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Tuesday, 10 February 2009

Moody's Downgrades Bonds from 5 CMBS Deals

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Moody's Downgrades Bonds from 5 CMBS Deals

Moody's Investors Service has downgraded 79 classes from fiveCMBS deals as part of its review of conduit deals issued between2006-2008, as well as every large-loan deal. The downgrades arethe latest of a large list of rating actions that are expected inthe coming days.

As part of the review, the rating agency has adjusted propertycapitalization rates and cash flows to determining adequatesubordination levels and bond ratings. It now assumes that everyconduit deal will see losses totaling 5 percent of a deal'sprincipal balance. It previously had assumed 2 percent losses.

As a result of its review, Moody's said it expected to downgradea host of classes from deals issued between 2006 and 2008.Following is a list of some of the latest downgrades:

Deal Name Current Pool Bal. $mln Orig Pool Bal $mln Class Size $mln Moody's NewRating Moody's
Old Rating
Reason for Rating Action
JPMorgan Chase Commercial Mortgage Securities Trust, 2008-C2 1,160.0 1,170.0 A-J 61.2 A2 Aaa expected losses from loans in special servicing (two loans, with a balance of $228.5 million.); low Moody's DSCR (0.91x compared to 1.14x at issuance.); increased Moody's LTV (148 percent compared to 109 percent at issuance.)
- - - B 14.6 A3 Aa1 -
- - - C 14.6 Baa1 Aa2 -
- - - D 10.2 Baa2 Aa3 -
- - - E 10.2 Baa3 A1 -
- - - F 13.1 Ba1 A2 -
- - - G 11.7 Ba3 A3 -
- - - H 16.0 B2 Baa1 -
- - - J 14.6 B3 Baa2 -
- - - K 14.6 Caa1 Baa3 -
- - - L 8.7 Caa3 Ba1 -
- - - M 4.4 Caa3 Ba2 -
- - - N 5.8 Ca Ba3 -
- - - P 4.4 Ca B1 -
- - - Q 2.9 Ca B2 -
- - - T 4.4 Ca B3 -
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-C1 1,174.0 1,178.0 A-J 53.0 A1 Aaa expected losses from a $105.7 million loan in special servicing; low Moody's DSCR (0.94x compared to 1.14x at issuance.); increased Moody's LTV (148 percent compared to 113 percent.)
- - - B 16.2 A2 Aa1 -
- - - C 14.7 A3 Aa2 -
- - - D 11.8 Baa1 Aa3 -
- - - E 13.3 Baa2 A1 -
- - - F 10.3 Baa3 A2 -
- - - G 13.3 Ba1 A3 -
- - - H 14.7 Ba3 Baa1 -
- - - J 16.2 B2 Baa2 -
- - - K 13.3 B3 Baa3 -
- - - L 7.4 Caa1 Ba1 -
- - - M 8.8 Caa1 Ba2 -
- - - N 4.4 Caa2 Ba3 -
- - - P 5.9 Caa2 B1 -
- - - Q 4.4 Ca B2 -
- - - T 2.9 Ca B3 -
JPMorgan Chase Commercial Securities Trust, 2006-CIBC16 2100.0 2100.0 A-J 169.1 A2 Aaa expected losses from loans in special servicing (two loans, with a balance of just under $21 million.); low Moody's DSCR (0.97x compared to 1.25x at last review.); increased Moody's LTV (150 percent from 103 percent at last review.)
- - - B 40.3 Baa1 Aa2 -
- - - C 16.1 Baa2 Aa3 -
- - - D 29.5 Ba1 A2 -
- - - E 26.8 Ba3 A3 -
- - - F 29.5 B1 Baa1 -
- - - G 26.8 B2 Baa2 -
- - - H 24.2 B3 Baa3 -
- - - J 5.4 Caa1 Ba1 -
- - - K 10.7 Caa1 Ba2 -
- - - L 8.1 Caa2 Ba3 -
- - - M 2.7 Caa2 B1 -
- - - N 5.4 Caa3 B2 -
- - - P 5.4 Caa3 B3 -
Credit Suisse Commercial Mortgage Trust, 2007-C2 3,290.0 3,330.0 A-J 272.1 A2 Aaa expected losses from two loans in special servicing (two loans with a balance of $95.4 million.); low Moody's DSCR (1.03x compared to 1.22x at last review.); increased Moody's LTV (158 percent from 121 percent at last review.)
- - - B 16.5 A3 Aa1 -
- - - C 53.6 Baa1 Aa2 -
- - - D 28.9 Baa2 Aa3 -
- - - E 16.5 Baa3 A1 -
- - - F 28.9 Ba1 A2 -
- - - G 28.9 Ba2 A3 -
- - - H 45.3 B1 Baa1 -
- - - J 37.1 B2 Baa2 -
- - - K 33.0 B3 Ba1 -
- - - L 8.2 Caa2 Ba3 -
- - - M 8.2 Caa2 Ba1 -
- - - N 16.5 Caa3 B2 -
- - - O 4.1 Caa3 Caa1 -
- - - P 12.4 Ca Caa2 -
- - - Q 8.2 Ca Caa3 -
Credit Suisse Commercial Mortgage Trust, 2007-C1 3,360.0 3,370.0 A-J 286.8 A2 Aaa expected losses from two loans in special servicing (eight loans with a balance of $77.3 million.); low Moody's DSCR (1.07x compared to 1.29x at issuance.); increased Moody's LTV (148 percent from 108 percent at issuance.)
- - - B 25.3 A3 Aa1 -
- - - C 37.9 Baa1 Aa2 -
- - - D 33.7 Baa2 Aa3 -
- - - E 21.1 Baa3 A1 -
- - - F 29.5 Ba1 A2 -
- - - G 33.7 Ba3 A3 -
- - - H 37.9 B2 Baa1 -
- - - J 33.7 B3 Baa2 -
- - - K 37.9 Caa1 Baa3 -
- - - L 8.4 Caa2 Ba1 -
- - - M 12.6 Caa2 Ba2 -
- - - N 8.4 Caa2 Ba3 -
- - - O 8.4 Caa3 B1 -
- - - P 8.4 Caa3 B2 -
- - - Q 8.4 Caa3 B3 -
- - - S 12.6 Ca Caa2 -


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Additional Info

  • Syndicate to Realpoint: No
  • Subject: CMBS Rating Downgrade (DOWNG)
  • Deal Name: Credit Suisse Mortgage Securities Corp., 2007-C1, JPMorgan Chase Comm Mtg Securities Corp. 2006-CIBC16, Credit Suisse Mortgage Securities Corp., 2008-C1, GS Mortgage Securities Corp. II, 2007-GG10, Credit Suisse Commercial Mortgage Trust, 2007-C3
  • Company: Morgan Stanley Dean Witter Inc.
Read 821 times Last modified on Tuesday, 10 February 2009

Data Digest

 

CMBS DELINQUENCY VOLUME

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CMBS SPECIAL SERVICING VOLUME

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Top Bookrunners Domestic, Private-Label CMBS - 2017
Investment Bank #Deals Vol$mln MktShr%
Goldman Sachs 17.59 11,819.34 13.68
JPMorgan Securities 14.52 10,968.11 12.70
Citigroup 12.04 10,012.71 11.59
Wells Fargo Securities 14.02 9,936.06 11.50
Deutsche Bank 12.55 9,879.74 11.44

 

RCA CPPI

 

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CMBS 2.0 Spreads

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Top CMBS Loan Contributors - 2017
Lender #Loans Vol$mln MktShr%
Goldman Sachs 146.89 11,719.34 13.63
JPMorgan Chase Bank 117.68 10,114.14 11.76
Deutsche Bank 198.48 9,689.97 11.27
Morgan Stanley 166.18 8,539.78 9.93
Citigroup 199.05 8,088.24 9.41

 

 

 

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