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Fitch Upgrades 7 Classes of Wachovia CRE CDO 2006-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has upgraded seven classes of Wachovia CRE CDO 2006-1, Ltd. (Wachovia CRE CDO 2006-1). Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The upgrades reflect the significant delevering of the capital structure and Fitch’s better than average base case expected loss of 6.2% for the CDO. Since the last rating action, classes A though G have paid in full from the disposal of 19 loan or CMBS interests as well as asset amortization. There were no realized losses over the same period as all assets were removed or paid off at or above par. Further, in August 2014, the asset manager surrendered portions of classes B through N for cancellation. Between built par and the surrendered notes, the CDO is significantly over collateralized by $166 million, as of the Feb 2015 trustee report.

As of February 2015, CDO collateral consisted of the following: whole loans/A-notes (82%), CMBS (3.6%), and cash (14.4%). The approximately $40 million in principal proceeds are expected to be used to further pay down classes H through K.

The CDO collateral continues to become more concentrated. There are interests in approximately 14 different assets contributed to the CDO. The current combined percentage of defaulted assets and Loans of Concern is 38%.

Under Fitch’s methodology, approximately 68.1% of the portfolio is modeled to default in the base case stress scenario, defined as the ‘B’ stress. Modeled recoveries are well above average due to the, generally, stabilized nature of the collateral and the senior position of the majority of the debt.

The largest contributor to base case loss is a whole loan (20.6% of the pool) secured by a 402,000 sf retail center located in Glen Mills, PA. As of 9/30/14, occupancy was 96.7%. The largest tenants are Home Depot through 2033 and Marshalls through 2018. The loan, which matures on March 31, 2015, is over leveraged and Fitch modeled a loss in its base case scenario.

This transaction was analyzed according to the ‘Surveillance Criteria for U.S. CREL CDOs’, which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch’s long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch’s cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report ‘Global Rating Criteria for Structured Finance CDOs’. The breakeven rates for classes H through O pass the cash flow model at or above the ratings listed below. Upgrades to classes M though O were limited due to the increasing concentration of the portfolio.

The Stable Outlooks generally the significant credit enhancement to the classes and positive cushion in the modeling.

RATING SENSITIVITIES

If the collateral continues to repay at or near par, classes may be upgraded further.

Wachovia CRE CDO 2006-1 is a CRE CDO managed by Structured Asset Investors, LLC with Wells Fargo Bank, N.A., successor-by-merger to Wachovia Bank, N.A., as sub-advisor. The CDO exited its reinvestment period in September 2011.

Fitch upgrades the following classes as indicated:

–$15 million class H notes to ‘AAAsf’ from ‘Asf’; Outlook Stable;

–$13 million class J notes to ‘AAAsf’ from ‘BBBsf’; Outlook Stable;

–$10.95 million class K notes to ‘AAAsf’ from ‘BBBsf’; Outlook Stable;

–$5 million class L notes to ‘AAAsf’ from ‘BBBsf’; Outlook Stable;

–$21.75 million class M notes to ‘Asf’ from ‘BBsf’; Outlook Stable;

–$6.9 million class N notes to ‘Asf’ from ‘Bsf’; Outlook Stable;

–$6.5 million class O notes to ‘Asf’ from ‘Bsf’; Outlook Stable.

Classes A through G have paid in full. The preferred shares are not rated.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Surveillance Criteria for U.S. CREL CDOs’ (November 2014);

–‘Global Rating Criteria for Structured Finance CDOs’ (July 2014);

–‘Global Structured Finance Rating Criteria’ (August 2014).

Applicable Criteria and Related Research:

Surveillance Criteria for U.S. CREL CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=811268

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981153

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Investment & Company InformationFinanceFitch RatingsCDO Contact:

Fitch Ratings

Primary Surveillance Analyst

Stacey McGovern

Director

+1-212-908-0722

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Mary MacNeill

Managing Director

+1-212-908-0785

or

Media Relations

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]

CDOs And The Mortgage Market

Collateralized debt obligations (CDOs) are a type of structured credit product in the world of asset-backed securities. The purpose of these products is to create tiered cash flows from mortgages and other debt obligations that ultimately make the entire cost of lending cheaper for the aggregate economy. This happens when the original money lenders give out loans based on less stringent loan requirements. The idea is that if they can break up the pool of debt repayments into streams of investments with different cash flows, there will be a larger group of investors who will be willing to buy in. (For more on why mortgages are sold this way, see Behind The Scenes Of Your Mortgage.)

TUTORIALS: Mortgage Basics

For example, by splitting a pool of bonds or any variation of different loans and credit-based assets that mature in 10 years into multiple classes of securities that mature in one, three, five and 10 years, more investors with different investment horizons will be interested in investing. In this article, we’ll go over CDOs and how they function in the financial markets.

For simplicity, this article will focus mostly on mortgages, but CDOs do not solely involve mortgage cash flows. The underlying cash flows in these structures can be comprised of credit receivables, corporate bonds, lines of credit, and almost any debt and instruments. For example, CDOs are similar to the term “subprime“, which generally pertains to mortgages, although there are many equivalents in auto loans, credit lines and credit card receivables that are higher risk.

How do CDOs work?
Initially, all the cash flows from a CDO’s collection of assets are pooled together. This pool of payments is separated into rated tranches. Each tranche also has a perceived (or stated) debt rating to it. The highest end of the credit spectrum is usually the ‘AAA‘ rated senior tranche. The middle tranches are generally referred to as mezzanine tranches and generally carry ‘AA’ to ‘BB’ ratings and the lowest junk or unrated tranches are called the equity tranches. Each specific rating determines how much principal and interest each tranche receives. (Keep reading about tranches in Profit From Mortgage Debt With MBS and What is a tranche?)

The ‘AAA’-rated senior tranche is generally the first to absorb cash flows and the last to absorb mortgage defaults or missed payments. As such, it has the most predictable cash flow and is usually deemed to carry the lowest risk. On the other hand, the lowest rated tranches usually only receive principal and interest payments after all other tranches are paid. Furthermore they are also first in line to absorb defaults and late payments. Depending on how spread out the entire CDO structure is and depending on what the loan composition is, the equity tranche can generally become the “toxic waste” portion of the issue.

Note: This is the most basic model of how CDOs are structured. CDOs can literally be structured in almost any manner, so CDO investors can’t presume a steady cookie-cutter breakdown. Most CDOs will involve mortgages, although there are many other cash flows from corporate debt or auto receivables that can be included in a CDO structure.

Who Buys CDOs?
Generally speaking, it is rare for John Q. Public to directly own a CDO. Insurance companies, banks, pension funds, investment managers, investment banks and hedge funds are the typical buyers. These institutions look to outperform Treasury yields, and will take what they hope is appropriate risk to outperform Treasury returns. Added risk yields higher returns when the payment environment is normal and when the economy is normal or strong. When things slow or when defaults rise, the flip side is obvious and greater losses occur.

Asset Composition Complications
To make matters a bit more complicated, CDOs can be made up of a collection of prime loans, near prime loans (called Alt.-A loans), risky subprime loans or some combination of the above. These are terms that usually pertain to the mortgage structures. This is because mortgage structures and derivatives related to mortgages have been the most common form of underlying cash flow and assets behind CDOs. (To learn more about the subprime market and its meltdown, see our Subprime Mortgage Meltdown feature.)

If a buyer of a CDO thinks the underlying credit risk is investment grade and the firm is willing to settle for only a slightly higher yield than a Treasury, the issuer would be under more scrutiny if it turns out that the underlying credit is much riskier than the yield would dictate. This surfaced as one of the hidden risks in more complicated CDO structures. The most simple explanation behind this, regardless of a CDO’s structure in mortgage, credit card, auto loans, or even corporate debt, would surround the fact that loans have been made and credit has been extended to borrowers that weren’t as prime as the lenders thought.

Other Complications
Other than asset composition, other factors can cause CDOs to be more complicated. For starters, some structures use leverage and credit derivatives that can trick even the senior tranche out of being deemed safe. These structures can become synthetic CDOs that are backed merely by derivatives and credit default swaps made between lenders and in the derivative markets. Many CDOs get structured such that the underlying collateral is cash flows from other CDOs, and these become leveraged structures. This increases the level of risk because the analysis of the underlying collateral (the loans) may not yield anything other than basic information found in the prospectus. Care must be taken regarding how these CDOs are structured, because if enough debt defaults or debts are prepaid too quickly, the payment structure on the prospective cash flows will not hold and the some tranche holders will not receive their designated cash flows. Adding leverage to the equation will magnify any and all effects if an incorrect assumption is made.

The simplest CDO is a ‘single structure CDO’. These pose less risk because they are usually based solely on one group of underlying loans. It makes the analysis straightforward because it is easy to determine what the cash flows and defaults look like.

Are CDOs Justified, or Funny Money?
As mentioned before, the existence of these debt obligations is to make the aggregate loaning process cheaper to the economy. The other reason is that there is a willing market of investors who are willing to buy tranches or cash flows in what they believe will yield a higher return to their fixed income and credit portfolios than Treasury bills and notes with the same implied maturity schedule.

Unfortunately, there can be a huge discrepancy between perceived risks and actual risks in investing. Many buyers of this product are complacent after purchasing the structures enough times to believe they will always hold up and everything will perform as expected. But when the credit blow-ups happen, there is very little recourse. If credit losses choke off borrowing and you are one of the top 10 largest buyers of the more toxic structures out there, then you face a large dilemma when you have to get out or pare down. In extreme cases, some buyers face the “NO BID” scenario, in which there is no buyer and calculating a value is impossible. This creates major problems for regulated and reporting financial institutions. This aspect pertains to any CDO regardless of whether the underlying cash flows come from mortgages, corporate debt, or any form of consumer loan structure.

Will CDOs Ever Disappear?
Regardless of what occurs in the economy, CDOs are likely to exist in some form or fashion, because the alternative can be problematic. If loans cannot be carved up into tranches the end result will be tighter credit markets with higher borrowing rates.

This boils down to the notion that firms are able to sell different cash flow streams to different types of investors. So, if a cash flow stream cannot be customized to numerous types of investors, then the pool of end product buyers will naturally be far smaller. In effect, this will shrink the traditional group of buyers down to insurance companies and pension funds that have much longer-term outlooks than banks and other financial institutions that can only invest with a three- to five-year horizon.

The Bottom Line
As long as there is a pool of borrowers and lenders out there, you will find financial institutions that are willing to take risk on parts of the cash flows. Each new decade is likely to bring out new structured products, with new challenges for investors and the markets. (For more insight, read Why Are Mortgage Rates Increasing?)

[…]

Arbor Realty Trust Reports Second Quarter 2014 Results and Declares Common and Preferred Stock Dividends

Second Quarter Highlights:

FFO of $13.7 million, or $0.27 per diluted common share1 Net income attributable to common stockholders of $11.5 million, or $0.23 per diluted common share Declares a cash dividend of $0.13 per share of common stock Declares cash dividends of $0.515625 per share of Series A, $0.484375 per share of Series B and $0.53125 per share of Series C preferred stock Adjusted book value per common share of $9.21, GAAP book value per common share of $7.671 Closed a third collateralized loan obligation totaling $375 million Issued $58.6 million of 7.375% senior unsecured notes Recorded a $7.9 million gain from the sale of an equity investment Recorded $4.8 million in cash recoveries of previously recorded reserves Recorded $4.0 million in loan loss reserves

Recent Developments:

Recognized a $58.1 million gain in July related to the 450 West 33rd Street transaction resulting in proforma GAAP book value per common share of $8.82 as of June 30, 20141 Purchased 1.0 million outstanding warrants for $2.6 million in July

UNIONDALE, N.Y., Aug. 1, 2014 (GLOBE NEWSWIRE) — Arbor Realty Trust, Inc. (ABR), a real estate investment trust focused on the business of investing in real estate related bridge and mezzanine loans, preferred and direct equity investments, mortgage-related securities and other real estate related assets, today announced financial results for the second quarter ended June 30, 2014. Arbor reported net income attributable to common stockholders for the quarter of $11.5 million, or $0.23 per diluted common share, compared to $3.0 million, or $0.07 per diluted common share for the quarter ended June 30, 2013. Net income attributable to common stockholders for the six months ended June 30, 2014 was $17.3 million, or $0.35 per diluted common share, compared to $9.6 million, or $0.25 per diluted common share for the six months ended June 30, 2013. Funds from operations (“FFO”) for the quarter ended June 30, 2014 was $13.7 million, or $0.27 per diluted common share, compared to $4.8 million, or $0.11 per diluted common share for the quarter ended June 30, 2013. FFO for the six months ended June 30, 2014 was $21.7 million, or $0.43 per diluted common share, compared to $13.1 million, or $0.34 per diluted common share for the six months ended June 30, 2013.1

Portfolio Activity

Loan and investment portfolio activity during the second quarter of 2014 consisted of:

Originated 21 new loans totaling $170.3 million, of which 16 were bridge loans for $154.0 million. Payoffs and pay downs on 26 loans totaling $245.9 million. Extended 10 loans totaling $109.6 million.

At June 30, 2014, the loan and investment portfolio’s unpaid principal balance, excluding loan loss reserves, was approximately $1.64 billion, with a weighted average current interest pay rate of 5.25%. Including certain fees earned and costs associated with the loan and investment portfolio, the weighted average current interest pay rate was 5.93% at June 30, 2014.

As of June 30, 2014, Arbor’s loan portfolio consisted of 30% fixed-rate and 70% variable-rate loans.

The average balance of the Company’s loan and investment portfolio during the second quarter of 2014, excluding loan loss reserves, was $1.64 billion and the average yield on these assets for the quarter was 6.22%, compared to $1.62 billion and 6.23% for the first quarter of 2014.

The Company recorded $4.0 million in loan loss reserves related to three loans with a carrying value of $153.7 million before loan loss reserves. The Company also recorded $4.8 million of net recoveries of previously recorded loan loss reserves during the quarter. At June 30, 2014, the Company’s total loan loss reserves were $115.1 million relating to 14 loans with an aggregate carrying value before loan loss reserves of $237.6 million.

The Company had two non-performing loans with a carrying value of $6.3 million, net of related loan loss reserves of $34.0 million as of June 30, 2014, as compared to four loans with a carrying value of $10.2 million, net of related loan loss reserves of $39.6 million as of March 31, 2014.

Financing Activity

The balance of debt that finances the Company’s loan and investment portfolio at June 30, 2014 was approximately $1.22 billion with a weighted average interest rate including fees of 3.75%, as compared to approximately $1.21 billion and a rate of 3.52% at March 31, 2014. The average balance of debt that finances the Company’s loan and investment portfolio for the second quarter of 2014 was approximately $1.21 billion, as compared to approximately $1.17 billion for the first quarter of 2014. The average cost of borrowings for the second quarter was 3.73%, compared to 3.68% for the first quarter of 2014.

In April 2014, Arbor completed its third collateralized loan obligation (“CLO”) totaling approximately $375.0 million of real estate related assets and cash. An aggregate of $281.3 million of investment grade-rated debt was issued, and Arbor retained an equity interest in the portfolio with a notional amount of $93.8 million. The notes have an initial weighted average spread of 239 basis points over one-month LIBOR. Including fees and transaction costs, the initial weighted average note rate was 3.07%. The facility has a two and a half year replenishment period that allows the principal proceeds from repayments of the collateral assets to be reinvested in qualifying replacement assets, subject to certain conditions. The $375.0 million of collateral includes $67.7 million of additional capacity to finance future loans for a period of up to 120 days from the closing date of the CLO.

In May 2014, the Company issued $58.6 million aggregate principal amount of 7.375% senior unsecured notes in an underwritten public offering (ABRN), generating net proceeds of approximately $56.4 million after deducting the underwriting discount and other offering expenses. The notes are due in 2021 and can be redeemed by the Company after May 15, 2017. Including certain fees and costs, the weighted average note rate was 7.91% at June 30, 2014.

The Company amended a $50 million financing facility increasing the committed amount to $75 million, extended the maturity for one year and reduced the spread over LIBOR from 250 basis points to 225 basis points. Additionally, the Company amended another financing facility increasing the committed amount from $45 million to $60 million.

The Company repaid in full a $33 million warehouse credit facility as part of the issuance of the Company’s third CLO. In addition, the Company repaid in full a $20 million unsecured revolving line of credit primarily from proceeds received from the issuance of the Company’s senior unsecured notes.

The Company is subject to various financial covenants and restrictions under the terms of the Company’s CDO/CLO vehicles, credit facilities, and repurchase agreements. The Company’s CDO/CLO vehicles contain interest coverage and asset over collateralization covenants that must be met as of the waterfall distribution date in order for the Company to receive such payments. The Company believes that it was in compliance with all financial covenants and restrictions as of June 30, 2014 and as of the most recent determination dates in July 2014.

The chart below is a summary of the Company’s CDO/CLO compliance tests as of the most recent determination dates in July 2014:

Cash Flow Triggers CDO I CDO II CDO III CLO I CLO II CLO III Overcollateralization (1)

Current 171.01% 153.44% 109.20% 142.96% 146.89% 133.33%

Limit 145.00% 127.30% 105.60% 137.86% 144.25% 132.33%

Pass / Fail Pass Pass Pass Pass Pass Pass

Interest Coverage (2)

Current 553.88% 387.06% 498.96% 206.81% 279.82% 274.30%

Limit 160.00% 147.30% 105.60% 120.00% 120.00% 120.00%

Pass / Fail Pass Pass Pass Pass Pass Pass

(1) The overcollateralization ratio divides the total principal balance of all collateral in the CDO/CLO by the total principal balance of the bonds associated with the applicable ratio. To the extent an asset is considered a defaulted security, the asset’s principal balance for purposes of the overcollateralization test is the lesser of the asset’s market value or the principal balance of the defaulted asset multiplied by the asset’s recovery rate which is determined by the rating agencies.

(2) The interest coverage ratio divides interest income by interest expense for the classes senior to those retained by the Company.

Equity Investments

In May 2014, the Company sold its 12.5% interest in a joint venture that owns and operates a commercial property with a carrying value of approximately $0.1 million and received $7.9 million in cash. As a result, the Company recorded a gain from this transaction of approximately $7.9 million in gain on sale of equity interest.

As previously disclosed, the Company will recognize a $58.1 million net gain related to its investment in the 450 West 33rd Street property in its third quarter 2014 consolidated financial statements. In 2007, the Company received net proceeds of approximately $58.1 million from the closing of this transaction and recorded a corresponding net deferred gain as a result of guarantying a portion of the property’s indebtedness. In July 2014, the existing debt on the property was refinanced and the Company’s portion of the guarantee terminated, resulting in the recognition of the deferred gain for GAAP purposes.

Common Dividend

The Company announced today that its Board of Directors has declared a quarterly cash dividend of $0.13 per share of common stock for the quarter ended June 30, 2014. The dividend is payable on September 2, 2014 to common shareholders of record on August 15, 2014. The ex-dividend date is August 13, 2014.

Preferred Dividends

The Company announced today that its Board of Directors has declared cash dividends on the Company’s Series A, Series B and Series C cumulative redeemable preferred stock reflecting accrued dividends from June 1, 2014 through August 31, 2014. The dividends are payable on September 2, 2014 to shareholders of record on August 15, 2014. The Company will pay total dividends of $0.515625, $0.484375 and $0.53125 per share on the Series A, Series B and Series C preferred stock, respectively.

Earnings Conference Call

Management will host a conference call today at 10:00 a.m. ET. A live webcast of the conference call will be available at www.arborrealtytrust.com in the investor relations area of the website. Those without web access should access the call telephonically at least ten minutes prior to the conference call. The dial-in numbers are (877) 280-4957 for domestic callers and (857) 244-7314 for international callers. Please use participant passcode 12621739.

After the live webcast, the call will remain available on the Company’s website, www.arborrealtytrust.com, through August 31, 2014. In addition, a telephonic replay of the call will be available until August 8, 2014. The replay dial-in numbers are (888) 286-8010 for domestic callers and (617) 801-6888 for international callers. Please use passcode 14799841.

About Arbor Realty Trust, Inc.

Arbor Realty Trust, Inc. is a real estate investment trust, which invests in a diversified portfolio of multi-family and commercial real estate related bridge and mezzanine loans, preferred equity investments, mortgage related securities and other real estate related assets. Arbor is externally managed and advised by Arbor Commercial Mortgage, LLC, a national commercial real estate finance company operating through 14 offices in the US that specializes in debt and equity financing for multi-family and commercial real estate. For more information about Arbor Realty Trust, Inc., please visit www.arborrealtytrust.com.

Safe Harbor Statement

Certain items in this press release may constitute forward-looking statements within the meaning of the “safe harbor” provisions of the Private Securities Litigation Reform Act of 1995. These statements are based on management’s current expectations and beliefs and are subject to a number of trends and uncertainties that could cause actual results to differ materially from those described in the forward-looking statements. Arbor can give no assurance that its expectations will be attained. Factors that could cause actual results to differ materially from Arbor’s expectations include, but are not limited to, continued ability to source new investments, changes in interest rates and/or credit spreads, changes in the real estate markets, and other risks detailed in Arbor’s Annual Report on Form 10-K for the year ended December 31, 2013 and its other reports filed with the SEC. Such forward-looking statements speak only as of the date of this press release. Arbor expressly disclaims any obligation or undertaking to release publicly any updates or revisions to any forward-looking statements contained herein to reflect any change in Arbor’s expectations with regard thereto or change in events, conditions, or circumstances on which any such statement is based.

Non-GAAP Financial Measures

During the quarterly earnings conference call, the Company may discuss non-GAAP financial measures as defined by SEC Regulation G. In addition, the Company has used non-GAAP financial measures in this press release. A supplemental schedule of each non-GAAP financial measure and the comparable GAAP financial measure can be found on page 9 and 10 of this release.

1. See attached supplemental schedule of non-GAAP financial measures.

ARBOR REALTY TRUST, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF INCOME – (Unaudited)

Quarter Ended Six Months Ended
June 30, June 30,
2014 2013 2014 2013

Interest income $ 25,492,429 $ 24,329,116 $ 50,404,284 $ 47,317,938 Interest expense 11,222,597 10,333,073 21,813,975 20,975,317 Net interest income 14,269,832 13,996,043 28,590,309 26,342,621

Other revenue:

Property operating income 9,001,383 8,231,822 18,259,471 17,127,256 Other income, net 150,187 605,317 1,008,583 1,984,775 Total other revenue 9,151,570 8,837,139 19,268,054 19,112,031

Other expenses:

Employee compensation and benefits 3,552,548 2,968,678 6,938,497 6,052,317 Selling and administrative 3,194,845 2,969,733 5,177,064 5,159,016 Property operating expenses 7,423,080 7,161,334 14,420,203 14,031,493 Depreciation and amortization 2,158,353 1,827,595 3,970,036 3,459,726 Impairment loss on real estate owned — — 250,000 — Provision for loan losses (net of recoveries) (870,187) 821,722 (735,843) 3,321,877 Management fee – related party 2,500,000 2,800,000 4,950,000 5,600,000 Total other expenses 17,958,639 18,549,062 34,969,957 37,624,429

Income before gain on extinguishment of debt, gain on sale of equity interest and income (loss) from equity affiliates 5,462,763 4,284,120 12,888,406 7,830,223 Gain on extinguishment of debt — — — 3,763,000 Gain on sale of equity interest 7,851,266 — 7,851,266 — Income (loss) from equity affiliates 40,493 (81,804) 80,541 (163,689)

Net income 13,354,522 4,202,316 20,820,213 11,429,534

Preferred stock dividends 1,888,465 1,152,617 3,479,395 1,685,945 Net income attributable to noncontrolling interest — 53,833 — 107,484

Net income attributable to Arbor Realty Trust, Inc. common stockholders $ 11,466,057 $ 2,995,866 $ 17,340,818 $ 9,636,105

Basic earnings per common share $ 0.23 $ 0.07 $ 0.35 $ 0.25

Diluted earnings per common share $ 0.23 $ 0.07 $ 0.35 $ 0.25

Dividends declared per common share $ 0.13 $ 0.12 $ 0.26 $ 0.24

Weighted average number of shares of common stock outstanding:

Basic 50,267,462 43,113,898 49,804,457 38,468,718

Diluted 50,701,742 43,555,495 50,229,899 38,921,834

ARBOR REALTY TRUST, INC. AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS

June 30, December 31,
2014 2013
(Unaudited)
Assets:

Cash and cash equivalents $ 47,813,740 $ 60,389,552 Restricted cash 156,795,469 54,962,316 Loans and investments, net 1,502,586,691 1,523,699,653 Available-for-sale securities, at fair value 2,805,471 37,315,652 Investments in equity affiliates 4,588,107 4,680,306 Real estate owned, net 120,830,942 111,718,177 Real estate held-for-sale, net — 11,477,676 Due from related party 358,110 98,058 Prepaid management fee – related party 19,047,949 19,047,949 Other assets 48,146,390 54,083,143 Total assets $ 1,902,972,869 $ 1,877,472,482

Liabilities and Equity:

Credit facilities and repurchase agreements $ 22,204,000 $ 159,125,023 Collateralized debt obligations 433,297,191 639,622,981 Collateralized loan obligations 545,750,000 264,500,000 Senior unsecured notes 58,637,625 — Junior subordinated notes to subsidiary trust issuing preferred securities 159,557,894 159,291,427 Notes payable 2,498,542 2,500,000 Mortgage note payable — real estate owned 53,538,637 42,745,650 Mortgage note payable — real estate held-for-sale — 11,005,354 Due to related party 1,666,667 2,794,087 Due to borrowers 16,979,900 20,326,030 Deferred revenue 77,123,133 77,123,133 Other liabilities 55,127,961 60,842,515 Total liabilities 1,426,381,550 1,439,876,200

Equity:

Arbor Realty Trust, Inc. stockholders’ equity:

Preferred stock, $0.01 par value: 100,000,000 shares authorized; 8.25% Series A

cumulative redeemable preferred stock, $38,787,500 aggregate liquidation preference;
1,551,500 issued and outstanding at June 30, 2014 and December 31, 2013;

7.75% Series B cumulative redeemable preferred stock, $31,500,000 aggregate

liquidation preference; 1,260,000 issued and outstanding at June 30, 2014 and

December 31, 2013; 8.50% Series C cumulative redeemable preferred stock,

$22,500,000 aggregate liquidation preference; 900,000 issued and outstanding at

June 30, 2014, no shares issued and outstanding at December 31, 2013 89,295,905 67,654,655 Common stock, $0.01 par value: 500,000,000 shares authorized; 53,128,075

shares issued, 50,477,308 shares outstanding at June 30, 2014 and

51,787,075 shares issued, 49,136,308 shares outstanding at December 31, 2013 531,280 517,870 Additional paid-in capital 631,889,669 623,993,245 Treasury stock, at cost – 2,650,767 shares at June 30, 2014 and December 31, 2013 (17,100,916) (17,100,916) Accumulated deficit (207,803,092) (212,231,319) Accumulated other comprehensive loss (20,221,527) (25,237,253) Total stockholders’ equity 476,591,319 437,596,282 Total liabilities and equity $ 1,902,972,869 $ 1,877,472,482

ARBOR REALTY TRUST, INC. AND SUBSIDIARIES
Supplemental Schedule of Non-GAAP Financial Measures– Adjusted and GAAP Book Value per Common Share (Actual and Pro Forma) (Unaudited)

Pro Forma
June 30, 2014 June 30, 2014

GAAP Arbor Realty Trust, Inc. Stockholders’ Equity $ 476,591,319 $ 534,666,503 Subtract: 8.25% Series A, 7.75% Series B and 8.50% Series C cumulative redeemable preferred stock (89,295,905) (89,295,905)

GAAP Arbor Realty Trust, Inc. Common Stockholders’ Equity 387,295,414 445,370,598

Add: 450 West 33rd Street transaction – deferred revenue 77,123,133 — Unrealized loss on derivative instruments 19,551,436 19,551,436

Subtract: 450 West 33rd Street transaction – prepaid management fee (19,047,949) —

Adjusted Arbor Realty Trust, Inc. Common Stockholders’ Equity $ 464,922,034 $ 464,922,034

Adjusted book value per common share $ 9.21 $ 9.21

GAAP book value per common share $ 7.67 $ 8.82

Common shares outstanding 50,477,308 50,477,308

Given the magnitude and the deferral structure of the 450 West 33rd Street transaction combined with the significance of the unrealized gain and/or loss position of our qualifying derivative instruments, Arbor has elected to report adjusted book value per common share for the affected period to currently reflect the impact of the 450 West 33rd Street transaction on the Company’s financial condition as well as the removal of the temporary nature of unrealized gains or losses as a component of equity from qualifying interest rate swaps on our financial position. Over time, as these qualifying interest rate swaps reach their maturity, the fair value of these swaps will return to their original par value. The table also presents pro forma GAAP book value per common share based on June 30, 2014 financial information adjusted for the recognition of the $58.1 million net deferred gain from the 450 West 33rd Street transaction which occurred in the third quarter of 2014. Management considers this non-GAAP financial measure to be an effective indicator, for both management and investors, of Arbor’s financial condition. Arbor’s management does not advocate that investors consider this non-GAAP financial measure in isolation from, or as a substitute for, financial measures prepared in accordance with GAAP.

GAAP book value per common share and adjusted book value per common share calculations do not take into account any dilution from the 1,000,000 warrants issued to Wachovia as part of the 2009 debt restructuring. These warrants were purchased in the third quarter of 2014 for $2.6 million.

ARBOR REALTY TRUST, INC. AND SUBSIDIARIES

Supplemental Schedule of Non-GAAP Financial Measures (Continued) — Funds from Operations (Unaudited)

Quarter Ended Six Months Ended
June 30, June 30,
2014 2013 2014 2013

Net income attributable to Arbor Realty Trust, Inc. common stockholders $ 11,466,057 $ 2,995,866 $ 17,340,818 $ 9,636,105

Add:

Impairment loss on real estate owned — — 250,000 — Depreciation – real estate owned 2,158,353 1,827,595 3,970,036 3,459,726 Depreciation – investment in equity affiliate 69,370 22,599 138,740 45,198

Funds from operations (“FFO”) $ 13,693,780 $ 4,846,060 $ 21,699,594 $ 13,141,029

Diluted FFO per common share $ 0.27 $ 0.11 $ 0.43 $ 0.34

Diluted weighted average shares outstanding 50,701,742 43,555,495 50,229,899 38,921,834

Arbor is presenting funds from operations, or FFO, because management believes it to be an important supplemental measure of the Company’s operating performance in that it is frequently used by analysts, investors and other parties in the evaluation of REITs. The National Association of Real Estate Investment Trusts, or NAREIT, defines FFO as net income (loss) attributable to common stockholders (computed in accordance with GAAP), excluding gains (losses) from sales of depreciated real properties, plus impairments of depreciated real properties and real estate related depreciation and amortization, and after adjustments for unconsolidated ventures. The Company considers gains and losses on the sales of undepreciated real estate investments to be a normal part of its recurring operating activities in accordance with GAAP and should not be excluded when calculating FFO. Losses from discontinued operations are not excluded when calculating FFO.

FFO is not intended to be an indication of our cash flow from operating activities (determined in accordance with GAAP) or a measure of our liquidity, nor is it entirely indicative of funding our cash needs, including our ability to make cash distributions. Arbor’s calculation of FFO may be different from the calculation used by other companies and, therefore, comparability may be limited.

View photo.Financials IndustryFinance Contact: Arbor Realty Trust, Inc.
Paul Elenio, Chief Financial Officer
516-506-4422
pelenio@arbor.com
Media:
Bonnie Habyan, EVP of Marketing
516-506-4615
bhabyan@arbor.com
Investors:
Joseph Green
The Ruth Group
646-536-7013
jgreen@theruthgroup.com
[…]

Fitch Affirms All Classes of Concord 2006-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has upgraded one class and affirmed six classes of Concord Real Estate CDO 2006-1, Ltd/LLC. (Concord 2006-1) reflecting Fitch’s base case loss expectation of 43.6%. Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Since last rating action, class A-1 has received pay down totaling approximately $113 million primarily from the full and partial payoff of eight assets as well as scheduled amortization. Realized losses since last review were $4.2 million. The CDO is overcollateralized by approximately $48 million, as of the May 2014 trustee report. Per the asset manager, a $20 million loan was recently paid off in full. The principal proceeds are expected to be applied to pay down class A-1 at the next payment date.

As of the May 2014 trustee report, and per Fitch categorization, the CDO is substantially invested as follows: whole loans/A-notes (15%), B-notes (43%), mezzanine debt (15%), CMBS (14%), CDOs (5%), and cash (8%). There are interests in approximately 19 different assets contributed to the CDO. The current percentage of defaulted assets and assets of concern is 14.9% and 41.7%, respectively. The CDO is currently passing all of its par value and interest coverage tests.

Under Fitch’s methodology, approximately 60.3% of the portfolio is modeled to default in the base case stress scenario, defined as the ‘B’ stress. Modeled recoveries are below average at 27.7% reflecting the significant subordinate debt in the transaction.

The largest contributor to Fitch’s base case loss expectation is a B-note (13% of the total collateral) secured by two office towers located in Farmers Branch, TX. While the property is currently 100% leased to an investment grade tenant, the property is considered overleveraged, and Fitch modeled a substantial loss on this loan in its base case scenario.

The next largest contributor to Fitch’s base case loss expectation is a defaulted B-note (11.7% of the total collateral) secured by a 575-room full-service resort located in Tucson, AZ. Since August 2010, the loan has been in maturity default and the special servicer is pursuing foreclosure. Fitch modeled a substantial loss on this loan in its base case scenario.

This transaction was analyzed according to the ‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’, which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch’s long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch’s cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report ‘Global Criteria for Cash Flow Analysis in CDOs’. The breakeven rates for classes A through C pass the cash flow model at the ratings listed below.

The Positive and Stable Outlooks on classes A through C generally reflect the senior positions in the capital structure and/or cushion in the modeling.

The ‘CCC’ ratings for classes D through F are based on a deterministic analysis that considers Fitch’s base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Assets of Concern, factoring in anticipated recoveries relative to each class’ credit enhancement.

RATING SENSITIVITIES

If the collateral continues to repay at or near par, classes may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase.

WRP Management, LLC is the collateral asset manager for the transaction. The CDO’s reinvestment period ended in December 2011.

Fitch upgrades the following:

–$20.3 million class A-1 to ‘A’ from ‘BBBsf’; Outlook Stable;

Fitch affirms the following classes and revises Outlooks as indicated:

–$23.3 million class A-2 at ‘BBsf’; Outlook to Positive from Stable;

–$46.5 million class B at ‘BBsf’; Outlook Stable;

–$10 million class C at ‘Bsf’; Outlook Stable;

–$6 million class D at ‘CCCsf’ RE 100%;

–$8.1 million class E at ‘CCCsf’; RE 100%;

–$22.4 million class F at ‘CCCsf’; RE 70%.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 20, 2014);

–‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’ (Nov. 25, 2013);

–‘Global Rating Criteria for Structured Finance CDOs’ (Sept. 12, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=723059

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718027

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=835078

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings

Primary Surveillance Analyst

Stacey McGovern

Director

+1 212-908-0722

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Mary MacNeill

Managing Director

+1 212-908-0785

or

Media Relations, New York

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Arbor Realty Trust Reports First Quarter 2014 Results and Declares Common and Preferred Stock Dividends

First Quarter Highlights:

– Declares a cash dividend of $0.13 per share of common stock

– Declares cash dividends of $0.515625 per share of Series A, $0.484375 per share of Series B and $0.5549 per share of Series C preferred stock

– FFO of $8.0 million, or $0.16 per diluted common share1

– Net income attributable to common stockholders of $5.9 million, or $0.12 per diluted common share

– Originated $275 million of new loans

– Raised $28 million of capital through two stock offerings

– Increased the capacity of financing facilities by $30 million

– Adjusted book value per common share of $9.15, GAAP book value per common share of $7.551

Recent Developments:

– Closed a third collateralized loan obligation totaling $375 million in April

– Increased the capacity of financing facilities by $40 million in April

UNIONDALE, N.Y., May 1, 2014 (GLOBE NEWSWIRE) — Arbor Realty Trust, Inc. (ABR), a real estate investment trust focused on the business of investing in real estate related bridge and mezzanine loans, preferred and direct equity investments, mortgage-related securities and other real estate related assets, today announced financial results for the first quarter ended March 31, 2014. Arbor reported net income attributable to common stockholders for the quarter of $5.9 million, or $0.12 per diluted common share, compared to $6.6 million, or $0.19 per diluted common share for the quarter ended March 31, 2013. Funds from operations (“FFO”) for the quarter ended March 31, 2014 was $8.0 million, or $0.16 per diluted common share, compared to $8.3 million, or $0.24 per diluted common share for the quarter ended March 31, 2013.1

Portfolio Activity

Loan and investment portfolio activity during the first quarter of 2014 consisted of:

Originated 18 new loans totaling $274.9 million, of which 16 were bridge loans for $263.9 million. Payoffs and pay downs on 13 loans totaling $226.8 million, of which $5.7 million was charged off against loan loss reserves related to one loan. Modified and/or extended seven loans totaling $35.2 million.

At March 31, 2014, the loan and investment portfolio’s unpaid principal balance, excluding loan loss reserves, was approximately $1.71 billion, with a weighted average current interest pay rate of 5.26%. Including certain fees earned and costs associated with the loan and investment portfolio, the weighted average current interest pay rate was 5.79% at March 31, 2014.

As of March 31, 2014, Arbor’s loan portfolio consisted of 29% fixed-rate and 71% variable-rate loans.

The average balance of the Company’s loan and investment portfolio during the first quarter of 2014, excluding loan loss reserves, was $1.62 billion and the average yield on these assets for the quarter was 6.23%, compared to $1.76 billion and 5.86% for the fourth quarter of 2013.

During the first quarter of 2014, the Company recorded a $1.0 million loan loss reserve related to a loan with a carrying value of $4.8 million before loan loss reserves. The $1.0 million of loan loss reserve was attributable to a loan on which the Company had previously recorded reserves and was fully reserved as of March 31, 2014. The Company also recorded $0.9 million of net recoveries of previously recorded loan loss reserves during the quarter. In addition, the Company charged off $5.7 million of a previously recorded loan loss reserve related to one loan during the quarter. At March 31, 2014, the Company’s total loan loss reserves were $116.7 million relating to 14 loans with an aggregate carrying value before loan loss reserves of $201.4 million. The Company recognizes income on impaired loans on a cash basis to the extent it is received.

The Company had four non-performing loans with a carrying value of $10.2 million, net of related loan loss reserves of $39.6 million as of March 31, 2014. Income recognition on non-performing loans has been suspended and will resume if and when the loans become contractually current.

During the first quarter of 2014, the Company recorded an impairment loss of $0.3 million on a real estate owned asset with a $4.4 million carrying value before cumulative impairments of $1.3 million.

During the first quarter of 2014, the Company sold the majority of its residential mortgage-backed securities with an aggregate carrying value of $81.2 million for $81.9 million, of which $47.8 million were accounted for as derivatives net of financings totaling $41.8 million.

Financing Activity

The balance of debt that finances the Company’s loan and investment portfolio at March 31, 2014 was approximately $1.21 billion with a weighted average interest rate of 3.52%, as compared to approximately $1.22 billion and a rate of 3.34% at December 31, 2013. The average balance of debt that finances the Company’s loan and investment portfolio for the first quarter of 2014 was approximately $1.17 billion, as compared to approximately $1.26 billion for the fourth quarter of 2013. The average cost of borrowings for the first quarter was 3.68%, compared to 3.28% for the fourth quarter of 2013.

During the first quarter of 2014, the Company amended one of its warehouse facilities increasing the committed amount from $75 million to $100 million.

In addition, during the quarter, the Company amended another financing facility increasing the committed amount from $40 million to $45 million.

On April 28, 2014, Arbor completed its third collateralized loan obligation (“CLO”) totaling approximately $375 million of real estate related assets and cash. An aggregate of $281 million of investment grade-rated debt was issued, and Arbor retained an equity interest in the portfolio with a notional amount of $94 million. The notes have an initial weighted average spread of approximately 239 basis points over one-month LIBOR, excluding fees and transaction costs. The facility has a two and a half year replenishment period that allows the principal proceeds from repayments of the collateral assets to be reinvested in qualifying replacement assets, subject to certain conditions. The $375 million of collateral includes $68 million of additional capacity to finance future loans for a period of up to 120 days from the closing date of the CLO. Arbor will account for this transaction on its balance sheet as a financing.

In April 2014, the Company amended a $50 million financing facility increasing the committed amount to $75 million, extended the maturity for one year and reduced the spread over LIBOR from 250 basis points to 225 basis points. Additionally, in April 2014, the Company amended another financing facility increasing the committed amount from $45 million to $60 million.

The Company is subject to various financial covenants and restrictions under the terms of the Company’s CDO/CLO vehicles, credit facilities, and repurchase agreements. The Company believes that it was in compliance with all financial covenants and restrictions as of March 31, 2014.

The Company’s CDO/CLO vehicles contain interest coverage and asset over collateralization covenants that must be met as of the waterfall distribution date in order for the Company to receive such payments. If the Company fails these covenants in any of its CDOs or CLOs, all cash flows from the applicable vehicle would be diverted to repay principal and interest on the outstanding bonds and the Company would not receive any residual payments until that vehicle regained compliance with such covenants. As of the most recent determination dates in April 2014, the Company was in compliance with all CDO/CLO covenants. In the event of a breach of the covenants that could not be cured in the near-term, the Company would be required to fund its non CDO/CLO expenses, including management fees and employee costs, distributions required to maintain REIT status, debt costs, and other expenses with (i) cash on hand, (ii) income from any CDO/CLO not in breach of a covenant test, (iii) income from real property and loan assets, (iv) sale of assets, or (v) accessing the equity or debt capital markets, if available.

The chart below is a summary of the Company’s CDO/CLO compliance tests as of the most recent determination dates in April 2014:

Cash Flow Triggers CDO I (3) CDO II (3) CDO III (3) CLO I CLO II

Overcollateralization (1)

Current 184.35% 138.15% 108.74% 142.96% 146.89% Limit 145.00% 127.30% 105.60% 137.86% 144.25% Pass / Fail Pass Pass Pass Pass Pass

Interest Coverage (2)

Current 541.25% 457.31% 495.38% 232.75% 365.43% Limit 160.00% 147.30% 105.60% 120.00% 120.00% Pass / Fail Pass Pass Pass Pass Pass

(1) The overcollateralization ratio divides the total principal balance of all collateral in the CDO/CLO by the total principal balance of the bonds associated with the applicable ratio. To the extent an asset is considered a defaulted security, the asset’s principal balance for purposes of the overcollateralization test is the lesser of the asset’s market value or the principal balance of the defaulted asset multiplied by the asset’s recovery rate which is determined by the rating agencies.

(2) The interest coverage ratio divides interest income by interest expense for the classes senior to those retained by the Company.

(3) CDO I, CDO II, and CDO III have reached the end of their replenishment periods. As such, investor capital is repaid quarterly from proceeds received from loan repayments held as collateral in accordance with the terms of the respective CDO.

Equity Offerings

In February 2014, Arbor completed an underwritten public offering of 900,000 shares of its 8.50% Series C cumulative redeemable preferred stock generating net proceeds of approximately $21.6 million after deducting underwriting fees and estimated offering costs.

In February 2014, the Company entered into an “At-The-Market” (“ATM”) equity offering sales agreement whereby, in accordance with the terms of the agreement, from time to time the Company could issue and sell up to 7,500,000 shares of its common stock. During the first quarter of 2014, the Company sold 1,000,000 shares under the ATM for net proceeds of $6.5 million.

Common Dividend

The Company announced today that its Board of Directors has declared a quarterly cash dividend of $0.13 per share of common stock for the quarter ended March 31, 2014. The dividend is payable on June 2, 2014 to common shareholders of record on May 15, 2014. The ex-dividend date is May 13, 2014.

Preferred Dividends

The Company announced today that its Board of Directors has declared cash dividends on the Company’s Series A, Series B and Series C cumulative redeemable preferred stock reflecting accrued dividends through May 31, 2014. The dividends are payable on June 2, 2014 to shareholders of record on May 15, 2014. The Company will pay total dividends of $0.515625, $0.484375 and $0.5549 per share on the 8.25% Series A, 7.75% Series B and 8.50% Series C preferred stock, respectively.

Earnings Conference Call

Management will host a conference call today at 9:30 a.m. ET. A live webcast of the conference call will be available online at http://www.arborrealtytrust.com/ in the investor relations area of the Website. Those without Web access should access the call telephonically at least ten minutes prior to the conference call. The dial-in numbers are (866) 515-2915 for domestic callers and (617) 399-5129 for international callers. Please use participant passcode 67648801.

After the live webcast, the call will remain available on the Company’s Website, www.arborrealtytrust.com, through May 31, 2014. In addition, a telephonic replay of the call will be available until May 8, 2014. The replay dial-in numbers are (888) 286-8010 for domestic callers and (617) 801-6888 for international callers. Please use passcode 65112338.

About Arbor Realty Trust, Inc.

Arbor Realty Trust, Inc. is a real estate investment trust, which invests in a diversified portfolio of multi-family and commercial real estate related bridge and mezzanine loans, preferred equity investments, mortgage related securities and other real estate related assets. Arbor is externally managed and advised by Arbor Commercial Mortgage, LLC, a national commercial real estate finance company operating through 14 offices in the US that specializes in debt and equity financing for multi-family and commercial real estate. For more information about Arbor Realty Trust, Inc., please visit www.arborrealtytrust.com.

Safe Harbor Statement

Certain items in this press release may constitute forward-looking statements within the meaning of the “safe harbor” provisions of the Private Securities Litigation Reform Act of 1995. These statements are based on management’s current expectations and beliefs and are subject to a number of trends and uncertainties that could cause actual results to differ materially from those described in the forward-looking statements. Arbor can give no assurance that its expectations will be attained. Factors that could cause actual results to differ materially from Arbor’s expectations include, but are not limited to, continued ability to source new investments, changes in interest rates and/or credit spreads, changes in the real estate markets, and other risks detailed in Arbor’s Annual Report on Form 10-K for the year ended December 31, 2013 and its other reports filed with the SEC. Such forward-looking statements speak only as of the date of this press release. Arbor expressly disclaims any obligation or undertaking to release publicly any updates or revisions to any forward-looking statements contained herein to reflect any change in Arbor’s expectations with regard thereto or change in events, conditions, or circumstances on which any such statement is based.

Non-GAAP Financial Measures

During the quarterly earnings conference call, the Company may discuss non-GAAP financial measures as defined by SEC Regulation G. In addition, the Company has used non-GAAP financial measures in this press release. A supplemental schedule of each non-GAAP financial measure and the comparable GAAP financial measure can be found on page 10 and 11 of this release.

1. See attached supplemental schedule of non-GAAP financial measures.

ARBOR REALTY TRUST, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF INCOME – (Unaudited)

Quarter Ended
March 31,
2014 2013

Interest income $ 24,911,855 $ 22,988,822 Interest expense 10,591,378 10,642,244 Net interest income 14,320,477 12,346,578

Other revenue:

Property operating income 8,661,515 8,334,328 Other income, net 858,396 1,379,458 Total other revenue 9,519,911 9,713,786

Other expenses:

Employee compensation and benefits 3,385,949 3,083,639 Selling and administrative 1,982,219 2,189,283 Property operating expenses 6,524,138 6,343,313 Depreciation and amortization 1,811,683 1,496,299 Impairment loss on real estate owned 250,000 — Provision for loan losses (net of recoveries) 134,344 2,500,155 Management fee – related party 2,450,000 2,800,000 Total other expenses 16,538,333 18,412,689 Income from continuing operations before gain on extinguishment of debt, income (loss) from equity affiliates 7,302,055 3,647,675 Gain on extinguishment of debt — 3,763,000 Income (loss) from equity affiliates 40,048 (81,885) Income from continuing operations 7,342,103 7,328,790 Income (loss) from discontinued operations 123,588 (101,572) Net income 7,465,691 7,227,218 Preferred stock dividends 1,590,930 533,328 Net income attributable to noncontrolling interest — 53,651 Net income attributable to Arbor Realty Trust, Inc. common stockholders $ 5,874,761 $ 6,640,239

Basic earnings per common share:

Income from continuing operations, net of noncontrolling interest and preferred stock dividends $ 0.12 $ 0.20 Income (loss) from discontinued operations — — Net income attributable to Arbor Realty Trust, Inc. common stockholders $ 0.12 $ 0.20

Diluted earnings per common share:

Income from continuing operations, net of noncontrolling interest and preferred stock dividends $ 0.12 $ 0.19 Income (loss) from discontinued operations — — Net income attributable to Arbor Realty Trust, Inc. common stockholders $ 0.12 $ 0.19 Dividends declared per common share $ 0.13 $ 0.12 Weighted average number of shares of common stock outstanding:

Basic 49,336,308 33,771,925 Diluted 49,752,813 34,236,689
ARBOR REALTY TRUST, INC. AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS

March 31, December 31,
2014 2013
(Unaudited)
Assets:

Cash and cash equivalents $ 32,704,172 $ 60,389,552 Restricted cash 97,161,850 54,962,316 Loans and investments, net 1,574,832,799 1,523,699,653 Available-for-sale securities, at fair value 2,776,077 37,315,652 Investments in equity affiliates 4,680,306 4,680,306 Real estate owned, net 110,791,226 111,718,177 Real estate held-for-sale, net 11,444,812 11,477,676 Due from related party 281,462 98,058 Prepaid management fee – related party 19,047,949 19,047,949 Other assets 46,589,572 54,083,143 Total assets $ 1,900,310,225 $ 1,877,472,482

Liabilities and Equity:

Repurchase agreements and credit facilities $ 248,206,026 $ 159,125,023 Collateralized debt obligations 519,770,974 639,622,981 Collateralized loan obligations 264,500,000 264,500,000 Junior subordinated notes to subsidiary trust issuing preferred securities 159,423,385 159,291,427 Notes payable 17,498,874 2,500,000 Mortgage note payable — real estate owned 42,745,650 42,745,650 Mortgage note payable — real estate held-for-sale 11,005,354 11,005,354 Due to related party 1,140,910 2,794,087 Due to borrowers 32,656,568 20,326,030 Deferred revenue 77,123,133 77,123,133 Other liabilities 58,349,055 60,842,515 Total liabilities 1,432,419,929 1,439,876,200 Equity:

Arbor Realty Trust, Inc. stockholders’ equity:

Preferred stock, $0.01 par value: 100,000,000 shares authorized; 8.25% Series A cumulative redeemable preferred stock, $38,787,500 aggregate liquidation preference; 1,551,500 issued and outstanding at March 31, 2014 and December 31, 2013; 7.75% Series B cumulative redeemable preferred stock, $31,500,000 aggregate liquidation preference; 1,260,000 issued and outstanding at March 31, 2014 and December 31, 2013, 8.50% Series C cumulative redeemable preferred stock, $22,500,000 aggregate liquidation preference; 900,000 issued and outstanding at March 31, 2014, no shares issued and outstanding at December 31, 2013 89,295,905 67,654,655 Common stock, $0.01 par value: 500,000,000 shares authorized; 52,787,075 shares issued, 50,136,308 shares outstanding at March 31, 2014 and 51,787,075 shares issued, 49,136,308 shares outstanding at December 31, 2013 527,870 517,870 Additional paid-in capital 630,644,261 623,993,245 Treasury stock, at cost – 2,650,767 shares at March 31, 2014 and December 31, 2013 (17,100,916) (17,100,916) Accumulated deficit (212,748,410) (212,231,319) Accumulated other comprehensive loss (22,728,414) (25,237,253) Total stockholders’ equity 467,890,296 437,596,282 Total liabilities and equity $ 1,900,310,225 $ 1,877,472,482
ARBOR REALTY TRUST, INC. AND SUBSIDIARIES Supplemental Schedule of Non-GAAP Financial Measures– Adjusted and GAAP Book Value per Common Share (Unaudited)
March 31, 2014

GAAP Arbor Realty Trust, Inc. Stockholders’ Equity $ 467,890,296 Subtract: 8.25% Series A, 7.75% Series B and 8.50% Series C cumulative redeemable preferred stock (89,295,905) GAAP Arbor Realty Trust, Inc. Common Stockholders’ Equity $ 378,594,391 Add: 450 West 33rd Street transaction – deferred revenue 77,123,133 Unrealized loss on derivative instruments 21,921,045 Subtract: 450 West 33rd Street transaction – prepaid management fee (19,047,949) Adjusted Arbor Realty Trust, Inc. Common Stockholders’ Equity $ 458,590,620 Adjusted book value per common share $ 9.15 GAAP book value per common share $ 7.55 Common shares outstanding 50,136,308

Given the magnitude and the deferral structure of the 450 West 33rd Street transaction combined with the significance of the unrealized gain and/or loss position of our qualifying derivative instruments, Arbor has elected to report adjusted book value per common share for the affected period to currently reflect the future impact of the 450 West 33rd Street transaction on the Company’s financial condition as well as the removal of the temporary nature of unrealized gains or losses as a component of equity from qualifying interest rate swaps on our financial position. Over time, as these qualifying interest rate swaps reach their maturity, the fair value of these swaps will return to their original par value. Management considers this non-GAAP financial measure to be an effective indicator, for both management and investors, of Arbor’s financial condition. Arbor’s management does not advocate that investors consider this non-GAAP financial measure in isolation from, or as a substitute for, financial measures prepared in accordance with GAAP.

ARBOR REALTY TRUST, INC. AND SUBSIDIARIES Supplemental Schedule of Non-GAAP Financial Measures (Continued) — Funds from Operations (Unaudited)

Quarter Ended
March 31,
2014 2013

Net income attributable to Arbor Realty Trust, Inc. common stockholders, GAAP basis $ 5,874,761 $ 6,640,239 Add:

Impairment loss on real estate owned 250,000 — Depreciation – real estate owned and held-for-sale (1) 1,811,683 1,632,131 Depreciation – investment in equity affiliate 69,370 22,599 Funds from operations (“FFO”) $ 8,005,814 $ 8,294,969 Diluted FFO per common share $ 0.16 $ 0.24 Diluted weighted average shares outstanding 49,752,813 34,236,689

(1) Includes discontinued operations

Arbor is presenting funds from operations, or FFO, because management believes it to be an important supplemental measure of the Company’s operating performance in that it is frequently used by analysts, investors and other parties in the evaluation of REITs. The National Association of Real Estate Investment Trusts, or NAREIT, defines FFO as net income (loss) attributable to common stockholders (computed in accordance with GAAP), excluding gains (losses) from sales of depreciated real properties, plus impairments of depreciated real properties and real estate related depreciation and amortization, and after adjustments for unconsolidated ventures. The Company considers gains and losses on the sales of undepreciated real estate investments to be a normal part of its recurring operating activities in accordance with GAAP and should not be excluded when calculating FFO. Losses from discontinued operations are not excluded when calculating FFO. FFO is not intended to be an indication of our cash flow from operating activities (determined in accordance with GAAP) or a measure of our liquidity, nor is it entirely indicative of funding our cash needs, including our ability to make cash distributions. Arbor’s calculation of FFO may be different from the calculation used by other companies and, therefore, comparability may be limited. Financials IndustryFinancereal estate Contact:

Arbor Realty Trust, Inc.
Paul Elenio, Chief Financial Officer
516-506-4422
pelenio@arbor.com
Media:
Bonnie Habyan, EVP of Marketing
516-506-4615
bhabyan@arbor.com
Investors:
Stephanie Carrington
The Ruth Group
646-536-7017
scarrington@theruthgroup.com

[…]

Fitch Affirms All Classes of AMAC CDO FUNDING I

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed all rated classes of AMAC CDO Funding I (AMAC CDO) reflecting Fitch’s base case loss expectation of 11.8%. Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Since the last rating action, class A-1 notes have received pay downs totaling $36.4 million from six loan disposals, scheduled amortization, and excess spread from the failure of the class D/E overcollateralization (OC) test. There have been no realized losses since the last rating action. The CDO remains undercollateralized by approximately $29 million.

As of the April 2013 trustee report, and per Fitch categorization, the CDO is substantially invested as follows: whole loans/A-notes (96.5%), B-notes (2.9%), and mezzanine debt (0.6%).The CDO collateral continues to become more concentrated. There are interests in approximately 31 different assets contributed to the CDO. The current percentage of Loans of Concern is 14.8%.

Under Fitch’s methodology, approximately 55.8% of the portfolio is modeled to default in the base case stress scenario, defined as the ‘B’ stress. In this scenario, the modeled average cash flow decline is 7% from, generally, YE 2012. Modeled recoveries are well above average at 78.9% due to the, generally, stabilized nature of the collateral and the senior position of the majority of the debt.

The largest component of Fitch’s base case loss is a whole loan (6.7%) secured by a 203,300 sf office property located in Bethpage, NY. A significant tenant vacated its space at lease maturity, leaving cash flow low as a result. The sponsor has re-leased a large component of the space. As of December 2012, the occupancy at the property was 72%. The sponsor continues to actively market the remaining available space.

The next largest component of Fitch’s base case loss expectation is a whole loan (2.3%) secured by a 48,913 sf office property located in Melville, NY. Coverage remains below 1.0x as multiple tenants have vacated at the end of their lease term. As of December 2012, the property was 83.8% occupied. Fitch modeled a significant loss on this loan in its base case scenario.

This transaction was analyzed according to the ‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’, which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch’s long-term capitalization rates.

The default levels were then compared to the breakeven levels generated by Fitch’s cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report ‘Global Criteria for Cash Flow Analysis in CDOs’. The breakeven rates for classes A-1 through B pass the cash flow model at the ratings listed below.

The Stable Outlooks on class A-1 and A-2 generally reflect the senior positions in the liabilities structures and/or positive cushion in the modeling. Since the class B notes are junior to the class A notes, they will not receive principal amortization until after the class A notes are fully redeemed. The class B notes are exposed to concentration risk to a greater extent than the class A notes. As such, Fitch has assigned a Negative Outlook to the class B notes.

The ratings for classes C through F are based on a deterministic analysis that considers Fitch’s base case loss expectation for the pool and the current percentage of Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement. As of the April 2013 trustee report, the class E and F notes continue to capitalize missed interest due to the failure of the class D/E OC test.

RATING SENSITIVITIES

If CDO collateral recoveries are better than expected, Fitch may consider upgrades to the senior classes. However, upgrades will be limited as the pool becomes more concentrated given the risk of adverse selection and the risk of insufficient interest and principal proceeds to pay the timely interest due. While Fitch has modeled conservative loss expectations on the pool, unanticipated increases in defaulted loans and/or loss severity could result in downgrades.

Fitch affirms the following classes and revises Outlooks as indicated:

–$172,491,187 Class A-1 Notes at ‘BBBsf’; Outlook to Stable from Positive;

–$50,000,000 Class A-2 Notes at ‘BBsf’; Outlook Stable;

–$20,000,000 Class B Notes at ‘Bsf’; Outlook Negative;

–$15,000,000 Class C Notes at ‘CCCsf’; RE: 15%;

–$12,000,000 Class D-1 Notes at ‘CCsf’; RE: 0%;

–$5,000,000 Class D-2 Notes at ‘CCsf’; RE: 0%;

–$6,500,733 Class E Notes at ‘CCsf’; RE: 0%;

–$17,684,151 Class F Notes at ‘Csf’; RE: 0%.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (June 6, 2012);

–‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’ (Nov. 29, 2012);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions’ (Jan. 25, 2013);

–‘Global Criteria for Cash Flow Analysis in CDOs’ (Sept. 13, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=695733

Criteria for Interest Rate Stresses in Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=695535

Global Criteria for Cash Flow Analysis in CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=792063

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contact:

Fitch Ratings

Primary Surveillance Analyst

Scarlett Shao

Associate Director

+1-212-908-9169

Fitch Ratings, Inc.

One State St Plaza, New York 10004

or

Committee Chairperson

Christopher Bushart

Senior Director

+1-212-908-0606

or

Media Relations

Sandro Scenga

+1-212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Affirms All Classes of Wachovia CRE CDO 2006-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed all rated classes of Wachovia CRE CDO 2006-1, Ltd. (Wachovia CRE CDO 2006-1) reflecting Fitch’s base case loss expectation of 8.1%. Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Since last rating action, classes A-1A and A-2A have received pay down totaling $305 million primarily from 21 loan disposals as well as scheduled amortization. Realized losses were only $3.5 million as the majority of the assets were removed or paid off at par. Six loan interests were added over the same period with total built par of only $1.4 million. The CDO remains overcollateralized by approximately $75 million, as of the April 2013 trustee report.

As of the April 2013 trustee report, and per Fitch categorization, the CDO is substantially invested as follows: whole loans/A-notes (80.3%), REO (2.3%), B-notes (1%), mezzanine debt (0.3%), CMBS (6.9%), REIT debt (2.3%), and cash (7%). The CDO collateral continues to become more concentrated. There are interests in approximately 55 different assets contributed to the CDO. The current percentage of defaulted assets and Loans of Concern is 6.8% and 27.6%, respectively. The weighted average Fitch derived rating of the rated securities is ‘BBB/BBB-‘.

Under Fitch’s methodology, approximately 56% of the portfolio is modeled to default in the base case stress scenario, defined as the ‘B’ stress. In this scenario, the modeled average cash flow decline is 8.8% from, generally, YE 2012. Modeled recoveries are well above average at 85.5% due to the, generally, stabilized nature of the collateral and the senior position of the majority of the debt.

The largest component of Fitch’s base case loss expectation is a whole loan (1.6%) secured by a 233-room hotel located in Warwick, RI, proximate to the airport. The property is underperforming its market with trailing 12 months January 2012 RevPAR 24% below its competitive set. Fitch modeled a significant loss on this loan in its base case scenario.

The next largest component of Fitch’s base case loss expectation is an REO (1.4%) multifamily property located in Las Vegas, NV. The property became REO in late 2012. Fitch modeled a significant loss on this loan in its base case scenario.

This transaction was analyzed according to the ‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’, which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch’s long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch’s cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report ‘Global Criteria for Cash Flow Analysis in CDOs’. The breakeven rates for classes A through L pass the cash flow model at the ratings listed below.

The Positive and Stable Outlooks on classes A through L generally reflect the senior positions in the liabilities structures and/or positive cushion in the modeling.

The ‘CCC’ ratings for classes M through O are based on a deterministic analysis that considers Fitch’s base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern, factoring in anticipated recoveries relative to each class’s credit enhancement.

RATING SENSITIVITIES

If the collateral continues to repay at or near par, classes may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase.

Wachovia CRE CDO 2006-1 is a CRE CDO managed by Structured Asset Investors, LLC with Wells Fargo Bank, N.A., successor-by-merger to Wachovia Bank, N.A., as sub-advisor. The CDO exited its reinvestment period in September 2011.

Fitch affirms the following classes and revises Outlooks as indicated:

–$312,772,488 Class A-1A Notes at ‘AAsf’; Outlook to Positive from Stable;

–$68,500,000 Class A-1B Notes at ‘AAsf’; Outlook to Positive from Stable;

–$16,414,630 Class A-2A Notes at ‘AAAsf’; Outlook Stable;

–$145,000,000 Class A-2B Notes at ‘AAsf’; Outlook to Positive from Stable;

–$53,300,000 Class B Notes at ‘Asf’; Outlook Stable;

–$39,000,000 Class C Notes at ‘Asf’; Outlook Stable;

–$12,350,000 Class D Notes at ‘Asf’; Outlook Stable;

–$13,650,000 Class E Notes at ‘Asf’; Outlook Stable;

–$24,700,000 Class F Notes at ‘Asf’; Outlook Stable;

–$16,900,000 Class G Notes at ‘BBBsf’; Outlook Stable;

–$35,100,000 Class H Notes at ‘BBBsf’; Outlook Stable;

–$13,000,000 Class J Notes at ‘BBsf’; Outlook Stable;

–$14,950,000 Class K Notes at ‘BBsf’; Outlook Stable;

–$9,100,000 Class L Notes at ‘BBsf’; Outlook Stable;

–$34,450,000 Class M Notes at ‘CCCsf’; RE 100%;

–$16,250,000 Class N Notes at ‘CCCsf’; RE 100%;

–$6,500,000 Class O Notes at ‘CCCsf’; RE 100%.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (June 6, 2012);

–‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’ (Nov. 29, 2012);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions’ (Jan. 25, 2013);

–‘Global Criteria for Cash Flow Analysis in CDOs’ (Sept. 13, 2012),

–‘Structured Finance Recovery Estimates for Distressed Securities’ (Nov. 18, 2011).

Applicable Criteria and Related Research

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=695733

Criteria for Interest Rate Stresses in Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=695535

Global Criteria for Cash Flow Analysis in CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518

Structured Finance Recovery Estimates for Distressed Securities

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656557

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=790172

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contact:

Fitch Ratings

Primary Surveillance Analyst:

Stacey McGovern, +1-212-908-0722

Director

Fitch Ratings, Inc.

One State St Plaza, New York 10004

or

Committee Chairperson:

Mary MacNeill, +1-212-908-0785

Managing Director

or

Media Relations:

Sandro Scenga, New York, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Takes Various Actions on Capmark VII

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed seven and downgraded one class of Capmark VII-CRE, Ltd./Corp. (Capmark VII) reflecting Fitch’s base case loss expectation of 24.6%. Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Since Fitch’s last rating action, the senior class, A-1, has paid in full while class A-2 has received minimal pay down of $2.3 million. A total of $133.5 million in pay down was received from the full payoff of six assets, the discounted payoff or sale of five other assets, scheduled amortization, the partial pay down of one loan, and interest diversion from the failure of coverage tests. Realized losses since last review total $21.1 million.

The portfolio is concentrated with only 18 assets remaining, four of which are cross collateralized. Current CDO collateral consists entirely of whole loans and A-notes. The current percentage of defaulted assets and loans of concern is 23.3% and 43.4%, respectively, compared to 19.6% and 23.4% at last review. Further, approximately 31% of the collateral, which is not currently defaulted, is scheduled to mature by April 2013.

Capmark VII is a commercial real estate (CRE) CDO managed by Urdang Capital Management, a real estate investment subsidiary of BNY Mellon Asset Management. As of the February 2013 trustee report, the transaction continues to fail all three of its principal coverage tests resulting in diverted interest to pay principal to A-2 and capitalized interest to classes C through K.

Under Fitch’s methodology, approximately 94% of the portfolio is modeled to default in the base case stress scenario, defined as the ‘B’ stress. Modeled recoveries are above average at 73.8% based on the senior position of the collateral.

The largest component of Fitch’s base case loss expectation is related to a defaulted whole loan (8% of the pool) secured by undeveloped land located adjacent to the Potomac River in Arlington, VA. Fitch modeled a significant loss on this loan in its base case scenario.

The next largest component of Fitch’s base case loss expectation is related to a defaulted A-note (8.2%) secured by an office property located in Monterey, CA. The loan, which was formerly cross collateralized with two other loans, is not performing in line with expectations. As of September 2012, the property was 78% occupied. Further, an additional tenant (7.1% of NRA) reportedly vacated at year end 2012. Fitch modeled a significant loss on this loan in its base case scenario.

This transaction was analyzed according to the ‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’, which applies stresses to property cash flows and debt service coverage ratio (DSCR) tests to project future default levels for the underlying portfolio. Recoveries for the loan assets are based on stressed cash flows and Fitch’s long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch’s cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report ‘Global Criteria for Cash Flow Analysis in CDOs’. Based on this analysis, the breakeven rates for class A-2 are generally consistent with the rating assigned below. A Stable Outlook was assigned based on the class’s senior position in the structure and cushion in the modeling.

The ‘CCC’ and below ratings for classes B through H are based on a deterministic analysis that considers Fitch’s base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement.

RATING SENSITIVITIES

If CDO collateral recoveries are better than expected, Fitch may consider upgrades to the senior classes. However, upgrades will be limited as the pool becomes more concentrated given the risk of adverse selection and the risk of insufficient interest and principal proceeds to pay the timely interest due. While Fitch has modeled conservative loss expectations on the pool, unanticipated increases in defaulted loans and/or loss severity could result in downgrades.

Fitch affirms the following classes:

— $167.7 million class A-2 at ‘BBsf’; Outlook Stable;

— $80 million class B at ‘CCCsf’; RE 85%;

— $30.9 million class C at ‘CCsf’; RE 0%;

— $7.8 million class E at ‘Csf’; RE 0%;

— $34.3 million class F at ‘Csf’; RE 0%;

— $13.3 million class G at ‘Csf’; RE 0%;

— $10.8 million class H at ‘Csf’; RE 0%;

Fitch downgrades the following classes:

— $7.8 million class D to ‘Csf’ from ‘CCsf’; RE 0%;

Class A-1 has paid in full.

Additional information is available at ‘www.fitchratings.com‘. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria and Related Research:

— ‘Global Structured Finance Rating Criteria’ (June 6, 2012);

— ‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’ (Nov. 29, 2012);

— ‘Global Criteria for Cash Flow Analysis in CDOs’ (Sept. 13, 2012);

— ‘Criteria for Interest Rate Stresses in Structured Finance Transactions’ (Jan. 25, 2013);

— ‘Structured Finance Recovery Estimates for Distressed Securities’ (Nov. 18, 2011).

Applicable Criteria and Related Research

Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=695733

Global Criteria for Cash Flow Analysis in CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518

Criteria for Interest Rate Stresses in Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=695535

Structured Finance Recovery Estimates for Distressed Securities
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656557

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE.

Contact:

Fitch Ratings, Inc.

Primary Surveillance Analyst

Stacey McGovern, +1-212-908-0722

Director

One State Street Plaza

New York, NY 10004

or

Committee Chairperson

Mary MacNeill, +1-212-908-0785

Managing Director

or

Media Relations, New York

Sandro Scenga, +1-212-908-0278

sandro.scenga@fitchratings.com […]

TEXT-S&P lowers and drops rtg on Loan Investments' class A nts

Jan 16 –

OVERVIEW

— We have reviewed the performance of Loan Investments by conducting a credit and cash flow analysis and assessing the support provided by the transaction participants.

— Following our review, we have lowered our rating on the class A notes for counterparty reasons.

— Subsequently, we have withdrawn our rating on this class of notes at the issuer’s request.

— Loan Investments is a cash flow CLO transaction that securitizes loans to primarily speculative-grade corporate firms.

Standard & Poor’s Ratings Services has today lowered to ‘A+ (sf)’ from ‘AA- (sf)’ its credit rating on Loan Investments B.V.’s class A notes. Subsequently, we have withdrawn our rating on this class of notes at the issuer’s request.

Today’s rating actions follow the issuer’s request to withdraw our rating on the class A notes. Following the request, we performed a credit and cash flow analysis and assessed the support that each participant provides to the transaction by applying our 2012 counterparty criteria (see “Counterparty Risk Framework Methodology And Assumptions,” published on Nov. 29, 2012). In our analysis, we used data from the latest available trustee report dated Nov. 30, 2012.

We have subjected the capital structure to a cash flow analysis to determine the break-even default rates for each rated class of notes. In our analysis, we used the reported portfolio balance that we considered to be performing (EUR674,654,832), the covenanted weighted-average spread (1.05%), and the weighted-average recovery rates that we considered to be appropriate. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category.

From our analysis, we have observed that EUR255.0 million of the class A notes have paid down since our last rating action. This has increased the level of credit enhancement available to the class A notes since our previous rating action on July 20, 2012 (see “Loan Investments B.V. (Formerly SCUTE Bali) Class A Rating Raised Following Partial Note Redemption”).

BNP Paribas Securities Services (A+/Negative/A-1) currently acts as custodian and bank account provider in this transaction. Following a review of the transaction documents and the application of our 2012 counterparty criteria, we consider that the downgrade language does not comply with our 2012 counterparty criteria. Our 2012 counterparty criteria therefore cap the maximum potential rating on the class A notes at the issuer credit rating (ICR) on BNP (Paris: FR0000131104news) Paribas Securities Services.

Following the application of our 2012 counterparty criteria, we have lowered to ‘A+ (sf)’ from ‘AA- (sf)’ our rating on the class A notes to be commensurate with the ICR on BNP Paribas (Milan: BNP.MInews) Securities Services. At the issuer’s request, we have subsequently withdrawn our rating on the class A notes.

Loan Investments is a cash flow collateralized loan obligation (CLO) transaction that securitizes loans to primarily European speculative-grade corporate firms. The transaction closed in March 2008 and is managed by NIBC Bank N.V.

RELATED CRITERIA AND RESEARCH

Related Criteria

— Counterparty Risk Framework Methodology And Assumptions, Nov. 29, 2012

— Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009

— Surveillance Methodology For Global Cash Flow And Hybrid CDOs Subject To Acceleration Or Liquidation After An EOD, Sept. 2, 2009

— Understanding Standard & Poor’s Rating Definitions, June 3, 2009

— CDO Spotlight: General Cash Flow Analytics for CDO Securitizations, Aug. 25, 2004

Related Research

— Loan Investments B.V. (Formerly SCUTE Bali) Class A Rating Raised Following Partial Note Redemption, July 20, 2012

— Credit Rating Model: CDO Evaluator 6.0, March 19, 2012

— European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

— Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

— Credit Rating Model: Extreme Value Theory Foreign Exchange Model, Aug. 17, 2010

— Credit Rating Model: S&P Cash Flow Evaluator, Aug. 17, 2010

[…]

TEXT-S&P takes rating actions in cash flow CLO Deal Magi Funding I

Oct (KOSDAQ: 039200.KQnews) 19 –

OVERVIEW

— We have reviewed Magi Funding I’s performance by applying our relevant criteria and conducting our credit and cash flow analysis.

— Following our analysis, we have taken various rating actions on the class A, B, and C notes.

— Magi Funding I is a cash flow CLO transaction that securitizes loans to speculative-grade corporate firms, with the collateral managed by Henderson Global Investors.

Standard & Poor’s Ratings Services today took various credit rating actions on Magi Funding I PLC’s outstanding EUR208.30 million class A, B, and C notes.

Specifically, we have:

— Raised to ‘AA+ (sf)’ from ‘AA- (sf)’ our rating on the class A notes;

— Affirmed our ‘BBB+ (sf)’ rating on the class B notes; and

— Lowered to ‘BB- (sf)’ from ‘BBB- (sf)’ our rating on the class C notes (see list below).

Today’s rating actions follow our review of the transaction’s performance, a credit and cash flow analysis, and the application of our relevant criteria for transactions of this type. We last reviewed the transaction in October 2011, when we raised our ratings on the class A to C notes following increased credit enhancement for all classes of notes (see “Ratings Raised On CLO Transaction Magi Funding I’s Class A, B, And C Notes After Review,” published on Oct. 19, 2011).

Since our previous review, we have observed that the transaction has benefited from reduced time-to-maturity andan increase in the performing portfolio’s weighted-average spread to 3.85% from 3.56%. In addition, the issuer has repaid EUR30.61 million of principal on the class A notes.

We have noted an increase to 7.26% from 4.61% of assets rated in the ‘CCC’ category (rated ‘CCC+’, ‘CCC’, or ‘CCC-‘) and defaulted assets (assets from obligors rated ‘CC’, ‘SD’ [selective default], or ‘D’) have also increased to 3.47% from 1.71%.

We have observed a moderate decrease in the scenario default rates (SDRs) for each rating level, compared with our last review. We subjected the rated notes to various cash flow scenarios incorporating different default patterns, as well as interest rate curves, to determine each tranche’s break-even default rates (BDRs) at each rating level.

Taking into account the partial redemption of the class A notes, we have performed our credit and cash flow analysis. This has resulted in BDRs passing at the ‘AA+’ rating level. Therefore, we believe that the credit enhancement available to the class A notes is now commensurate with a higher rating than we previously assigned. Accordingly, we have raised to ‘AA+ (sf)’ from ‘AA- (sf)’ our rating on the class A notes.

Our ratings on the class B and C notes were constrained by the application of the largest obligor test, a supplemental stress test that we introduced in our 2009 cash flow collateralized debt obligation (CDO) criteria (see “Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs,” published on Sept. 17, 2009). This test addresses event and model risk that might be present in the transaction. Although the BDRs generated by our cash flow model indicated an upgrade to ‘A- (sf)’, the largest obligor test capped the rating on the class B notes at ‘BBB+ (sf)’. We have therefore affirmed our ‘BBB+ (sf)’ rating on the class B notes.

The largest obligor test caps the rating on the class C notes at ‘B+ (sf)’, although the BDRs generated by our cash flow model indicate a higher rating. The review of the largest obligor test results has led to our final recommendation. We have therefore lowered to ‘BB- (sf)’ from ‘BBB- (sf)’ our rating on the class C notes.

The Bank of New York Mellon (AA-/Negative/A-1+) acts as an account bank and custodian. In our view, the counterparty is appropriately rated to support the ratings on these notes (see “Counterparty Risk Framework Methodology And Assumptions,” published on May 31, 2012).

Magi Funding I is a cash flow collateralized loan obligation (CLO) transaction that closed in February 2006. The portfolio comprises euro-denominated loans to speculative-grade corporate firms and is managed by Henderson Global Investors Ltd

RELATED CRITERIA AND RESEARCH

— S&P Announcement: CDO Evaluator Version 6.0.1 Released, Aug. 7, 2012

— Counterparty Risk Framework Methodology And Assumptions, May 31, 2012

— Credit Rating Model: CDO Evaluator 6.0, March 19, 2012

— European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

— Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

— Ratings Raised On CLO Transaction Magi Funding I’s Class A, B, And C Notes After Review, Oct. 19, 2011

— Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011

— Credit Rating Model: S&P Cash Flow Evaluator, Aug. 17, 2010

— Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009

— Understanding Standard & Poor’s Rating Definitions, June 3, 2009

— General Cash Flow Analytics for CDO Securitizations, Aug. 25, 2004

RATINGS LIST

Rating

Class To From

Magi Funding I PLC

EUR300 Million Floating-Rate Notes

Rating Raised

A AA+ (sf) AA- (sf)

Rating Affirmed

B BBB+ (sf)

Rating Lowered

C BB- (sf) BBB- (sf)

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