Approximately $3.3 billion of asset-backed securities affected
New York, April 13, 2011 -- Moody's Investors Service has downgraded 167 tranches in 22 securitizations
of small business loans issued by Bayview Commercial Asset Trusts,
upgraded nine tranches in five securitizations, and confirmed 11
tranches in four securitizations. The master servicer is Wells
Fargo Bank. The loans are secured primarily by small commercial
real estate properties owned by small businesses and investors.
RATING RATIONALE
The downgrade actions resulted from significant deterioration in collateral
performance. Over the last 12 months, cumulative net charge-offs
and 60+ delinquencies, including amounts in foreclosure and
REO, have increased substantially. As of the February 2011
distribution date, cumulative net charge-offs in the 2005
and later vintages ranged between approximately 6% and 11%
of the original pool balance, and 60+ delinquencies for the
same vintages ranged between 17% and 28% of the current
pool balance. Since the last rating action in February 2009,
the weighted average 60+ delinquencies increased from 18%
of the current pool balance to 25% as of the February 2011 distribution
date. In addition, loss severities on foreclosed properties
liquidated in 2010 have increased substantially as compared to prior years.
The upgrades in select subordinate tranches in the 2003, 2004,
2005, and 2006 vintages deals were prompted by a build-up
in credit enhancement from reserve accounts and/or overcollateralization
in combination with stable to relatively muted deterioration in collateral
performance.
The methodology used in these rating actions included projections of the
expected losses and analysis of the available credit enhancement.
Because typical small business loan securitizations have either a long-dated
or no hard charge-off policy, they may build up significant
delinquency pipelines. In projecting expected losses for the current
rating actions, Moody's used representative delinquency roll rates
and an assumed loss severity of 75% for a period of economic stress
assumed to be 12 months and 40% thereafter. Determining
factors for the Aaa volatility proxies were the credit quality of the
collateral pool, the historical variability in losses experienced
by the issuer, assessed servicer quality as well as industrial,
geographical and obligor concentrations.
Primary sources of assumption uncertainty are the general economic environment,
commercial property values, and the ability of small businesses
to recover from the recession. If the remaining expected losses
used in determining the ratings were increased by 20% (e.g.,
from 10% to 12%), the model-indicated rating
output suggests that many of the Class A-1 tranches would be downgraded.
Other methodologies and factors that may have been considered in the process
of rating these transactions can also be found on Moody's website.
Further information on Moody's analysis of this transaction is available
on www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction, and the due diligence reports had a neutral
impact on the rating.
The complete rating actions are as follows:
Issuer: Bayview Commercial Asset Trust 2003-2
Lifetime Expected Loss: 5.00%; Aaa Volatility
Proxy: 34%
Cl. M-2, Confirmed at Baa3 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A2 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B, Upgraded to B1 (sf); previously on Feb 18,
2011 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: BayView Commercial Aset Trust 2004-1
Lifetime Expected Loss: 5.75%; Aaa Volatility
Proxy: 32%
Cl. M-1, Upgraded to Aaa (sf); previously on
Oct 23, 2007 Upgraded to Aa1 (sf)
Cl. B, Downgraded to Ba1 (sf); previously on Feb 18,
2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: BayView Commercial Asset Trust 2004-2
Lifetime Expected Loss: 7.00%; Aaa Volatility
Proxy: 38%
Cl. M-1, Downgraded to Aa2 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 A1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2004-3
Lifetime Expected Loss: 8.00%; Aaa Volatility
Proxy: 36%
Cl. M-1, Upgraded to Aaa (sf); previously on
Dec 22, 2004 Assigned Aa2 (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Dec
22, 2004 Assigned A2 (sf)
Issuer: Bayview Commercial Asset Trust 2005-1
Lifetime Expected Loss: 10.00%; Aaa Volatility
Proxy: 32%
Cl. M-1, Upgraded to Aaa (sf); previously on
Mar 1, 2005 Assigned Aa1 (sf)
Cl. M-2, Upgraded to Aa1 (sf); previously on
Mar 1, 2005 Assigned Aa2 (sf)
Cl. B-1, Upgraded to A1 (sf); previously on Mar
1, 2005 Assigned A2 (sf)
Issuer: Bayview Commercial Asset Trust 2005-2
Lifetime Expected Loss: 13.50%; Aaa Volatility
Proxy: 38%
Cl. M-1, Downgraded to Aa3 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A2 (sf); previously on
Feb 18, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to A3 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Baa1 (sf); previously
on Feb 18, 2011 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Baa3 (sf); previously
on Feb 18, 2011 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B2 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: BayView Commercial Asset Trust 2005-3
Lifetime Expected Loss: 16.50%; Aaa Volatility
Proxy: 42%
Cl. IO, Downgraded to Aa2 (sf); previously on Feb 18,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-1, Downgraded to Aa2 (sf); previously on
Feb 18, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Aa2 (sf); previously on
Feb 18, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A2 (sf); previously on
Feb 18, 2011 Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on
Feb 18, 2011 Downgraded to A2 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-3, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 Downgraded to A3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-4, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 Downgraded to Baa1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-5, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Downgraded to Baa2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-6, Downgraded to B1 (sf); previously on
Feb 18, 2011 Downgraded to Ba1 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to B2 (sf); previously on
Feb 18, 2011 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-2, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 Downgraded to B3 (sf) and Placed Under Review for
Possible Downgrade
Issuer: BayView Commercial Asset Trust 2005-4
Lifetime Expected Loss: 18.25%; Aaa Volatility
Proxy: 46%
Cl. M-1, Downgraded to Aa3 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A1 (sf); previously on
Feb 18, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to A3 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Baa1 (sf); previously
on Feb 18, 2011 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Baa3 (sf); previously
on Feb 18, 2011 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B1 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: BayView Commercial Asset Trust 2006-1
Lifetime Expected Loss: 16.25%; Aaa Volatility
Proxy: 40%
Cl. M-1, Confirmed at Aa1 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Confirmed at Aa2 (sf); previously on
Feb 18, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Confirmed at Aa3 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Confirmed at A1 (sf); previously on
Feb 18, 2011 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Confirmed at A2 (sf); previously on
Feb 18, 2011 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Confirmed at A3 (sf); previously on
Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2006-2
Lifetime Expected Loss: 18.75%; Aaa Volatility
Proxy: 46%
Cl. M-1, Downgraded to Aa2 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Aa3 (sf); previously on
Feb 18, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to A2 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to A3 (sf); previously on
Feb 18, 2011 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2006-3
Lifetime Expected Loss: 24.75%; Aaa Volatility
Proxy: 48%
Cl. IO, Downgraded to Aa1 (sf); previously on Sep 21,
2006 Assigned Aaa (sf)
Cl. A-1, Downgraded to Aa1 (sf); previously on
Sep 21, 2006 Assigned Aaa (sf)
Cl. A-2, Downgraded to Aa1 (sf); previously on
Sep 21, 2006 Assigned Aaa (sf)
Cl. M-1, Downgraded to A2 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously
on Feb 18, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Baa3 (sf); previously
on Feb 18, 2011 Downgraded to A3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-4, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 Downgraded to Baa1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-5, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 Downgraded to Baa2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-6, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Downgraded to Baa3 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to B2 (sf); previously on
Feb 18, 2011 Downgraded to Ba1 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-2, Downgraded to B3 (sf); previously on
Feb 18, 2011 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2006-4
Lifetime Expected Loss: 25.25%; Aaa Volatility
Proxy: 48%
Cl. M-1, Downgraded to A2 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously
on Feb 18, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 Downgraded to A3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-4, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 Downgraded to Baa1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-5, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 Downgraded to Baa2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-6, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Downgraded to Baa3 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to B2 (sf); previously on
Feb 18, 2011 Downgraded to Ba1 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-2, Downgraded to B3 (sf); previously on
Feb 18, 2011 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2007-1
Lifetime Expected Loss: 21.75%; Aaa Volatility
Proxy: 46%
Cl. IO, Downgraded to Aa3 (sf); previously on Feb 18,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. SIO, Downgraded to Aa3 (sf); previously on Feb 18,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-1, Downgraded to Aa3 (sf); previously on
Feb 18, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Aa3 (sf); previously on
Feb 18, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 Downgraded to A2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-2, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 Downgraded to A3 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-3, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 Downgraded to Baa1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-4, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Downgraded to Baa2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-5, Downgraded to B1 (sf); previously on
Feb 18, 2011 Downgraded to Ba1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-6, Downgraded to B3 (sf); previously on
Feb 18, 2011 Downgraded to Ba2 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 Downgraded to B1 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-2, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 Downgraded to B3 (sf) and Placed Under Review for
Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2007-2
Lifetime Expected Loss: 25.25%; Aaa Volatility
Proxy: 48%
Cl. IO, Downgraded to A1 (sf); previously on Feb 18,
2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-1, Downgraded to A1 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to A1 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa3 (sf); previously
on Feb 18, 2011 Downgraded to A3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-2, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 Downgraded to Baa2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-3, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Downgraded to Baa3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-4, Downgraded to B1 (sf); previously on
Feb 18, 2011 Downgraded to Ba1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-5, Downgraded to B2 (sf); previously on
Feb 18, 2011 Downgraded to Ba2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-6, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 Downgraded to B2 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 Downgraded to B3 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-2, Downgraded to Caa3 (sf); previously
on Feb 18, 2011 Downgraded to Caa1 (sf) and Placed Under Review
for Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2007-3
Lifetime Expected Loss: 19.25%; Aaa Volatility
Proxy: 48%
Cl. IO, Downgraded to Aa2 (sf); previously on Jun 13,
2007 Assigned Aaa (sf)
Cl. SIO, Downgraded to Aa2 (sf); previously on Jun 13,
2007 Assigned Aaa (sf)
Cl. A-1, Downgraded to Aa2 (sf); previously on
Jun 13, 2007 Assigned Aaa (sf)
Cl. A-2, Downgraded to Aa2 (sf); previously on
Jun 13, 2007 Assigned Aaa (sf)
Cl. M-1, Downgraded to A3 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Baa3 (sf); previously
on Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to B1 (sf); previously on
Feb 18, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B2 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B3 (sf); previously on
Feb 18, 2011 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2007-4
Lifetime Expected Loss: 23.50%; Aaa Volatility
Proxy: 46%
Cl. IO, Downgraded to A3 (sf); previously on Feb 18,
2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-1, Downgraded to A3 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to A3 (sf); previously on
Feb 18, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 Downgraded to Baa3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-2, Downgraded to B1 (sf); previously on
Feb 18, 2011 Downgraded to Ba1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-3, Downgraded to B2 (sf); previously on
Feb 18, 2011 Downgraded to Ba2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-4, Downgraded to B3 (sf); previously on
Feb 18, 2011 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-5, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 Downgraded to B2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-6, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 Downgraded to B3 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to Caa3 (sf); previously
on Feb 18, 2011 Downgraded to Caa1 (sf) and Placed Under Review
for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Feb 18, 2011 Downgraded to Caa3 (sf) and Placed Under Review for
Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2007-5
Lifetime Expected Loss: 26.50%; Aaa Volatility
Proxy: 48%
Cl. A-4, Downgraded to B1 (sf); previously on
Feb 18, 2011 Downgraded to Baa2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-1, Downgraded to B3 (sf); previously on
Feb 18, 2011 Downgraded to Ba2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-2, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-3, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 Downgraded to B1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-4, Downgraded to Caa3 (sf); previously
on Feb 18, 2011 Downgraded to B2 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-5, Downgraded to Ca (sf); previously on
Feb 18, 2011 Downgraded to B3 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-6, Downgraded to Ca (sf); previously on
Feb 18, 2011 Downgraded to Caa1 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Feb 18, 2011 Downgraded to Caa2 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Feb 18, 2011 Downgraded to Caa3 (sf) and Placed Under Review for
Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2007-6
Lifetime Expected Loss: 22.50%; Aaa Volatility
Proxy: 46%
Cl. A-4A, Downgraded to Ba1 (sf); previously
on Feb 18, 2011 Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade
Cl. A-4B, Downgraded to Ba1 (sf); previously
on Feb 18, 2011 Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-1, Downgraded to B2 (sf); previously on
Feb 18, 2011 Downgraded to Baa3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-2, Downgraded to B3 (sf); previously on
Feb 18, 2011 Downgraded to Ba1 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-3, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-4, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 Downgraded to B3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-5, Downgraded to Caa3 (sf); previously
on Feb 18, 2011 Downgraded to Caa1 (sf) and Placed Under Review
for Possible Downgrade
Cl. M-6, Downgraded to Ca (sf); previously on
Feb 18, 2011 Downgraded to Caa2 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Feb 18, 2011 Downgraded to Caa3 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-2, Confirmed at Ca (sf); previously on
Feb 18, 2011 Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade
Issuer: Bayview Commercial Asset Trust 2008-1
Lifetime Expected Loss: 22.75%; Aaa Volatility
Proxy: 46%
Cl. A-4, Downgraded to A2 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B1 (sf); previously on
Feb 18, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to B2 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to B3 (sf); previously on
Feb 18, 2011 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 Downgraded to B3 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 Downgraded to Caa1 (sf) and Placed Under Review
for Possible Downgrade
Cl. B-2, Downgraded to Caa3 (sf); previously
on Feb 18, 2011 Downgraded to Caa2 (sf) and Placed Under Review
for Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2008-2
Lifetime Expected Loss: 20.00%; Aaa Volatility
Proxy: 44%
Cl. A-4A, Downgraded to A3 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-4B, Downgraded to A3 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B1 (sf); previously on
Feb 18, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B2 (sf); previously on
Feb 18, 2011 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to B3 (sf); previously on
Feb 18, 2011 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 Downgraded to B3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M-6, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 Downgraded to Caa1 (sf) and Placed Under Review
for Possible Downgrade
Cl. B-1, Downgraded to Caa3 (sf); previously
on Feb 18, 2011 Downgraded to Caa2 (sf) and Placed Under Review
for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Feb 18, 2011 Downgraded to Caa3 (sf) and Placed Under Review for
Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2008-3
Lifetime Expected Loss: 19.50%; Aaa Volatility
Proxy: 44%
Cl. A-4, Downgraded to A2 (sf); previously on
Feb 18, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa3 (sf); previously
on Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba2 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to B2 (sf); previously on
Feb 18, 2011 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to B3 (sf); previously on
Feb 18, 2011 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa2 (sf); previously
on Feb 18, 2011 B2 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Caa3 (sf); previously
on Feb 18, 2011 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bayview Commercial Asset Trust 2008-4
Lifetime Expected Loss: 15.50%; Aaa Volatility
Proxy: 40%
Cl. M-1, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa3 (sf); previously
on Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Confirmed at Ba2 (sf); previously on
Feb 18, 2011 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Confirmed at Ba3 (sf); previously on
Feb 18, 2011 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Confirmed at B1 (sf); previously on
Feb 18, 2011 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B3 (sf); previously on
Feb 18, 2011 B2 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Caa1 (sf); previously
on Feb 18, 2011 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: BayView Commercial Mortgage Pass-Through Trust 2006-SP1
Lifetime Expected Loss: 14.50%; Aaa Volatility
Proxy: 46%
Cl. M-1, Upgraded to Aa1 (sf); previously on
Apr 6, 2006 Assigned Aa2 (sf)
Cl. M-2, Upgraded to Aa2 (sf); previously on
Apr 6, 2006 Assigned Aa3 (sf)
Cl. M-4, Downgraded to Baa1 (sf); previously
on Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bayview Commercial Mortgage Pass-Through Trust 2006-SP2
Lifetime Expected Loss: 19.75%; Aaa Volatility
Proxy: 48%
Cl. M-3, Downgraded to A1 (sf); previously on
Dec 20, 2006 Assigned Aa3 (sf)
Cl. M-4, Downgraded to Baa1 (sf); previously
on Feb 18, 2011 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Baa2 (sf); previously
on Feb 18, 2011 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Ba1 (sf); previously on
Feb 18, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba3 (sf); previously on
Feb 18, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B1 (sf); previously on
Feb 18, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, 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 purpose of maintaining
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.
New York
Michael McDermitt
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Katherine Lew
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on 24 Bayview BCAT small business loan ABS