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January 17, 2008 |
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TALISMAN-3 FINANCE: S&P Affirms Class F Notes at B on Review Standard & Poor's Ratings Services has removed from CreditWatch with positive implications and raised its rating on the class B notes issued by Talisman-3 Finance PLC. At the same time, the class C notes were removed from CreditWatch positive and affirmed. The remaining notes were also affirmed. The class B and C notes were placed on CreditWatch positive on Dec. 17, 2007. This rating action follows a review of the transaction based on data received from the servicer, Hatfield Philips International Ltd., as of the October 2007 interest payment date. The raising of the rating on the class B notes is due to the prepayment of eight loans in the pool since closing. This includes the largest and second-largest loans (Pauli and Retiro, 36.1% and 20.3% of closing balance, respectively), which prepaid at the October 2007 IPD. The prepayments have improved the levels of credit enhancement available to the relevant classes, and improved the LTV ratios for the upgraded class B notes. All prepayment funds were allocated to the notes 50% sequentially and 50% pro rata (with the exception of the class E and F notes), and switched to 100% sequential pay when 50% of the transaction balance redeemed. Any further prepayment funds will be applied 100% sequentially. The upgrades were restricted because for two loans the most recent performance numbers are published by the servicer one quarter in arrears, as these borrowers are required to report only after the servicer report has been published. This would delay the reporting of any performance issues by more than three months. Following the large prepayments and given the modified pro rata payment structure that has changed to sequential after more than 50% of the initial note balance paid down, the spread between portfolio income and transaction liabilities has decreased to a low level. Interest shortfalls are possible from the next IPD in January 2008 onward. These shortfalls are only expected to affect the class F notes, which are subject to an available funds cap. If under the available funds cap there is insufficient interest due to the loan prepayments, the interest is not paid but will be written off. At closing in June 2006, the EUR689.9 million notes were backed by 11 commercial real estate loans originated by ABN AMRO Bank N.V. (AA-/Positive/A-1+) secured by commercial and residential properties located across Germany, and the notes issued by FCC Talisman which are secured on two loans backed by nine commercial properties in France. Ratings List Talisman-3 Finance PLC EUR689.9 Million Commercial Mortgage-Backed Floating-Rate Notes Class To From Rating Removed From CreditWatch With Positive Implications And Raised B AAA AA/Watch Pos Rating Removed From CreditWatch With Positive Implications And Affirmed C A A/Watch Pos Ratings Affirmed A AAA X AAA D BBB E BB F B |
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