Recipient email addresses will not be used in mailing lists or redistributed.
Use semicolon to separate each address, limit to 20 addresses.
characters you see
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
Already a customer?
Don't want to see this again?
Accept our to continue to Moodys.com:
AND SCROLL DOWN!
By clicking “I AGREE” [at the end of this document],
you indicate that you understand and intend these terms and conditions to be
the legal equivalent of a signed, written contract and equally binding, and
that you accept such terms and conditions as a condition of viewing any and all
Moody’s information that becomes accessible to you [after clicking “I AGREE”] (the
“Information”). References herein to “Moody’s” include Moody’s
Corporation, Inc. and each of its subsidiaries and affiliates.
Terms of One-Time Website Use
you have entered into an express written contract with Moody’s to the contrary,
you agree that you have no right to use the Information in a commercial or
public setting and no right to copy it, save it, print it, sell it, or publish
or distribute any portion of it in any form.
acknowledge and agree that Moody’s credit ratings: (i) are current opinions of
the future relative creditworthiness of securities and address no other risk; and
(ii) are not statements of current
or historical fact or recommendations to purchase, hold or sell particular
securities. Moody’s credit ratings and
publications are not intended for retail investors, and it would be reckless
and inappropriate for retail investors to use Moody’s credit ratings and
publications when making an investment decision. No
warranty, express or implied, as the accuracy, timeliness, completeness,
merchantability or fitness for any particular purpose of any Moody’s credit
rating is given or made by Moody’s in any form whatsoever.
3. To the extent permitted by law, Moody’s and its directors,
officers, employees, representatives, licensors and suppliers disclaim
liability for: (i) any indirect, special, consequential, or incidental losses
or damages whatsoever arising from or in connection with use of the
Information; and (ii) any direct or compensatory damages caused to any person
or entity, including but not limited to by any negligence (but excluding fraud
or any other type of liability that by law cannot be excluded) on the part of
Moody’s or any of its directors, officers, employees, agents, representatives,
licensors or suppliers, arising from or in connection with use of the
4. You agree to read [and
be bound by] the more detailed disclosures regarding Moody’s ratings and the
limitations of Moody’s liability included in the Information.
5. You agree that any disputes relating to this agreement or your use of
the Information, whether sounding in contract, tort, statute or otherwise,
shall be governed by the laws of the State of New York and shall be subject to
the exclusive jurisdiction of the courts of the State of New York located in
the City and County of New York, Borough of Manhattan.
14 Apr 2011
New York, April 14, 2011 -- Moody's has assigned provisional ratings to the Series 2011-1 notes
to be issued by Velocity Commercial Capital Loan Trust 2011-1.
The transaction is a securitization of small balance commercial loans
sponsored by Velocity Commercial Capital, LLC. The sponsor
originates and purchases mortgage loans backed by commercial real estate.
The loans are backed by a mix of commercial, mixed use and multi-family
properties, both owner occupied and investor owned. The complete
rating action is as follows:
Issuer: Velocity Commercial Capital Loan Trust 2011-1
Series 2011-1 Notes, Assigned (P) A2 (sf)
The ratings are based primarily on an analysis of the credit quality of
the collateral, the collateral's historical performance, the
ability of Situs Asset Management LLC as servicer, the special servicing
ability of Velocity Commercial Capital, LCC (VCC), and the level of credit
enhancement available under the proposed capital structure. Credit
enhancement includes overcollateralization which is initially 18.5%
and targeted to grow to 20.5%, a non-declining, pre-funded
reserve account funded at 0.5% and excess spread for total
enhancement of in excess of 21%. The deal structure also
includes a cumulative default trigger that trips according to a schedule and redirects
monthly excess cash flow to pay down note principal when the trigger fails. Regardless of the trigger, principal collections on the loans are always used to pay principal on the notes until the notes are fully repaid.
The loans in the pool are a combination of fixed rate (43.1%)
and hybrid or floating rate (56.9%). All adjustable rate loans are indexed to 3 or 6 month Libor. Given that the notes are floating rate indexed to Libor;
this presents a potential mismatch in interest rates. Collateral
was directly originated by the sponsor (46.4%), originated by and purchased
from Lehman Brothers Small Business Finance (48.4%) or originated by and purchased
from LaSalle Bank (5.2%). The loans are significantly
seasoned with original WAM of 349 months and current WAM of 314 months.
Approximately 9.9% of the loans in the pool have either
been modified or experienced repeated delinquencies in the past.
All loans in the pool are current as of the cut-off date.
Moody's median cumulative gross loss expectation for the collateral pool
securitized in VCC 2011-1 is 9.00%. The expected
gross loss is based primarily on an analysis of the collateral's
historical performance -- including deal performance for C-BASS 2006-SC1
(a securitization of VCC originated small balance commercial mortgage
loans) and managed portfolio performance -- adjusted to reflect differences
between the economic conditions underlying the historical performance
and our expectation of future economic conditions. Moody's
Aaa volatility proxy for the deal is 45.00%.
Moody's V Score. The V Score for this transaction is Medium.
The V Score indicates "Medium" uncertainty about critical assumptions.
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 that underlie the ratings within the categories of data quality,
historical performance and the level of disclosure for each of the asset
class sector and the issuer; transaction complexity, analytical
modeling and the market value risk; transaction governance,
backup servicing, alignment of interests and legal, regulatory
and other risks. V Scores apply to the entire transaction (rather
than individual tranches). While the overall score is Medium,
significant deviations from the sector within the individual categories
include the following: quality of historical data for the sponsor
which is medium-high versus medium, due to this being the
first sponsored securitization of the sponsor and there being limited
managed portfolio data; disclosure of securitization performance
which is medium-low versus medium due to monthly data disclosure
being more detailed than those seen generally in the sector; experience
and oversight of transaction parties is medium versus medium-low
due to this being the first managed securitization of the sponsor;
and alignment of interests which is medium-low due to the substantial
amount of equity in the transaction which is to be held by the sponsor.
Moody's Parameter Sensitivities: If the expected cumulative gross
losses used in determining the initial rating were changed to 12%,
15% or 185%, the initial model-indicated rating
for the notes might change from A2 to Baa1, Baa3,
and Ba2 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.
Additional research including a pre-sale report for this transaction
is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for Structured
Finance Securities" and "V Scores and Parameter Sensitivities in the U.S.
Equipment Lease and Loan ABS Sector" are also available on moodys.com.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instrument
in this transaction.
The credit analysis used for this pool breaks down the pool into performing
and reperforming components. Loans which have been modified or
which have experienced repeated delinquencies in their pay histories
are considered to be reperforming whereas the remaining loans are considered
to be performing. VCC managed portfolio was analyzed in determining
expected gross defaults and the Aaa loss volatility proxy. Industry
comparable experience was used to arrive at expected loan modification
recidivism and severity of losses. Severity is assumed to be 30%
at the expected case and is assumed to be 60% in the Aaa scenario.
For the performing component of the pool, we use a two phase approach
similar to our approach used in the surveillance of small balance commercial
transactions. A "stress" phase is assumed where defaults
mirror those of the sponsor's managed portfolio for the previous
two years. Sixteen percent of the portfolio balance is assumed
to default during this initial stress period in the expected case.
In the Aaa scenario, it is assumed that 48% of loans default
during this "stress" phase. The post stress period
expectations are based on industry comparable experience in more historically
benign periods. Expected and Aaa cumulative gross defaults (remaining
deal life) are 14% and 38% respectively during this second
Based on industry experience with modifications to small balance commercial
loans, the reperforming component of the pool is in our expected
case assumed to have about 25% additional defaults beyond those
experienced on the performing loans. Given that these reperforming
loans will still be subject to ordinary economic pressures, those
loans which do not default due to their riskier reperforming status are
still assumed to have the same default rates as the performing portion
of the pool.
Because the structure is exposed to the interest rate mismatch between
notes and collateral, credit for excess spread was assessed assuming
a variety of interest rate and prepayment scenarios. Time to liquidation
has been very long in the small balance commercial space. In order
to prevent excess spread leaking from the deal if performance deteriorates
worse than expectations, the deal structure includes a default trigger
that trips according to a schedule and redirects monthly excess cash flow
to pay down note principal when the trigger fails.
Moody's considered a variety of factors in assessing variability
around the expected cumulative gross loss. These included:
historical performance data (including volatility of performance and performance
during distressed economic periods), pool characteristics,
and servicer capabilities and financial strength. This is a relatively
granular pool where no single underlying obligor is expected to affect
the overall pool performance significantly so a lognormal distribution
of loss probabilities is assumed. In this context, and given
the expected loss of 9% and the Aaa volatility proxy of 45%,
the capital structure's ability to insulate notes from losses on the defaulted
loans was assessed to be consistent with the rating A2.
Other methodologies and factors that may have been considered in the process
of rating this issue can be found at www.moodys.com.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's has assigned provisional ratings to the Series 2011-1 notes to be issued by Velocity Commercial Capital, LLC
250 Greenwich Street
New York, NY 10007
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.
MOODY’S CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.
ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.
CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.
All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing the Moody’s publications.
To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.
To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.
NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.
Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com
under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”
Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.
Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.
MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.