DBRS Confirms Ratings of Windermere XII FCT

DBRS has today confirmed the Commercial Mortgage Backed Floating Rate Notes, Class X (the Class X Notes) rating of Windermere XII FCT (Windermere) at AAA (sf) and the Commercial Mortgage Backed Floating Rate Notes, Class A (the Class A Notes) rating at BBB (sf). The trend on the Class X Notes is Stable and the trend on the Class A Notes is Negative.

Generally, the conditions that lead to the assignment of a Negative or Positive trend are resolved within a 12-month period. DBRS ratings, including those subject to Negative or Positive trends, are under regular surveillance. With regard to the this transaction, DBRS has kept the Negative trend on the Class A Notes to recognize that continued court involvement in the administration of the loan could have negative implications for the notes.

A year after the loan closed, the loan’s sponsor, an entity of Lehman Brothers, filed for insolvency. Since then, the asset, along with its cash flows, has been tied up in sauveguarde (safeguard) proceedings.

Given the deterioration in cash flow and asset value experienced since the transaction closed in 2007, DBRS has looked to an enforcement and liquidation scenario to evaluate the risk related to the DBRS-rated Class A Notes and Class X Notes.

Based on the September 2012 vacant possession value, even in an enforcement and liquidation scenario, there would be sufficient value in the underlying asset to make the Class A noteholders whole. It should be noted that the vacant possession value is a stressed value and also that the liquidity facility has not been fully drawn. As such, the DBRS liquidation analysis is representative of a stressed liquidation scenario.

DBRS continues to monitor this transaction on a quarterly basis.

Notes:
The applicable methodologies are European CMBS Rating Methodology, European CMBS Surveillance Methodology, Legal Criteria for European Structured Finance Transactions, Unified Interest Rate Model for European Securitisations and Derivative Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

The sources of information used for this rating include CBRE Loan Servicing Limited, EuroTirtrisation and Windermere XII FCT. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

Initial Lead Analyst: Abbey Fitzgerald
Initial Rating Date: 25/07/2007
Rating Committee Chair: Jack Toliver

Lead Surveillance Analyst: Scott Goedken
Rating Committee Chair: Erin Stafford

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository see http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml