)
F 617451CZ0 B+ (sf) B+ (sf)
G 617451DA4 B- (sf) B- (sf)
H 617451DB2 CCC+ (sf) CCC+ (sf)
J 617451DC0 CCC- (sf) CCC- (sf)
K 617451DE6 CCC- (sf) CCC- (sf)
L 617451DF3 CCC- (sf) CCC- (sf)
X 617451CU1 AAA (sf) AAA (sf)
MOTEL 6 TRUST: Fitch Raises Rating on E Notes From 'B+'
-------------------------------------------------------
Fitch Ratings has upgraded six and affirmed four classes of Motel
6 Trust 2012-MTL6 commercial mortgage pass-through certificates
series 2012-MTL6 (Motel 6 Trust 2012-MTL6).
KEY RATING DRIVERS
The transaction is primarily secured by 497 economy hotels
operated mainly under the Motel 6 brand. The upgrades reflect the
improved performance of the hotel portfolio since issuance. As of
trailing 12-months (TTM) August 2014, the Fitch adjusted debt
service coverage ratio (DSCR) for the trust component was 1.88
times (x), compared with 1.67x at the last rating action and 1.55x
at issuance.
The portfolio remains geographically diverse with properties
located across 47 states and one Canadian province. The largest
state concentration remains California with approximately one
third of the collateral. The collateral also includes 100% of the
direct equity interests in the sponsor subsidiary that holds
nearly 500 franchise agreements. As of TTM August 2014, franchise
EBIDTA had increased by approximately 12.5% from TTM August 2013
and 42% from TTM August 2012.
Since origination, there have been 20 releases; portfolio
collateral now consists of 497 hotels, approximately 62 of which
are ground lease interests. Total pay down of $23.7 million
(2.3%) has occurred from the property releases.
As part of its review, Fitch analyzed TTM August 2014 property and
franchise level operating statements provided by the Servicer.
For TTM August 2014, portfolio occupancy, average daily rate
(ADR), and revenue per available room (RevPAR) were reported at
66.3%, $49.09, and $32.56, respectively. These metrics are up
from the TTM August 2013 figures of 64.7%, $45.95, and $29.75 and
TTM August 2012 figures of 63.6%, $45.85, and $29.17,
respectively. The Fitch adjusted DSCR was calculated based on a
Fitch adjusted NCF (reflective of an additional credit loss on the
leasehold properties and a 5% FF&E deduction) and a stressed debt
service amount calculated using an 11.33% refinance constant.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. For additional
sensitivity analysis, please see Fitch's new issue report titled,
'Motel 6 Trust 2012-MTL6, Series 2012-MTL6', dated Dec. 5, 2012.
Fitch has upgraded these classes:
-- $540.5 million* class XB-1 to 'BBBsf' from 'BB+sf'; Outlook
Stable;
-- $540.5 million* class XB-2 to 'BBBsf' from 'BB+sf'; Outlook
Stable;
-- $189.9 million class B to 'AA+sf' from 'AA-sf'; Outlook
Stable;
-- $145.1 million class C to 'AA-sf' from 'A-sf'; Outlook
Stable;
-- $185,500,000 class D to 'BBBsf' from 'BBB-sf'; Outlook
Stable;
-- $20,000,000 class E to 'BBBsf' from 'BB+sf'; Outlook Stable.
Fitch has affirmed these classes:
-- $81.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $404.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $404.5 million* class XA-1 at 'AAAsf'; Outlook Stable;
-- $485.8* class XA-2 at 'AAAsf'; Outlook Stable.
*Notional amount and interest only.
NAUTIQUE FUNDING: S&P Raises Rating on Class D Notes to BB+
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-3, B-1, B-2, C, and D notes from Nautique Funding Ltd., a
collateralized loan obligation (CLO) transaction managed by
INVESCO Senior Secured Management Inc. In addition, S&P removed
them from CreditWatch, where it placed them with positive
implications on Aug. 29, 2014. Simultaneously, S&P affirmed its
'AAA (sf)' ratings on the class A-1A, A-1B, A-2A, and A-2B notes
from the same transaction.
The upgrades on the class A-3, B-1, B-2, C, and D notes reflect
the increased credit support following the paydowns to the class
A-1A, A-1B, and A-2A notes.
Following the most recent payment date, Oct. 15, 2014, the class
A-1A, A-1B, and A-2A note balances are at 43.93%, 43.93%, and
37.71% of their respective original balances. The paydowns
increased the available credit support by improving the
overcollateralization (O/C) levels for each class. Per the
Oct. 15, 2014, report, the trustee reported these O/C ratios:
-- The class A O/C ratio was 148.56%, up from 128.60% in
Jan. 2014.
-- The class B O/C ratio was 130.37%, up from 118.68% in
Jan. 2014.
-- The class C O/C ratio was 115.73%, up from 109.91% in
Jan. 2014.
-- The class D O/C ratio was 110.64%, up from 106.68% in
Jan. 2014.
According to the Oct. 15, 2014, trustee report, defaulted
obligations decreased to $0.35 million from the $5.35 million as
of the Jan. 2014 trustee report. The amount of collateral rated
in the 'CCC' range held in the transaction's asset portfolio also
dropped to $6.79 million in Oct. 2014 from $14.99 million in
January 2014.
In addition, the transaction held $26.45 million of long-dated
assets that mature after the transaction's stated maturity date.
S&P's analysis accounted for the potential market value and/or
settlement-related risk arising from the potential liquidation of
those remaining securities on the transaction's legal final
maturity date.
S&P's affirmations on the class A-1A, A-1B, A-2A, and A-2B notes
reflect the availability of adequate credit support at their
current rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Nautique Funding Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A-1A AAA (sf) AAA (sf) 25.06% AAA (sf)
A-1B AAA (sf) AAA (sf) 25.06% AAA (sf)
A-2A AAA (sf) AAA (sf) 26.34% AAA (sf)
A-2B AAA (sf) AAA (sf) 25.06% AAA (sf)
A-3 AA+ (sf)/Watch Pos AAA (sf) 11.90% AAA (sf)
B-1 A+ (sf)/Watch Pos AA+ (sf) 9.28% AA+ (sf)
B-2 A+ (sf)/Watch Pos AA+ (sf) 9.28% AA+ (sf)
C BBB- (sf)/Watch Pos BBB+ (sf) 7.17% BBB+ (sf)
D BB- (sf)/Watch Pos BB+ (sf) 7.69% BB+ (sf)
(i) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each
tranche's weighted average recovery rate. S&P also generated
other scenarios by adjusting the intra- and inter-industry
correlations to assess the current portfolio's sensitivity to
different correlation assumptions assuming the correlation
scenarios outlined.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C BBB+ (sf) BBB (sf) BBB+ (sf) A- (sf) BBB+ (sf)
D 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-1A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) AA- (sf) AA+ (sf)
B-2 AA+ (sf) AA+ (sf) AA- (sf) AA+ (sf)
C BBB+ (sf) BBB+ (sf) BB+ (sf) BBB+ (sf)
D BB+ (sf) BB+ (sf) B (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Nautique Funding Ltd.
Rating
Class To From
A-3 AAA (sf) AA+ (sf)/Watch Pos
B-1 AA+ (sf) A+ (sf)/Watch Pos
B-2 AA+ (sf) A+ (sf)/Watch Pos
C BBB+ (sf) BBB- (sf)/Watch Pos
D BB+ (sf) BB- (sf)/Watch Pos
RATINGS AFFIRMED
Nautique Funding Ltd.
Class Rating
A-1A AAA (sf)
A-1B AAA (sf)
A-2A AAA (sf)
A-2B AAA (sf)
NEUBERGER BERMAN XVII: S&P Affirms BB- Rating on 2 Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Neuberger Berman CLO XVII Ltd./Neuberger Berman CLO XVII LLC's
$512.75 million floating-rate notes following the transaction's
effective date as of Sept. 22, 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 S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of S&P's review based on the information presented to S&P said.
S&P believes the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of S&P's criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P added.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as S&P deems
necessary.
RATINGS LIST
Neuberger Berman CLO XVII Ltd./Neuberger Berman CLO XVII LLC
Rating
Class Identifier To From
X 64129UAA3 AAA (sf) AAA (sf)
A 64129UAC9 AAA (sf) AAA (sf)
B 64129UAG0 AA (sf) AA (sf)
C 64129UAL9 A (sf) A (sf)
D 64129UAQ8 BBB- (sf) BBB- (sf)
E-1 64129VAA1 BB- (sf) BB- (sf)
E-2 64129VAG8 BB- (sf) BB- (sf)
PHOENIX CLO I: Moody's Affirms Ba3 Rating on $15.5MM Cl. D Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Phoenix CLO I, Ltd.:
$39,500,000 Class B Second Priority Deferrable Floating Rate
Notes Due 2018, Upgraded to Aa2 (sf); previously on June 20, 2014
Upgraded to A2 (sf)
$13,000,000 Class C Third Priority Deferrable Floating Rate Notes
Due 2018, Upgraded to Baa1 (sf); previously on June 20, 2014
Upgraded to Baa3 (sf)
Moody's also affirmed the ratings on the following notes:
$302,000,000 Class A Senior Secured Floating Rate Notes Due 2018
(current outstanding balance of $138,443,804.80), Affirmed Aaa
(sf); previously on June 20, 2014 Affirmed Aaa (sf)
$15,500,000 Class D Fourth Priority Deferrable Floating Rate
Notes Due 2018 (current outstanding balance of $13,810,776.33),
Affirmed Ba3 (sf); previously on June 20, 2014 Affirmed Ba3 (sf)
Phoenix CLO I, Ltd., issued in October 2006, 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 ratios since May 2014. The Class A notes have
been paid down by approximately 24% or $42.6 million since May
2014. Based on the trustee's September 2014 report, the over-
collateralization (OC) ratios for the Class A/B, Class C and Class
D notes are reported at 156.93%, 122.10%, 113.78% and 106.11%,
respectively, versus May 2014 levels of 143.84%, 118.08%, 111.50%
and 105.28%, respectively.
Additionally the deal has benefited from an improvement in the
credit quality of the portfolio since May 2014. Moody's adjusted
weighted average rating factor (WARF) has declined since the last
rating action owing to a decline in the percentage of securities
whose ratings are on review for downgrade or have a negative
outlook. Based on Moody's calculations the WARF is currently 2539
compared to 2731 in May 2014.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have
adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the
lowest priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes 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% (2031)
Class A: 0
Class B: +2
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3047)
Class A: 0
Class B: -2
Class C: -2
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $217.3 million, defaulted
par of $10.3 million, a weighted average default probability of
14.29% (implying a WARF of 2539), a weighted average recovery rate
upon default of 51.48%, a diversity score of 41 and a weighted
average spread of 2.94%.
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.
PREFERRED PASS-THROUGH 2006-A: S&P Lowers Rating on 2 Notes to BB
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from four repackaged transactions. The ratings on the
classes from the four transactions depend on S&P's ratings on the
related underlying securities.
The downgrades reflect the Sept. 29, 2014, downgrades of various
hybrid securities following a criteria revision. S&P may take
subsequent rating actions on these transactions if it changes its
ratings on the related underlying securities.
RATINGS LOWERED
Fixed Income Pass-Through Trust 2007-B
$37.4 million variable-rate pass-thru series 2007-B due Jan. 15,
2087
Class Rating
To From
A BBB- (sf) BBB (sf)
B BBB- (sf) BBB (sf)
Note: The underlying security is JPMorgan Chase Capital XXI's
series U floating-rate capital securities due Feb. 2, 2037
('BBB-').
Fixed Income Pass-Through Trust 2007-C
$132 million floating-rate pass-thru series 2007-C due May 15,
2077
Class Rating
To From
A BBB- (sf) BBB (sf)
B BBB- (sf) BBB (sf)
Note: The underlying security is JPMorgan Chase Capital XXIII's
series W floating-rate capital securities due May 15, 2047
('BBB-').
Preferred Pass-Through Trust 2006-A
$75 million auction rate and leveraged preferred trust
certificates series 2006-A
Class Rating
To From
A BB (sf) BB+ (sf)
B BB (sf) BB+ (sf)
Note: The underlying security is Goldman Sachs Group Inc.'s series
D floating-rate noncumulative preferred stock ('BB').
Granite Finance Ltd. SPC
$5.7 million floating-rate notes due June 22, 2018
Class Rating
To From
Notes BBB-p BBBp
Note: The underlying security is Barclays Bank PLC's 6.05% medium-
term notes due Dec. 4, 2017 ('BBB-'), and the 'p' subscript
indicates that the rating addresses only the principal portion of
the obligation.
REALT 2014-1: Fitch Assigns 'Bsf' Rating on Class G Notes
---------------------------------------------------------
Fitch Ratings has assigned these final ratings and Rating Outlooks
to Real Estate Asset Liquidity Trust's (REAL-T) commercial
mortgage pass-through certificates, series 2014-1:
-- C$241,680,000 class A 'AAAsf'; Outlook Stable;
-- C$7,015,000 class B 'AAsf'; Outlook Stable;
-- C$9,120,000 class C 'Asf'; Outlook Stable;
-- C$7,717,000 class D 'BBBsf'; Outlook Stable;
-- C$3,507,000 class E 'BBB-sf'; Outlook Stable;
-- C$3,157,000 class F 'BBsf'; Outlook Stable;
-- C$2,806,000 class G 'Bsf'; Outlook Stable.
All currencies are in Canadian dollars (CAD).
Fitch does not rate the $280,615,596 (notional balance) interest-
only class X or the non-offered $5,613,596 class H certificate.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 34 loans secured by 46 commercial
properties located in Canada having an aggregate principal balance
of approximately C$280.6 million as of the cutoff date. The loans
were originated or acquired by Royal Bank of Canada, IMC Limited
Partnership, and Trez Commercial Mortgage Limited Partnership.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 82.9% of the properties
by balance, cash flow analysis of 100%, and asset summary reviews
on 100% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.15x, a Fitch stressed loan-to-value (LTV) of 110.2%,
and a Fitch debt yield of 9.22%. Fitch's aggregate net cash flow
represents a variance of 5.9% to issuer cash flows.
KEY RATING DRIVERS
Canadian Loan Attributes and Historical Performance: The ratings
reflect strong historical Canadian commercial real estate loan
performance, including a low delinquency rate and low historical
losses of less than 0.1%, as well as positive loan attributes,
such as short amortization schedules, recourse to the borrower,
and additional guarantors.
Fitch Leverage: The pool has a Fitch DSCR of 1.15x and LTV of
110.2%, which represents slightly higher leverage than recent
Canadian multiborrower deals. The IMSCI 2014-5 deal had a Fitch
DSCR and LTV of 1.16x and 98.2%, respectively, and the IMSCI 2013-
4 deal had a Fitch DSCR and LTV of 1.16x and 100.2%. The leverage
is slightly higher than the first-half 2014 average for U.S. CMBS,
which had an LTV of 105.6%.
Amortization: The pool has a weighted average amortization term of
26.7 years, which represents faster amortization than U.S. conduit
loans. There are no partial or full interest-only loans. The
pool's maturity balance represents a paydown of 16.3% of the
closing balance.
Sponsor Concentration: Approximately 20% of the pool is sponsored
by one of three REITs managed by Skyline Wealth Management Inc.
RATING SENSITIVITIES
Fitch performed two model-based break-even analyses to determine
the level of cash flow and value deterioration the pool could
withstand prior to $1 of loss being experienced by the 'BBB-sf'
and 'AAAsf' rated classes. Fitch found that the REAL-T 2014-1
pool could withstand a 41.3% decline in value (based on appraised
values at issuance) and an approximately 12.1% decrease to the
most recent actual cash flow prior to experiencing $1 of loss to
the 'BBB-sf' rated class. Additionally, Fitch found that the pool
could withstand a 47.3% decline in value and an approximately 21%
decrease in the most recent actual cash flow prior to experiencing
$1 of loss to any 'AAAsf' rated class.
Key Rating Drivers and Rating Sensitivities are further described
in the accompanying transaction report.
The master and special servicer is First National Financial LP,
which is unrated by Fitch. However, Fitch performed a limited
scope review which included a discussion with management, and has
begun the full servicer review process. Fitch views FNFC as
acceptable to serve as servicer for the transaction.
RESOURCE REAL 2007-1: Moody's Affirms 'Caa3' Rating on 4 Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Resource Real Estate Funding CDO 2007-1
Ltd.
Cl. A-2, Upgraded to Aa2 (sf); previously on Dec 11, 2013 Affirmed
Aa3 (sf)
Cl. B, Upgraded to Baa1 (sf); previously on Dec 11, 2013 Affirmed
Baa3 (sf)
Cl. C, Upgraded to Baa3 (sf); previously on Dec 11, 2013 Affirmed
Ba2 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. A-1, Affirmed Aaa (sf); previously on Dec 11, 2013 Affirmed
Aaa (sf)
Cl. D, Affirmed B2 (sf); previously on Dec 11, 2013 Affirmed B2
(sf)
Cl. E, Affirmed Caa1 (sf); previously on Dec 11, 2013 Affirmed
Caa1 (sf)
Cl. F, Affirmed Caa1 (sf); previously on Dec 11, 2013 Affirmed
Caa1 (sf)
Cl. G, Affirmed Caa2 (sf); previously on Dec 11, 2013 Affirmed
Caa2 (sf)
Cl. H, Affirmed Caa2 (sf); previously on Dec 11, 2013 Affirmed
Caa2 (sf)
Cl. J, Affirmed Caa3 (sf); previously on Dec 11, 2013 Affirmed
Caa3 (sf)
Cl. K, Affirmed Caa3 (sf); previously on Dec 11, 2013 Affirmed
Caa3 (sf)
Cl. L, Affirmed Caa3 (sf); previously on Dec 11, 2013 Affirmed
Caa3 (sf)
Cl. M, Affirmed Caa3 (sf); previously on Dec 11, 2013 Affirmed
Caa3 (sf)
Ratings Rationale
Moody's has upgraded the ratings of three classes of notes due to
full amortization of high credit risk collateral. Moody's has
affirmed the ratings on the transaction because its key
transaction metrics are commensurate with existing ratings. The
rating actions are the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO
CLO) transactions.
Resource RE Funding 2007-1 is a cash transaction whose
reinvestment period ended in June 2012. The transaction is backed
by a portfolio of: i) whole loans (69.3% of the current pool
balance); ii) commercial mortgage backed securities (CMBS)
(23.6%); and iii) mezzanine interests (5.5%). As of the trustee's
September 19, 2014 trustee report, the aggregate note balance of
the transaction, including preferred shares, is $289.4 million,
compared to $356.5 at last review with the paydown directed to the
senior most outstanding class of notes, as a result of regular
amortization and prepayments.
The pool contains three CMBS assets totaling $10.0 million (3.5%
of the collateral pool balance) that are listed as impaired
securities as of the September 19, 2014. While there have been
limited realized losses on the underlying collateral to date,
Moody's does expect low/moderate losses to occur on the impaired
securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CLO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CLO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 6,745,
compared to 6,809 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa (1.5% compared to 0.0% at last
review) A1-A3 (2.3% compared to 5.7% at last review), Baa1-Baa3
(7.8% compared to 4.9% at last review), Ba1-Ba3 (7.4% compared to
4.5% at last review), B1-B3 (3.3% compared to 7.5% at last review)
and Caa1-Ca/C (77.8% compared to 77.4% at last review).
Moody's modeled a WAL of 4.0 years, compared to 5.1 at last
review. The WAL is based on assumptions about extensions on the
underlying collateral.
Moody's modeled a fixed WARR of 37%, compared to 43.7% at last
review.
Moody's modeled a MAC of 100%, same as last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in March 2014.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will
also affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the
rated notes, although a change in one key parameter assumption
could be offset by a change in one or more of the other key
parameter assumptions. The rated notes are particularly sensitive
to changes in the ratings recovery rates of the underlying
collateral and credit assessments. Increasing the recovery rates
by 10% would result in an average modeled rating movement on the
rated notes of zero to nine notches upward (e.g., one notch up
implies a ratings movement of Ba1 to Baa3). Decreasing the
recovery rates by 10% would result in an average modeled rating
movement on the rated notes of zero to nine notches downward
(e.g., one notch down implies a ratings movement of Baa3 to Ba1).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
SCHOONER TRUST 2005-3: Moody's Affirms B1 Rating on Class J Notes
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven
classes and upgraded the ratings on seven classes in Schooner
Trust - Series 2005-3 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Dec 5, 2013 Affirmed Aaa
(sf)
Cl. B, Upgraded to Aaa (sf); previously on Dec 5, 2013 Upgraded to
Aa1 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Dec 5, 2013 Upgraded to
A1 (sf)
Cl. D-1, Upgraded to A3 (sf); previously on Dec 5, 2013 Upgraded
to Baa1 (sf)
Cl. D-2, Upgraded to A3 (sf); previously on Dec 5, 2013 Upgraded
to Baa1 (sf)
Cl. E, Upgraded to Baa1 (sf); previously on Dec 5, 2013 Affirmed
Baa3 (sf)
Cl. F, Upgraded to Baa2 (sf); previously on Dec 5, 2013 Affirmed
Ba1 (sf)
Cl. G, Upgraded to Baa3 (sf); previously on Dec 5, 2013 Affirmed
Ba2 (sf)
Cl. H, Affirmed Ba3 (sf); previously on Dec 5, 2013 Affirmed Ba3
(sf)
Cl. J, Affirmed B1 (sf); previously on Dec 5, 2013 Affirmed B1
(sf)
Cl. K, Affirmed B2 (sf); previously on Dec 5, 2013 Affirmed B2
(sf)
Cl. L, Affirmed B3 (sf); previously on Dec 5, 2013 Affirmed B3
(sf)
Cl. XC-1, Affirmed Ba3 (sf); previously on Dec 5, 2013 Affirmed
Ba3 (sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Dec 5, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on P&I classes B, C, D-1, D-2, E, F and G were
upgraded primarily due to an increase in credit support since
Moody's last review, resulting from paydowns and amortization, as
well as Moody's expectation of additional increases in credit
support resulting from the payoff of loans approaching maturity
that are well positioned for refinance. The pool has paid down by
17% since Moody's last review. In addition, loans constituting 74%
of the pool that have debt yields exceeding 10.0% are scheduled to
mature within the next six months.
The rating on P&I classes A-2, H, J, K and L were affirmed due to
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 IO classes (XC-1 and XC-2) were affirmed based to the credit
quality of their referenced classes.
Moody's rating action reflects a base expected loss of 1.3% of the
current balance, compared to 1.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.7% of the
original pooled balance, compared to 1.1% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of SCSC 2005-3.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 22 compared to 26 at Moody's last review.
Deal Performance
As of the October 15, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 42% to $228 million
from $396 million at securitization. The certificates are
collateralized by 70 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten loans constituting 48% of
the pool. No loans have investment-grade structured credit
assessments. Twenty-one loans, constituting 15% of the pool, have
defeased and are secured by Canadian government securities.
Ten loans, constituting 19% 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.
No loans have been liquidated from the pool and currently there
are no specially serviced loans.
Moody's has assumed a high default probability for two poorly
performing loans, constituting 1% of the pool, and has estimated
an aggregate loss of $490 thousand (a 20.5% expected loss based on
a 50% probability default) from these troubled loans.
Moody's received full or partial year 2013 operating results for
91% of the pool. Moody's weighted average conduit LTV is 58%,
compared to 61% 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 10.8% to
the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 8.8%.
Moody's actual and stressed conduit DSCRs are 1.59X and 1.80X,
respectively, compared to 1.56X and 1.70X 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 23% of the pool balance. The
largest loan is the Portsmouth Place Loan ($19.9 million -- 8.7%
of the pool), which is secured by a 400-unit multi-family building
located in Kingston, Ontario. As of September 2013, the property
was 99% leased, the same as at last review. Moody's LTV and
stressed DSCR are 59% and 1.42X, respectively, compared to 67% and
1.25X at the last review.
The second largest loan is the Corner Brook Plaza Loan ($16.9
million -- 7.4% of the pool), which is secured by a 233,347 square
foot shopping center located in Corner Brook, Newfoundland. As of
June 2014, the property was 99% leased, the same as at last
review. The loan was structured with a 25-year amortization
schedule at origination and has amortized an additional 3% since
last review. Moody's LTV and stressed DSCR are 54% and 1.90X,
respectively, compared to 59% and 1.76X at the last review.
The third largest loan is the Metro Self Storage Portfolio (A)
Loan ($15.7 million -- 6.9% of the pool), which is secured by two
cross-collateralized/cross-defaulted loans. The collateral is a
portfolio of seven self-storage properties located in Halifax and
Turo, Nova Scotia. As of August 2013, the portfolio was 75% leased
compared to 76% at last review. The loan amortizes on a 20-year
schedule and has amortized an additional 5% since last review.
Moody's LTV and stressed DSCR are 50% and 2.01X, respectively, the
same as the last review.
SHACKLETON 2014-V: S&P Affirms B Rating on 2 Note Classes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Shackleton 2014-V CLO Ltd./Shackleton 2014-V CLO LLC's $572.5
million fixed- and floating-rate notes following the transaction's
effective date as of Aug. 27, 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 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 S&P's criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P added.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as S&P deems
necessary.
RATINGS AFFIRMED
Shackleton 2014-V CLO Ltd./Shackleton 2014-V CLO LLC
Class Rating Amount
(mil. $)
X AAA (sf) 4.00
A AAA (sf) 366.00
B-1 AA (sf) 71.00
B-2 AA (sf) 7.00
C-1 (deferrable) A (sf) 42.00
C-2 (deferrable) A (sf) 9.00
D (deferrable) BBB- (sf) 33.00
E (deferrable) BB- (sf) 24.00
F-1 (deferrable) B (sf) 9.50
F-2 (deferrable) B (sf) 7.00
STARWOOD RETAIL: S&P Assigns Prelim. BB- Rating on Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Starwood Retail Property Trust 2014-STAR's $725.0
million commercial mortgage pass-through certificates series 2014-
STAR.
The certificate issuance is a commercial mortgage-backed
securities transaction backed by cross-collateralized first-
mortgage liens on the fee simple and leasehold interests on three
enclosed regional malls and one open-air regional mall. The Mall
at Wellington Green ($231.5 million ALA; fee interest) is located
in Wellington, Fla., totaling 1.26 million sq. ft., of which
598,308 sq. ft. serves as collateral. MacArthur Center ($185.6
million ALA; leasehold interest) is located in Norfolk, Va.,
totaling 927,692 sq. ft., of which 514,078 sq. ft. serves as
collateral. Northlake Mall ($170.7 million ALA; fee interest) is
located in Charlotte, N.C., totaling 1.07 million sq. ft., of
which 539,813 sq. ft. serves as collateral. The Mall at Partridge
Creek ($137.0 million ALA; fee interest) is located in Clinton
Township, Mich., totaling 626,162 sq. ft., of which 369,910 sq.
ft. serves as collateral.
The preliminary ratings are based on information as of Oct. 29,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historic and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Starwood Retail Property Trust 2014-STAR
Class Rating(i) Amount ($)
A AAA (sf) 381,846,000
XA-1 AAA (sf) 381,846,000(ii)
XA-2 AAA (sf) 381,846,000(ii)
XB-1 B+ (sf) 343,154,000(iii)
XB-2 B+ (sf) 343,154,000(iii)
B AA- (sf) 84,854,000
C A- (sf) 63,641,000
D BBB- (sf) 78,067,000
E BB- (sf) 87,672,000
F B+ (sf) 28,920,000
(i) The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii) Notional balance. The notional amount of the class XA-1 and
XA-2 certificates will be equal to the principal amount of
the class A certificate.
(iii)Notional balance. The notional amount of the class XB-1 and
XB-2 certificates will be equal to the sum of the principal
amounts of the class B through F certificates.
THACHER PARK: Moody's Assigns Ba3 Rating on 2 Note Classes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Thacher Park CLO, Ltd.
Moody's rating action is as follows:
$357,500,000 Class A Senior Secured Floating Rate Notes due 2026
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
$58,300,000 Class B Senior Secured Floating Rate Notes due 2026
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
$26,950,000 Class C Secured Deferrable Floating Rate Notes due
2026 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
$23,100,000 Class D-1 Secured Deferrable Floating Rate Notes due
2026 (the "Class D-1 Notes"), Definitive Rating Assigned Baa3 (sf)
$11,000,000 Class D-2 Secured Deferrable Floating Rate Notes due
2026 (the "Class D-2 Notes"), Definitive Rating Assigned Baa3 (sf)
$28,450,000 Class E-1 Secured Deferrable Floating Rate Notes due
2026 (the "Class E-1 Notes"), Definitive Rating Assigned Ba3 (sf)
$4,000,000 Class E-2 Secured Deferrable Floating Rate Notes due
2026 (the "Class E-2 Notes"), Definitive Rating Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D-1 Notes, the Class D-2 Notes, the Class E-1 Notes and the Class
E-2 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.
Thacher Park 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,
unsecured loans, high yield bonds and senior secured bonds. The
Issuer's portfolio is approximately 80% ramped as of the closing
date and the Issuer's documents require that the portfolio will be
100% ramped within five months thereafter.
GSO/Blackstone Debt Funds 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: $550,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2801
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.5%
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 2801 to 3221)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D-1 Notes: -1
Class D-2 Notes: -1
Class E-1 Notes: -1
Class E-2 Notes: -1
Percentage Change in WARF -- increase of 30% (from 2801 to 3641)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D-1 Notes: -2
Class D-2 Notes: -2
Class E-1 Notes: -1
Class E-2 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 Score provides 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. The V Score applies to the entire
transaction, rather than individual tranches.
TELOS CLO 2014-6: S&P Assigns Prelim. BB Rating on Class E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to TELOS CLO 2014-6 Ltd./TELOS CLO 2014-6 LLC's $322.50
million fixed- and floating-rate notes.
The note issuance is a CLO transaction backed by a revolving pool
consisting primarily of broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Oct. 28,
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 legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which comprises
primarily broadly syndicated speculative-grade senior
secured term loans.
-- The collateral servicer'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 0.2316%-12.7531%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of a certain amount
of excess interest proceeds that are available prior to
paying subordinated management fees, uncapped administrative
expenses and fees, subordinated hedge termination payments,
collateral manager incentive fees, and subordinated note
payments, to principal proceeds for the purchase of
additional collateral assets during the reinvestment period.
RATINGS LIST
TELOS CLO 2014-6 Ltd./TELOS CLO 2014-6 LLC
Class Preliminary rating Preliminary amount (mil. $)
A-1 AAA (sf) 161.50
A-2 AAA (sf) 60.00
B-1 AA (sf) 8.00
B-2 AA (sf) 34.00
C A (sf) 22.00
D BBB (sf) 20.50
E BB (sf) 16.50
Subordinated notes NR 37.40
NR--Not rated.
UNITED ARTISTS: Moody's Affirms B3 Rating on 1995-A Certificate
---------------------------------------------------------------
Moody's Investors Service affirmed the rating of United Artists
Theatre Circuit, Inc. 1995-A Pass Through Trust 9.3% Pass Through
Certificates, Series 1995-A as follows:
1995-A, Affirmed B3; previously on Dec 19, 2013 Affirmed B3
Ratings Rationale
The rating was affirmed based on the support of the long term
triple net lease guaranteed by Regal Entertainment Group (senior
unsecured debt rating of B3; stable outlook).
Factors that would lead to an upgrade or downgrade of the rating:
The ratings of Credit Tenant Lease (CTL) deals are primarily based
on the senior unsecured debt rating (or the corporate family
rating) of the tenants leasing the real estate collateral
supporting the bonds. Other factors that are also considered are
Moody's dark value of the collateral (value based on the property
being vacant or dark), which is used to determine a recovery rate
upon a loan's default and the rating of the residual insurance
provider, if applicable. Factors that may cause an upgrade of the
ratings include an upgrade in the rating of the corporate tenant
or significant loan paydowns or amortization which results in a
higher dark loan to value. Factors that may cause a downgrade of
the ratings include a downgrade in the rating of the corporate
tenant or the residual insurance provider.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Commercial Real
Estate Finance: Moody's Approach to Rating Credit Tenant Lease
Financings" published in November 2011.
No model was used in this review.
Deal Performance
As of the July 2014 distribution date, the Certificate balance has
paid down by approximately 93% to $7.7 million from $116.8 million
at securitization.
This Credit Tenant Lease (CTL) transaction is secured by a
portfolio of movie theaters that are subject to fully bondable,
triple net leases to Regal. The leases expire on July 1, 2015 and
are coterminous with the transaction's final distribution date.
The lease payments are sufficient to pay all principal and
interest for the Certificate by the final distribution date.
VOYA CLO III: Moody's Raises Rating on $13MM Cl. D Notes to Ba2
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Voya CLO III, Ltd.:
$29,500,000 Class B Deferrable Floating Rate Notes Due 2020,
Upgraded to Aa1 (sf); previously on February 21, 2014 Upgraded to
A1 (sf)
$15,500,000 Class C Floating Rate Notes Due 2020, Upgraded to
Baa1 (sf); previously on February 21, 2014 Affirmed Baa3 (sf)
$13,000,000 Class D Floating Rate Notes Due 2020, Upgraded to Ba2
(sf); previously on February 21, 2014 Affirmed B1 (sf)
Moody's also affirmed the ratings on the following notes:
$255,000,000 Class A-1 Floating Rate Notes Due 2020 (current
outstanding balance of $84,752,201), Affirmed Aaa (sf); previously
on February 21, 2014 Affirmed Aaa (sf)
$100,000,000 Class A-2a Floating Rate Notes Due 2020 (current
outstanding balance of $16,545,197), Affirmed Aaa (sf); previously
on February 21, 2014 Affirmed Aaa (sf)
$25,000,000 Class A-2b Floating Rate Notes Due 2020, Affirmed Aaa
(sf); previously on February 21, 2014 Affirmed Aaa (sf)
$23,000,000 Class A-3 Floating Rate Notes Due 2020, Affirmed Aaa
(sf); previously on February 21, 2014 Upgraded to Aaa (sf)
Voya CLO III, Ltd., issued in December 2006, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
January 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 February 2014. The Class A-1 Notes
have been paid down by $60.2 million, or 41.5%, and the Class A-2a
Notes have been paid down by $29.5 million, or 64.1% since then.
Based on Moody's October 2014 calculation, which accounts for
principal payments of $13.4 million to the Class A-1 and A-2a
notes on the October payment date, the over-collateralization
ratios for the Class A, B, C and D Notes are 151.3%, 126.3%,
116.2% and 108.9%, respectively, versus February 2014 levels of
131.8%, 117.4%, 110.9% and 106.1%, respectively.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
February 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have
adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
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% (2155)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: 0
Class B: +1
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3233)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: 0
Class B: -2
Class C: -2
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in February 2014.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $223.8 million, defaulted
par of $5.6 million, a weighted average default probability of
17.53% (implying a WARF of 2694), a weighted average recovery rate
upon default of 51.8%, a diversity score of 52 and a weighted
average spread of 3.23%.
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 2006-C25: Moody's Affirms C Rating on 2 Certs
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on 13 classes in Wachovia Bank Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2006-C25 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Oct 31, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Oct 31, 2013 Affirmed
Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on Oct 31, 2013 Affirmed
Aaa (sf)
Cl. A-M, Upgraded to Aa1 (sf); previously on Oct 31, 2013 Affirmed
Aa2 (sf)
Cl. A-J, Affirmed Baa3 (sf); previously on Oct 31, 2013 Affirmed
Baa3 (sf)
Cl. B, Affirmed Ba1 (sf); previously on Oct 31, 2013 Affirmed Ba1
(sf)
Cl. C, Affirmed Ba2 (sf); previously on Oct 31, 2013 Affirmed Ba2
(sf)
Cl. D, Affirmed B1 (sf); previously on Oct 31, 2013 Downgraded to
B1 (sf)
Cl. E, Affirmed B2 (sf); previously on Oct 31, 2013 Downgraded to
B2 (sf)
Cl. F, Affirmed Caa1 (sf); previously on Oct 31, 2013 Downgraded
to Caa1 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Oct 31, 2013 Downgraded
to Caa3 (sf)
Cl. H, Affirmed C (sf); previously on Oct 31, 2013 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Oct 31, 2013 Downgraded to C
(sf)
Cl. IO, Affirmed Ba3 (sf); previously on Oct 31, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The rating on the class A-M was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 10% since Moody's last
review.
The ratings on the classes A-1A, A-4, A-5 and A-J through E were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.
The ratings on the classes F through J were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 4.6% of the
current balance compared to 8.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 8.6% of the
original pooled balance compared to 9.2% at the last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
On October 9, 2014, Moody's issued a "Request for Comment" asking
for market feedback on proposed changes to the methodology it uses
to rate conduit and fusion CMBS transactions. If Moody's adopts
the new methodology as proposed, the changes could affect the
ratings of WBCMT 2006-C25.
Description Of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality
grade (which reflects the capitalization rate Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on the remaining conduit classes are either
interpolated between these two data points or determined based on
a multiple or ratio of either of these two data points. For fusion
deals, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 23 compared to 26 at Moody's last review.
Deal Performance
As of the October 20, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 26% to $2.1 billion
from $2.9 billion at securitization. The certificates are
collateralized by 114 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans constituting
48% of the pool. As of the October 20, 2014 distribution date
three loans, constituting 3% of the pool, have defeased and are
secured by US government securities. The pool's third largest
loan, 530 Fifth Avenue Loan ($165 million -- 7.8% of the pool),
was defeased effective October 22, 2014.
Thirty loans, constituting 31% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Fourteen loans have been liquidated at a loss from the pool,
resulting in an aggregate realized loss of $148 million (59% loss
severity on average). Seven loans, representing 7% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Hercules Plaza Loan ($64 million -- 3.0% of the pool),
which is secured by a 518,000 square foot (SF) office building
located in Wilmington, Delaware. The loan transferred to special
servicing in May 2014 due to imminent default. The borrower has
requested a loan modification, which is currently being reviewed.
The collateral was fully leased by Hercules Inc. In 2008 Hercules
was acquired by Ashland Inc. Ashland downsized its footprint at
its 2013 lease expiration.
The remaining six specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $40 million loss
for the specially serviced loans (28% expected loss on average).
Moody's has assumed a high default probability for 12 poorly
performing loans representing 5% of the pool and has estimated an
aggregate $18 million loss (16% expected loss based on a 50%
probability default) from these troubled loans.
Moody's received full year 2013 operating results for 94% of the
pool and partial year 2014 operating results for 88% of the pool.
Moody's weighted average conduit LTV is 88%, the same as at last
review. Moody's conduit component excludes defeased, specially
serviced and troubled loans. Moody's net cash flow (NCF) reflects
a weighted average haircut of 2.9% to the most recently available
net operating income (NOI). Moody's value reflects a weighted
average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.51X and 1.20X,
respectively, compared to 1.50X and 1.18X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three performing conduit loans represent 28% of the pool.
The largest loan is the Prime Outlets Pool Loan ($283 million --
13.4% of the pool), which is a 50% participation interest in a
$567 million loan secured by ten retail outlet centers located in
eight states, including Texas, Pennsylvania, Florida, and Ohio.
The total gross leasable area is 3.5 million SF. Property
performance improved due to an increase in base rents and expense
reimbursements. The portfolio was 91% leased as of June 2014
compared to 90% as of September 2013. Moody's LTV and stressed
DSCR are 61% and 1.63X, respectively, compared to 64% and 1.55X at
last full review.
The second largest loan is the Marriott-Chicago Loan ($182 million
--8.6% of the pool), which is secured by a 1,192-room full service
hotel located in Chicago, Illinois. The loan has a non-pooled
junior component of $23.9 million. The property is ranked the
second best performing hotel amongst its competitive set according
to a June Smith Travel Research report. The property's revenue per
available room (RevPAR) penetration index has been in excess of
100% for the past three years. Moody's LTV and stressed DSCR are
85% and 1.33X, respectively, compared to 88% and 1.29X at last
full review.
The third largest loan is the 530 Fifth Avenue Loan ($165 million
-- 7.8% of the pool), which is secured by a 500,000 SF office
building located in New York City. The property was 69% leased as
of June 2014 compared to 63% as of June 2013. A Thor Equities-led
venture recently acquired 530 Fifth Avenue for $595 million. The
$165 million 530 Fifth Avenue Loan was defeased as part of the
transaction.
WAMU 2004-AR8: Moody's Hikes Rating on Cl. A-3 Debt to Caa2
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
from WaMu 2004-AR8, backed by Option ARM RMBS loans.
Complete rating actions are as follows:
Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR8
Trust
Cl. A-3, Upgraded to Caa2 (sf); previously on Feb 28, 2011
Downgraded to Ca (sf)
Ratings Rationale
The action is a result of the recent performance of the underlying
pool and reflect Moody's updated loss expectation on the pool. The
rating upgraded is due to the stable performance of the underlying
collateral and the amortization of the bond.
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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% 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 $186 Million of Subprime RMBS
-------------------------------------------------------
Moody's Investors Service, on Oct. 27, 2014, downgraded the
ratings of five tranches from two transactions issued by various
issuers, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE7
Cl. A-2b, Downgraded to Ca (sf); previously on Dec 2, 2013
Downgraded to Caa2 (sf)
Cl. A-2fpt, Downgraded to Ca (sf); previously on Dec 2, 2013
Downgraded to Caa2 (sf)
Issuer: Saxon Asset Securities Trust 2007-2
Cl. A-1, Downgraded to Ca (sf); previously on Jul 16, 2010
Confirmed at Caa2 (sf)
Cl. A-2a, Downgraded to Ca (sf); previously on Dec 2, 2013
Downgraded to Caa3 (sf)
Cl. A-2b, Downgraded to Ca (sf); previously on Jul 16, 2010
Confirmed at Caa3 (sf)
Ratings Rationale
The actions are primarily due to recent changes in payment
priority that occur at mezzanine depletion. The actions also
reflect recent performance of the underlying pools and reflect
Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 5.9% in September 2014 from
7.2% in September 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 $113.4 MM RMBS Issued by Various Trusts
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of 20 tranches
from nine transactions, backed primarily by HELOCs and closed end
second lien loans issued between 2000 and 2006.
Complete rating actions are as follows:
Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2003-SC1
Cl. M-2, Upgraded to Ba2 (sf); previously on Jun 10, 2010
Downgraded to Ba3 (sf)
Issuer: Irwin Home Equity Loan Trust 2003-1
Cl. B-1, Upgraded to Ba2 (sf); previously on Jun 30, 2010
Downgraded to B1 (sf)
Cl. B-2, Upgraded to B1 (sf); previously on Jun 30, 2010
Downgraded to B2 (sf)
Issuer: Irwin Home Equity Loan Trust 2004-1
Cl. IIM-1, Upgraded to Ba1 (sf); previously on Jul 22, 2011
Downgraded to Ba3 (sf)
Cl. IIM-2, Upgraded to B1 (sf); previously on Jun 30, 2010
Confirmed at B3 (sf)
Cl. IIB-1, Upgraded to Caa3 (sf); previously on Jun 30, 2010
Confirmed at Ca (sf)
Issuer: Irwin Home Equity Loan Trust 2006-1
Cl. IIA-3, Upgraded to B3 (sf); previously on Jun 30, 2010
Confirmed at Caa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. IIA-4, Upgraded to B1 (sf); previously on Jun 30, 2010
Confirmed at B3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Irwin Whole Loan Home Equity Trust 2003-B
B, Upgraded to Ba2 (sf); previously on Jan 14, 2014 Upgraded to B1
(sf)
Issuer: RFMSII Home Equity Loan Trust 2003-HS4
Cl. A-I-A, Upgraded to B2 (sf); previously on Jul 22, 2011
Downgraded to Caa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-I-B, Upgraded to Baa3 (sf); previously on Jul 22, 2011
Downgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: RFMSII Home Equity Loan Trust 2005-HI3
Cl. M-2, Upgraded to Baa1 (sf); previously on Jun 4, 2010
Downgraded to Baa3 (sf)
Cl. M-3, Upgraded to Baa2 (sf); previously on Jun 4, 2010
Downgraded to Ba1 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on Jun 4, 2010
Downgraded to Ba3 (sf)
Issuer: RFMSII Home Loan Trust 2000-HI5
Cl. A-I-7, Upgraded to Baa3 (sf); previously on Apr 21, 2010
Downgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: RFMSII Home Loan Trust 2006-HI1
Cl. M-1, Upgraded to Baa1 (sf); previously on Jan 17, 2014
Upgraded to Baa3 (sf)
Cl. M-2, Upgraded to Baa3 (sf); previously on Jan 17, 2014
Upgraded to Ba3 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on Apr 21, 2010
Downgraded to B2 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Apr 21, 2010
Downgraded to Ca (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Apr 21, 2010
Downgraded to C (sf)
Ratings Rationale
The rating upgrades are a result of the recent performance of the
HELOC and second lien loan backed pools and reflects Moody's
updated loss expectations on the pools. The tranches were upgraded
primarily due to the build-up in credit enhancement due to
sequential pay structures and non-amortizing subordinate bonds.
Performance has remained generally stable from Moody's last
review.
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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% 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 $91MM RMBS Issued 2005 to 2008
--------------------------------------------------------
Moody's Investors Service, on Oct. 27, 2014, downgraded the
ratings of 18 tranches backed by Prime Jumbo RMBS loans, issued by
miscellaneous issuers.
Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2008-1
Cl. A-2, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf)
Cl. A-3, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B2 (sf)
Cl. A-4, Downgraded to B3 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
Cl. X, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B2 (sf)
Issuer: GSR Mortgage Loan Trust 2005-6F
Cl. 3A-1, Downgraded to Caa1 (sf); previously on Jan 20, 2012
Downgraded to B3 (sf)
Cl. 3A-3, Downgraded to Caa1 (sf); previously on Jan 20, 2012
Downgraded to B3 (sf)
Cl. 3A-11, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B3 (sf)
Cl. 3A-12, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B3 (sf)
Cl. 4A-1, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to B1 (sf)
Cl. 4A-2, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to B1 (sf)
Issuer: GSR Mortgage Loan Trust 2006-6F
Cl. 1A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. A-X, Downgraded to Caa2 (sf); previously on Dec 4, 2013
Downgraded to Caa1 (sf)
Cl. 2A-4, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Issuer: GSR Mortgage Loan Trust 2006-8F
Cl. 3A-6, Downgraded to Caa2 (sf); previously on Aug 3, 2012
Downgraded to Caa1 (sf)
Cl. 3A-9, Downgraded to Caa2 (sf); previously on Aug 3, 2012
Downgraded to Caa1 (sf)
Cl. 3A-10, Downgraded to Caa2 (sf); previously on Aug 3, 2012
Downgraded to Caa1 (sf)
Cl. 3A-11, Downgraded to Caa2 (sf); previously on Aug 3, 2012
Downgraded to Caa1 (sf)
Issuer: GSR Mortgage Loan Trust 2007-1F
Cl. A-X, Downgraded to Caa1 (sf); previously on Dec 4, 2013
Downgraded to B3 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools.
The 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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% 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 $135MM of Subprime RMBS
-------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches from two transactions and upgraded the ratings of two
tranches from one transaction issued by various issuers, backed by
Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Long Beach Mortgage Loan Trust 2003-4
Cl. M-5A, Downgraded to C (sf); previously on Mar 8, 2011
Downgraded to Ca (sf)
Cl. M-5F, Downgraded to C (sf); previously on Mar 8, 2011
Downgraded to Ca (sf)
Cl. M-6, Downgraded to C (sf); previously on Mar 8, 2011
Downgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WCW2
Cl. M-2, Downgraded to Ba1 (sf); previously on Feb 28, 2013
Affirmed Baa2 (sf)
Issuer: RAMP Series 2002-RS4 Trust
Cl. A-I-5, Upgraded to B2 (sf); previously on Apr 17, 2012
Confirmed at B3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-I-6, Upgraded to B1 (sf); previously on Apr 17, 2012
Confirmed at B2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations.The downgrades are a result of
structural features resulting in higher expected losses for the
bonds than previously anticipated. The downgrade action on Cl. M-2
issued by Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WCW2 is primarily due to an interest
shortfall of $108K incurred in July 2014. Structural limitations
in the transaction prevent recoupment of missed interest payments
for the tranche.
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 5.9% in September 2014 from
7.2% in September 2013. Moody's forecasts an unemployment central
range of 6% to 7% for the 2014 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2014. Lower increases than
Moody's expects or decreases could lead to negative rating
actions. Finally, performance of RMBS continues to remain highly
dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
* S&P Lowers 7 Classes From 4 Bank of America-Related Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from four Bank of America Corp.-related transactions. The
ratings on the classes from the four transactions depend on S&P's
ratings on the related underlying securities.
The downgrades reflect the Sept. 29, 2014, downgrades of various
underlying securities issued by Bank of America Corp. to 'BB' from
'BB+' following a criteria revision. S&P may take subsequent
rating actions on these transactions if it changes its ratings on
the related underlying securities.
RATINGS LOWERED
Auction Rate Securities Trust 2007-1
$75 million auction rate and leveraged trust certificates trust
2007-1
Class Rating
To From
A BB (sf) BB+ (sf)
B BB (sf) BB+ (sf)
Note: The underlying security is Bank of America Corp.'s
noncumulative perpetual floating-rate preferred series 5 notes
('BB').
Auction Rate Securities Trust 2007-2
$50 million floating-rate pass-thru series 2007-2 due Aug. 21,
2027
Class Rating
To From
A BB (sf) BB+ (sf)
B BB (sf) BB+ (sf)
Note: The underlying security is Bank of America Corp.'s perpetual
floating-rate noncumulative preferred stock series E notes ('BB').
PreferredPlus Trust Series CCR-1
$25 million 8.05% pass-thru series CCR-1 due June 15, 2027
Class Rating
To From
Certs BB BB+
Note: The underlying security is Bank of America Corp.'s 8.05%
series B capital securities ('BB').
Preferred Pass-Through Trust 2006-B
$192.5 million floating-rate pass-thru due Feb. 28, 2027
Class Rating
To From
A BB (sf) BB+ (sf)
B BB (sf) BB+ (sf)
Note: The underlying security is Bank of America Corp.'s perpetual
floating-rate noncumulative preferred stock series E notes ('BB').
*********
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
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The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
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