DBRS Confirms Ratings of Windermere XII FCT and Releases Annual Surveillance Report

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.

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 March 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 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.

DBRS continues to monitor this transaction on a quarterly basis.

Notes:
The applicable methodologies are European CMBS Methodology, CMBS European Surveillance Methodology, Legal Criteria for European Structured Finance Transactions, Unified Interest Rate Model for European Securitisations and Swap Criteria for European Structured Finance Transactions.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.