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Rating Action:

Moody's affirms ratings of 12 classes of notes issued by LNR CDO V

21 Jul 2016

New York, July 21, 2016 -- Moody's Investors Service has affirmed the ratings on the following notes issued by LNR CDO V LTD. Collateralized Debt Obligations, Series 2007-1 ("LNR CDO V"):

Cl. A, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. B, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. C-FL, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. C-FX, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. D, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. E, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. F, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. G, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. H, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. J, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. K, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

Cl. L, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)

RATINGS RATIONALE

Moody's has affirmed the ratings on the transaction because its 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 V is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the June 27, 2016 trustee report, the collateral par amount is $19.6 million, representing a $741.7 million 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 10000, same as at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Ca/C and 100.0%, same as at last review.

Moody's modeled a WAL of 1.4 years, compared to 1.8 years at last review. The WAL is based on the look-through extension assumptions on the loans backing the underlying CMBS collateral.

Moody's modeled a fixed WARR of 0.0%, same as 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 these ratings was "Moody's Approach to Rating SF CDOs" published in July 2015. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

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. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced today 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 certain 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.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on a Monte Carlo simulation that generates a large number of collateral loss or cash flow scenarios, which on average meet key metrics Moody's determines based on its assessment of the collateral characteristics. Moody's then evaluates each simulated scenario using model that replicates the relevant structural features and payment allocation rules of the transaction, to derive losses or payments for each rated instrument. The average loss a rated instrument incurs in all of the simulated collateral loss or cash flow scenarios, which Moody's weights based on its assumptions about the likelihood of events in such scenarios actually occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Biao He
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Deryk Meherik
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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​
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