DBRS Upgrades Nine Classes and Confirms Four of Schooner Trust, Series 2004-CF2

DBRS has today upgraded nine classes of Schooner Trust, Series 2004-CF2 as follows:

-- Class C to AAA (sf) from AA (high) (sf)
-- Class D to AAA (sf) from AA (low) (sf)
-- Class E to AA (sf) from A (high) (sf)
-- Class F to A (high) (sf) from BBB (high) (sf)
-- Class G to A (sf) from BBB (sf)
-- Class H to BBB (high) from BB (sf)
-- Class J to BBB (sf) from BB (low) (sf)
-- Class K to BBB (low) (sf) from B (sf)
-- Class L to BB (high) (sf) from B (low) (sf)

In addition, DBRS has confirmed the ratings on Classes A-1, A-2, X and B at AAA (sf).

The trend on all classes is Stable.

The upgrades are a result of continued cash flow growth in the pool, especially in the Top 15; the resolution of one loan previously in special servicing; the defeasance of nearly half of the pool balance; and the healthy refinance outlook for the outstanding loans.

The pool has experienced approximately 35% of collateral reduction since issuance, with 51 loans remaining outstanding. Since the last surveillance review of this transaction, no loans have repaid; however, five loans have been fully defeased since the last review. As of the August 2013 remittance, a total of 14 loans, representing 44% of the current pool balance, are fully defeased, including six loans in the Top 15. Non-defeased loans in the Top 15 benefit from strong sponsorship and recourse to sophisticated borrowers. One loan, representing 1.1% of the pool, is scheduled to mature in December 2013, with all remaining loans in the pool scheduled to mature in 2014. The current weighted-average debt yield for the pool is 17.2%.

Two loans remain on the servicer’s watchlist for below-threshold debt service coverage ratios. Combined, these loans make up only 1.7% of the current pool balance, and DBRS does not view either of these loans as being at risk of payment default. Any potential loss incurred by the watchlist loans would be fully absorbed by the unrated class.

DBRS continues to monitor this transaction in its Monthly CMBS Surveillance Report, with additional information on the DBRS viewpoint for this transaction, including details on the remaining loans in the pool. The August 2013 Monthly Surveillance Report for this transaction will be published shortly. If you are interested in receiving this report, contact us at info@dbrs.com.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodologies are CMBS Rating Methodology (January 2012) and CMBS North American Surveillance Methodology (November 2012), which can be found on our website under Methodologies.

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