/raid1/www/Hosts/bankrupt/TCR_Public/160221.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, February 21, 2016, Vol. 20, No. 52
Headlines
255 LIBERTY ST: S&P Assigns Prelim. B- Rating on Cl. F Certs
AMAC CDO I: Moody's Affirms Ba1(sf) Rating on Class C Debt
ASCENTIUM EQUIPMENT 2015-1: Moody's Ups Cl. E Notes Rating From Ba1
BEAR STEARNS 2004-TOP14: Moody's Raises Class N Debt Rating to B2
BLADE ENGINE 2006-1: Moody???s Lowers Rating on 2 Tranches to Ba3
CARLYLE DAYTONA: S&P Affirms BB+ Rating on Class B-2L Notes
CBA COMMERCIAL 2004-1: Fitch Affirms 'Bsf' Rating on Class A-1 Debt
CITI HELD 2015-PM1: Moody's Puts Ba3 Cl. C Debt Rating Under Review
CITIGROUP COMMERCIAL 2016-GC36: Fitch Gives BB-sf Rating on Cl. E
COMM MORTGAGE 2000-C1: Fitch Raises Rating on Cl. G Notes to 'Bsf'
COMM MORTGAGE 2004-LNB4: Moody's Affirms Caa1 Rating on Cl. B Debt
COMM MORTGAGE 2016-CCRE28: Fitch Rates Class G Certs 'B-sf'
COMMERCIAL MORTGAGE 1999-C1: Moody's Affirms C Rating on 3 Tranches
COMMERCIAL MORTGAGE 1999-C1: S&P Hikes Cl. E Certs Rating to B+
CONNECTICUT AVENUE 2016-C01: Moody's Rates Cl. 1M-2 Notes Ba3
CONSUMER CREDIT 2015-1: Moody???s Hikes Cl. B Notes Rating to Ba2
CREDIT SUISSE 2008-C1: Fitch Lowers Rating on Cl. E Certs to CC
CSAIL 2016-C5: Fitch Assigns 'BB-sf' Rating on 2 Tranches
CW CAPITAL II: Moody's Hikes Class A-2B Debt Rating to 'B1(sf)'
CWCAPITAL COBALT: Moody's Affirms Caa2 Rating on Class A-1 Debt
CWHEQ REVOLVING 2005-K: Moody's Hikes Cl. 2-A-4 Debt Rating to Ca
DENALI CAPITAL VII: Moody's Affirms Ba2 Rating on Class B-2L Debt
DRIVE AUTO 2015-B: Moody's Affirms Ba2 Rating on Class E Notes
EXETER AUTOMOBILE 2016-1: S&P Assigns BB Rating on Class D Notes
FLAGSHIP CREDIT 2016-1: S&P Assigns Prelim. BB- Rating on D Notes
GAHR COMMERCIAL 2015-NRF: Fitch Affirms BB- Rating on Cl. E-FX Debt
GE CAPITAL 2002-1: Fitch Affirms 'Dsf' Rating on Class N Debt
GE COMMERCIAL 2006-C1: Fitch Affirms 'B' Rating on Class A-J Debt
GS MORTGAGE 2013-G1: S&P Affirms BB- Rating on Cl. DM Certificates
HERTZ VEHICLE II: Fitch Assigns BB Rating on Class D Notes
JP MORGAN 2004-C1: Moody's Hikes Class M Debt Rating to Caa1(sf)
JP MORGAN 2016-C1: Fitch to Rates $29.38MM Class E Debt 'BB-sf'
LB-UBS COMMERCIAL 2005-C3: Moody's Affirms B1 Rating on Cl. F Debt
LEHMAN BROTHERS 2001-C3: Fitch Cuts Class E Debt Rating to 'BBsf'
MERRILL LYNCH 2003-CANADA: Moody's Affirms Ba3 Rating on 2 Tranches
MERRILL LYNCH 2004-KEY2: Fitch Affirms CCCsf Rating on Class E Debt
MOMENTUM CAPITAL: S&P Raises Rating on Class E Notes to BB+
MORGAN STANLEY 2004-IQ7: Fitch Hikes Class N Debt Rating to 'BBsf'
MORGAN STANLEY 2016-UBS9: Fitch to Rates $6.66MM Class F Debt 'B-'
MOUNTAIN HAWK II: S&P Puts BB Ratings on CreditWatch Negative
MOUNTAIN VIEW 2006-1: S&P Raises Rating on Cl. E Notes to BB+
MOUNTAIN VIEW II: Moody's Affirms Ba3(sf) Rating on Class E Debt
NEWSTAR 2016-1: Moody???s Assigns (P)Ba3 Rating on Class E Debt
ONE WALL II: S&P Raises Rating on Class E Notes to 'BB+'
ONEMAIN FINANCIAL 2016-1: S&P Assigns 'B+' Rating on Class D Notes
SALOMON BROTHERS 2000-C1: S&P Raises Rating on Cl. L Certs to BB+
SDART 2015-1: Fitch Affirms 'BBsf' Rating on Class E Debt
SDART 2016-1: Fitch Assigns 'BBsf' Rating on Class E Debt
SDART 2016-1: Moody's Assigns Ba2 Rating to Class E Debt
TABERNA PREFERRED IX: Fitch Cuts Class A-1LAD Debt Rating to Dsf
TIDEWATER AUTO 2016-A: S&P Gives Prelim BB Rating to Cl. E Notes
WACHOVIA BANK 2006-C28: Fitch 'CCCsf' Rating on Class A-J Debt
WAMU ASSET 2005-C1: Fitch Affirms B Rating on Class L Certs
WELLS FARGO 2016-NXS5: Fitch Assigns BB- Rating on Cl. X-F Certs
WESTWOOD CDO II: S&P Raises Rating on Class E Notes to B+
[*] DBRS Takes Rating Actions on US RMBS Transactions
[*] Moody's Hikes Ratings on $337MM Subprime RMBS Issued 2002-2006
[*] Moody's Raises Ratings on $197MM Subprime RMBS Issued 2001-2004
[*] Moody's Raises Ratings on $473MM Subprime RMBS Issued 2005-2007
[*] Moody's Raises Ratings on $480MM Subprime RMBS Issued 2005-2006
[*] Moody's Raises Ratings on $774MM Subprime RMBS Issued 2004-2007
[*] Moody's Takes Action on $231.2MM of RMBS Issued 2005-2006
[*] Moody's Takes Action on $250.5MM Alt-A RMBS Issued 2003-2006
[*] Moody's Takes Action on $27.6MM of RMBS Issued 2003-2005
[*] Moody's Takes Action on $38.9MM of RMBS Issued 2004-2005
[*] Moody's Takes Action on $64.3MM of RMBS Issued 2005-2006
[*] Moody's: Large Energy Exposures Wear on Credit Quality of CLOs
[*] S&P Lowers Rating on 95 Certs From 52 US RMBS Deals to 'D'
[*] S&P Puts Ratings on 68 Tranches from 23 U.S. CLO Transactions
[*] S&P Takes Actions on 21 Prime RMBS Deals Issued 2002-2005
*********
255 LIBERTY ST: S&P Assigns Prelim. B- Rating on Cl. F Certs
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to 225 Liberty Street Trust 2016-225L's $765.0 million commercial
mortgage pass-through certificates series 2016-225L.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by a $765.0 million trust loan, which is part of
a whole mortgage loan structure in the aggregate principal amount
of $900 million and secured by the leasehold interest in the 2.4
million-sq.-ft., 44-story class A office building located at 225
Liberty St. in New York City's Downtown Manhattan office market.
The mortgage loan is also secured by the borrower's leasehold
interest in the retail component at Brookfield Place; however,
given that the retail component has been master-leased to an
affiliate of the borrower on a long-term basis pursuant to a master
retail lease for an annual rent of $1, the retail component has no
recovery value in our view and has not been taken into account in
S&P's underwriting of the whole mortgage loan.
The mortgage loan sellers are retaining $135.0 million in pari
passu non-trust companion loans. Both the trust loan and the
companion loans are collectively secured by the same mortgage on
the property and will be serviced and administered according to the
trust and servicing agreement for this securitization.
The preliminary ratings are based on information as of Feb. 9,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's experience, the
trustee-provided liquidity, the mortgage loan's terms, and the
transaction's structure.
PRELIMINARY RATINGS ASSIGNED
225 Liberty Street Trust 2016-225L
Class Rating(i) Amount ($)
A AAA (sf) 281,879,000
X A (sf) 381,750,000(ii)
B AA (sf) 42,121,000
C A (sf) 57,750,000
D BBB- (sf) 171,703,000
E BB- (sf) 120,023,000
F B- (sf) 91,524,000
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Notional balance.
AMAC CDO I: Moody's Affirms Ba1(sf) Rating on Class C Debt
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the following
notes issued by AMAC CDO Funding I:
Cl. A-2, Upgraded to A3 (sf); previously on Jun 16, 2015 Upgraded
to Baa2 (sf)
Cl. B, Upgraded to Baa1 (sf); previously on Jun 16, 2015 Upgraded
to Baa3 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. C, Affirmed Ba1 (sf); previously on Jun 16, 2015 Upgraded to
Ba1 (sf)
Cl. D-1, Affirmed B3 (sf); previously on Jun 16, 2015 Upgraded to
B3 (sf)
Cl. D-2, Affirmed B3 (sf); previously on Jun 16, 2015 Upgraded to
B3 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Jun 16, 2015 Upgraded to
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Jun 16, 2015 Affirmed C (sf)
RATINGS RATIONALE
Moody's has upgraded the ratings of two classes of notes due to
rapid amortization of the collateral pool primarily driven by
prepayment of high credit risk collateral and the ongoing failure
of certain interest coverage tests. This more than offsets the
increase in WARF from last review while the recovery rate profile
of the remaining collateral pool remains stable. Moody's has also
affirmed the ratings of five classes of notes because key
transaction metrics are commensurate with the existing ratings. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO CLO)
transactions.
AMAC CDO Funding I is a static cash transaction backed by a
portfolio of: i) whole loans and senior participations (96.3% of
the pool balance); and ii) mezzanine interests (3.7%). As of the
January 20, 2016 trustee report, the aggregate note balance of the
transaction, including preferred shares, has decreased to $115.3
million from $400.0 million at issuance, with the paydown directed
to the senior most outstanding class of notes, as a result of
regular amortization and the reclassification of interest as
principal as a result of the failure of certain interest coverage
tests.
The pool contains one mezzanine interest totaling $3.2 million
(3.7% of the collateral pool balance) that is listed as defaulted
security as of the January 20, 2016 trustee report. Moody's does
expect significant losses to occur from this defaulted asset once
they are realized.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 5788,
compared to 3593 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Aaa-Aa3 and 2.9% compared to 1.7% at last
review, A1-A3 and 0.0% compared to 13.5% at last review, Baa1-Baa3
and 0.0% compared to 3.1% at last review, Ba1-Ba3 and 2.4% compared
to 9.5% at last review, B1-B3 and 9.2% compared to 21.2% at last
review, Caa1-Ca/C and 85.4% compared to 51.1% at last review.
Moody's modeled a WAL of 2.0 years, compared to 3.1 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral loan exposures.
Moody's modeled a fixed WARR of 51.2%, compared to 52.6% at last
review.
Moody's modeled a MAC of 23.8%, compared to 24.1% at last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the rated
notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The rated notes are particularly sensitive to changes
in the ratings of the underlying collateral and assessments.
Increasing the recovery rate of the collateral pool by 10% would
result in an average modeled rating movement on the rated notes of
zero to four notches upward (e.g., one notch up implies a ratings
movement of Baa3 to Baa2). Decreasing the recovery rate of the
collateral pool by 10% would result in an average modeled rating
movement on the rated notes of zero to nine notches downward (e.g.,
one notch down implies a ratings movement of Baa3 to Ba1).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
ASCENTIUM EQUIPMENT 2015-1: Moody's Ups Cl. E Notes Rating From Ba1
-------------------------------------------------------------------
Moody's has upgraded five securities and affirmed five additional
securities issued from Ascentium Equipment Receivables 2014-1 and
2015-1 LLC. The transactions are the securitizations of
small-ticket equipment leases serviced by Ascentium Capital LLC,
the back-up servicer is U.S. Bank National Association (Aa1, P-1,
Stable).
Issuer: Ascentium Equipment Receivables 2014-1 LLC
Class A-2 Notes, Affirmed Aaa (sf); previously on Oct 13, 2015
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Oct 13, 2015
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on Oct 13, 2015
Upgraded to Aaa (sf)
Class D Notes, Upgraded to Aaa (sf); previously on Oct 13, 2015
Upgraded to Aa2 (sf)
Issuer: Ascentium Equipment Receivables 2015-1 LLC
Class A-2 Notes, Affirmed Aaa (sf); previously on Oct 13, 2015
Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Oct 13, 2015
Affirmed Aaa (sf)
Class B Notes, Upgraded to Aaa (sf); previously on Oct 13, 2015
Upgraded to Aa1 (sf)
Class C Notes, Upgraded to Aa2 (sf); previously on Oct 13, 2015
Upgraded to Aa3 (sf)
Class D Notes, Upgraded to A1 (sf); previously on Oct 13, 2015
Upgraded to A3 (sf)
Class E Notes, Upgraded to Baa2 (sf); previously on Oct 13, 2015
Upgraded to Ba1 (sf)
RATINGS RATIONALE
The actions were prompted by stable collateral performance,
build-up of credit enhancement due to the full-turbo sequential
structures of the transactions and non-declining
overcollateralization and reserve accounts. The lifetime cumulative
net loss (CNL) expectations for the 2014-1 and 2015-1 transactions
remain unchanged at 2.00% and 2.25% respectively.
The unrated servicer and originator was rebranded as Ascentium in
2011. Ascentium's strong but limited securitized pool performance
to date is a positive, however its limited history introduces
performance uncertainty that we incorporate in our analysis. The
ratings upgrades consider such uncertainty.
Below are key performance metrics (as of December 2015 distribution
date) and credit assumptions for each affected transaction. The
credit assumptions include Moody's expected lifetime CNL
expectation which is expressed as a percentage of the original pool
balance; and Moody's lifetime remaining CNL expectation and Moody's
Aaa levels expressed as a percentage of the current pool balance.
The Aaa level is the level of credit enhancement that would be
consistent with a Aaa (sf) rating for the given asset pool.
Performance metrics include pool factor which is the ratio of the
current collateral balance and the original collateral balance at
closing; total hard credit enhancement (expressed as a percentage
of the outstanding collateral pool balance) which typically
consists of subordination, overcollateralization, reserve fund as
applicable; and excess spread per annum.
Issuer: Ascentium Equipment Receivables 2014-1 LLC
Lifetime CNL expectation --2.00%; Prior expectation (October 2015)
-- 2.00%
Pool Factor -- 41.51%
Total Hard credit enhancement -- Cl. A -- 98.26%, Cl. B -- 65.26%,
Cl. C -- 52.08%, Cl. D -- 43.62%
Excess Spread per annum -- Approximately 0.6%
Issuer: Ascentium Equipment Receivables 2015-1 LLC
Lifetime CNL expectation --2.25%; Prior expectation (October 2015)
-- 2.25%
Pool Factor -- 75.69%
Total Hard credit enhancement -- Cl. A -- 43.96%, Cl. B -- 28.43%,
Cl. C -- 22.95%, Cl. D -- 18.46%, Cl. E -- 15.55%
Excess Spread per annum -- Approximately 1.2%
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the equipment that secure the obligor's promise of
payment. The US macro economy and the equipment markets are primary
drivers of performance. Other reasons for better performance than
Moody's expected include changes in servicing practices to maximize
collections on the leases.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US macro economy and the
equipment markets are primary drivers of performance. Other reasons
for worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
BEAR STEARNS 2004-TOP14: Moody's Raises Class N Debt Rating to B2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on six classes
and affirmed the ratings on two classes in Bear Stearns Commercial
Mortgage Securities Trust, Commercial Mortgage Pass-Through
Certificates, Series 2004-TOP14 as follows:
Cl. H, Affirmed Aaa (sf); previously on May 29, 2015 Upgraded to
Aaa (sf)
Cl. J, Upgraded to Aaa (sf); previously on May 29, 2015 Upgraded to
Aa2 (sf)
Cl. K, Upgraded to Aa2 (sf); previously on May 29, 2015 Upgraded to
Baa1 (sf)
Cl. L, Upgraded to Baa1 (sf); previously on May 29, 2015 Upgraded
to Ba3 (sf)
Cl. M, Upgraded to Ba1 (sf); previously on May 29, 2015 Affirmed B3
(sf)
Cl. N, Upgraded to B2 (sf); previously on May 29, 2015 Affirmed
Caa1 (sf)
Cl. O, Upgraded to Caa1 (sf); previously on May 29, 2015 Affirmed
Caa3 (sf)
Cl. X-1, Affirmed B3 (sf); previously on May 29, 2015 Affirmed B3
(sf)
RATINGS RATIONALE
The ratings on six P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 24% since Moody's last
review.
The rating on one P&I class, Class H, was affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO class, Class X-1, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
Moody's rating action reflects a base expected loss of 0.8% of the
current balance, compared to 1.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.5% of the original
pooled balance, unchanged from the last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the January 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $29 million
from $895 million at securitization. The certificates are
collateralized by 16 mortgage loans ranging in size from 1% to 29%
of the pool, with the top ten loans constituting 90% of the pool.
Four loans, constituting 13% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $3.8 million (for an average loss
severity of 3%). No loans are currently in special servicing.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 44% of
the pool. Moody's weighted average conduit LTV is 55%, compared to
59% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 13.5% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.40X and 2.49X,
respectively, compared to 1.46X and 2.40X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 50% of the pool balance. The
largest loan is the Johnston Road Plaza Loan ($8.5 million -- 29%
of the pool), which is secured by a grocery anchored retail center
located in Charlotte, North Carolina. The property was 96% leased
as of December 2014. The loan matures in April 2016 and Moody's LTV
and stressed DSCR are 78% and 1.21X, respectively, compared to 81%
and 1.17X at the last review.
The second largest loan is the Shops at Thoroughbred Square VI Loan
($3.4 million -- 11.6% of the pool), which is secured by a three
building strip center, shadow anchored by a 20-screen movie
theater, in Franklin, Tennessee. The property was 89% leased as of
December 2014. Moody's LTV and stressed DSCR are 60% and 1.88X,
respectively, compared to 72% and 1.58X at the last review.
The third largest loan is the Modesto Office Park Loan ($2.6
million -- 9.0% of the pool), which is secured by five buildings
comprising 88,000 square feet (SF) of a suburban office park in
Modesto, California. The property was 95% leased as of September
2015, compared to 96% at yearend 2014. Moody's LTV and stressed
DSCR are 28% and 3.74X, respectively, compared to 30% and 3.51X at
the last review.
BLADE ENGINE 2006-1: Moody???s Lowers Rating on 2 Tranches to Ba3
-----------------------------------------------------------------
Moody's has downgraded and placed on review for downgrade the
ratings of the Class 2006-1A-1, 2006-1A-2, and 2006-1B Notes
(notes) issued by Blade Engine Securitization Ltd. Series 2006-1.
The complete rating action is as follows:
2006-1A-1, Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade; previously on Dec 22, 2014 Downgraded to Ba2
(sf)
2006-1A-2, Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade; previously on Dec 22, 2014 Downgraded to Ba2
(sf)
2006-1B, Downgraded to B2 (sf) and Placed Under Review for Possible
Downgrade; previously on Dec 22, 2014 Downgraded to B1 (sf)
RATINGS RATIONALE
The rating actions on the notes reflect Moody's expectations about
the prospects for future lease income and the high portion of the
portfolio that has been off-lease for an extended period of time.
In its analysis, Moody's examined the reported re-leasing and
remarketing activities for the deal's engines during the second
half of 2015. Of the engines that were off lease and subsequently
re-leased during the second half of 2015, most leases are short
term and some are less than one year.
As of December 2015, about 18% of the portfolio of 40 engines was
off-lease, weighted by most recent appraisals. Quarterly reports
for the transaction indicate that the Blade Group may not be able
to re-lease an increasing number of engines coming off lease and
possibly beyond. The quarterly reports also noted that the Blade
Group may be unable to re-lease the engines currently off-lease for
the foreseeable future. Among the off-lease engines sold in 2015,
most received sale prices considerably lower than their most recent
appraisal values.
As of the February Payment Date, the Blade Engine Securitization
Ltd. Series 2006-1's portfolio consists of 38 engines (2 engines
were sold in January 2016).
During the review period, Moody's will evaluate lease rates and
remaining terms as well as the revenues and expenses associated
with the underlying leases and aircraft engines, in order to
evaluate likely interest and principal payments to the rated notes.
Primary sources of uncertainty include the global economic
environment, aircraft engine lease income generating ability,
engine maintenance and other expenses to the trust, and valuation
for the aircraft engines backing the transaction.
Factors that would lead to an upgrade or downgrade of the rating:
Changes to lease rates or aircraft engine values that differ from
historical trends; changes to portion of portfolio currently
off-lease or coming off lease in near future and their re-leasing
or sale prospects.
CARLYLE DAYTONA: S&P Affirms BB+ Rating on Class B-2L Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2L, A-3L, and B-1L notes from Carlyle Daytona CLO Ltd. At the
same time, S&P affirmed its 'AAA (sf)' ratings on the class A-1L
and A-1LV notes, as well as S&P's 'BB+ (sf)' rating on the class
B-2L notes. Concurrently, S&P removed the class A-2L, A-3L, B-1L,
and B-2L ratings from CreditWatch, where they were placed with
positive implications on Dec. 18, 2015.
Carlyle Daytona CLO is a U.S. collateralized loan obligation (CLO)
transaction that that closed in February 2007 and is managed by
Carlyle Investment Management LLC.
The upgrades reflect $130.87 million in paydowns to the class A-1L
notes and $18.28 million in paydowns to class A-1LV since S&P's May
2014 rating actions, which have reduced the combined class A
outstanding balance to 32.7% of its original balance. As of the
Dec. 15, 2015 trustee report, the transaction held one defaulted
asset totaling $4.75 million, up from $1.4 million as of the April
17, 2014 trustee report, which was used in S&P's May 2014 analysis.
In addition, the 'CCC' rated assets have increased to $9.58
million from $575,000 over the same time span. These credit
quality deteriorations were more than offset by collateral
seasoning and note paydowns, which have substantially improved the
credit risk profile of the portfolio and overcollateralization
ratios, respectively.
As of the December 2015 trustee report, 90 unique obligors remain
in the portfolio, with the top five obligors representing 12.39% of
the transaction's performing collateral.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
Standard & Poor's will continue to review whether, in its view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them, and will take rating actions
as it deems necessary.
CASH FLOW AND SENSATIVITY ANALYSIS
Carlyle Daytona CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating (i) cushion (ii) rating
A-1L AAA (sf) AAA (sf) 26.57% AAA (sf)
A-1LV AAA (sf) AAA (sf) 26.57% AAA (sf)
A-2L AA+ (sf) AAA (sf) 23.24% AAA (sf)
A-3L A+ (sf) AAA (sf) 2.57% AAA (sf)
B-1L BBB+ (sf) AA- (sf) 0.19% A+ (sf)
B-2L BB+ (sf) BB+ (sf) 8.26% BB+ (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate (BDR) above the scenario default rate at the assigned
rating for a given class of rated notes using the actual spread,
coupon, and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation scenario Within industry (%) Between
industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1L AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1LV AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2L AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3L AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
B-1L AA- (sf) A+ (sf) A+ (sf) AA (sf) A+ (sf)
B-2L BB+ (sf) BB (sf) BB+ (sf) BBB- (sf) BB+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1L AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1LV AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2L AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3L AAA (sf) AA+ (sf) AA+ (sf) AAA (sf)
B-1L AA- (sf) A+ (sf) BBB+ (sf) A+ (sf)
B-2L BB+ (sf) BB+(sf) CCC+ (sf) BB+ (sf)
RATINGS RAISED AND OFF CREDITWATCH
Carlyle Daytona CLO Ltd.
Rating
Class To From
A-2L AAA (sf) AA+ (sf)/Watch Pos
A-3L AAA (sf) A+ (sf)/Watch Pos
B-1L A+ (sf) BBB+ (sf)/Watch Pos
RATINGS AFFIRMED
Carlyle Daytona CLO Ltd.
Class Rating
To From
A-1L AAA (sf) AAA (sf)
A-1LV AAA (sf) AAA (sf)
B-2L BB+ (sf) BB+ (sf)/Watch Pos
CBA COMMERCIAL 2004-1: Fitch Affirms 'Bsf' Rating on Class A-1 Debt
-------------------------------------------------------------------
Fitch Ratings has affirmed all classes of CBA Commercial Assets,
LLC series 2004-1.
KEY RATING DRIVERS
The affirmations are due to the relatively stable performance of
the pool. As of the January 2016 distribution date, six loans
representing 13% of the pool are delinquent, with three loans
(10.4%) in special servicing. At Fitch's last rating action, 17.8%
of the underlying loans were delinquent, with four loans (11.7%) in
special servicing.
The transaction's balance has been reduced by 83.6% to $16.7
million from $102 million at issuance and $17.6 million at Fitch's
last rating action. The transaction is collateralized by 56 small
balance commercial loans secured by multifamily, retail, office,
industrial, and mixed use properties. The loans are smaller than
typical CMBS loans with an average loan size of $298,140 and
historically have had higher loss severities than CMBS conduit
loans. Fitch does not receive operating performance on the loans,
as the loans were not subject to typical CMBS reporting
requirements.
Per the Jan. 25, 2016 trustee report, the pool has experienced 9.7%
in realized losses to date. Fitch modeled losses of 31.3% on the
remaining pool. Based on historical performance statistics from a
representative sample of similar small balance transactions, Fitch
assumed a 30% default probability for the remaining performing
loans, and a loss severity of 80% for all loans.
RATING SENSITIVITIES
Future upgrades are not likely given the lack of loan level
operating performance reporting. Should delinquencies and/or losses
increase, downgrades may be warranted in the future.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
-- $4.9 million class A-1 at 'Bsf'; Outlook Stable;
-- $2.1 million class A-2 at 'Bsf'; Outlook Stable;
-- $1.2 million class A-3 at 'Bsf'; Outlook Stable;
-- $2.9 million class M-1 at 'Csf'; RE 10%;
-- $3.6 million class M-2 at 'Csf'; RE 0%;
-- $2.0 million class M-3 at 'Dsf'; RE 0%.
-- $0 class M-5 at 'Dsf'; RE 0%.
Classes M-4, M-6, M-7, and M-8 are not rated by Fitch. Fitch had
previously withdrawn the rating of the interest-only class I/O.
CITI HELD 2015-PM1: Moody's Puts Ba3 Cl. C Debt Rating Under Review
-------------------------------------------------------------------
Moody's Investors Service has placed on review for possible
downgrade the ratings of the Class C Notes issued by Citi Held for
Asset Issuance (CHAI) 2015-PM1, 2015-PM2, and 2015-PM3. These
transactions are backed by pools of unsecured consumer installment
loans originated by Prosper's partner bank, WebBank, a Utah
state-chartered industrial bank, and serviced through the online
platform operated by Prosper Funding LLC (Prosper).
The complete rating actions are as follows:
Issuer: Citi Held For Asset Issuance 2015-PM1
Class C Notes, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 6, 2015 Definitive Rating Assigned Ba3 (sf)
Issuer: Citi Held For Asset Issuance 2015-PM2
Class C Notes, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 23, 2015 Definitive Rating Assigned Ba3 (sf)
Issuer: Citi Held For Asset Issuance 2015-PM3
Class C Notes, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 18, 2015 Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
The reviews for downgrade of the Class C Notes were prompted by a
faster buildup of delinquencies and charge-offs than expected in
transactions backed by Prosper-originated loans. Our updated
expected cumulative lifetime net loss for each of the pools backing
the three CHAI transactions has increased to 12% of original pool
balance from 8% to 8.5% at transaction closing. This loss
expectation translates to 13.6%, 13.1%, and 12.3% in remaining
losses as a percentage of the outstanding pool balances of
CHAI-PM1, PM2, and PM3, respectively.
The Class C Notes are the most vulnerable to upward revisions in
pool loss expectations due to their lower enhancement levels. The
Class C notes of CHAI-PM1, PM2, and PM3 have 16.1%, 14.5%, and
13.1% credit enhancement, respectively, from overcollateralization
and from a reserve fund equal to 0.50% of original pool balance. As
of the January 15, 2016, remittance date the CHAI-PM1, PM2, and PM3
transactions have annualized excess spread of approximately 9-10%
each (calculated based on interest collections net of fees,
expenses, and interest distributions on bonds) and
overcollateralization targets of 15.5%, 15.5%, and 16.5% of
outstanding pool balance, respectively, to cover losses. The
CHAI-PM1 transaction has already reached its overcollateralization
target.
Once the transactions reach their overcollateralization targets,
any remaining excess cash is paid to the residual holders, except
in cases where actual loss levels exceed certain trigger
thresholds. Therefore the credit enhancement available to Class C
Notes does not grow substantially relative to outstanding pool
balance over time as the deal pays down and deleverages, unlike
that available to Class A and Class B Notes.
The Class A and Class B Notes have experienced a rapid buildup of
credit enhancement owing to the high prepayment levels, the
sequential pay structure (with principal payments flowing to the
Class A Notes), subordination provided by the Class C Notes, and
the capture of excess spread. As of the January 2016 remittance
date, the Class A Notes of CHAI-PM1, PM2, and PM3 have 59.7%,
52.2%, and 48.6% credit enhancement from overcollateralization,
subordination, and reserve funds, respectively, and the Class B
Notes have 34.5%, 29.8%, and 28.0%.
The loss on the CHAI-PM1 transaction has reached 0.95% of the
original pool balance and 60 days plus delinquency is at 1.3% of
the current pool balance six months after closing. The performance
of CHAI-PM1, along with the performance on another rated deal
backed by Prosper collateral, helps to inform our revised expected
loss. CHAI-PM2 and CHAI-PM3 are backed by collateral with very
similar characteristics as that backing CHAI-PM1. During the review
period, Moody's will continue to monitor delinquencies and
charge-offs associated with Prosper-originated loans to further
assess loss trends. Moody's will also consider the volatility of
its loss expectations for this asset class, and various potential
cash flow scenarios (including benefit of triggers) to the notes.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline below Moody's expectations as
a result of a lower than expected cumulative charge off .
Down
Levels of credit protection that are lower than necessary to
protect investors against current expectations of loss could drive
the ratings down. Losses could increase above Moody's expectations
as a result of higher than expected cumulative charge off. Adverse
regulatory and legal risks, specifically legal issues stemming from
the origination model and whether interest rates charged on some
loans could violate usury laws, could also move the ratings down.
CITIGROUP COMMERCIAL 2016-GC36: Fitch Gives BB-sf Rating on Cl. E
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Citigroup Commercial Mortgage Trust (CGCMT) 2016-GC36
commercial mortgage pass-through certificates:
-- $42,973,000 class A-1 'AAAsf'; Outlook Stable;
-- $22,079,000 class A-2 'AAAsf'; Outlook Stable;
-- $33,518,000 class A-3 'AAAsf'; Outlook Stable;
-- $225,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $415,175,000 class A-5 'AAAsf'; Outlook Stable;
-- $70,409,000 class A-AB 'AAAsf'; Outlook Stable;
-- $861,171,000b class X-A 'AAAsf'; Outlook Stable;
-- $52,017,000c class A-S 'AAAsf'; Outlook Stable;
-- $75,136,000c class B 'AA-sf'; Outlook Stable;
-- $182,060,000c class EC 'A-sf'; Outlook Stable;
-- $54,907,000c class C 'A-sf'; Outlook Stable;
-- $65,021,000a class D 'BBB-sf'; Outlook Stable;
-- $65,021,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $28,898,000a class E 'BB-sf'; Outlook Stable;
-- $11,560,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) The class A-S, class B and class C certificates may be
exchanged for class EC certificates, and class EC certificates may
be exchanged for the class A-S, class B and class C certificates.
Fitch does not rate the $15,894,000 class G or the $43,347,829
class H certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 58 loans secured by 104
commercial properties having an aggregate principal balance of
approximately $1.16 billion as of the cut-off date. The loans were
contributed to the trust by Goldman Sachs Mortgage Company,
Citigroup Global Markets Realty Corp., Cantor Commercial Real
Estate Lending, L.P., and Starwood Mortgage Funding I LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78.4% of the properties
by balance, cash flow analysis of 84.4%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Highly Concentrated Pool: The top 10 loans comprise 59.4% of the
pool, which is above the 2015 and 2014 averages of 49.3% and 50.5%,
respectively. Additionally, the LCI is 489, which is well above the
2015 and 2014 averages of 367 and 387, respectively.
Higher Leverage than Other Recent Deals: The pool demonstrates
leverage statistics that are worse than most recent Fitch-rated
transactions. The pool's Fitch DSCR of 1.08x is below both the 2015
average of 1.18x and the 2014 average of 1.19x. The pool's Fitch
LTV of 113.5% is above both the 2015 average of 109.3% and the 2014
average of 106.2%.
Above Average Collateral Quality: As a percentage of
Fitch-inspected properties, 46.6% of the pool received a property
quality grade of 'B+' or higher. Three loans (18.6% of the
inspected properties) received property quality grades of 'A-' or
higher. Eleven inspected properties (6.7%) received a property
quality grade of 'B-' or below.
Limited Amortization: Based on the scheduled balance at maturity,
the pool will pay down just 10.3%, which is less than the 2015 and
2014 averages of 11.7% and 12.05, respectively. Eight loans,
representing 29.5% of the pool, are full-term interest only, and 33
loans representing 42.3% of the pool are partial interest only. The
remainder of the pool consists of 17 balloon loans representing
28.2% of the pool, with loan terms of five to 10 years.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 3.8% below
the most recent year's net operating income (NOI; for properties
for which such information was provided). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans, and could result in potential
rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to CGCMT
2016-GC36 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the senior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the senior 'AAAsf' certificates to 'BBBsf'
could result. The presale report includes a detailed explanation of
additional stresses and sensitivities on page 10.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Ernst & Young LLP. The third-party due diligence information was
provided on Form ABS Due Diligence-15E and focused on a comparison
and re-computation of certain characteristics with respect to each
of the 58 mortgage loans. Fitch considered this information in its
analysis and the findings did not have an impact on the analysis.
COMM MORTGAGE 2000-C1: Fitch Raises Rating on Cl. G Notes to 'Bsf'
------------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed six classes of
COMM Mortgage Trust commercial mortgage pass-through certificates
series 2000-C1.
KEY RATING DRIVERS
The upgrade to class G reflects the stable performance and
continued paydown of the only loan remaining in the pool. The loan
is secured by a 147,000 square foot retail property located in
Bloomingdale, IL leased to Carson Pirie Scott. The store is
located within the Stratford Square Mall, which has five other
anchor tenants including Macy's, Sears, Kohl's, Burlington Coat
Factory and Round One. The Carson's lease expires in January 2024,
which is co-terminus with the loan's maturity. The debt service
coverage ratio was reported to be 1.0x as of September 2015.
The affirmations to the remaining classes reflect incurred losses.
The pool has experienced $45.2 million (5% of the original pool
balance) in realized losses to date. As of the January 2016
distribution date, the pool's aggregate principal balance has been
reduced by 99.0% to $9.1 million from $897.9 million at issuance.
Interest shortfalls are currently affecting the class H through O
notes.
RATING SENSITIVITIES
A further upgrade to class G is not warranted due to the fact there
is one remaining loan and the collateral is leased to a single
tenant. The rating is not expected to change unless there is a
material economic or asset level event. A downgrade to class G may
be possible if there is a significant performance decline in the
remaining asset. Class G will continue to receive paydown and the
subordinate class H provides additional credit support.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades this class and assigns the Rating Outlook as
indicated:
-- $2.7 million class G notes to 'Bsf' from 'CCCsf'; Outlook
Stable assigned.
Fitch affirms these classes:
-- $6.4 million class H notes at 'Dsf'; RE 60%;
-- $0 Class J notes at 'Dsf'; RE 0%;
-- $0 Class K notes at 'Dsf'; RE 0%;
-- $0 Class L notes at 'Dsf'; RE 0%;
-- $0 Class M notes at 'Dsf'; RE 0%;
-- $0 Class N notes at 'Dsf'; RE 0%.
Fitch does not rate the class O notes and previously withdrew the
ratings on the X notes. Classes A-1, A-2, B, C, D, E, and F notes
have paid in full.
COMM MORTGAGE 2004-LNB4: Moody's Affirms Caa1 Rating on Cl. B Debt
------------------------------------------------------------------
Moody's Investors Service affirmed three classes of COMM Commercial
Mortgage Pass-Through Certificates, Series 2004-LNB4 as follows:
Cl. B, Affirmed Caa1 (sf); previously on Feb 13, 2015 Affirmed Caa1
(sf)
Cl. C, Affirmed C (sf); previously on Feb 13, 2015 Affirmed C (sf)
Cl. X-C, Affirmed Caa3 (sf); previously on Feb 13, 2015 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes, Classes B and C, were affirmed
because the ratings are consistent with Moody's base expected
loss.
The rating on the IO Class, Class XC, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its reference classes.
Moody's rating action reflects a base expected loss of 15.2% of the
current balance compared to 20.0% at last review. The deal has paid
down 5% since last review and 98% since securitization. Moody's
base plus realized loss totals 10.3% compared to 10.4% at last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http:/www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan pay downs or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the January 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $19.4 million
from $1.2 billion at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from less than
1% to 18% of the pool. One loan, constituting 11% of the pool, has
defeased and is secured by US government securities.
Four loans, constituting 32% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $123.5 million (for an average loss
severity of 62%). One loan, constituting 14% of the pool, is
currently in special servicing. The Hampton Park Apartments Loan
($2.7 million --14% of the pool), is secured by a 128-unit,
16-building apartment complex in Columbia, South Carolina
approximately four miles from both downtown Columbia and the
University of South Carolina. The loan transferred to special
servicing in December 2013 due to monetary default. Foreclosure has
been completed and the special servicer took title in February
2015. Flood damage from Hurricane Joaquin impacted six of the
buildings and an insurance claim settlement is underway. The
property was 38% leased as of December 31, 2015 compared to 50% as
of June 2015.
Moody's received full year 2014 operating results for 51% of the
pool, and partial year 2015 operating results for 63% of the pool.
Moody's weighted average conduit LTV is 86%, compared to 88% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 14% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.0X and 0.98X,
respectively, compared to 1.39X and 1.30X at last review. Moody's
actual DSCR is based on Moody's NCF and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stress rate the agency applied to the loan balance.
The top three conduit loans represent 38% of the pool balance. The
largest loan is the Eagle Valley Marketplace Loan ($3.5 million --
18% of the pool), which is secured by two cross-collateralized and
cross-defaulted strip centers totaling approximately 31,000 square
feet (SF). The properties are located in Woodbury, Minnesota,
approximately 20 miles East of Minneapolis, Minnesota. Eagle Valley
Marketplace I is currently 91% leased versus 70% at last review
while Eagle Valley Marketplace II is currently 79% leased, the same
as at last review. Overall, the total portfolio is currently 86%
leased compared to 74% at last review. Financial performance has
increased in concert with higher occupancy and the loan has
amortized 26% since securitization. Moody's LTV and stressed DSCR
are 105% and 1.09X, respectively, compared to 123% and 0.92X at the
last review.
The second largest loan is the Inver Grove Marketplace Loan ($2.2
million -- 11.2% of the pool), which is secured by a 21,000 SF
strip retail center in Inver Grove Heights, Minnesota approximately
10 miles south of St. Paul, Minnesota. The property is currently
82% leased as of September 2015 versus 60% leased as of September
2014. The loan has amortized 26% since securitization. Moody's LTV
and stressed DSCR are 126% and 0.90X, respectively, compared to
152% and 0.75X at the last review.
The third largest loan is the Bank of America Loan ($1.7 million --
9% of the pool), which is secured by a Bank of America bank branch
in the Brentwood neighborhood of Washington, DC. Performance has
been stable and this fully amortizing loan has paid down 31% since
securitization. Moody's LTV and stressed DSCR are 85% and 1.14X,
respectively, compared to 91% and 1.06X at the last review.
COMM MORTGAGE 2016-CCRE28: Fitch Rates Class G Certs 'B-sf'
-----------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to
Deutsche Bank Securities, Inc.'s COMM 2016-CCRE28 Mortgage Trust
commercial mortgage pass-through certificates.
-- $21,720,000 class A-1 'AAAsf'; Outlook Stable;
-- $82,786,000 class A-2 'AAAsf'; Outlook Stable;
-- $47,975,000 class A-SB 'AAAsf'; Outlook Stable;
-- $230,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $281,279,000 class A-4 'AAAsf'; Outlook Stable;
-- $55,000,000 class A-HR 'AAAsf'; Outlook Stable;
-- $703,549,000b class XP-A 'AAAsf'; Outlook Stable;
-- $703,549,000b class X-A 'AAAsf'; Outlook Stable;
-- $55,000,000b class X-HR 'AAAsf'; Outlook Stable;
-- $39,789,000 class A-M 'AAAsf'; Outlook Stable;
-- $73,160,000 class B 'AA-sf'; Outlook Stable;
-- $50,056,000 class C 'A-sf'; Outlook Stable;
-- $33,371,000 class D 'BBBsf'; Outlook Stable;
-- $123,216,000ab class X-B 'A-sf'; Outlook Stable;
-- $59,041,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $26,954,000ab class X-D 'BB-sf'; Outlook Stable;
-- $25,670,000a class E 'BBB-sf'; Outlook Stable;
-- $26,954,000a class F 'BB-sf'; Outlook Stable;
-- $11,551,000a class G 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $29,520,000ab interest-only class X-E,
$29,521,412ab interest-only class X-F, $17,969,000a class H or the
$29,521,412 class J.
Since Fitch issued its expected ratings on Jan. 14, 2016, the
balance of class A-3 has increased from $205,000,000 to
$230,000,000, the balance of class A-4 has decreased from
$306,279,000 to $281,279,000, and class XS-A is now referred to as
class X-A. The classes above reflect the final ratings and deal
structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 49 loans secured by 119
commercial properties having an aggregate principal balance of
approximately $1.027 billion as of the cut-off date. The loans
were contributed to the trust by German American Capital
Corporation, Cantor Commercial Real Estate lending, L.P., Jeffries
LoanCore LLC, and Ladder Capital Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78% of the properties by
balance and asset summary reviews and cash flow analysis of 87.4%
of the pool.
KEY RATING DRIVERS
Fitch Leverage Higher than Recent Deals: Fitch Stressed DSCR on the
trust-specific debt is 1.10x, which is worse than the 2014 and 2015
averages for other Fitch-rated U.S. multiborrower deals of 1.19x
and 1.18x, respectively. Fitch stressed LTV on the trust-specific
debt is 113.8%, which is higher than the 2014 and 2015 averages for
Fitch-rated deals of 106.2% and 109.3%, respectively.
High Proportion of Interest-Only Loans: Of the loans in the pool,
40.5% are full interest-only, including seven of the top 10. This
is higher than the average for other Fitch-rated U.S. multiborrower
deals of 20.1% in 2014 and 23.3% in 2015. Of the loans in the
pool, 43.8% are partial interest-only, which is in line with the
average for other Fitch-rated U.S. multiborrower deals of 42.8% in
2014 and 43.1% in 2015. Likewise, the pool is scheduled to pay
down by 7.7%, which is less than average when compared to other
Fitch-rated U.S. multiborrower deals of 12% in 2014 and 11.7% in
2015.
Strong Collateral Quality: Five loans totaling 25.2% of the pool
balance are secured by properties receiving a property quality
grade of 'A-' or better, including four the top 10 loans (Promenade
Gateway, 32 Avenue of the Americas, Netflix HQ 2, and FedEx
Brooklyn).
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 16.7% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans, and could result in potential
rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to COMM
2016-CCRE28 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Ernst and Young LLP. The third-party due diligence information was
provided on Form ABS Due Diligence-15E and focused on a comparison
and re-computation of certain characteristics with respect to each
of the 49 mortgage loans. Fitch considered this information in its
analysis and the findings did not have an impact on its analysis.
COMMERCIAL MORTGAGE 1999-C1: Moody's Affirms C Rating on 3 Tranches
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
in Commercial Mortgage Asset Trust, Commercial Mortgage
Pass-Through Certificates, series 1999-C1 as follows:
Cl. E, Affirmed B1 (sf); previously on Mar 6, 2015 Affirmed B1
(sf)
Cl. F, Affirmed Ca (sf); previously on Mar 6, 2015 Affirmed Ca
(sf)
Cl. G, Affirmed C (sf); previously on Mar 6, 2015 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Mar 6, 2015 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Mar 6, 2015 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Mar 6, 2015 Affirmed Caa3
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class (Class X) was affirmed based on the
credit performance of its referenced classes.
Moody's rating action reflects a base expected loss of 76.7% of the
current balance, compared to 61.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 10.7% of the
original pooled balance, compared to 10.0% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the January 19, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 93% to $166.5
million from $2.37 billion at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 75% of the pool. The CTL component of the pool includes eight
loans, representing 7% of the pool. One loan, constituting 12% of
the pool, has defeased and is secured by US government securities.
One loan, constituting 2% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Thirty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $126.5 million (for an average loss
severity of 42%). Two loans, constituting 80% of the pool, are
currently in special servicing. The largest specially serviced loan
is The Source Loan ($124 million -- 74.5% of the pool), which is
secured by a 521,000 square foot (SF) regional mall located in
Westbury, New York. The center, located on Long Island and known as
"The Mall at The Source", was formerly anchored by Fortunoff, a
high-end department store specializing in the sale of house wares
and jewelry. As was reported at prior Moody's reviews, the
departure of the anchor and unfavorable economic conditions have
precipitated the departure of other major retailers at the mall.
Two of the largest tenants, Saks Fifth Avenue Off 5th and Nordstrom
Rack, also vacated the property and opened stores at a nearby power
center. The loan transferred to special servicing in January 2009
for imminent default. Title to the property was obtained in August
2012 therefore the loan is Real Estate Owned (REO). An August 2015
appraisal valued the property at $57.8 million and the servicer has
recognized a $96.6 million appraisal reduction.
The second specially serviced loan is the Centerpark One Office
Building Loan ($8.8 million -- 5.3% of the pool), which is secured
by a 120,000 SF office property located in Calverton, Maryland. The
loan transferred to special servicing in June 2011 due to payment
default. The loan became REO in October 2013. As of December 2015,
the property was 24% leased. This loan has been deemed
non-recoverable. Moody's has assumed an aggregate $124 million
estimated loss (93% expected loss overall) for the specially
serviced loans.
The pool contains three non-CTL and non-defeased performing loans,
representing less than 3% of the pool. All three loans have a
Moody's LTV of less than 40%.
The CTL component includes R.R. Donnelley & Sons Company (72% of
the CTL component) and Dairy Mart Convenience Stores, Inc. (28% of
the CTL component).
COMMERCIAL MORTGAGE 1999-C1: S&P Hikes Cl. E Certs Rating to B+
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class E
commercial mortgage pass-through certificates from Commercial
Mortgage Asset Trust's series 1999-C1, a U.S. commercial
mortgage-backed securities (CMBS) transaction, to 'B+ (sf)' from
'B- (sf)'.
S&P's upgrade follows its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust. The raised
rating also reflects S&P's expectation of the available credit
enhancement for the class, which S&P believes is greater than its
most recent estimate of necessary credit enhancement for the
respective rating level, S&P's views regarding the collateral's
current and future performance, and the reduced trust balance.
While available credit enhancement levels suggest further positive
rating movement on class E, S&P's analysis also considered the
class's interest shortfalls history as well as its susceptibility
to reduced liquidity support from the two specially serviced assets
($132.8 million, 79.8%).
TRANSACTION SUMMARY
As of the Jan. 19, 2016, trustee remittance report, the collateral
pool balance was $166.5 million, which is 7.0% of the pool balance
at issuance. The pool currently includes 12 loans and two real
estate owned (REO) assets, down from 230 loans at issuance. Two of
these assets are with the special servicer, one loan ($20.0
million, 12.0%) is defeased, and one loan ($3.3 million, 2.0%) is
on the master servicer's watchlist. The master servicer, Wells
Fargo Bank N.A., reported financial information for 99.1% of the
nondefeased loans in the pool, of which 89.0% was year-end 2014
data and the remainder was partial-year 2015 data.
Excluding the defeased loan, 10 loans ($12.5 million, 7.5%) are
secured by properties that are 100% leased to a single tenant and
the majority of the reported debt service coverage (DSC) is
generally around 1.00x. S&P calculated a 1.07x Standard & Poor's
weighted average DSC and 28.7% Standard & Poor's weighted average
loan-to-value (LTV) ratio using a 8.02% Standard & Poor's weighted
average capitalization rate. The DSC, LTV, and capitalization rate
calculations exclude the two specially serviced assets and the
defeased loan. The top 10 nondefeased assets have an aggregate
outstanding pool trust balance of $145.4 million (87.3%). Using
servicer-reported numbers, S&P calculated a Standard & Poor's
weighted average DSC and LTV ratio of 1.09x and 26.6%,
respectively, for eight of the top 10 nondefeased assets. The
remaining two assets are specially serviced and discussed below.
To date, the transaction has experienced $126.5 million in
principal losses, or 5.3% of the original pool trust balance. S&P
expects losses to reach approximately 9.7% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
two specially serviced assets.
CREDIT CONSIDERATIONS
As of the Jan. 19, 2016, trustee remittance report, two REO assets
in the poolwere with the special servicer, LNR Partners LLC.
Details are:
-- The Source REO asset ($124.0 million, 74.5%) is the larger
of the two assets with the special servicer and the largest
nondefeased asset in the pool. The asset is a 521,486-sq.-
ft. mall in Westbury, N.Y. and has a total reported exposure
of $148.4 million. The loan was transferred to the special
servicer on Jan. 28, 2009, and the property became REO on
Aug. 30, 2012. The reported occupancy was 44.0% as of
Sept. 30, 2015, and reported cash flow for the nine months
ended Sept. 30, 2015, was not sufficient to coverage debt
service. LNR stated that it is working on leasing up the
vacant space. A $96.6 million appraisal reduction amount is
in effect against the asset and we expect a significant loss
(60% or greater) upon its eventual resolution.
-- The Centerpark One Office Building REO asset ($8.8 million,
5.3%) is the smaller of the two specially serviced assets
and is the second-largest nondefeased asset in the pool.
The asset is an 119,901-sq.-ft. suburban office property in
Calverton, Md. and has an $11.5 million total reported
exposure. The loan was transferred to special servicing on
June 16, 2011, and the property became REO on Oct. 4, 2013.
The reported occupancy was 24.0% as of Sept. 30, 2015, and
reported cash flow for the nine months ended Sept. 30, 2015,
was not sufficient to cover debt service. The master
servicer has deemed this asset nonrecoverable and S&P
anticipates a significant loss upon its eventual resolution.
S&P estimated losses for the two specially serviced assets,
arriving at a weighted-average loss severity of 77.8%.
RATINGS LIST
Commercial Mortgage Asset Trust
Commercial mortgage pass-through certificates series 1999-C1
Rating Rating
Class Identifier To From
E 201730AH1 B+ (sf) B- (sf)
CONNECTICUT AVENUE 2016-C01: Moody's Rates Cl. 1M-2 Notes Ba3
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
twelve classes of notes on Connecticut Avenue Securities, Series
2016-C01, a securitization designed to provide credit protection to
the Federal National Mortgage Association (Fannie Mae) against the
performance of two reference pools of mortgages totaling
approximately $949.5 million. All of the Notes in the transaction
are direct, unsecured obligations of Fannie Mae, and as such
investors are exposed to the credit risk of Fannie Mae (Aaa
Stable).
The complete rating actions are:
$207.6 million of Class 1M-1 notes, Assigned (P)Baa3 (sf)
$333.9 million of Class 1M-2 notes, Assigned (P)Ba3 (sf)
The Class 1M-2 note holders can exchange their notes for these
notes:
$135.4 million of Class 1M-2A exchangeable notes, Assigned
(P)Ba1 (sf)
$198.5 million of Class 1M-2B exchangeable notes, Assigned
(P)B2 (sf)
The Class 1M-2A note holders can exchange their notes for these
notes:
$135.4 million of Class 1M-2F exchangeable notes, Assigned
(P)Ba1 (sf)
$135.4 million of Class 1M-2I exchangeable notes, Assigned
(P)Ba1 (sf)
$113.2 million of Class 2M-1 notes, Assigned (P)Baa3 (sf)
$195.4 million of Class 2M-2 notes, Assigned (P)B1 (sf)
The Class 2M-2 note holders can exchange their notes for these
notes:
$56.6 million of Class 2M-2A exchangeable notes, Assigned
(P)Ba1 (sf)
$138.9 million of Class 2M-2B exchangeable notes, Assigned
(P)B2 (sf)
These Class 2M-2A note holders can exchange their notes for these
notes:
$56.6 million of Class 2M-2F exchangeable notes, Assigned
(P)Ba1 (sf)
$56.6 million of Class 2M-2I exchangeable notes, Assigned
(P)Ba1 (sf)
CAS 2016-C01 is the tenth transaction in the Connecticut Avenue
Securities series issued by Fannie Mae. Unlike a typical RMBS
transaction, noteholders are not entitled to receive any cash from
the mortgage loans in the reference pool. Instead, the timing and
amount of principal and interest that Fannie Mae is obligated to
pay on the Notes is linked to the performance of the mortgage loans
in the reference pool.
CAS 2016-C01's note write-downs are determined by actual realized
losses and modification losses on the loans in the Group 1 and
Group 2 reference pools, and not tied to pre-set tiered severity
schedules. In addition, the interest amount paid to the notes can
be reduced by the amount of modification loss incurred on the
mortgage loans. CAS 2016-C01 is also the second transaction in the
CAS series to have a legal final maturity of 12.5 years, as
compared to 10 years in previous fixed severity CAS
securitizations.
Moody's rating on the transaction is based on both quantitative and
qualitative analyses. This included a quantitative evaluation of
the credit quality of the reference pool and the impact of the
structural mechanisms on credit enhancement. In addition, Moody's
made qualitative assessments of counterparty performance.
Moody's base-case expected loss for the Group 1 reference pool is
1.05% and is expected to reach 8.85% at a stress level consistent
with a Aaa rating. For the Group 2 reference pool, Moody's
base-case expected loss is 1.15% and is expected to reach 11.10% at
a stress level consistent with a Aaa rating.
The Notes
The 1M-1 and 2M-1 notes are adjustable rate P&I notes with an
interest rate that adjusts relative to LIBOR.
The 1M-2 notes are adjustable rate P&I notes with an interest rate
that adjusts relative to LIBOR. The holders of the 1M-2 notes can
exchange those notes for an 1M-2A exchangeable note and an 1M-2B
exchangeable note (together referred as the "Group 1 Exchangeable
Notes").
Additionally, the holders of the 1M-2A notes can exchange those
notes for the 1M-2F note and the 1M-2I note (together with the 1M-2
note referred as the "Group 1 RCR Notes"). The 1M-2I exchangeable
notes are fixed rate interest only notes that have a notional
balance that equals the 1M-2A note balance. The 1M-2F notes are
adjustable rate P&I notes that have a balance that equals the 1M-2A
note balance and an interest rate that adjusts relative to LIBOR.
The 2M-2 notes are adjustable rate P&I notes with an interest rate
that adjusts relative to LIBOR. The holders of the 2M-2 notes can
exchange those notes for the 2M-2A exchangeable note and the 2M-2B
exchangeable note.
Similarly, the holders of the 2M-2A notes can exchange those notes
for the 2M-2F note and the 2M-2I note. The 2M-2I exchangeable
notes are fixed rate interest only notes that have a notional
balance that equals the 2M-2A note balance. The 2M-2F notes are
adjustable rate P&I notes that have a balance that equals the 2M-2A
note balance and an interest rate that adjusts relative to LIBOR.
Fannie Mae will only make principal payments on the notes based on
the scheduled and unscheduled principal payments that are actually
collected on the reference pool mortgages. Losses on the notes
occur as a result of credit events, and are determined by actual
realized and modification losses on loans in the reference pool,
and not tied to a pre-set loss severity schedule. Fannie Mae is
obligated to retire the Notes in August 2028 if balances remain
outstanding.
Credit events in CAS 2016-C01 occur when a short sale is settled,
when a seriously delinquent mortgage note is sold prior to
foreclosure, when the mortgaged property that secured the related
mortgage note is sold to a third party at a foreclosure sale, when
an REO disposition occurs, or when the related mortgage note is
charged-off. This differs from previous CAS fixed severity
securitizations, where credit events occur as early as when a
reference obligation is 180 or more days delinquent.
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
As part of its analysis, Moody's considered historic Fannie Mae
performance and severity data, the eligibility criteria of loans in
the reference pool, and the high credit quality of the underlying
collateral. The reference pool consists of loans that Fannie Mae
acquired between Jan. 1, 2015, and Feb. 28, 2015, and have no
previous 30-day delinquencies. The loans in the reference pool are
to strong borrowers, as the weighted average credit scores of 749
(Group 1) and 744 (Group 2) indicate. The weighted average CLTV of
76.23% (Group 1) and 91.67% (Group 2) is higher than recent private
label prime jumbo deals, which typically have CLTVs in the high
60's, but is similar to the weighted average CLTVs of other CAS
transactions.
Structural Considerations
Moody's took structural features such as the principal payment
waterfall of the notes, a 12.5-year bullet maturity, performance
triggers, as well as the allocation of realized losses and
modification losses into consideration in our cash flow analysis.
The final structure for the transaction reflects consistent credit
enhancement levels available to the notes per the term sheet
provided for the provisional ratings.
For modification losses, Moody's has taken into consideration the
level of rate modifications based on the projected defaults, the
weighted average coupons of the Group 1 (4.18%) and Group 2 (4.25%)
reference pools, and compared that with the available credit
enhancement on the notes, the coupon and the accrued interest
amount of the most junior bonds. The Class B and Class B-H
reference tranches for Group 1 and Group 2 each represent 1.00% of
the pool. The final coupons on the notes will have an impact on
the amount of interest available to absorb modification losses from
the reference pool.
The ratings are linked to Fannie Mae's rating. As an unsecured
general obligation of Fannie Mae, the rating on the notes will be
capped by the rating of Fannie Mae, which Moody's currently rates
Aaa (stable).
Collateral Analysis
The Group 1 reference pool consists of 80,606 loans that meet
specific eligibility criteria, which limits the pool to first lien,
fixed rate, fully amortizing loans with an original term of 301-360
months and LTVs that range between 60% and 80% on one to four unit
properties. Overall, the reference pool is of prime quality. The
credit positive aspects of the pool include borrower, loan and
geographic diversification, and a high weighted average FICO of
749. There are no interest-only (IO) loans in the reference pool
and all of the loans are underwritten to full documentation
standards.
The Group 2 reference pool consists of 47,896 loans that meet
specific eligibility criteria, which limits the pool to first lien,
fixed rate, fully amortizing loans with an original term of 301-360
months and LTVs that range between 80% and 97% on one to four unit
properties. Overall, the reference pool is of prime quality. The
credit positive aspects of the pool include borrower, loan and
geographic diversification, and a high weighted average FICO of
744. There are no interest-only (IO) loans in the reference pool
and all of the loans are underwritten to full documentation
standards.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS," published in February 2015.
While assessing the ratings on this transaction, Moody's did not
deviate from its published methodology. The severities for this
transaction were estimated using the data on Fannie Mae's actual
loss severities.
Reps and Warranties
Fannie Mae is not providing loan level reps and warranties (RWs)
for this transaction because the notes are a direct obligation of
Fannie Mae. Fannie Mae commands robust RWs from its
seller/servicers pertaining to all facets of the loan, including
but not limited to compliance with laws, compliance with all
underwriting guidelines, enforceability, good property condition
and appraisal procedures. To the extent that a lender repurchases
a loan or indemnifies Fannie Mae discovers as a result of an
confirmed underwriting eligibility defect in the reference pool,
prior months' credit events will be reversed. Moody's expected
credit event rate takes into consideration historic repurchase
rates.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud. As an unsecured general obligation of Fannie
Mae, the ratings on the notes depend on the rating of Fannie Mae,
which Moody's currently rates Aaa.
CONSUMER CREDIT 2015-1: Moody???s Hikes Cl. B Notes Rating to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the Class A
and Class B Notes issued by Consumer Credit Origination Loan Trust
(CCOLT) 2015-1. The transaction is backed by a pool of unsecured
consumer installment loans originated by Prosper Funding LLC
(Prosper) in partnership with WebBank, a Utah state-chartered
industrial bank, and serviced through the online platform operated
by Prosper.
The complete rating actions are as follows:
Issuer: Consumer Credit Origination Loan Trust 2015-1
Class A Notes, Upgraded to Baa1 (sf); previously on Feb 9, 2015
Definitive Rating Assigned Baa3 (sf)
Class B Notes, Upgraded to Ba2 (sf); previously on Feb 9, 2015
Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
The upgrades were prompted by a fast buildup in credit enhancement
to the Class A and Class B Notes as the deal paid down and
deleveraged, despite our upward revision in deal losses.
Since the transaction's closing, the Class A and Class B Notes have
experienced a rapid buildup of credit enhancement owing to high
prepayment rates, the sequential pay structure (with payments
flowing to the Class A Notes), subordination from the Class C
Notes, and the capture of excess spread. As of the January 15,
2016, remittance date, the Class A and Class B Notes have 43.6% and
23.0% credit enhancement, respectively, from overcollateralization,
subordination, and reserve funds. Annualized excess spread is
approximately 11%, calculated based on interest collections net of
fees, expenses, and interest distributions on bonds.
The above factors support our upgrade action despite an increase in
our expected cumulative lifetime net loss for the CCOLT pool to 12%
of the original pool balance from 8% at transaction closing. This
loss expectation translates to 12.6% in remaining losses as a
percentage of the outstanding pool balance as of the January 15,
2016, remittance date. The deal losses were revised upward due to a
steeper increase in delinquencies and charge-offs than expected in
transactions backed by Prosper-originated loans. The losses on the
transaction have reached 4.3% of the original pool balance while
the total loan balances of the borrowers who are more than 60 days
delinquent on their payments is now at 2.3% of the current pool
balance per the January 15, 2016, remittance date.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline below Moody's expectations as
a result of lower than expected cumulative charge-offs.
Down
Levels of credit protection that are lower than necessary to
protect investors against current expectations of loss could drive
the ratings down. Losses could increase above Moody's expectations
as a result of higher than expected cumulative charge-offs. Adverse
regulatory and legal risks, specifically legal issues stemming from
the origination model and whether interest rates charged on some
loans could violate usury laws, could also move the ratings down.
CREDIT SUISSE 2008-C1: Fitch Lowers Rating on Cl. E Certs to CC
---------------------------------------------------------------
Fitch Ratings has upgraded one class, downgraded one distressed
class, and affirmed 20 classes of Credit Suisse Commercial Mortgage
Trust (CSMC) commercial mortgage pass-through certificates series
2008-C1.
KEY RATING DRIVERS
Fitch's upgrade is based on better than anticipated recovery on the
liquidation of 1100 Executive Tower and the relatively stable
performance of the underlying collateral pool. The downgrade to
the already distressed class is due to a greater certainty of
losses and erosion of credit enhancement.
Fitch modeled losses of 5.1% of the remaining pool; expected losses
on the original pool balance total 11.4%, including $74.4 million
(8.4% of the original pool balance) in realized losses to date.
Fitch has designated 11 loans (8%) as Fitch Loans of Concern, which
includes two specially serviced assets (0.8%).
As of the January 2016 distribution date, there are 40 loans
remaining from the original 62 loans and the pool's aggregate
principal balance has been reduced by 41.2% to $521.6 million from
$887.2 million at issuance. Interest shortfalls are currently
affecting classes F through S.
The largest contributor to expected losses is the Killeen Mall loan
(15.7% of the pool), which is secured by 387,000 square feet (sf)
of a 558,000 sf regional mall located in Killeen, Texas, home to
Fort Hood, the nation's largest armed forces training and
development facility. The mall is anchored by Dillards, JC Penny,
Sears, and Burlington Coat Factory. Occupancy at the property has
increased significantly from 70% in December 2010 to 89% as of
year-end 2015. The property has lease rollover risk for only 6% of
the mall's NRA through year-end 2016. The NOI of the property has
been stable to increasing with a servicer-reported NOI DSCR of
1.34x at September 2015 and 1.32x at year-end 2014.
The next largest contributor to expected losses is the Waikiki
Beach Walk Retail loan (25%), which is secured by a roughly 88,000
sf of retail space in the Waikiki Beach Walk, a master-planned
project that includes hotels, condominiums, time shares,
entertainment venues, and shopping, located in Honolulu, HI. In
2014, servicer-reported net operating income (NOI) from the
property was down by 5.5% compared with the issuer's underwriting,
but NOI has increased each year since 2010. While the property has
continued to have strong occupancy of 99% as of January 2016, the
$130.3 million interest-only loan remains highly leveraged.
RATING SENSITIVITIES
The Outlooks for all classes are expected to remain Stable unless
additional loans transfer to special servicing coupled with an
increase in expected losses. Further upgrades are possible when
loans begin to repay in 2017 and 71% of the pool matures.
Downgrades, although not expected, are possible should larger loans
incur greater-than-modeled losses. Distressed classes (those rated
below 'Bsf') may be subject to further downgrades as additional
losses are realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch downgrades this class:
-- $10 million class E to 'CCsf' from 'CCCsf'; RE 0%.
Fitch upgrades this class:
-- $8.9 million class B to 'Bsf' from 'CCCsf'; Outlook to
Stable Assigned;
Fitch affirms these classes:
-- $9.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $5.7 million class A-AB at 'AAAsf'; Outlook Stable;
-- $258 million class A-3 at 'AAAsf'; Outlook Stable;
-- $52.1 million class A-1-A at 'AAAsf'; Outlook Stable;
-- $4.8 million class A-2FL at 'AAAsf'; Outlook Stable;
-- $57.7 million class A-J at 'Bsf'; Outlook Stable;
-- $88.7 million class A-M at 'Asf'; Outlook Stable;
-- $8.9 million class C at 'CCCsf'; RE 100%;
-- $12.2 million class D at 'CCCsf'; RE 55%;
-- $5.4 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the class S certificates. Fitch previously withdrew the rating on
the interest-only class A-X certificates.
CSAIL 2016-C5: Fitch Assigns 'BB-sf' Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to
CSAIL 2016-C5 Commercial Mortgage Trust pass-through certificates:
-- $28,557,000 class A-1 'AAAsf'; Outlook Stable;
-- $121,570,000 class A-2 'AAAsf'; Outlook Stable;
-- $19,780,000 class A-3 'AAAsf'; Outlook Stable;
-- $170,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $267,448,000 class A-5 'AAAsf'; Outlook Stable;
-- $48,139,000 class A-SB 'AAAsf'; Outlook Stable;
-- $67,891,000 class A-S 'AAAsf'; Outlook Stable;
-- $723,385,000b class X-A 'AAAsf'; Outlook Stable;
-- $51,503,000 class B 'AA-sf'; Outlook Stable;
-- $51,503,000b class X-B 'AA-sf'; Outlook Stable;
-- $42,139,000 class C 'A-sf'; Outlook Stable;
-- $46,821,000a class D 'BBB-sf'; Outlook Stable;
-- $46,821,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $23,410,000a class E 'BB-sf'; Outlook Stable;
-- $23,410,000ab class X-E 'BB-sf'; Outlook Stable;
-- $9,365,000a class F 'B-sf'; Outlook Stable;
-- $9,365,000ab class X-F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The ratings are based on information provided by the issuer as of
Feb. 8, 2016. Fitch does not rate the $39,797,933 class NR and
class X-NR certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 59 loans secured by 241
commercial properties having an aggregate principal balance of
approximately $936.4 million as of the cutoff date. The loans were
contributed to the trust by Column Financial, Inc., Rialto Mortgage
Finance, LLC, The Bank of New York Mellon, Silverpeak Real Estate
Finance LLC, and Jeffries LoanCore LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 70.9% of the properties by
balance, cash flow analysis of 79.7%, and asset summary reviews on
79.7% of the pool.
KEY RATING DRIVERS
Additional Debt: There are five loans representing 21.8% of the
pool with subordinate debt. This is higher than the 2014 average
of 10.4% and the 2015 average of 9.1% for similar Fitch-rated
fixed-rate multiborrower transactions.
Investment Grade Credit Opinion Loan: The largest loan in the pool,
GLP Portfolio Pool A (9.3%), received a credit opinion of 'Asf' on
a stand-alone basis. The loan is secured by 114 industrial
properties across nine states in 11 markets. The sponsor is Global
Logistics Properties, Ltd, which is currently rated 'BBB+' by
Fitch.
Fitch Leverage: The pool has a Fitch DSCR of 1.19x, which is above
the 2015 average DSCR of 1.18x, and a Fitch LTV of 106.1%, which is
below the 2015 average LTV of 109.3%.
Property Type Concentration: The pool's largest concentration by
property type is multifamily at 25.8%, followed by industrial
properties at 21.5%. Hotels make up 21.2% of the pool. The
industrial concentration is above the 2015 average of 4.2%.
Additionally, the hotel concentration is above the 2015 average of
17% for other Fitch-rated fixed-rate multiborrower transactions.
Pool Concentration: The pool has a higher loan concentration index
compared to other recent Fitch-rated fixed-rate multiborrower
transactions. The top 10 loans represent 53.3% of the pool, which
is higher than the 2015 average top 10 concentration of 49.3%. The
pool's loan concentration index (LCI) of 414 is higher than the
2015 average LCI of 367.
Low Mortgage Coupons: The pool's weighted average mortgage coupon
is 4.55%, well below historical averages, but higher than the 2015
average of 4.45%. Fitch accounted for increased refinance risk in
a higher interest rate environment by analyzing sensitivity to
increased interest rates.
Amortization: Five loans representing 27.5% of the pool are
interest-only, which is higher than the 2015 average of 23.3% for
other Fitch-rated multiborrower transactions. There are 32 loans,
representing 49.6% of the pool, that are partial interest-only.
Based on the scheduled balance at maturity, the pool is expected to
pay down by 8.8%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.1% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to CSAIL
2015-C5 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result. The presale report includes a detailed explanation
of additional stresses and sensitivities on pages 10-11.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from KPMG LLP.
The due diligence focused on a comparison and re-computation of
certain characteristics with respect to each of the 59 mortgage
loans. Fitch considered this information in its analysis and the
findings did not have an impact on its analysis.
CW CAPITAL II: Moody's Hikes Class A-2B Debt Rating to 'B1(sf)'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by CW Capital COBALT II, Ltd.:
Cl. A-1A, Upgraded to Baa1 (sf); previously on March 25, 2015
Affirmed Baa2 (sf)
Cl. A-1AR, Upgraded to Baa1 (sf); previously on March 25, 2015
Affirmed Baa2 (sf)
Cl. A-1B, Upgraded to B3 (sf); previously on March 25, 2015
Affirmed Caa2 (sf)
Cl. A-2B, Upgraded to Ba3 (sf); previously on March 25, 2015
Affirmed B1 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. B, Affirmed Caa3 (sf); previously on March 25, 2015 Affirmed
Caa3 (sf)
Cl. C, Affirmed C (sf); previously on March 25, 2015 Affirmed C
(sf)
Cl. D, Affirmed C (sf); previously on March 25, 2015 Affirmed C
(sf)
Cl. E, Affirmed C (sf); previously on March 25, 2015 Affirmed C
(sf)
Cl. F, Affirmed C (sf); previously on March 25, 2015 Affirmed C
(sf)
Cl. G, Affirmed C (sf); previously on March 25, 2015 Affirmed C
(sf)
Cl. H, Affirmed C (sf); previously on March 25, 2015 Affirmed C
(sf)
Cl. J, Affirmed C (sf); previously on March 25, 2015 Affirmed C
(sf)
Cl. K, Affirmed C (sf); previously on March 25, 2015 Affirmed C
(sf)
RATINGS RATIONALE
Moody's has upgraded the ratings of four classes of notes due to
improvement in the rating distribution of the underlying collateral
as evidenced by the weighted average rating factor (WARF), greater
than expected recovery from the sale of high credit risk synthetic
securities, and the ongoing redirection of interest as principal
due to the failure of certain coverage tests. Moody's has affirmed
the ratings on nine classes of notes because the key transaction
metrics are commensurate with existing ratings. The rating action
is the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation (CRE CDO and ReRemic)
transactions.
CW Capital Cobalt II, Ltd. is a static cash transaction
(reinvestment period ended April 2011), currently backed by a
portfolio of: i) commercial mortgage backed securities (CMBS)
(95.7% of the current pool balance); and ii) CRE CDOs (4.3%). As of
the January 26, 2016 note valuation report, the aggregate note
balance of the transaction, including preferred shares, has
decreased to $297.2 million from $600.0 million at issuance as a
result of regular amortization of the underlying collateral,
recoveries from defaulted collateral, and principal proceeds from
the failure of certain coverage tests.
The pool contains ten assets totaling $67.9 million (38.9% of the
collateral pool balance) that are listed as defaulted securities as
of the trustee's January 19, 2016 report. While there have been
limited realized losses on the underlying collateral to date,
Moody's does expect moderate losses to occur on the defaulted
securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the WARF, the weighted
average life (WAL), the weighted average recovery rate (WARR), and
Moody's asset correlation (MAC). Moody's typically models these as
actual parameters for static deals and as covenants for managed
deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 3862,
compared to 4611 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (9.2% compared to 9.0% at last
review), Baa1-Baa3 (40.0% compared to 32.9% at last review),
Ba1-Ba3 (5.7% compared to 4.1% at last review), B1-B3 (8.9%
compared to 10.6% at last review), and Caa1-C (36.2% compared to
43.4% at last review).
Moody's modeled a WAL of 1.8 years, compared to 2.4 years at last
review. The WAL is based on assumptions about extensions on the
loans within the underlying collateral.
Moody's modeled a fixed WARR of 4.9%, compared to 5.4% at last
review.
Moody's modeled a MAC of 6.1%, compared to 15.9% at last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the rated
notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The rated notes are particularly sensitive to changes
in the recovery rates of the underlying collateral and credit
assessments. Holding all other parameters constant, increasing the
recovery rates of 100% of the collateral pool by 10% would result
in an average modeled rating movement on the rated notes of zero to
one notch upward (e.g., one notch up implies a ratings movement of
Baa3 to Baa2). Reducing the recovery rate of 100% of the collateral
pool to 0.0% would result in an average modeled rating movement on
the rated notes of zero to one notch downward (e.g., one notch down
implies a ratings movement of Baa3 to Ba1).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
CWCAPITAL COBALT: Moody's Affirms Caa2 Rating on Class A-1 Debt
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by CWCapital Cobalt Vr Ltd.:
CL. A-1, Affirmed Caa2 (sf); previously on March 4, 2015 Upgraded
to Caa2 (sf)
CL. A-2, Affirmed C (sf); previously on March 4, 2015 Affirmed C
(sf)
CL. B, Affirmed C (sf); previously on March 4, 2015 Affirmed C
(sf)
CL. C, Affirmed C (sf); previously on March 4, 2015 Affirmed C
(sf)
CL. D, Affirmed C (sf); previously on March 4, 2015 Affirmed C
(sf)
CL. E, Affirmed C (sf); previously on March 4, 2015 Affirmed C
(sf)
CL. F, Affirmed C (sf); previously on March 4, 2015 Affirmed C
(sf)
CL. G, Affirmed C (sf); previously on March 4, 2015 Affirmed C
(sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on the transaction because its key
transaction metrics are commensurate with existing ratings. The
affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
ReRemic) transactions.
CWCapital Cobalt Vr Ltd. is a static cash transaction backed by a
portfolio of: i) CRE CDOs (56.5% of the current pool balance); and
ii) commercial mortgage backed securities (CMBS) (43.5%). As of the
January 26, 2016 trustee report, the aggregate note balance of the
transaction, including preferred shares, has decreased to $2.85
billion from $3.45 billion at issuance, as a result of
reclassification of interest proceeds received from impaired
securities as principal proceeds and regular amortization of the
underlying collateral.
All of the assets totaling $1.05 billion (100% of the collateral
pool balance) are listed as impaired securities as of the January
26, 2016 trustee report.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 9297,
compared to 9722 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Baa1-Baa3 (0.0% compared to 0.2% at last
review), Ba1-Ba3 (0.7% compared to 0.6% at last review), B1-B3
(1.1% compared to 1.0% at last review) and Caa1-Ca/C (98.2%, the
same as that at last review).
Moody's modeled a WAL of 2.3 years compared to 2.7 years at last
review. The WAL is based on assumptions about extensions on the
loans within the underlying collateral.
Moody's modeled a fixed WARR of 0%, the same as that at last
review.
Moody's modeled a MAC of 100%, the same as that at last review.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the rated
notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The rated notes are particularly sensitive to changes
in the recovery rates of the underlying collateral and credit
assessments. Holding all other parameters constant, increasing the
recovery rate of 100% of the collateral pool by 5% would result in
an average modeled rating movement on the rated notes of zero to
eleven notches upward (e.g., one notch up implies a ratings
movement of Baa3 to Baa2).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
CWHEQ REVOLVING 2005-K: Moody's Hikes Cl. 2-A-4 Debt Rating to Ca
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
issued by CWHEQ Revolving Home Equity Loan Trust, Series 2005-K.
The RMBS transaction is backed by second lien HELOC mortgage
loans.
The complete rating action is as follows:
Cl. 2-A-4, Upgraded to Ca (sf); previously on Nov 8, 2012
Downgraded to C (sf)
Financial Guarantor: Syncora Guarantee Inc. (Insured Rating
Withdrawn Nov 08, 2012)
RATINGS RATIONALE
Tranches 2-A-4 and 2-A-1 are currently paying pro-rata, and
entitled to same principal payment. Losses incurred would also be
allocated pro-rata between these two tranches, prompting the
re-alignment of 2-A-4 and 2-A-1 ratings at the Ca (sf) level, in
line with our loss projection and credit protection on both
tranches.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
DENALI CAPITAL VII: Moody's Affirms Ba2 Rating on Class B-2L Debt
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Denali Capital CLO VII, Ltd.:
US$41,000,000 Class A-3L Floating Rate Notes Due January 2022,
Upgraded to Aa3 (sf); previously on Aug 25, 2015 Upgraded to A1
(sf)
Moody's also affirmed the ratings on the following notes:
US$482,000,000 Class A-1L Floating Rate Notes Due January 2022
(current outstanding balance of $250,005,802.27), Affirmed Aaa
(sf); previously on Aug 25, 2015 Affirmed Aaa (sf)
US$150,000,000 Class A-1LR Variable Funding Notes Due January 2022
(current outstanding balance of $77,802,635.55), Affirmed Aaa (sf);
previously on Aug 25, 2015 Affirmed Aaa (sf)
US$42,000,000 Class A-2L Floating Rate Notes Due January 2022,
Affirmed Aaa (sf); previously on Aug 25, 2015 Upgraded to Aaa (sf)
US$22,500,000 Class B-1L Floating Rate Notes Due January 2022,
Affirmed Baa2 (sf); previously on Aug 25, 2015 Upgraded to Baa2
(sf)
US$18,000,000 Class B-2L Floating Rate Notes Due January 2022,
Affirmed Ba2 (sf); previously on Aug 25, 2015 Affirmed Ba2 (sf)
Denali Capital CLO VII, Ltd., issued in May 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans. The transaction's reinvestment period ended
in July 2014.
DRIVE AUTO 2015-B: Moody's Affirms Ba2 Rating on Class E Notes
--------------------------------------------------------------
Moody's Investor Services has upgraded two tranches and affirmed
twelve tranches from the Drive Auto Receivables Trust 2015-B and
2015-C transactions. The securitizations are sponsored by
Santander Consumer USA Inc. (SCUSA).
Issuer: Drive Auto Receivables Trust 2015-B
Class A-2-A Notes, Affirmed Aaa (sf); previously on June 1,
2015, Definitive Rating Assigned Aaa (sf)
Class A-2-B Notes, Affirmed Aaa (sf); previously on June 1,
2015, Definitive Rating Assigned Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Jun 1, 2015
Definitive Rating Assigned Aaa (sf)
Class B Notes, Upgraded to Aaa (sf); previously on June 1, 2015,
Definitive Rating Assigned Aa1 (sf)
Class C Notes, Affirmed Aa2 (sf); previously on June 1, 2015,
Definitive Rating Assigned Aa2 (sf)
Class D Notes, Affirmed Baa1 (sf); previously on June 1, 2015,
Definitive Rating Assigned Baa1 (sf)
Class E Notes, Affirmed Ba2 (sf); previously on June 1, 2015,
Definitive Rating Assigned Ba2 (sf)
Issuer: Drive Auto Receivables Trust 2015-C
Class A-2-A Notes, Affirmed Aaa (sf); previously on July 24,
2015, Definitive Rating Assigned Aaa (sf)
Class A-2-B Notes, Affirmed Aaa (sf); previously on July 24,
2015, Definitive Rating Assigned Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on July 24, 2015,
Definitive Rating Assigned Aaa (sf)
Class B Notes, Upgraded to Aaa (sf); previously on July 24,
2015, Definitive Rating Assigned Aa1 (sf)
Class C Notes, Affirmed Aa2 (sf); previously on July 24, 2015,
Definitive Rating Assigned Aa2 (sf)
Class D Notes, Affirmed Baa1 (sf); previously on July 24, 2015,
Definitive Rating Assigned Baa1 (sf)
Class E Notes, Affirmed Ba2 (sf); previously on July 24, 2015,
Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The upgrades mainly resulted from the build-up of credit
enhancement due to the sequential pay structure and non-declining
reserve account. The overcollateralization is currently at the
target level of 26.50% of the current balance for both 2015-B and
2015-C. Overcollateralization will remain at its target level
until the floor of 1.00% of original balance is reached, at which
point the junior tranches benefit significantly from the buildup of
credit enhancement. The lifetime cumulative net loss (CNL)
expectations remain unchanged at 27.00% since closing.
Below are key performance metrics (as of the January 2016
distribution date) and credit assumptions for the transaction.
Credit assumptions include Moody's expected lifetime CNL expected
loss which is expressed as a percentage of the original pool
balance; Moody's lifetime remaining CNL expectation and Moody's Aaa
(sf) level which are expressed as a percentage of the current pool
balance. The Aaa level is the level of credit enhancement that
would be consistent with a Aaa (sf) rating for the given asset
pool. Performance metrics include pool factor which is the ratio
of the current collateral balance to the original collateral
balance at closing; total credit enhancement, which typically
consists of subordination, overcollateralization, and a reserve
fund; and per annum excess spread.
Issuer: Drive Auto Receivables Trust 2015-B
Lifetime CNL expectation -- 27.00%, original expectation (May
2015) -- 27.00%
Lifetime Remaining CNL expectation -- 29.48%
Aaa (sf) level -- 65.00%
Pool factor -- 80.20%
Total Hard credit enhancement - Class A Notes 85.73%, Class B
Notes 70.45%, Class C Notes 48.94%, Class D Notes 36.48%, Class
E Notes 28.99%
Excess Spread per annum - Approximately 13.6%
Issuer: Drive Auto Receivables Trust 2015-C
Lifetime CNL expectation -- 27.00%, original expectation (July
2015) -- 27.00%
Lifetime Remaining CNL expectation -- 29.27%
Aaa (sf) level -- 65.00%
Pool factor -- 85.18%
Total Hard credit enhancement - Class A Notes 82.26%, Class B
Notes 67.88%, Class C Notes 47.63%, Class D Notes 35.89%, Class
E Notes 28.85%
Excess Spread per annum - Approximately 14.2%
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
EXETER AUTOMOBILE 2016-1: S&P Assigns BB Rating on Class D Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Exeter
Automobile Receivables Trust 2016-1's $350.00 million automobile
receivables-backed notes series 2016-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 50.83%, 41.94%, 35.42%,
and 25.96% credit support for the class A, B, C, and D
notes, respectively, based on stressed cash flow scenarios
(including excess spread), which provide coverage of more
than 2.55x, 2.10x, 1.77x, and 1.30x our 18.50%-19.50%
expected cumulative net loss.
-- The timely interest and principal payments that S&P believes
will be made to the rated notes by the assumed legal final
maturity dates under stressed cash flow modeling scenarios
that S&P believes is appropriate for the assigned ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A
and B notes will remain within one rating category of S&P's
'AA (sf)' and 'A (sf)' ratings, respectively, during the
first year and that S&P's ratings on the class C and D notes
will remain within two rating categories of its 'BBB+ (sf)'
and 'BB (sf)' ratings during the first year. These
potential rating movements are consistent with S&P's credit
stability criteria, which outline the outer bound of credit
deterioration as a one-category downgrade within the first
year for 'AA' rated securities and a two-category downgrade
within the first year for 'A' through 'BB' rated securities
under the moderate stress conditions.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The transaction's payment, credit enhancement, and legal
structures.
RATINGS ASSIGNED
Exeter Automobile Receivables Trust 2016-1
Class Rating Type Interest Amount
rate (mil. $)
A AA (sf) Senior Fixed 215.69
B A (sf) Subordinate Fixed 55.57
C BBB+ (sf) Subordinate Fixed 32.02
D BB (sf) Subordinate Fixed 46.72
FLAGSHIP CREDIT 2016-1: S&P Assigns Prelim. BB- Rating on D Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to Flagship Credit Auto Trust 2016-1's $446.56 million auto
receivables-backed notes series 2016-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Feb. 11,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 38.59%, 29.63%, 21.99%,
and 18.06% credit support (including excess spread) for the
class A, B, C, and D notes, respectively, based on stressed
cash flow scenarios. These credit support levels provide
coverage of approximately 3.10x, 2.40x, 1.75x, and 1.40x
S&P's 11.75%-12.25% expected cumulative net loss (CNL) range
for the class A, B, C, and D notes, respectively.
-- The timely interest and principal payments made under
stressed cash flow modeling scenarios that are appropriate
to the assigned preliminary ratings.
-- The expectation that under a moderate ('BBB') stress
scenario, all else being equal, S&P's ratings on the class A
and B notes would remain within one rating category of its
preliminary 'AA (sf)' and 'A (sf)' ratings within the first
year and S&P's ratings on the class C and D notes would
remain within two rating categories of S&P's preliminary
'BBB (sf)' and 'BB- (sf)' ratings, respectively, within the
first year. This is within the one category rating
tolerance for S&P's 'AA' and two-category rating tolerance
for its 'A', 'BBB' and 'BB' rated securities, as outlined in
S&P's credit stability criteria.
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The characteristics of the collateral pool being
securitized. The pool includes receivables originated on
both the Flagship Credit Acceptance LLC (64%) and CarFinance
Capital LLC (36%) platforms.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
Flagship Credit Auto Trust 2016-1
Class Rating Type Interest Amount
rate(i) (mil. $)
A AA (sf) Senior Fixed 327.17
B A (sf) Subordinate Fixed 50.05
C BBB (sf) Subordinate Fixed 45.46
D BB- (sf) Subordinate Fixed 23.88
(i)The actual coupons of these tranches will be determined on the
pricing date.
GAHR COMMERCIAL 2015-NRF: Fitch Affirms BB- Rating on Cl. E-FX Debt
-------------------------------------------------------------------
Fitch Ratings has affirmed nine classes of GAHR Commercial Mortgage
Trust 2015-NRF certificates (GAHR 2015-NRF).
KEY RATING DRIVERS
The affirmations reflect the relatively stable performance and
strong occupancy of the assets in the pool. Fitch reviewed the
September 2015 OSARs and rent rolls, which was the most recently
available financial performance information for the collateral.
The collateral consists of a diverse pool of 214 properties,
consisting of 142 medical office buildings, 58 healthcare
properties NNN-leased to third party operators, and 14 healthcare
properties (skilled nursing facilities, senior housing, and long
term acute care hospitals) subject to operating leases that are
tied directly to free cash flow from the underlying operations
(RIDEA Properties). The properties are located in 31 states.
Since issuance, one property has been released resulting in pay
down of $5.4 million to the senior classes. Occupancy remains
stable for the overall pool. Medical office properties, which
comprise 56% of the pool on a square foot basis, had a servicer
reported Sept. 2015 occupancy of 90.2% compared with an issuance
level of 91.5%. All other properties remain 100% leased to single
tenant occupants, per the servicer.
Fitch expects to review the transaction again when year-end 2015
financial statements become available.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's
portfolio-level metrics.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms the following classes:
-- $440.6 million A-FL1 'AAAsf'; Outlook Stable;
-- $148.6 million class A-FL2 'AAAsf'; Outlook Stable;
-- $119 million class A-FX 'AAAsf'; Outlook Stable;
-- $321.5 class X-FX* at 'AAsf'; Outlook Stable;
-- $202.4 million class B-FX at 'AAsf'; Outlook Stable;
-- $151.2 million class C-FX at 'Asf'; Outlook Stable;
-- $192.2 million class D-FX at 'BBB-sf'; Outlook Stable;
-- $215.5 million class E-FX at 'BB-sf'; Outlook Stable;
-- $180 million class F-FX at 'B-sf'; Outlook Stable.
*Interest only class.
Fitch does not rate classes X-EXT and G-FX.
GE CAPITAL 2002-1: Fitch Affirms 'Dsf' Rating on Class N Debt
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Fitch Ratings has upgraded two classes and affirmed two classes of
GE Capital Commercial Mortgage Corp., commercial mortgage
pass-through certificates series 2002-1 (GECCMC 2002-1).
KEY RATING DRIVERS
The upgrades are due to high credit enhancement and the large
percentage of defeasance in the pool.
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 98.4% to $16.3 million from
$1.04 billion at issuance; the pool has experienced $23.6 million
(2.3% of the original pool balance) in realized losses to date.
There are three loans remaining in the pool, one (31% of the pool)
of which is defeased. Interest shortfalls are currently affecting
classes N and P.
The largest loan in the pool (37.3% of the pool) is a single-tenant
office property in Dearborn, MI leased to Ford Motor Company (rated
'BBB-'/Positive Outlook). The loan is fully amortizing and the
lease is co-terminus with the maturity date.
The remaining non-defeased loan (31.6% of the pool) is secured by
two office buildings totaling 77,839 sf located in Sacramento, CA.
The two buildings were vacant as of the September 2014 rent roll.
Since then occupancy has increased to approximately 15% as of
September 2015. The loan previously transferred to special
servicing in November 2011 for imminent maturity default.
Subsequently, a loan modification was completed in September 2014
that extended the loan term to March 2019 and lowered the interest
rate. The loan returned to the master servicer in January 2015.
RATING SENSITIVITIES
The ratings on classes L and M are expected to remain stable as the
pool continues to paydown through amortization. A further upgrade
to class M is not likely due to pool concentration; downgrades are
not likely due to the fully amortizing nature of the largest loan
and the defeased loan.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades the following classes:
-- $893,015 class L to 'AAAsf' from 'Asf'; Outlook Stable;
-- $7.8 million class M to 'Asf' from 'BBB-sf'; Outlook Stable.
Fitch affirms the following classes:
-- $7.6 million class N at 'Dsf'; RE 50%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, B, C, D, E, F, G, H, J, and K
certificates, and the interest-only class X-2 certificates have
paid in full. Fitch does not rate the class P certificates. Fitch
previously withdrew the rating on the interest-only class X-1
certificates.
GE COMMERCIAL 2006-C1: Fitch Affirms 'B' Rating on Class A-J Debt
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Fitch Ratings has affirmed all 14 classes of GE Commercial Mortgage
Corporation commercial mortgage pass-through certificates series
2006-C1 (GECMC 2006-C1).
KEY RATING DRIVERS
The affirmations reflect the concentrated nature of the pool and
the uncertainty of losses from the specially serviced assets. Of
the remaining 18 loans, Fitch has designated nine loans (78.8%) as
Fitch Loans of Concern, all of which are specially serviced. Fitch
modeled losses of 39.3% of the remaining pool; expected losses on
the original pool balance total 10%, including $75 million (4.7% of
the original pool balance) in realized losses to date. 25% of the
remaining pool is scheduled to mature by March 2016.
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 86.5% to $216.8 million from
$1.61 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes B through P.
The largest contributor to expected losses, which remains the same
since the last rating action, is the largest specially serviced
asset, 33 Washington (23.4% of pool). The asset is a 19-story,
447,072 square foot (sf) office building located in the central
business district of Newark, NJ. The loan was transferred to
special servicing in November 2011 due to delinquent payments. The
asset became real-estate owned (REO) in May 2013.
Vacancy continues to be a major concern at the property. According
to the December 2015 rent roll, the property was 18% occupied with
five tenants, down from 32.9% at year-end (YE) 2012 and
representing a significant decline from 94.6% at issuance. Horizon
Healthcare Services, Inc. (7.9% of NRA) vacated upon the lease
expiration in October 2014. The largest remaining tenant is The
State of New Jersey Department of Treasury (8.7% of NRA), which has
a lease expiration in September 2017 and has expressed a desire to
remain at the property. The second largest remaining tenant is Air
Express International (6.5% of NRA), which renewed their lease for
three years through August 2017. The servicer reports that leasing
efforts are ongoing and the plan is to hold the asset in the near
term as the vacancy issues are addressed. The latest reported
valuation indicates significant losses upon liquidation, which may
occur in the fourth quarter of 2016 according to the servicer.
The next largest contributor to expected losses is the $50.0
million (23.1% of the pool) pari-passu portion of the James Center
loan (total loan amount of $150.0 million). The loan is secured by
three adjacent class-A office buildings totaling approximately one
million sf in the CBD of Richmond, VA. It was transferred to the
special servicer in June 2014 for imminent default due to a major
tenant vacating. McGuireWoods, LLP, occupied 25% of the NRA and
vacated upon their lease expiration in August 2015. The second and
third largest tenants, Wells Fargo Bank, N.A. (16% of NRA) and
Davenport & Company, LLC (8% of NRA), are both on long term leases
through Feb. 2020 and Jan. 2022, respectively. The servicer had
reported that a modification was being discussed, but the dialogue
has ceased and the servicer is proceeding to exercise the lender's
rights and remedies, including foreclosure. Recent leasing
activity, including a tenant expansion and two new leases, has
increased occupancy to 70% as of February 2016.
The third largest specially serviced asset is Grand Marc at
Riverside (19.3%), a 212 unit, 756 bed student housing property
located in Riverside, CA. The property is located one mile from the
University of California at Riverside and approximately three miles
from the Riverside Community College. Foreclosure was completed and
the asset became REO in March 2014. As of the December 2015 rent
roll, the property was 100% occupied, representing a significant
increase from the 44% reported on the July 2013 rent roll and 65%
at year-end 2012. Occupancy is back to historical levels, which was
92% in 2011, 98% in 2010, and 97% in 2009. The servicer included
the property in a January auction, but the winning bidder has since
defaulted. Disposition plans are now being reevaluated.
RATING SENSITIVITIES
The Negative Rating Outlook on class A-J reflects the uncertainty
and timing surrounding the workout of the specially serviced assets
and the possibility for a downgrade should realized losses exceed
Fitch's expectations. An upgrade, however, is possible if
recoveries are better than expected. Distressed classes (those
rated below 'B') will be subject to downgrades as losses are
realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms the following classes:
-- $118.2 million class A-J at 'Bsf'; Outlook Negative;
-- $36.2 million class B at 'CCsf'; RE 30%;
-- $14.1 million class C at 'Csf'; RE 0%;
-- $24.1 million class D at 'Csf'; RE 0%;
-- $14.1 million class E at 'Csf'; RE 0%;
-- $10.1 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4, A-1A and A-M certificates have
paid in full. Fitch does not rate the class P certificates. Fitch
previously withdrew the rating on the interest-only class X-W
certificates.
GS MORTGAGE 2013-G1: S&P Affirms BB- Rating on Cl. DM Certificates
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Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from GS
Mortgage Securities Trust 2013-G1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on five other classes from the same
transaction.
S&P's rating actions on the principal- and interest-paying
certificate classes follow its analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the performance
of the one regional outlet mall, Great Lakes Crossing Outlets,
totaling 1,352,398 net rentable sq. ft., of which 1,123,098 sq. ft.
serves as collateral, in Auburn Hills, Mich. and two regional
malls, Deptford Mall, totaling 1,040,352 net rentable sq. ft., of
which 343,910 sq. ft. serves as collateral, in Deptford, NJ and
Katy Mills, totaling 1,200,771 net rentable sq. ft., all of which
serves as collateral, in Katy, Texas.
The Great Lakes Crossing Outlets and Deptford Mall properties
secure two 10-year fixed-rate mortgage loans totaling $406.0
million (including a subordinate nonpooled rake DM bond of $23.8
million tied to Deptford Mall) maturing January 2023 and April
2023, respectively. The Katy Mills property secures a 10-year
fixed-rate interest-only (IO) mortgage loan totaling $140.0 million
maturing December 2022.
The upgrades on classes B and C reflect S&P's expectation that the
available credit enhancement for these classes is greater than its
estimate of the necessary credit enhancement required for the
current ratings, driven in part by Katy Mills' performance
improvement via increases in both occupancy and in-line sales, and
Great Lakes Crossing Outlets and Deptford Mall have both exhibited
stable performance. S&P also considered the deal structure,
amortization, and liquidity available to the trust.
The affirmations on the pooled principal- and interest-paying
certificates, as well as the nonpooled DM rake bond, reflect S&P's
expectation that the available credit enhancement for these classes
will be within its estimate of the necessary credit enhancement
required for the current ratings.
S&P affirmed its ratings on the class X-A IO certificates based on
its criteria for rating IO securities, in which the ratings on the
IO securities would not be higher than the lowest rated reference
class. The notional balance on class X-A references classes A-1
and A-2.
The analysis of large loan transactions is predominantly a
recovery-based approach that assumes a loan default. Using this
approach, our property-level analysis included a revaluation of the
three retail properties that secure the mortgage loans in the
trust. S&P also considered the stable servicer-reported net
operating income (NOI) and occupancy for the past three years for
Great Lakes Crossing Outlets and Deptford Mall and the increased
servicer-reported NOI and occupancy for Katy Mills. S&P then
derived, for each property, S&P's sustainable in-place net cash
flow (NCF), which S&P divided by a capitalization rate of 6.75% for
both Great Lakes Crossing and Deptford Mall and 7.00% for Katy
Mills to determine S&P's expected-case value. This yielded an
overall Standard & Poor's loan-to-value ratio and debt service
coverage (DSC) of 63.3% and 2.33x, respectively, on the trust
balance.
According to the Jan. 12, 2016, trustee remittance report, the
collateral pooled balance was $522.3 million, and a subordinate
nonpooled DM certificate tied to Deptford Mall totaled
$23.8 million.
According to the transaction documents, the borrowers will pay the
special servicing, work-out, and liquidation fees and the costs and
expenses incurred from appraisals and inspections conducted by the
special servicer. In addition, the borrower is obligated to pay
interest on all advances that the servicer or trustee make (to the
extent recoverable). To date, the trust has not incurred any
principal losses.
S&P generally based its analysis on a review of the properties
historical NOI for the nine months Sept. 30, 2015, years ended Dec.
31, 2014 and 2013, and the September or November 2015 rent rolls
provided by the master servicer to determine our opinion of a
sustainable cash flow for the properties. The master servicer,
KeyCorp Real Estate Capital Markets, Inc., reported a 2.06x DSC on
the Great Lakes Crossing Outlets loan, 1.76x on the Deptford Mall
loan,and 4.74x on the Katy Mills loan for the 12 months ended
Dec. 31, 2014.
Based on the Great Lakes Crossing Outlet's November 2015 rent roll,
the collateral property was 100% occupied. The five largest
collateral tenants make up 25.3% of the collateral's total net
rentable area (NRA) and include Burlington Coat Factory, Sports
Authority, Forever 21, Bed Bath & Beyond, and Art Van.
Approximately 3.3% of the tenants have leases that expire in 2016,
8.3% expire in 2017, and 16.2% expire in 2018. Some of the larger
tenants with leases that expire between 2016 and 2018 include Bed,
Bath & Beyond (4.0% of NRA) in January 2018, Off-Fifth/Saks Fifth
Avenue (3.1% of NRA) in November 2018, and Neiman Marcus Last Call
(2.5% of NRA) in November 2018. Sports Authority, which makes up
5.5% of NRA, has a lease that expires January 2020. Based on the
September 2015 tenant sales report, the store generated
approximately $130.0 per sq.-ft. in sales for the nine months ended
September 2015.
Based on the Deptford Malls September 2015 rent roll, the
collateral property was 86.5% occupied. The five largest
collateral tenants make up 16.8% of the collateral's total NRA and
include Forever 21, Victoria's Secret, Modell's Sporting Goods,
American Eagle, and Express. Not reflected in the occupancy figure
is the largest space, which makes up 6.6% of the collateral's total
NRA, which was vacant per the September 2015 rent roll. However,
per the servicer, H&M has now leased this space until January 2026.
Approximately 9.3% of the tenants have leases that expire in 2016,
15.2% expire in 2017, and 12.3% expire in 2018. Some of the larger
tenants with leases that expire between 2016 and 2018 include
American Eagle (2.6% of NRA) in January 2017 and Hollister Co.
(2.1% of NRA) in May 2016.
Based on the Katy Mill's September 2015 rent roll, the property was
96.3% occupied. The five largest tenants make up 32.3% of the
collateral's total NRA and include Bass Pro Shops Outdoor,
Burlington Coat Factory, American Multi-Cinema, Bed Bath & Beyond,
and Marshalls. Approximately 5.4% of the tenants have leases that
expire in 2016, 10.6% expire in 2017, and 8.7% expire in 2018. Some
of the larger tenants with leases that expire between 2016 and 2018
include Jumpstreet (2.6% of NRA) in August 2018, Segway (1.9% of
NRA) in August 2018, and Rainforest Caf?? (1.7% of NRA) in December
2018.
RATINGS LIST
GS Mortgage Securities Trust 2013-G1
Commercial mortgage pass-through certificates series 2013-G1
Rating
Class Identifier To From
A-1 36197QAA7 AAA (sf) AAA (sf)
A-2 36197QAC3 AAA (sf) AAA (sf)
X-A 36197QAE9 AAA (sf) AAA (sf)
B 36197QAG4 AA (sf) AA- (sf)
C 36197QAJ8 A (sf) A- (sf)
D 36197QAL3 BBB- (sf) BBB- (sf)
DM 36197QAN9 BB- (sf) BB- (sf)
HERTZ VEHICLE II: Fitch Assigns BB Rating on Class D Notes
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Fitch Ratings has assigned these ratings and Outlooks to the series
2016-1 and 2016-2 notes issued by Hertz Vehicle Financing II LP
(HVF II):
Series 2016-1
-- $332,902,000 class A notes 'AAAsf'; Outlook Stable;
-- $81,187,000 class B notes 'Asf'; Outlook Stable;
-- $25,152,000 class C notes 'BBBsf'; Outlook Stable;
-- $26,549,000 class D notes 'BBsf'; Outlook Stable.
Series 2016-2
-- $425,000,000 class A notes 'AAAsf'; Outlook Stable;
-- $103,648,000 class B notes 'Asf'; Outlook Stable;
-- $32,111,000 class C notes 'BBBsf'; Outlook Stable;
-- $33,894,000 class D notes 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Diverse Vehicle Fleet: HVF II is deemed diverse under the criteria
due to the high degree of manufacturer, model, segment, and
geographic diversification in Hertz's rental fleet.
Concentration limits, based on a number of fleet characteristics,
are present to help mitigate the risk of individual manufacturer
defaults and losses.
OEM Financial Stability: OEMs with PV concentrations in the trust
have all improved their financial position in recent years and have
positioned themselves well to meet their respective repurchase
agreement obligations. Fitch upgraded GM, the largest
concentration in HVF II, to investment grade ('BBB') in June 2015.
Consistent Performance: Hertz's historical vehicle fleet
depreciation has been relatively stable, despite recent increases
in 2014 and 2015 for NPV vehicles due to higher aging of the fleet.
Historical vehicle disposition losses have been minimal for PV and
have recorded mostly gains for NPV, though dispositions are
expected to come under pressure from the increasing vehicle supply
in the U.S. wholesale market.
Enhancement Covers Fitch's Expected Loss: Initial credit
enhancement (CE) for the notes is dynamic and based on the HVF II
fleet mix, with maximum and minimum levels. The dynamic CE levels
proposed for all class of notes of each series covers Fitch's
maximum and minimum expected loss levels for all classes under the
requested ratings.
Structural Features Mitigate Risk: Vehicle market value tests,
amortization triggers, and events of default all mitigate risks
stemming from ongoing vehicle value volatility and weakness,
ensuring parity between asset values and ongoing market values
resulting in low historical fleet disposition losses and stable
depreciation rates.
Adequate Fleet Servicer and Fleet Management: Hertz is deemed as
adequate servicer and administrator for the master trust as
evidenced by its fleet management abilities and securitization
performance to date. Fiserv is the backup disposition agent, while
Lord Securities the backup administrator.
Legal Structure Integrity: The legal structure of the transaction
provides that a bankruptcy of Hertz would not impair the timeliness
of payments on the securities.
RATING SENSITIVITIES
Fitch's rating sensitivity analysis focuses on two scenarios
involving potentially extreme market disruptions that would force
the agency to redefine its stress assumptions. The first examines
the effect of moving Fitch's bankruptcy/liquidation timing scenario
to eight months at 'AAAsf' with subsequent increases to each rating
level. The second considers the effect of moving the disposition
stresses to the higher end of the range at each rating level for a
diverse fleet. For example, at 'AAAsf', the stress would move from
24% to 28%. Finally, the last example shows the impact of both
stresses on the structure. The purpose of these stresses is to
demonstrate the potential rating impact on a transaction if one or
a combination of these scenarios occurs.
Fitch determined ratings by applying expected loss levels for
various rating categories until the enhancement proposed exceed the
expected loss from the sensitivity.
Sensitivity scenarios were run on the 2016-2 five-year maturity
structure, as this series has a slightly higher interest expense
cost and therefore, a slightly higher EL level than 2016-1. For
all sensitivity scenarios, the notes show little sensitivity to the
class A notes under each of the scenarios with downgrades occurring
under the combined scenario only. One notch to one level
downgrades would occur to the subordinate notes under each scenario
with greater sensitivity to the disposition stress scenario. Under
the combined scenario, the subordinate notes would be placed under
greater stress.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
PricewaterhouseCoopers LLP (PwC). The third-party due diligence
focused on a review of the procedures and related data for
approximately 59 vehicles in the pool for each series, including
these areas:
-- Title, Lien and OEM;
-- Capital Costs;
-- Mark-to-Market and Disposition Proceeds.
JP MORGAN 2004-C1: Moody's Hikes Class M Debt Rating to Caa1(sf)
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Moody's Investors Service has upgraded the ratings on five classes,
affirmed the rating on one class and downgraded the rating on one
class in J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2004-C1 as
follows:
Cl. J, Upgraded to Aaa (sf); previously on Apr 23, 2015 Upgraded to
A1 (sf)
Cl. K, Upgraded to Aa3 (sf); previously on Apr 23, 2015 Upgraded to
Baa1 (sf)
Cl. L, Upgraded to Baa3 (sf); previously on Apr 23, 2015 Upgraded
to Ba2 (sf)
Cl. M, Upgraded to B2 (sf); previously on Apr 23, 2015 Affirmed
Caa1 (sf)
Cl. N, Upgraded to Caa2 (sf); previously on Apr 23, 2015 Affirmed
Ca (sf)
Cl. P, Affirmed C (sf); previously on Apr 23, 2015 Affirmed C (sf)
Cl. X-1, Downgraded to Caa2 (sf); previously on Apr 23, 2015
Affirmed B3 (sf)
RATINGS RATIONALE
The ratings on five P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 57% since Moody's last
review.
The rating on one P&I class, Class P, was affirmed because the
rating is consistent with Moody's expected loss.
The rating on the IO Class, Class X-1, was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 12.1% of the
current balance, compared to 10.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.5% of the original
pooled balance, unchanged from the prior review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of eight, compared to 11 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these aggregated
proceeds for any pooling benefits associated with loan level
diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the January 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $25.8 million
from $1.04 billion at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from 1% to 17%
of the pool, with the top ten loans constituting 80% of the pool.
Three loans, constituting 19% of the pool, have defeased and are
secured by US government securities.
Two loans, constituting 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $12.6 million (for an average loss
severity of 40%). Two loans, constituting 21% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Square Lake Park Office Building Loan ($3.7 million -- 14.3%
of the pool), which is secured by a 40,000 square foot (SF) office
building located in Bloomfield Hills, Michigan. The loan
transferred to special servicing in November 2013 for maturity
default and the asset became REO in September 2014. As of December
2015, the property was 93% leased.
The other specially serviced loan is secured by an office property
in the Lawrenceville, Georgia and has been REO since August 2013.
Moody's estimates an aggregate $3 million loss for the specially
serviced loans (55% expected loss on average).
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 89% of
the pool. Moody's weighted average conduit LTV is 54%, compared to
58% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 10.8% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.23X and 2.17X,
respectively, compared to 1.25X and 1.94X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 36% of the pool balance. The
largest loan is the McKinleyville Apartments Loan ($4.4 million --
17.2% of the pool), which is secured by a 164-unit multifamily
apartment complex located in McKinleyville, California. The
property was 100% leased as of September 2015, compared to 98% at
Moody's prior review. Moody's LTV and stressed DSCR are 54% and
1.70X, respectively, compared to 57% and 1.62X at the last review.
The second largest loan is the Centennial Valley II Apartments Loan
($3.2 million -- 12.5% of the pool), which is secured by a 144-unit
multifamily property located in Conway, Arkansas. The property was
100% leased as of September 2015, compared to 99% at Moody's prior
review. Moody's LTV and stressed DSCR are 63% and 1.47X,
respectively, compared to 64% and 1.45X at the last review.
The third largest loan is the Eureka Office Loan ($1.7 million --
6.7% of the pool), which is secured by a 35,000 SF suburban office
property built in 1917 and renovated in 2003. The property was 100%
leased as of September 2015, unchanged from Moody's prior review.
Moody's LTV and stressed DSCR are 32% and 3.24X, respectively,
compared to 34% and 3.03X at the last review.
JP MORGAN 2016-C1: Fitch to Rates $29.38MM Class E Debt 'BB-sf'
---------------------------------------------------------------
Fitch Ratings has issued a presale report on the JP Morgan Chase
JPMBB Commercial Mortgage Securities Trust 2016-C1. Fitch expects
to rate the transaction and assign Rating Outlooks as follows:
-- $29,181,000 class A-1; AAAsf; Outlook Stable;
-- $95,864,000 class A-2; AAAsf; Outlook Stable;
-- $44,513,000 class A-3; AAAsf; Outlook Stable;
-- $175,000,000 class A-4; AAAsf; Outlook Stable;
-- $317,480,000 class A-5; AAAsf; Outlook Stable;
-- $53,301,000 class A-SB; AAAsf; Outlook Stable;
-- $774,099,000a class X-A; AAAsf; Outlook Stable;
-- $58,760,000a class X-B; AA-sf; Outlook Stable;
-- $47,263,000a class X-C; A-sf; Outlook Stable;
-- $58,760,000 class A-S; AAAsf; Outlook Stable;
-- $58,760,000 class B; AA-sf; Outlook Stable;
-- $47,263,000 class C; A-sf; Outlook Stable;
-- $56,206,000ab class X-D; BBB-sf; Outlook Stable;
-- $34,490,000bc class D-1; BBBsf; Outlook Stable;
-- $21,716,000bc class D-2; BBB-sf; Outlook Stable;
-- $56,206,000bc class D; BBB-sf; Outlook Stable;
-- $29,380,000b class E; BB-sf; Outlook Stable;
-- $11,496,000b class F; B-sf; Outlook Stable.
a Notional amount and interest only.
b Privately placed and pursuant to rule 144A
c The class D-1 and class D-2 certificates may be exchanged for
class D certificates, and class D certificates may be
exchanged for the class D-1 and class D-2 certificates.
The expected ratings are based on information provided by the
issuer as of Feb. 15, 2016. Fitch does not expect to rate the
$44,708,765 class NR. The certificates represent the beneficial
ownership interest in the trust, primary assets of which are 50
loans secured by 110 commercial properties having an aggregate
principal balance of approximately $1.02 billion as of the cutoff
date. The loans were contributed to the trust by JPMorgan Chase
Bank, National Association, Barclays Bank PLC, Starwood Mortgage
Funding II LLC, and Redwood Commercial Mortgage Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 68.6% of the properties by
balance, cash flow analysis of 84.8%, and asset summary reviews on
84.8% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The transaction has higher leverage than other
recent Fitch-rated fixed-rate multiborrower transactions. The
pool's Fitch DSCR of 1.14x is lower than both the 2015 average of
1.18x and the 2014 average of 1.19x, while the pool's Fitch LTV of
109.5% is in line with the 2015 average of 109.3% and higher than
the 2014 average of 106.2%.
Highly Concentrated Pool: The top 10 loans account for 58.9% of the
pool, which is well above the 2015 and 2014 averages of 49.3% and
50.5%, respectively. Additionally, the loan concentration index
(LCI) is 442, which is above the 2015 and 2014 averages of 367 and
387, respectively.
Property Concentration: The largest property type is office
(36.4%), followed by hotel (19.1%), and multifamily (14.7%). The
pool's office concentration is above the 2014 averages of 22.8% and
the year to date 2015 averages of 23.2%, respectively. The pool's
hotel concentration is higher than the 2014 concentration of 14.2%,
and the year to date 2015 average of 16.6%. Loans secured by hotels
have a higher probability of default in Fitch's multiborrower CMBS
model.
Lower Percentage of Loans Below 1.0x Fitch DSCR: 19% of the pool
falls below a 1.0x Fitch DSCR. This is lower than recent
transactions and below the 2015 average of 23.3%. Additionally, the
top 10 loans have a WAVG stressed loss of 3.9%, well below the
average loss for the pool.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 6.2% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to JPMBB
2016-C1 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
DUE DILIGENCE USAGE
Fitch was provided with third party due diligence information from
Ernst and Young LLP. The third-party due diligence information was
provided on Form ABS Due Diligence-15E and focused on a comparison
and re-computation of certain characteristics with respect to each
of the mortgage loans. Fitch considered this information in its
analysis and the findings did not have an impact on the analysis.
LB-UBS COMMERCIAL 2005-C3: Moody's Affirms B1 Rating on Cl. F Debt
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on four classes in LB-UBS Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2005-C3 as follows:
Cl. D, Upgraded to Aaa (sf); previously on Oct 1, 2015 Upgraded to
Aa2 (sf)
Cl. E, Upgraded to Baa1 (sf); previously on Oct 1, 2015 Upgraded to
Baa3 (sf)
Cl. F, Affirmed B1 (sf); previously on Oct 1, 2015 Upgraded to B1
(sf)
Cl. G, Affirmed Caa2 (sf); previously on Oct 1, 2015 Affirmed Caa2
(sf)
Cl. H, Affirmed Caa3 (sf); previously on Oct 1, 2015 Affirmed Caa3
(sf)
Cl. X-CL, Affirmed Caa3 (sf); previously on Oct 1, 2015 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes, Class D and E, were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 24% since Moody's
last review.
The ratings on three P&I classes, Class F, G and H were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO class, Class X-CL, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 8.5% of the
current balance, compared to 33.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.6% of the original
pooled balance, compared to 5.0% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http:/www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the January 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 96.5% to $68 million
from $1.97 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 3% to
44% of the pool.
Two loans, constituting 32% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-one loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $84.9 million (for an
average loss severity of 44%). No loans are currently in special
servicing.
Moody's has assumed a high default probability for two poorly
performing loans, constituting 32% of the pool, and has estimated
an aggregate loss of $4 million (a 19% expected loss based on a 50%
probability default) from these troubled loans.
Moody's received full year 2014 and partial year 2015 operating
results for 100% of the pool. Moody's weighted average pool LTV is
108%, compared to 98% at Moody's last review. Moody's pool
component excludes loans with structured credit assessments,
defeased and CTL loans, and specially serviced and troubled loans.
Moody's net cash flow (NCF) reflects a weighted average haircut of
12% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
9.6%.
Moody's actual and stressed pool DSCRs are 1.15X and 0.98X,
respectively, compared to 1.13X and 1.07X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three loans represent 76% of the pool balance. The largest
loan is the Medlock Crossing Loan ($29.9 million -- 44% of the
pool), which is secured by a 159,060 square foot retail property
located in Duluth, Georgia. The anchor tenant is Regal Cinemas,
which occupies its space under a lease set to expire in February
2019. The property was 97.5% leased as of September 2015, compared
to 90% at Moody's last review. The loan benefits from amortization.
Moody's LTV and stressed DSCR are 116% and 0.89X, respectively,
compared to 123% and 0.84X at prior review.
The second largest loan is the University Square Loan ($13.1
million -- 19% of the pool). The loan is secured by a 76,360 square
foot retail center in San Antonio, Texas. The loan was added to the
watchlist in August 2014 for upcoming lease expirations and in
November 2014, the former largest tenant vacated the property. The
property was 65% leased as of September 2015, essentially the same
as at Moody's last review. Moody's identified this as a troubled
loan and has estimated a moderate loss on this loan.
The third largest loan is The Crossing Loan ($8.6 million -- 13% of
the pool) which is secured by a 95,378 square foot shopping center
in Matthews, North Carolina, approximately 10 miles southeast of
Charlotte CBD. As of September 2015, the property was 59% leased.
The loan is on the watchlist due to low DSCR and occupancy. Moody's
identified this as a troubled loan and has estimated a moderate
loss on this loan.
LEHMAN BROTHERS 2001-C3: Fitch Cuts Class E Debt Rating to 'BBsf'
-----------------------------------------------------------------
Fitch Ratings has downgraded four classes of Lehman Brothers-UBS
(LB-UBS) Commercial Mortgage Trust commercial mortgage pass-through
certificates, series 2001-C3.
KEY RATING DRIVERS
The downgrades reflect further increases in Fitch modeled losses on
the remaining pool, particularly on the top two loans, Vista Ridge
Mall and Park Central.
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 92.8% to $97 million from
$1.38 billion at issuance; The pool has experienced $49.6 million
(3.5% of the original pool balance) in realized losses to date. The
pool has become extremely concentrated with only five of the
original 169 loans remaining in the transaction, one of which
(2.3%) is defeased, and three are specially serviced (95%).
Interest shortfalls are currently affecting classes J through Q.
Vista Ridge Mall consists of approximately 380,000 sf of the
in-line space of a 1.1 million sf mall in Lewisville, TX. The mall
is anchored by non-collateral tenants Sears, Dillard's, Macy's and
JCPenney as well as Cinemark Theater, which is part of the
collateral. Vista Ridge Mall has experienced declining financial
performance over the past few years due to competition from other
stronger malls in the area. The total occupancy at the mall
declined from 96.7% to 94.3% between year-end 2013 and year-end
2014,with the collateral portion of the propertyaccounting for the
entire decline in occupancy. Debt Service Coverage Ratio (DSCR) at
year-end 2014 was 0.81x compared with 0.92x at year-end 2013 and
has not exceeded 1.20x since 2009. Despite declining DSCR, the loan
is current as of the January 2016 remittance report.
While the Vista Ridge Mall loan (65.6% of the pool) is current, the
borrower has expressed their belief that default is imminent. This
loan accounts for 68.3% of the scheduled monthly interest for the
pool.
Park Central is an approximately 337,000 sf office/retail property
located in Phoenix, AZ. The property is a former mall, a portion of
which is now being utilized as office space. The property became
REO in May 2012. As of year-end 2015, occupancy was 42.9% after the
largest tenant, Cable One (12.1% NRA), vacated its space at the
beginning of December. The special servicer indicated it intends to
lease the vacant space and is not marketing the property for sale
at present.
RATING SENSITIVITIES
The Negative Outlooks reflect loan concentration and adverse
selection of the remaining pool. Three out of the five remaining
loans are currently in special servicing with no prospect for near
term resolution and declining performance. Upgrades are not likely
due to the concentrated nature of the pool.
Classes may be subject to further downgrades as additional losses
are realized or if losses exceed Fitch's expectations.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch downgrades the following classes and revises Outlooks as
indicated:
-- $16 million class D to 'BBBsf' from 'Asf'; Outlook to Negative
from Stable.
-- $18 million class E to 'BBsf' from 'BBBsf'; Outlook Negative;
-- $18 million class F to 'CCsf' from 'BBsf'; RE 95%;
-- $12.1 million class G to 'Csf' from 'CCsf'; RE 0%.
The class A-1, A-2, B, and C certificates have paid in full. Fitch
does not rate the class H, J, K, L, M, N, P and Q certificates.
Fitch previously withdrew the rating on the interest-only class X
certificates.
MERRILL LYNCH 2003-CANADA: Moody's Affirms Ba3 Rating on 2 Tranches
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of two interest
only (IO) classes in Merrill Lynch Financial Assets Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2003-Canada
10 as:
Cl. XC-1, Affirmed Ba3 (sf); previously on Feb. 26, 2015,
Affirmed Ba3 (sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Feb. 26, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings of the IO classes, Classes XC-1 and XC-2, were affirmed
based on the credit performance of their reference classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published on Oct. 30, 2015.
DESCRIPTION OF MODELS USED
Moody's review incorporated the use of the excel-based Large Loan
Model. The large loan model derives credit enhancement levels
based on an aggregation of adjusted loan level proceeds derived
from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
DEAL PERFORMANCE
As of the Jan. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $4.4 million
from $460 million at securitization. The Certificates are
collateralized by one remaining mortgage loan, which represents
100% of the pool.
No loans have been liquidated from the pool, and the deal has not
experienced any losses.
The single remaining loan in the pool is the CLA-721523 loan ($4.4
million -- 100% of the pool), which is secured by a 324,000 square
foot industrial property in Calgary, Alberta. Moody's was provided
with full year 2014 operating results for the collateral, which was
94% occupied as of December 2014. The loan has paid down
approximately 55% since securitization. Moody's LTV and stressed
DSCR are 35% and 2.87X, respectively, compared to 40% and 2.53X at
prior review. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
MERRILL LYNCH 2004-KEY2: Fitch Affirms CCCsf Rating on Class E Debt
-------------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 10 classes of Merrill
Lynch Mortgage Trust 2004-KEY2.
KEY RATING DRIVERS
The upgrade is due to increasing credit enhancement and the
relatively stable performance of the pool. Since the prior rating
action, one of the specially serviced loans was disposed from the
trust, resulting in a $310,085 trust loss.
The pool remains concentrated with 17 of the original 119 loans
remaining. There are five specially serviced assets (68.1% of the
pool), all of which are real-estate-owned (REO). Two loans (5.1% of
the pool) are defeased and seven loans (15.4% of the pool) are
fully amortizing. Interest shortfalls have climbed steadily, given
the status of the loans in special servicing. At the last rating
action, class G was the most senior bond being shorted interest. As
of the February distribution, interest shortfalls are affecting
classes E through DA.
The largest contributor to modeled losses is Castaic Village
Shopping Center. The asset is a 125,422 sf anchored retail center
located approximately 40 miles north of Los Angeles. The asset has
been in special servicing since November 2010 and became REO in
March 2012. The former grocery anchor, Ralphs, went dark in January
2014 but will continue to pay rent through the end of its lease in
October 2017. A large number of other tenants have also vacated,
leaving the property 20.8% physically occupied as of December 2015.
According to the special servicer, there has been no recent leasing
activity, and the property is not currently being marketed for
sale. A February 2015 appraisal indicates a sale of the asset at
the current value would result in a significant loss.
The second largest contributor to projected losses is West River
Shopping Centre. The property is an anchored retail center located
in Farmington Hills, Michigan. Kohl's, originally the second
largest tenant, vacated in August 2011 and this space has not yet
been released. The asset was transferred to special servicing in
May 2012 and became REO in April 2014. Target anchors the property
via a ground lease extending to January 2020. Two other major
tenants, an independent movie theater and an Office Max, recently
executed lease extensions. The asset was 68.5% occupied as of
November 2015. Despite the recent leasing activity, the property
value continues to decline. A June 2015 appraisal valued the
property well below the outstanding debt.
RATING SENSITIVITIES
Future upgrades to classes D and E are possible should the value of
the specially serviced assets improve through leasing efforts. The
Outlook for class D is Positive indicating that upgrades to this
class are possible should resolutions occur at better than
anticipated recoveries. Distressed classes will be subject to
downgrades as losses are realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades the following rating and revised the Outlook as
follows:
-- $22.1 million class D to 'BBBsf' from 'BBsf'; Outlook to
Positive from Stable.
Fitch affirms the following classes and assigns REs as indicated:
-- $12.5 million class E at 'CCCsf'; RE 100%;
-- $15.3 million class F at 'Csf'; RE 70%;
-- $11.1 million class G at 'Csf'; RE 0%;
-- $10 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-1A, A-2, A-3, A-4, B and C certificates have paid
in full. Fitch does not rate the class Q and DA certificates. Fitch
previously withdrew the ratings on the interest-only class XC and
XP certificates.
MOMENTUM CAPITAL: S&P Raises Rating on Class E Notes to BB+
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
D and E notes from Momentum Capital Fund Ltd., a U.S.
collateralized loan obligation (CLO). In addition, S&P affirmed
its ratings on the class A-2, B, and C notes. S&P also removed the
ratings on the class C, D, and E notes from CreditWatch, where S&P
placed them with positive implications on Dec. 18, 2015.
The transaction is in its amortization phase and continues to pay
down the notes in a sequential manner. Since S&P's February 2015
rating actions, the class A-1 notes were fully paid down, and the
class A-2 notes have received about $25 million in paydowns that
reduce its outstanding balance to 52.19% of its original balance.
The lower balance of the senior notes improved the transaction's
overcollateralization (O/C) ratios. The trustee reported the
following O/C ratios in the January 2016 monthly report, which S&P
used in rating actions compared with the January 2015 report:
-- Class A/B O/C increased to 181.69% from 145.65%;
-- Class O/C increased to 143.64% from 127.45%;
-- Class D O/C increased to 125.15% from 117.12%; and
-- Class E O/C increased to 113.295% from 109.885%.
In addition, the portfolio's weighted average life decreased during
this period, which led to the transaction's improved credit risk
profile.
The upgrades are based on increased credit support at the tranches'
prior rating levels. The affirmed ratings also reflect S&P's
belief that the credit support available is commensurate with the
current rating levels.
The ratings on the class C and D notes were constrained by the
application of the largest obligor default test, a supplemental
stress test included in S&P's corporate collateralized debt
obligation criteria.
Although the largest obligor default test also affected the rating
on the class E notes and pointed to an affirmation of its previous
'B+ (sf)' rating, S&P raised the rating to reflect its
consideration of other factors, such as the class' strong cash flow
results and the portfolio's lower weighted average life.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action," S&P said.
Standard & Poor's will continue to review whether, in its view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Momentum Capital Fund Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-2 AAA (sf) AAA (sf) 20.73% AAA (sf)
B AAA (sf) AAA (sf) 20.73% AAA (sf)
C AA+ (sf)/Watch Pos AAA (sf) 20.40% AA+ (sf)
D BBB+ (sf)/Watch Pos AA+ (sf) 20.64% A+ (sf)
E B+ (sf)/Watch Pos A+ (sf) 6.20% BB+ (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
D AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) A+ (sf)
E A+ (sf) A- (sf) A+ (sf) AA- (sf) BB+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
D AA+ (sf) AA+ (sf) AA (sf) A+ (sf)
E A+ (sf) A+ (sf) BB+ (sf) BB+ (sf)
RATINGS RAISED
Momentum Capital Fund Ltd.
Rating
Class To From
D A+ (sf) BBB+ (sf)/Watch POS
E BB+ (sf) B+ (sf)/Watch POS
RATING AFFIRMED AND REMOVED FROM CREDITWATCH
Momentum Capital Fund Ltd.
Rating
Class To From
C AA+ (sf) AA+ (sf)/Watch Pos
RATINGS AFFIRMED
Momentum Capital Fund Ltd.
Class Rating
A-2 AAA (sf)
B AAA (sf)
MORGAN STANLEY 2004-IQ7: Fitch Hikes Class N Debt Rating to 'BBsf'
------------------------------------------------------------------
Fitch Ratings has upgraded six and affirmed three classes of Morgan
Stanley Capital I Trust (MSC 2004-IQ7) commercial mortgage
pass-through certificates series 2004-IQ7.
KEY RATING DRIVERS
The upgrades reflect increases in credit enhancement from
amortization, pay down from maturing loans, and defeased collateral
(26.8% of the pool). All loans are current, with no loans presently
in special servicing.
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 95.7% to $37.5 million from
$863 million at issuance. Interest shortfalls are currently
affecting class O.
There are 18 loans remaining out of the original 128 loans at
issuance. Of the remaining loans, 12 loans (44.8% of the pool) are
secured by cooperative housing properties, which are predominantly
located in New York, NY. 22.5% of the remaining, non-defeased loans
are fully amortizing and reflect substantial pay down since
issuance. The pool is concentrated with the largest loan, Linden
Place Office Building, accounting for 37% of the remaining pool
balance.
The Linden Place Office Building loan is collateralized by an
approximately 146,000 square foot (sf) office building in Omaha,
NE. The property reflects stable performance with occupancy of 100%
as of year-end 2014, up from 95.4% a year earlier. The year-end
2014 debt service coverage ratio (DSCR) also increased to 1.85x,
from 1.70x a year earlier.
RATING SENSITIVITIES
The Stable Outlooks reflect the stable performance of the pool,
continued amortization, defeasance and strong credit profile of the
underlying collateral. Downgrades are not likely as the pool
continues to amortize and credit enhancement is expected to
increase. Upgrades are not likely to lower classes due to the
thinner tranche sizes and increased concentration..
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades the following classes and assigns Outlooks as
indicated:
-- $5.4 million class H to 'AAAsf' from 'AAsf', Outlook Stable;
-- $4.3 million class J to 'AAsf' from 'Asf', Outlook Stable;
-- $2.2 million class K to 'Asf' from 'BBBsf', Outlook Stable;
-- $2.2 million class L to 'BBBsf' from 'BBsf', Outlook Stable;
-- $2.2 million class M to 'BBsf' from 'Bsf', Outlook Stable;
-- $2.2 million class N to 'BBsf' from 'Bsf', Outlook Stable.
Fitch affirms the following class as indicated:
-- $4.5 million class E at 'AAAsf', Outlook Stable;
-- $5.4 million class F at 'AAAsf', Outlook Stable;
-- $4.3 million class G to at 'AAAsf', Outlook Stable.
Classes A-1, A-2, A-3, A-4, B, C, and D certificates have paid in
full. Fitch does not rate the class O certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-Y certificates.
MORGAN STANLEY 2016-UBS9: Fitch to Rates $6.66MM Class F Debt 'B-'
------------------------------------------------------------------
Fitch Ratings has issued a presale report on Morgan Stanley Capital
I Trust 2016-UBS9 Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $29,800,000 class A-1 'AAAsf'; Outlook Stable;
-- $73,500,000 class A-2 'AAAsf'; Outlook Stable;
-- $46,100,000 class A-SB 'AAAsf'; Outlook Stable;
-- $125,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $192,226,000 class A-4 'AAAsf'; Outlook Stable;
-- $466,626,000b class X-A 'AAAsf'; Outlook Stable;
-- $87,493,000b class X-B 'AA-sf'; Outlook Stable;
-- $47,496,000 class A-S 'AAAsf'; Outlook Stable;
-- $39,997,000 class B 'AA-sf'; Outlook Stable;
-- $29,997,000 class C 'A-sf'; Outlook Stable;
-- $34,164,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $14,999,000ab class X-E 'BB-sf'; Outlook Stable;
-- $34,164,000a class D 'BBB-sf'; Outlook Stable;
-- $14,999,000a class E 'BB-sf'; Outlook Stable;
-- $6,666,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The expected ratings are based on information provided by the
issuer as of Feb. 11, 2016. Fitch does not expect to rate the
interest-only $13,332,000a class X-FG, interest-only $19,998,197a
class X-H, $6,666,000a class G or the $19,998,197a class H
certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 31 loans secured by 222
commercial properties having an aggregate principal balance of
approximately $666.6 million as of the cut-off date. The loans were
contributed to the trust by UBS Real Estate Securities Inc., Morgan
Stanley Mortgage Capital Holdings LLC and Bank of America, National
Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 81.1% of the properties by
balance, cash flow analysis of 94.3%, and asset summary reviews on
100% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: The transaction has lower leverage than other
Fitch-rated transactions. This pool's Fitch DSCR of 1.23x and LTV
of 99.7% are better than the 2015 averages of 1.18x, and 109.3%,
respectively. Excluding the credit-opinion GLP Industrial Portfolio
B loan (8.4% of the pool), the Fitch DSCR and Fitch LTV are 1.20x
and 103.6%, respectively.
High Pool Concentration: The pool is significantly more
concentrated than other recent Fitch-rated multiborrower
transactions. The top 10 loans comprise 68.9% of the pool, higher
than the 2015 average of 49.3%. The pool's loan concentration index
(LCI) of 575 is greater than the 2015 average of 367.
Investment-Grade Credit Opinion Loan: One loan, GLP Industrial
Portfolio B (8.4% of the pool), has an investment-grade credit
opinion of 'A+sf' on a stand-alone basis. The loan is secured by
142 industrial properties across 11 states in 13 markets. The
sponsor is Global Logistics Properties, Ltd., which is currently
rated 'BBB+' by Fitch. Excluding the credit opinion GLP Industrial
Portfolio B loan, Fitch's implied conduit subordination at the
junior 'AAAsf' tranche is approximately 25% and approximately 7.9%
at 'BBB-sf'.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.5% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSCI
2016-UBS9 certificates and found that the transaction displays
below-average sensitivity to further declines in NCF. In a scenario
in which NCF declined a further 20% from Fitch's NCF, a downgrade
of the junior 'AAAsf' certificates to ' AA-sf' could result. In a
more severe scenario, in which NCF declined a further 30% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'A-sf' could result.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
KPMG LLP. The third-party due diligence information was provided on
Form ABS Due Diligence-15E and focused on a comparison and
re-computation of certain characteristics with respect to each of
the 31 mortgage loans. Fitch considered this information in its
analysis and the findings did not have an impact on its analysis.
MOUNTAIN HAWK II: S&P Puts BB Ratings on CreditWatch Negative
-------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'BBB (sf)' and
'BB (sf)' ratings on the class D and E notes, respectively, from
Mountain Hawk II CLO Ltd., a cash flow collateralized loan
obligation (CLO), on CreditWatch with negative implications
following S&P's recent surveillance review. The affected tranches,
which are subordinate to the other rated tranches in the
transaction, had an original issuance amount and current balance of
$25.5 million and $21 million, respectively. S&P did not take
rating actions on the class A-1, B, and C notes.
S&P placed its ratings on the class D and E notes on CreditWatch
with negative implications because it believes the credit support
available to these notes may no longer be commensurate with their
current ratings.
Since the transaction's effective date, the balance of 'CCC' rated
and defaulted assets has increased, resulting in a decline in the
overcollateralization (O/C) ratios. The class E O/C ratio has
declined to 103.4% as of the January 2016 trustee report, from
106.6% as of the August 2013 trustee report. In addition, the
transaction has significant exposure to assets from companies with
a Standard & Poor's corporate rating with a negative outlook.
Potentially mitigating the above is the cash balance in the
transaction's principal collection account.
S&P expects to resolve the CreditWatch negative placements within
90 days after it completes a cash flow analysis and committee
review. S&P will continue to monitor this transaction, and it will
take rating actions, including CreditWatch placements, as S&P deems
appropriate.
RATINGS PLACED ON WATCH NEGATIVE
Mountain Hawk II CLO Ltd.
Rating
Class Identifier To From
D 62405TAN7 BBB (sf)/Watch Neg BBB (sf)
E 62405TAQ0 BB (sf)/Watch Neg BB (sf)
OTHER RATINGS
Mountain Hawk II CLO Ltd.
Class Identifier Rating
A-1 62405TAA5 AAA (sf)
B 62405TAE7 AA (sf)
C 62405TAJ6 A (sf)
MOUNTAIN VIEW 2006-1: S&P Raises Rating on Cl. E Notes to BB+
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B-1, B-2, C-1, C-2, D, and E notes from Mountain View Funding CLO
2006-1 Ltd., and removed them from CreditWatch, where they were
placed with positive implications on Dec. 18, 2015. At the same
time, S&P affirmed its 'AAA (sf)' ratings on the class A and B
notes. Mountain View Funding CLO 2006-1 Ltd. is a U.S. CLO
transaction that closed in May 2006 and is managed by Seix
Investment Advisors LLC.
The upgrades reflect $208.3 million in paydowns to the class A-1
and $27.3 million in paydowns to the class A-2 notes since S&P's
June 2013 rating actions, which have reduced their outstanding
balance to less than 30% of their original balance. In addition,
the transaction has benefited from improved scenario default rates
due to the transaction's decrease in weighted average life since
June 2013. These improvements are also evident in the higher class
A/B, C, D, and E par value ratios.
The ratings on the class D and E notes are constrained by the
application of the largest obligor default test, a supplemental
stress test included in S&P's corporate collateralized debt
obligation criteria. As of the December 2015 trustee report, only
50 unique obligors remain in the portfolio, with the top five
obligors representing 18.6% of the transaction's performing
collateral.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
S&P's review of the transaction relied in part upon a criteria
interpretation with respect to its May 2014 criteria "CDOs: Mapping
A Third Party's Internal Credit Scoring System To Standard & Poor's
Global Rating Scale," which allows S&P to use a limited number of
public ratings from other NRSROs for the purposes of assessing the
credit quality of assets not rated by Standard & Poor's. The
criteria provide specific guidance for treatment of corporate
assets not rated by Standard & Poor's, while the interpretation
outlines treatment of securitized assets.
Standard & Poor's will continue to review whether, in its view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Mountain View Funding CLO 2006-1 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating (i) cushion (ii) rating
A-1 AAA (sf) AAA (sf) 18.37% AAA (sf)
A-2 AAA (sf) AAA (sf) 18.37% AAA (sf)
B-1 AA+(sf)/Watch Pos AAA (sf) 18.37% AAA (sf)
B-2 AA+(sf)/Watch Pos AAA (sf) 18.37% AAA (sf)
C-1 A+(sf)/Watch Pos AAA (sf) 11.66% AAA (sf)
C-2 A+(sf)/Watch Pos AAA (sf) 11.66% AAA (sf)
D BBB(sf)/Watch Pos AA+ (sf) 1.45% A+ (sf)
E B+(sf)/Watch Pos BBB+ (sf) 1.51% BB+ (sf)
(i)The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii)The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
10% recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA- (sf) AA- (sf) AA+ (sf) A+ (sf)
E BBB+ (sf) BB+ (sf) BBB (sf) BBB+ (sf) BB+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA+ (sf) BBB+ (sf) A+ (sf)
E BBB+ (sf) BBB+ (sf) B+ (sf) BB+ (sf)
RATINGS LIST
Mountain View Funding CLO 2006-1 Ltd.
Rating
Class Identifier To From
A-1 624442AA7 AAA (sf) AAA (sf)
A-2 624442AB5 AAA (sf) AAA (sf)
B-1 624442AC3 AAA (sf) AA+ (sf)/Watch Pos
B-2 624442AD1 AAA (sf) AA+ (sf)/Watch Pos
C-1 624442AE9 AAA (sf) A+ (sf)/Watch Pos
C-2 624442AF6 AAA (sf) A+ (sf)/Watch Pos
D 624442AG4 A+ (sf) BBB (sf)/Watch Pos
E 62444LAA5 BB+ (sf) B+ (sf)/Watch Pos
MOUNTAIN VIEW II: Moody's Affirms Ba3(sf) Rating on Class E Debt
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Mountain View CLO II Ltd. :
US$24,100,000 Class C Floating Rate Deferrable Notes Due January
2021, Upgraded to Aa3 (sf); previously on Aug 18, 2015 Upgraded to
A1 (sf)
Moody's also affirmed the ratings on the following notes:
US$217,000,000 Class A-1 Floating Rate Notes Due January 2021
(current outstanding balance of $156,611,397), Affirmed Aaa (sf);
previously on Aug 18, 2015 Affirmed Aaa (sf)
US$118,000,000 Class A-2 Delayed Draw Floating Rate Notes Due
January 2021 (current outstanding balance of $85,161,958), Affirmed
Aaa (sf); previously on Aug 18, 2015 Affirmed Aaa (sf)
US$7,000,000 Class A-3 Delayed Draw Floating Rate Notes Due January
2021 (current outstanding balance of $5,051,981), Affirmed Aaa
(sf); previously on Aug 18, 2015 Affirmed Aaa (sf)
US$26,000,000 Class B Floating Rate Notes Due January 2021,
Affirmed Aaa (sf); previously on Aug 18, 2015 Upgraded to Aaa (sf)
US$19,700,000 Class D Floating Rate Deferrable Notes Due January
2021, Affirmed Baa2 (sf); previously on Aug 18, 2015 Upgraded to
Baa2 (sf)
US$14,700,000 Class E Floating Rate Deferrable Notes Due January
2021, Affirmed Ba3 (sf); previously on Aug 18, 2015 Upgraded to Ba3
(sf)
Mountain View CLO II Ltd., issued in December 2006, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in January 2014.
NEWSTAR 2016-1: Moody???s Assigns (P)Ba3 Rating on Class E Debt
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by NewStar Commercial Loan Funding
2016-1 LLC (the "Issuer" or "NewStar 2016-1").
Moody's rating action is as follows:
US$176,500,000 Class A-1 Senior Secured Floating Rate Notes due
2028 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$20,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2028
(the "Class A-2 Notes"), Assigned (P)Aaa (sf)
US$36,750,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$22,500,000 Class C Secured Deferrable Floating Rate Notes due
2028 (the "Class C Notes"), Assigned (P)A2 (sf)
US$23,750,000 Class D Secured Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$23,000,000 Class E Secured Deferrable Floating Rate Notes due
2028 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes and the Class E Notes are referred
to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
NewStar 2016-1 is a managed cash flow SME CLO. The issued notes
will be collateralized primarily by small and medium enterprise
loans. At least 90% of the portfolio must consist of senior secured
loans, cash, and eligible investments, and up to 10 % of the
portfolio may consist of second lien loans. We expect the portfolio
to be approximately 80% ramped as of the closing date.
NewStar Financial, Inc. (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, no collateral purchases are allowed.
In addition to the Rated Notes, the Issuer will issue membership
interests.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $350,000,000
Diversity Score: 40
Weighted Average Rating Factor (WARF): 3400
Weighted Average Spread (WAS): 4.85%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8 years
ONE WALL II: S&P Raises Rating on Class E Notes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C, D, and E notes and affirmed its rating on the class B notes from
One Wall Street CLO II Ltd., a U.S. collateralized loan obligation
(CLO) that closed in March 2007 and is managed by Alcentra NY LLC.
S&P also removed our ratings on the class C and D notes from
CreditWatch, where S&P placed them with positive implications on
Dec. 18, 2015.
The rating actions follow S&P's review of the transaction's
performance using data from the Jan. 19, 2016, monthly trustee
report and Jan. 22, 2016, payment date report.
The upgrades reflect the transaction's $112.94 million in
collective paydowns to the class A-1, A-2, and B notes since S&P's
September 2014 rating actions. These paydowns have led to
increased overcollateralization (O/C) ratios. For example, the
mezzanine O/C ratio increased to 128.35% as of January 2016 from
112.77% as of the August 2014 trustee report, which S&P used for
its last rating actions. In addition, the transaction is holding
approximately $1.74 million less in defaulted assets than in S&P's
September 2014 rating action.
As of the January 2016 trustee report, the balance of collateral
with a maturity date after the stated maturity of the transaction
represented 8.11% of the portfolio. A CLO concentrated in
long-dated assets could be exposed to market value risk at maturity
because the collateral manager may have to sell long-dated assets
for less than par to repay the CLO's subordinate rated notes when
they mature. S&P's analysis took into account the potential market
value and/or settlement-related risk arising from the potential
liquidation of the remaining securities on the transaction's legal
final maturity date.
S&P's rating on the class D notes reflects the application of the
largest obligor default test. The test addresses a transaction's
concentration risk. The largest obligor default test constrained
our ratings on the class D notes at 'A+ (sf)'. The transaction
currently has only 54 performing obligors remaining with the five
largest making up more than 21% of the portfolio's performing
collateral balance. The affirmation of the class B notes reflects
S&P's opinion that the credit support available is commensurate
with the current rating level. S&P will continue to review
whether, in its view, the ratings assigned to the notes remain
consistent with the credit enhancement available to support them
and S&P will take further rating actions as it deems necessary.
Standard & Poor's will continue to review whether, in its view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
One Wall Street CLO II Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
B AAA (sf) AAA (sf) 25.44% AAA (sf)
C AA+(sf)/Watch Pos AAA (sf) 21.58% AAA (sf)
D BBB+(sf)/Watch Pos AA+ (sf) 5.36% A+ (sf)
E B+ (sf) BB+ (sf) 11.04% BB+ (sf)
(i) The cash flow implied rating considers the actual spread,
coupon,
and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned
rating for a given class of rated notes using the actual
spread,
coupon, and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
10% recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) A+ (sf)
E BB+ (sf) BB+ (sf) BB+ (sf) BBB- (sf) BB+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA+ (sf) AA- (sf) A+ (sf)
E BB+ (sf) BB+ (sf) B+ (sf) BB+ (sf)
RATINGS LIST
One Wall Street CLO II Ltd.
US$400 mil One Wall Street CDO II, Ltd.
Rating
Class Identifier To From
B 68244CAE6 AAA (sf) AAA (sf)
C 68244CAG1 AAA (sf) AA+ (sf)/Watch Pos
D 68244CAJ5 A+ (sf) BBB+ (sf)/Watch Pos
E 68244HAA3 BB+ (sf) B+ (sf)
ONEMAIN FINANCIAL 2016-1: S&P Assigns 'B+' Rating on Class D Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to OneMain
Financial Issuance Trust 2016-1's $500.000 million notes.
The note issuance is an ABS securitization backed by personal
consumer loan receivables.
The ratings reflect:
-- The availability of approximately 56.9%, 48.5%, 40.7%, and
34.8% credit support to the class A, B, C, and D notes,
respectively, in the form of subordination,
overcollateralization, a reserve account, and excess spread.
These credit support levels are sufficient to withstand
stresses commensurate with the ratings on the notes based on
S&P's stressed cash flow scenarios.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, the ratings on the class A, B, and C notes would
remain within two rating categories of our 'A+ (sf)',
'BBB (sf)', and 'BB (sf)' ratings, respectively. These
potential rating movements are consistent with S&P's credit
stability criteria, which outline the outer bounds of credit
deterioration as equal to a two-category downgrade within
the first year for 'A' through 'BB' rated securities under
moderate stress conditions.
-- S&P's expectation of the timely payment of periodic interest
and the payment of principal by the legal final maturity
date according to the transaction documents, based on
stressed cash flow modeling scenarios, using assumptions
commensurate with the assigned ratings.
-- The characteristics of the pool being securitized.
-- OneMain's established management and its experience in
origination and servicing consumer loan products.
-- Wells Fargo Bank N.A.'s (Wells Fargo; the backup servicer)
consumer loan servicing experience.
-- The operational risks associated with OneMain Financial
Group LLC's (OneMain's) decentralized business model.
-- The uncertainty concerning the integration of OneMain's
operations with OneMain Holdings Inc.'s operations. OneMain
Holdings Inc. (formerly known as Springleaf Holdings Inc.)
acquired OneMain from CitiFinancial Credit Co., a wholly
owned subsidiary of Citigroup Inc., on Nov. 15, 2015.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
OneMain Financial Issuance Trust 2016-1
Amount Interest
Class Rating (Mil. $) rate (%)
A A+ (sf) 353.050 3.66
B BBB (sf) 60.840 4.57
C BB (sf) 45.000 6.00
D B+ (sf) 41.110 7.50
SALOMON BROTHERS 2000-C1: S&P Raises Rating on Cl. L Certs to BB+
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from
Salomon Brothers Mortgage Securities VII Inc.'s series 2000-C1, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
S&P's upgrades follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction's
structure, and the liquidity available to the trust. The raised
ratings also reflect S&P's expectation of the available credit
enhancement for these classes, which S&P believes is greater than
its most recent estimate of necessary credit enhancement for the
respective rating levels, S&P's views regarding the collateral's
current and future performance, and the reduced trust balance.
Specifically, class L was previously lowered to 'D (sf)' due to
accumulated interest shortfalls that S&P expected to remain
outstanding for a prolonged period of time. S&P raised its rating
on the class from 'D (sf)' to 'BB+ (sf)' because the interest
shortfalls have been resolved in full for a period of time and S&P
do not believe, at this time, a further default of the certificate
class is virtually certain.
While available credit enhancement levels suggest further positive
rating movements on classes K and L, S&P's analysis also considered
the classes' interest shortfall history as well as their
susceptibility to reduced liquidity support from the sole loan on
the master servicer's watchlist ($3.3 million, 30.7%) due to low
reported occupancy.
TRANSACTION SUMMARY
As of the Jan. 19, 2016, trustee remittance report, the collateral
pool balance was $10.8 million, which is 1.5% of the pool balance
at issuance. The pool currently includes 11 loans (down from 266
loans at issuance). Six of these loans are defeased ($6.0 million,
55.9%) and one is on the master servicer's watchlist. The master
servicer, Wells Fargo Bank N.A., reported financial information for
100.0% of the nondefeased loans in the pool, of which 73.5% was
partial-year 2015 data, and the remainder was year-end 2014 data.
Excluding the defeased loans, S&P calculated a 1.72x Standard &
Poor's weighted average debt service coverage (DSC) and 13.0%
Standard & Poor's weighted average loan-to-value (LTV) ratio using
a 7.82% Standard & Poor's weighted average capitalization rate. To
date, the transaction has experienced $26.8 million in principal
losses, or 3.8% of the original pool trust balance.
RATINGS LIST
Saloman Brothers Mortgage Securities VII Inc.
Commercial mortgage pass through certificates series 2000-C1
Rating Rating
Class Identifier To From
K 79548K3W6 AA+ (sf) BB+ (sf)
L 79548K3Y2 BB+ (sf) D (sf)
SDART 2015-1: Fitch Affirms 'BBsf' Rating on Class E Debt
---------------------------------------------------------
As part of its ongoing surveillance, Fitch Rating has taken the
following rating actions on Santander Drive Auto Receivables Trust
(SDART) 2012-6, 2013-1 and 2015-1:
2012-6
-- Class C affirmed at 'AAAsf'; Outlook Stable;
-- Class D upgraded to 'AAsf' from 'Asf'; Outlook revised to
Positive from Stable;
-- Class E upgraded to 'Asf' from 'BBBsf'; Outlook revised to
Positive from Stable.
2013-1
-- Class B affirmed at 'AAAsf'; Outlook Stable;
-- Class C upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class D affirmed at 'Asf'; Outlook revised to Positive from
Stable;
-- Class E affirmed at 'BBBsf'; Outlook revised to Positive from
Stable.
2015-1
-- Class A-2a affirmed at 'AAAsf'; Outlook Stable;
-- Class A-2b affirmed at 'AAAsf'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B affirmed at 'AAsf'; Outlook revised to Positive from
Stable;
-- Class C affirmed at 'Asf'; Outlook revised to Positive from
Stable;
-- Class D affirmed at 'BBBsf'; Outlook revised to Positive from
Stable;
-- Class E affirmed at 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
The rating actions are based on available credit enhancement and
loss performance. The collateral pools continue to perform within
Fitch's expectations. Under the credit enhancement structures, the
securities are able to withstand stress scenarios consistent with
the recommended ratings and make full payments to investors in
accordance with the terms of the documents.
To date, the transactions have exhibited strong performance with
losses within Fitch's initial expectations, with rising loss
coverage and multiple levels consistent with the recommended
ratings. A material deterioration in performance would have to
occur within the asset pool to have potential negative impact on
the outstanding ratings.
For the 2012-6 and 2013-1 transactions, Fitch revised its loss
proxies, based on current performance trends although both continue
to track below Fitch's initial expectations. Based on current loss
trends, Fitch expects final CNL for both transactions to be in the
11%-15% range. Fitch maintained the proxy utilized at the initial
review for the 2015-1 transaction due to the lower amortization to
date.
The upgrades reflect the improved loss coverage available to the
notes. Further, Fitch will continue to monitor all three
transactions and may take additional rating actions in the future.
The ratings reflect the quality of Santander Consumer USA, Inc.'s
retail auto loan originations, the adequacy of its servicing
capabilities, and the sound financial and legal structure of the
transaction.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxies and impact available loss coverage
and multiples levels for both transactions. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In 2012-6 and 2013-1, the class E notes show limited sensitivity to
back-ended loss timing scenarios. In the 2015-1 transaction, the
class D and E notes exhibit slight declines in loss coverage
multiple under back-ended loss timing scenarios. Despite the slight
decline for the 2015-1 transaction, the net loss coverage multiple
under the back ended scenario for the class E is still in excess of
the recommended multiple for 'BBsf'.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
SDART 2016-1: Fitch Assigns 'BBsf' Rating on Class E Debt
---------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to the notes issued from Santander Drive Auto Receivables
Trust 2016-1 (SDART 2016-1):
-- $162,800,000 class A-1 notes 'F1+sf';
-- $120,000,000 class A-2a notes 'AAAsf'; Outlook Stable;
-- $222,000,000 class A-2b notes 'AAAsf'; Outlook Stable;
-- $109,120,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $142,450,000 class B notes 'AAsf'; Outlook Stable;
-- $153,040,000 class C notes 'Asf'; Outlook Stable;
-- $91,240,000 class D notes 'BBBsf'; Outlook Sable;
-- $58,860,000 class E notes 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Improved Credit Quality: 2016-1 is backed by collateral consistent
with the 2014-2015 pools, with a weighted average (WA) FICO score
of 600 and an internal WA loss forecast score (LFS) of 555. The WA
seasoning is 2.7 months, new vehicles total 40.9% and the pool is
geographically diverse.
Increased Extended-Term Contracts: Loans with terms of 60+ months
total 94.8%, driven by 73-75 term loans originated via the Chrysler
Capital (CC) platform by SCUSA totalling 15.2%, consistent with
2015-5, but historically high for the platform. Fitch applied a
stress to the loss proxy to account for the risk posed by these
loans, since there is limited performance history and these loans
will likely perform worse than loans with terms less than or equal
to 72 months.
Weakening Performance: Although within range of the 2009-2011
performance, recent 2012-2014 portfolio and securitization losses
are tracking slightly higher to date, driven by marginally weaker
collateral underwriting and lower recoveries from softer used
vehicle values. Fitch expects performance for the 2015 vintage to
perform in line with the 2013 and 2014 vintages, if not weaker.
Sufficient Credit Enhancement: Initial hard credit enhancement (CE)
totals 49.85% for the class A notes, decreased slightly from 2015-5
but consistent with 2015-3 and 2015-4. Excess spread decreased to
10.02% per annum, the lowest historically for the platform, due to
higher anticipating pricing of the notes and the significant drop
in WA annual percentage rate (APR), down to 16.0% from 16.30% in
2015-5.
Stable Corporate Health: SCUSA recorded solid financial results
recently and has been profitable since 2007. Fitch rates Santander,
majority owner of SCUSA, 'A-/F2'/Outlook Stable.
Consistent Origination/Underwriting/Servicing: SCUSA demonstrates
adequate abilities as originator, underwriter and servicer, as
evidenced by historical portfolio and securitization performance.
Fitch deems SCUSA capable to service this series.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of SCUSA would not impair the
timeliness of payments on the securities.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce loss levels higher
than the base case. This in turn could result in Fitch taking
negative rating actions on the notes.
Fitch evaluated the sensitivity of the ratings assigned to
Santander Drive Auto Receivables Trust 2016-1 to increased credit
losses over the life of the transaction. Fitch's analysis found
that the transaction displays some sensitivity to increased
defaults and credit losses. This shows a potential downgrade of one
or two categories under Fitch's moderate (1.5x base case loss)
scenario for the directly subordinate bonds, and potential
downgrades of even more categories for the deeper subordinate
bonds. The notes could experience downgrades of three or more
rating categories, potentially leading to distressed ratings (below
'Bsf') or possibly default, under Fitch's severe (2.0x base case
loss) scenario.
SDART 2016-1: Moody's Assigns Ba2 Rating to Class E Debt
--------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Santander Drive Auto Receivables Trust 2016-1
(SDART 2016-1). This is the first SDART transaction of the year for
Santander Consumer USA Inc. (SC).
The complete rating actions are as follows
Issuer: Santander Drive Auto Receivables Trust 2016-1
$162,800,000, 0.85000%, Class A-1 Notes, Definitive Rating Assigned
P-1 (sf)
$120,000,000, 1.41%, Class A-2-A Notes, Definitive Rating Assigned
Aaa (sf)
$222,000,000, LIBOR + 0.78%, Class A-2-B Notes, Definitive Rating
Assigned Aaa (sf)
$109,120,000, 1.62%, Class A-3 Notes, Definitive Rating Assigned
Aaa (sf)
$142,450,000, 2.47%, Class B Notes, Definitive Rating Assigned Aa1
(sf)
$153,040,000, 3.09%, Class C Notes, Definitive Rating Assigned Aa3
(sf)
$91,240,000, 4.02%, Class D Notes, Definitive Rating Assigned Baa2
(sf)
$58,860,000, 5.02%, Class E Notes, Definitive Rating Assigned Ba2
(sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying auto loans
and their expected performance, the strength of the structure, the
availability of excess spread over the life of the transaction, and
the experience and expertise of SC (NR) as servicer.
The definitive rating for the Class C notes, Aa3 (sf), is one notch
higher than its provisional rating, (P)A1 (sf). This difference is
a result of (1) the transaction closing with a lower weighted
average cost of funds (WAC) than Moody's modeled when the
provisional ratings were assigned and (2) the percent of the Class
A-2 notes that are floating rate, which are subject to a stressed
interest rate assumption, is lower than Moody's modeled when the
provisional ratings were assigned. The WAC assumptions and the
floating-rate percent of the Class A-2 notes, as well as other
structural features, were provided by the issuer.
Moody's median cumulative net loss expectation for the 2016-1 pool
is 17.0% and the Aaa level is 49.0%. The loss expectation was based
on an analysis of SC's portfolio vintage performance as well as
performance of past securitization pools, and current expectations
for future economic conditions.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the notes if levels of credit protection are
higher than necessary to protect investors against current
expectations of portfolio losses. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or appreciation in the value of the vehicles securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US job market and the market for used vehicles.
Other reasons for better-than-expected performance include changes
to servicing practices that enhance collections or refinancing
opportunities that result in prepayments.
Down
Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US job market and the market for used vehicles. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
Additionally, Moody's could downgrade the Class A-1 short-term
rating following a significant slowdown in principal collections
that could result from, among other things, high delinquencies or a
servicer disruption that impacts obligor's payments.
TABERNA PREFERRED IX: Fitch Cuts Class A-1LAD Debt Rating to Dsf
----------------------------------------------------------------
Fitch Ratings has downgraded three classes of Taberna Preferred
Funding IX, Ltd. (Taberna IX), as follows:
-- $52,014,718 Class A-1LAD Notes to 'Dsf' from 'Csf';
-- $116,330,701 Class A-1LB Notes to 'Dsf' from 'Csf';
-- $25,232,862 Class A-2LA Notes to 'Dsf' from 'Csf'.
KEY RATING DRIVERS
The rating downgrades reflect the default in payment of interest to
the Class A-1LAD, A-1LB, and A-2LA Notes.
Taberna IX entered an Event of Default on Nov. 10, 2015 due to a
default in the payment of interest on the non-deferrable class
A-1LB and A-2LA notes. The Event of Default triggered the
acceleration of the transaction on Nov. 30, 2015. Due to the
acceleration, the class A-1LB and class A-2LA notes will not
receive principal or interest payments until the more senior
classes are paid in full. Additionally, on the Feb. 5, 2016 payment
date, the Class A-1LAD notes failed to receive timely interest
distribution. Since the trustee is seeking direction and
clarification regarding the payment to the Class A-1LAD notes, and
until the situation is resolved, no distribution will be made to
the Class A-1LAD notes.
There are multiple outstanding Hedge Agreements in Taberna IX that
are out of the money and require a significant payment by the CDO
to the Swap Counterparty each quarter.
The class A-1LA, A-2LB, A-3LA, A-3LB, B-1L, and B-2L notes were not
included in this review. Fitch does not rate the preferred shares
in this transaction.
Taberna IX is a trust preferred collateralized debt obligation
(TruPS CDO), which closed on June 28, 2007. The portfolio is
composed primarily of trust preferred securities issued by REITs
and is managed by TP Management LLC, an affiliate of Fortress
Investment Group LLC.
RATING SENSITIVITIES
Significant paydowns and expiration of interest rate hedges,
combined with stable or improving credit migration, can lead to
limited upgrades for senior notes.
DUE DILIGENCE USAGE
No third party due diligence was reviewed in relation to this
rating action.
TIDEWATER AUTO 2016-A: S&P Gives Prelim BB Rating to Cl. E Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to Tidewater Auto Receivables Trust 2016-A's $156.382 million
automobile receivables-backed notes series 2016-A.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Feb. 11,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 51.7%, 44.2%, 33.2%,
24.9%, and 22.2% credit support, including excess spread
(based on stressed cash flow scenarios). These credit
support levels provide coverage of approximately 3.50x,
3.00x, 2.30x, 1.67x, and 1.50x our 13.75%-14.75% expected
cumulative net loss range. These credit support levels are
commensurate with the assigned preliminary 'AAA (sf)',
'AA (sf)', 'A (sf)', 'BBB- (sf)' and 'BB (sf)' ratings,
respectively.
-- The timely interest and principal payments made under the
stressed cash flow modeling scenarios, which are consistent
with the assigned preliminary ratings.
-- The credit enhancement in the form of subordination, a cash
collateral account, overcollateralization (O/C), excess
spread, and a capitalized interest account.
-- The transaction's ability to withstand 1.75x S&P's expected
net loss level in S&P's "what if" scenario analysis before
becoming vulnerable to a negative CreditWatch action or a
potential downgrade.
-- The securitized pool's moderate level of seasoning
(approximately nine months).
-- The transaction's payment and legal structures, which
include a noncurable performance trigger.
-- Tidewater Finance Co.'s (Tidewater's) 21-year history in the
subprime auto finance business.
-- Twelve years of static pool data on Tidewater's 341 and non-
341 loan programs. Under the 341 loan program, Tidewater
underwrites loans to consumers who have filed bankruptcy
after facing temporary life events resulting in credit
difficulty.
RATINGS LIST
Tidewater Auto Receivables Trust 2016-A
Preliminary amount
Class Preliminary rating (mil. $)(i)
A-1 A-1+ (sf) 26.300
A-2 AAA (sf) 61.110
B AA (sf) 18.178
C A (sf) 23.135
D BBB- (sf) 20.179
E BB (sf) 7.480
(i)The actual size odf these tranches will be determined on the
pricing date.
WACHOVIA BANK 2006-C28: Fitch 'CCCsf' Rating on Class A-J Debt
--------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 18 classes of
Wachovia Bank Commercial Mortgage Trust (WBCMT 2006-C28) commercial
mortgage pass-through certificates series 2006-C28.
KEY RATING DRIVERS
The upgrade reflects improved performance of the pool primarily
driven by leasing momentum at the Gas Company Tower contributing to
lower expected losses. The affirmations reflect sufficient credit
enhancement (CE) relative to Fitch expected losses. Fitch modeled
losses of 8.8% of the remaining pool; expected losses on the
original pool balance total 12.7%, including $260.9 million (7.6%
of the original pool balance) in realized losses to date. Fitch has
designated 30 loans (11.6%) as Fitch Loans of Concern, which
includes four specially serviced assets (4.1%).
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 42.1% to $2.09 billion from
$3.6 billion at issuance. Per the servicer reporting, 11 loans (7%
of the pool) are defeased. Interest shortfalls are currently
affecting class F.
The largest contributor to expected losses is The Gas Company Tower
loan (11%), which is secured by a 1.3 million square foot (sf)
class A office tower in downtown Los Angeles, CA. The building has
experienced positive leasing momentum with the signing of two large
leases. The new tenants include WeWork signing a lease for 92,000
sf in late 2015 and a 112,000 sf lease with Deloitte (8.5%) in
2014. Occupancy is expected to improve to 90% from occupancy of
73.5% as of December 2014. According to Reis' December 2015 report,
the CBD submarket of Los Angeles had an office vacancy rate of
13.0% with average asking rents of $35.97 psf as compared to 15.5%
and $34.54 psf in 2014. The loan is sponsored by Brookfield Office
Properties.
The next largest contributor to expected losses is the Westin Falls
Church asset (2.9%), which is a 405-room full-service hotel in
Falls Church, VA. The loan transferred to special servicing in June
2014 due to imminent default. Performance of the hotel has yet to
achieve projected performance metrics upon rebranding as a Westin
and continues to be challenged with weakening demand from federal
contractors and government employees. In addition to waning demand,
the development of Metrorail stations on the Silver Line has
sparked additional supply in the market. The hotel continues to
underperform its competitive set with December 2015 trailing
12-month occupancy, average daily rate (ADR) and revenue per
available room (RevPAR) of 63.0%, $149.11 and $93.88, respectively,
as compared to competitive set averages of 74.2%, $150.22, and
$111.40. A receiver was appointed in January 2015 and the servicer
is exploring resolution options.
The third largest contributor to expected losses is a 121,512 sf
mixed-use office and retail property (0.6%) located in St. Cloud,
MN. Performance of the property has declined with the most recently
reported occupancy of 68%. The servicer has filed a breach claim
against the contributor of the loan which has subsequently been
appealed. The servicer is awaiting a ruling on the appeal and
foreclosure proceedings are on hold pending result of the ruling.
Fitch anticipates a long resolution horizon due to litigation
surrounding the loan.
RATING SENSITIVITIES
Rating Outlooks remain Stable due to increasing credit enhancement
and continued paydown of the pool. The Outlook on class A-M was
revised to Stable from Negative to reflect the performance
improvement of the pool, in particular related to positive leasing
progress at the Gas Company Tower. Distressed classes (those rated
below 'B') may be subject to further downgrades as additional
losses are realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades the following class and revises the Rating Outlook
as indicated:
-- $359.5 million class A-M to 'Asf' from 'BBBsf'; Outlook to
Stable from Positive.
Fitch affirms the following classes and assigns REs as indicated:
-- $676.4 million class A-4 at 'AAAsf'; Outlook Stable;
-- $392.4 million class A-1A at 'AAAsf'; Outlook Stable;
-- $210.8 million class A-4FL at 'AAAsf'; Outlook Stable;
-- $278.6 million class A-J at 'CCCsf'; RE 95%.
-- $22.5 million class B at 'CCsf'; RE 0%;
-- $58.4 million class C at 'Csf'; RE 0%;
-- $31.5 million class D at 'Csf'; RE 0%;
-- $49.4 million class E at 'Csf'; RE 0%;
-- $5.8 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-PB and A-3 certificates have paid in full.
Fitch previously withdrew the rating on the interest-only class IO
certificates. Fitch does not rate the class Q and FS certificates.
WAMU ASSET 2005-C1: Fitch Affirms B Rating on Class L Certs
-----------------------------------------------------------
Fitch Ratings has upgraded two and affirmed three classes of
Washington Mutual Asset Securities Corporation (WAMU) commercial
mortgage pass-through certificates series 2005-C1.
KEY RATING DRIVERS
The upgrades are the result of increased credit enhancement due to
scheduled loan payoffs and amortization since Fitch's last rating
action. There are 21 loans remaining in the pool, none of which
are delinquent or specially serviced. Fitch modeled losses of 4.9%
of the remaining pool; expected losses on the original pool balance
total 0.2%, including $974,312 (0.2% of the original pool balance)
in realized losses to date. Fitch has designated two loans (5%) as
Fitch Loans of Concern.
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 98.9% to $7.2 million from
$649.5 million at issuance. Interest shortfalls are currently
affecting class N.
The largest loan in the pool (44%) is secured by a 91,474 square
foot (sf) single-tenant industrial property located in Hamilton,
NJ. The property remains 100% occupied by FedEx Corporation whose
lease expires in February 2023 with average rent at $9.63 sf. Per
REIS as of the fourth quarter 2015 (4Q15), the Central NJ metro
warehouse/distribution market vacancy is 9.7% with average asking
rent of $5.24 psf and the Mercer submarket vacancy rate is 2.6%
with average asking rent of $4.93 psf. The property continues to
exhibit stable performance with the most recently reported debt
service coverage ratio (DSCR) as of Dec. 31, 2014 at 1.27x. The
loan matures July 1, 2016.
The largest loan of concern (2.7%) is secured by a multifamily
property consisting of 10 units located in Los Angeles, CA. The
loan is currently on the master servicer's watchlist due to a 10%
decline in DSCR resulting from increased professional services
(attorney fees) and general and administrative expenses. The most
recently reported DSCR as of Dec. 31, 2014 is 1.09x, down from
1.21x the prior year. The master servicer has contacted the
borrower for an updated rent roll. Per REIS as of 4Q15, the Los
Angeles metro multifamily vacancy rate is 3.3% with average asking
rent $1,611 and the West LA/Westwood multifamily submarket vacancy
is 3% with an average asking rent of $2,486. The loan matures Aug.
1, 2018.
RATING SENSITIVITIES
Rating Outlooks on classes J and K remains Stable due to increasing
credit enhancement and continued paydown. Loan maturities are as
follows: 44.2% 2016, 9.4% 2017, 40.1% 2018, and 6.3% 2019.
Nineteen of the 21 loans remaining (49% of the pool) are fully
amortizing.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these ratings:
-- $839,768 class J to 'AAAsf' from 'Asf'; Outlook Stable;
-- $2.4 million class K to 'BBBsf' from 'Bsf'; Outlook Stable.
Fitch has affirmed these ratings but revised the REs as indicated:
-- $2.4 million class L at 'Bsf'; Outlook Stable;
-- $812,000 class M at 'CCCsf'; RE 100%;
-- $652,799 class N at 'Dsf'; RE 45%.
The class A-1, A-2, A-J, B, C, D, E, F, G and H certificates have
paid in full. Fitch previously withdrew the rating on the
interest-only class X certificates.
WELLS FARGO 2016-NXS5: Fitch Assigns BB- Rating on Cl. X-F Certs
----------------------------------------------------------------
Fitch Ratings has issued a presale report on the Wells Fargo
Commercial Mortgage Trust 2016-NXS5 commercial mortgage
pass-through certificates. Fitch expects to rate the transaction
and assign Rating Outlooks as:
-- $33,080,000 class A-1 'AAAsf'; Outlook Stable;
-- $121,907,000 class A-2 'AAAsf'; Outlook Stable;
-- $35,827,000 class A-3 'AAAsf'; Outlook Stable;
-- $65,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $85,000,000 class A-5 'AAAsf'; Outlook Stable;
-- $214,769,000 class A-6 'AAAsf'; Outlook Stable;
-- $57,007,000 class A-SB 'AAAsf'; Outlook Stable;
-- $50,320,000 class A-S 'AAAsf'; Outlook Stable;
-- $662,910,000b class X-A 'AAAsf'; Outlook Stable;
-- $52,508,000b class X-B 'AA-sf'; Outlook Stable;
-- $52,508,000 class B 'AA-sf'; Outlook Stable;
-- $39,381,000 class C 'A-sf'; Outlook Stable;
-- $26,254,000 class D 'BBBsf'; Outlook Stable;
-- $47,038,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $22,185,000ab class X-F 'BB-sf'; Outlook Stable;
-- $9,539,000ab class X-G 'B-sf'; Outlook Stable;
-- $20,784,000a class E 'BBB-sf'; Outlook Stable;
-- $22,185,000a class F 'BB-sf'; Outlook Stable;
-- $9,539,000a class G 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The expected ratings are based on information provided by the
issuer as of Feb. 8, 2016. Fitch does not expect to rate the
$41,568,836a class H certificates and the $41,568,836ab class X-H
certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 64 loans secured by 116
commercial properties having an aggregate principal balance of
approximately $875.1 million as of the cut-off date. The loans
were contributed to the trust by Wells Fargo Bank, National
Association, Natixis Real Estate Capital LLC and Silverpeak Real
Estate Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 66.9% of the properties by
balance, cash flow analysis of 75.6%, and asset summary reviews on
75.6% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The transaction has higher leverage than other
recent Fitch-rated transactions. The pool's Fitch debt service
coverage ratio (DSCR) of 1.12x is below both the 2015 and 2014
averages of 1.18x and 1.19x, respectively. The pool's Fitch
loan-to-value (LTV) of 110.6% is above both the 2015 average of
109.3% and the 2014 average of 106.2%.
Pool Concentration Better than Recent Deals: The top 10 loans
comprise 48.1% of the pool, which is below the respective YTD 2016
and 2015 averages of 55.7% and 49.3%. Additionally, the loan
concentration index (LCI) is 349, below the YTD 2016 and 2015
averages of 429 and 367.
Single-Tenant Properties: The pool includes nine loans (19.4% of
pool) secured by properties that are exclusively occupied by a
single-tenant. However, including all 33 properties with
single-tenant concentration greater than 75%, the exposure
represents 33.4% of the pool. This is significantly higher than
the respective 2015 and 2014 averages of 12.8% and 9.3%. Loans in
the top 10 secured by properties with single-tenant concentration
include One Court Square (8.6% of pool), Walgreens-CVS Portfolio
(5.2%), Torrance Crossroads (5.1%), and Keurig Green Mountain
(3.2%).
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 16.7% below
the most recent year's net operating income (NOI; for properties
for which full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to WFCM
2016-NXS5 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence information
was provided on Form ABS Due Diligence-15E and focused on a
comparison and re-computation of certain characteristics with
respect to each of the 64 mortgage loans. Fitch considered this
information in its analysis and the findings did not have an impact
on the analysis.
WESTWOOD CDO II: S&P Raises Rating on Class E Notes to B+
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C D, and E notes from Westwood CDO II Ltd., and removed them
from CreditWatch with positive implications. At the same time, S&P
affirmed its ratings on the class A-1 and A-2 notes from the same
transaction. Westwood CDO II Ltd. is a U.S. collateralized debt
obligation (CDO) transaction that closed in April 2007 and is
managed by Alcentra Ltd.
The rating actions follow S&P's review of the transaction's
performance using data from the Jan. 8, 2016, trustee report.
Since S&P's March 2015 rating actions, the class A-1 notes have
paid down $66.96 million to 44.01% of their original balance. These
paydowns have led to overcollateralization (O/C) ratio improvements
from the Jan. 9, 2015, trustee report, which S&P used in March 2015
review. The January 2016 trustee report indicated these O/C
increases;
-- The class A/B O/C ratio increased to 142.1% from 129.0% in
January 2015.
-- The class C O/C ratio increased to 125.8% from 118.6%.
-- The class D O/C ratio increased to 114.0% from 110.6%.
-- The class E O/C ratio increased to 106.3% from 105.1%.
The transaction has also benefited from a seasoning of the
collateral outside of the reinvestment period, as the reported
weighted average maturity has decreased to 3.41 years from 4.11
years. In addition, defaults and 'CCC' obligations remain low at
3.76% and 0.86% of the aggregate principal balance, respectively.
The rating on the class E notes was upgraded one notch lower than
the cash flow implied rating of 'BB- (sf)' based on thin cushion at
the higher rating level.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
Westwood CDO II Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A-1 AAA (sf) AAA (sf) 36.53 AAA (sf)
A-2 AAA (sf) AAA (sf) 17.85 AAA (sf)
B AA+ (sf)/Watch Pos AAA (sf) 11.90 AAA (sf)
C AA- (sf)/Watch Pos AA+ (sf) 7.06 AA+ (sf)
D BBB- (sf)/Watch Pos A- (sf) 1.87 A- (sf)
E B- (sf)/Watch Pos BB- (sf) 0.16 B+ (sf)
(i)The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral. (ii)The cash
flow cushion is the excess of the tranche break-even default rate
(BDR) above the scenario default rate (SDR) at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between
industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
D A- (sf) BBB+ (sf) BBB+ (sf) A+ (sf) A- (sf)
E BB- (sf) B- (sf) B+ (sf) BB- (sf) B+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf)
D A- (sf) A- (sf) BB+ (sf) A- (sf)
E BB- (sf) BB- (sf) CC (sf) B+ (sf)
RATINGS RAISED AND REMOVED FROM WATCH POSITIVE
Westwood CDO II Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) AA- (sf)/Watch Pos
D A- (sf) BBB- (sf)/Watch Pos
E B+ (sf) B- (sf)/Watch Pos
RATINGS AFFIRMED
Westwood CDO II Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
[*] DBRS Takes Rating Actions on US RMBS Transactions
-----------------------------------------------------
DBRS, Inc. has conducted a review of eight publicly rated U.S.
structured finance asset-backed securities transactions that are
currently outstanding. Of the 49 securities reviewed, DBRS, on Jan.
22, 2016, confirmed 29, upgraded 12 and discontinued eight
securities due to repayment in full.
For the ratings that were confirmed, performance trends are such
that credit enhancement levels are sufficient to cover DBRS's
expected losses at their current respective rating levels. For the
upgraded securities, performance trends are such that credit
enhancement levels are sufficient to cover DBRS's expected losses
at their new respective rating levels.
The following public transactions were reviewed:
-- LEAF Receivables Funding 8, LLC - Equipment Contract Backed
Notes, Series 2012-1
-- AmeriCredit Automobile Receivables Trust 2013-1
-- LEAF Receivables Funding 9, LLC - Equipment Contract Backed
Notes, Series 2013-1
-- Direct Capital Funding V, LLC, Series 2013-2
-- AmeriCredit Automobile Receivables Trust 2013-5
-- AmeriCredit Automobile Receivables Trust 2014-1
-- Navient Private Education Loan Trust 2015-A
-- AmeriCredit Automobile Receivables Trust 2015-1
RATINGS
Issuer Debt Rated Rating Action Rating
------ ---------- ------------- ------
LEAF Receivables Series 2012-1 Confirmed AAA (sf)
Funding 8, LLC - Class B
Equipment
Contract Backed Notes,
Series 2012-1
LEAF Receivables Series 2012-1 Upgraded AAA (sf)
Funding 8, LLC - Class C
Equipment Contract
Backed Notes,
Series 2012-1
LEAF Receivables Series 2012-1 Upgraded AA (sf)
Funding 8, LLC - Class D
Equipment Contract
Backed Notes,
Series 2012-1
LEAF Receivables Series 2012-1 Upgraded A (high)(sf)
Funding 8, LLC - Class E-1
Equipment Contract
Backed Notes,
Series 2012-1
LEAF Receivables Series 2012-1 Confirmed BBB(low)(sf)
Funding 8, LLC - Class E-2
Equipment Contract
Backed Notes,
Series 2012-1
LEAF Receivables Series 2012-1 Disc.-Repaid Discontinued
Funding 8, LLC - Class A-3
Equipment Contract
Backed Notes,
Series 2012-1
LEAF Receivables Series 2012-1 Disc.-Repaid Discontinued
Funding 8, LLC - Class A-4
Equipment Contract
Backed Notes,
Series 2012-1
AmeriCredit Series 2013-1 Confirmed AAA (sf)
Automobile Class B
Receivables
Trust 2013-1
AmeriCredit Series 2013-1 Upgraded AAA (sf)
Automobile Class C
Receivables
Trust 2013-1
AmeriCredit Series 2013-1 Upgraded AA (low) (sf)
Automobile Class D
Receivables
Trust 2013-1
AmeriCredit Series 2013-1 Confirmed BBB (sf)
Automobile Class E
Receivables
Trust 2013-1
AmeriCredit Series 2013-1 Disc.-Repaid Discontinued
Automobile
Receivables
Trust 2013-1
LEAF Receivables Class A-3 Confirmed AAA (sf)
Funding 9, LLC
- Equipment Contract
Backed Notes,
Series 2013-1
LEAF Receivables Class A-4 Confirmed AAA (sf)
Funding 9, LLC -
Equipment Contract
Backed Notes,
Series 2013-1
LEAF Receivables Class B Confirmed AA (sf)
Funding 9, LLC -
Equipment Contract
Backed Notes,
Series 2013-1
LEAF Receivables Class C Confirmed A (sf)
Funding 9, LLC -
Equipment Contract
Backed Notes,
Series 2013-1
LEAF Receivables Class D Confirmed BBB (high)(sf)
Funding 9, LLC -
Equipment Contract
Backed Notes,
Series 2013-1
LEAF Receivables Class E-1 Confirmed BBB (low) (sf)
Funding 9, LLC ???
Equipment Contract
Backed Notes,
Series 2013-1
LEAF Receivables Class E-2 Confirmed BB (low) (sf)
Funding 9, LLC -
Equipment Contract
Backed Notes,
Series 2013-1
LEAF Receivables Class A-2 Disc.-Repaid Discontinued
Funding 9, LLC ???
Equipment Contract
Backed Notes,
Series 2013-1
Direct Capital Equipment Contract Confirmed AAA (sf)
Funding V, LLC, Backed Notes,
Series 2013-2, Series 2013-2
Class A-2
Direct Capital Equipment Contract Upgraded AA (high) (sf)
Funding V, Backed Notes,
LLC, Series 2013-2,
Series 2013-2 Class B
Direct Capital Equipment Contract Confirmed BBB (sf)
Funding V, LLC, Backed Notes,
Series 2013-2 Series 2013-2,
Class C
AmeriCredit Series 2013-5, Confirmed AAA (sf)
Automobile Class A-3
Receivables
Trust 2013-5
AmeriCredit Series 2013-5, Upgraded AAA (sf)
Automobile Class B
Receivables
Trust 2013-5
AmeriCredit Series 2013-5, Upgraded AA (sf)
Automobile Class C
Receivables
Trust 2013-5
AmeriCredit Series 2013-5, Upgraded A (sf)
Automobile Class D
Receivables
Trust 2013-5
AmeriCredit Series 2013-5, Confirmed B(high)(sf)
Automobile Class E
Receivables
Trust 2013-5
AmeriCredit Series 2013-5, Disc.-Repaid Discontinued
Automobile Class A-2A
Receivables
Trust 2013-5
AmeriCredit Series 2013-5, Disc.-Repaid Discontinued
Automobile Class A-2B
Receivables
Trust 2013-5
AmeriCredit Series 2014-1, Confirmed AAA (sf)
Automobile Class A-3
Receivables
Trust 2014-1
AmeriCredit Series 2014-1, Upgraded AAA (sf)
Automobile Class B
Receivables
Trust 2014-1
Automobile Series 2014-1, Upgraded AA (sf)
Receivables Class C
Trust 2014-1
AmeriCredit Series 2014-1, Upgraded A (sf)
Automobile Class D
Receivables
Trust 2014-1
AmeriCredit Series 2014-1, Confirmed BB (high)(sf)
Automobile Class E
Receivables
Trust 2014-1
AmeriCredit Series 2014-1, Disc.-Repaid Discontinued
Automobile Class A-2
Receivables
Trust 2014-1
Navient Private Class A-1 Confirmed AAA (sf)
Education Loan
Trust 2015-A
Navient Private Class A-2A Confirmed AAA (sf)
Education Loan
Trust 2015-A
Navient Private Class A-2B Confirmed AAA (sf)
Education Loan
Trust 2015-A
Navient Private Class A-3 Confirmed AAA (sf)
Education Loan
Trust 2015-A
Navient Private Class B Confirmed AA (low)(sf)
Education Loan
Trust 2015-A
AmeriCredit Series 2015-1, Disc.-Repaid Discontinued
Automobile Class A-1
Receivables
Trust 2015-1
AmeriCredit Series 2015-1, Confirmed AAA (sf)
Automobile Class A-2A
Receivables
Trust 2015-1
AmeriCredit Series 2015-1, Confirmed AAA (sf)
Automobile Class A-2B
Receivables
Trust 2015-1
AmeriCredit Series 2015-1, Confirmed AAA (sf)
Automobile Class A-3
Receivables
Trust 2015-1
AmeriCredit Series 2015-1, Confirmed AA(high)(sf)
Automobile Class B
Receivables
Trust 2015-1
AmeriCredit Series 2015-1, Confirmed A(high)(sf)
Automobile Class C
Receivables
Trust 2015-1
AmeriCredit Series 2015-1, Confirmed BBB (high)(sf)
Automobile Class D
Receivables
Trust 2015-1
AmeriCredit Series 2015-1, Confirmed BB (high)(sf)
Automobile Class E
Receivables
Trust 2015-1
[*] Moody's Hikes Ratings on $337MM Subprime RMBS Issued 2002-2006
------------------------------------------------------------------
Moody's Investors Service, on Feb. 16, 2016, upgraded the ratings
of 21 tranches, from 7 transactions issued by various issuers,
backed by Subprime mortgage loans.
Complete rating actions are:
Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series
2002-WF2
Cl. M-2, Upgraded to B3 (sf); previously on Feb. 26, 2015,
Upgraded to Caa3 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2003-7
Cl. M-2, Upgraded to Ba3 (sf); previously on April 24, 2014,
Upgraded to B2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on April 24, 2014,
Upgraded to Caa3 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R2
Cl. A-1A, Upgraded to A1 (sf); previously on May 1, 2014,
Upgraded to Baa1 (sf)
Cl. A-1B, Upgraded to A2 (sf); previously on May 1, 2014,
Upgraded to Baa2 (sf)
Cl. A-4, Upgraded to A3 (sf); previously on March 29, 2011,
Downgraded to Baa3 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on March 29, 2011,
Downgraded to Caa2 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on March 29, 2011,
Downgraded to Caa3 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on March 29, 2011,
Downgraded to Ca (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on March 29, 2011,
Downgraded to Ca (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE6
Cl. M5, Upgraded to B1 (sf); previously on May 1, 2014, Upgraded
to B3 (sf)
Cl. M6, Upgraded to Caa3 (sf); previously on Feb. 26, 2013,
Affirmed C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE4
Cl. A1, Upgraded to Aa2 (sf); previously on July 11, 2013,
Upgraded to A3 (sf)
Cl. A1A, Upgraded to Aa3 (sf); previously on May 1, 2014,
Upgraded to Baa2 (sf)
Cl. A2, Upgraded to A1 (sf); previously on May 1, 2014, Upgraded
to Baa2 (sf)
Cl. A5, Upgraded to Baa1 (sf); previously on May 1, 2014,
Upgraded to Ba1 (sf)
Cl. A6, Upgraded to Baa3 (sf); previously on May 1, 2014,
Upgraded to Ba3 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
Series MO 2006-HE6
Cl. A1, Upgraded to Ba2 (sf); previously on Sept. 14, 2012,
Downgraded to B2 (sf)
Cl. A4, Upgraded to B2 (sf); previously on Sept. 14, 2012,
Confirmed at Caa2 (sf)
Cl. A5, Upgraded to B3 (sf); previously on Sept. 14, 2012,
Confirmed at Caa3 (sf)
Issuer: CDC Mortgage Capital Trust 2003-HE1
Cl. B-1, Upgraded to B2 (sf); previously on Feb. 23, 2015,
Upgraded to Ca (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2016. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures.
[*] Moody's Raises Ratings on $197MM Subprime RMBS Issued 2001-2004
-------------------------------------------------------------------
Moody's Investors Service, on Feb. 12, 2016, upgraded the ratings
of 18 tranches from nine transactions, backed by Subprime loans,
issued by various issuers.
Complete rating actions are:
Issuer: Chase Funding Trust, Series 2003-1
Cl. IIM-1, Upgraded to Ba1 (sf); previously on April 23, 2012,
Downgraded to Ba3 (sf)
Issuer: Chase Funding Trust, Series 2003-6
Cl. IIM-1, Upgraded to B2 (sf); previously on April 23, 2012,
Downgraded to B3 (sf)
Issuer: CPT Asset-Backed Certificates Trust 2004-EC1
Cl. M-2, Upgraded to Ba3 (sf); previously on May 1, 2014,
Upgraded to B1 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on May 1, 2014,
Upgraded to Caa3 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on March 14, 2011,
Downgraded to C (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-2
Cl. M-1, Upgraded to B1 (sf); previously on April 16, 2012,
Downgraded to Caa1 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-7
Cl. MV-4, Upgraded to B1 (sf); previously on Feb. 23, 2015,
Upgraded to B2 (sf)
Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC3
Cl. M-2, Upgraded to Baa3 (sf); previously on Feb. 23, 2015,
Upgraded to Ba1 (sf)
Issuer: GSAMP Trust 2002-HE2 (wholesale;25% fixed/75% ARMs)
Cl. A-1, Upgraded to Baa3 (sf); previously on Feb. 20, 2015,
Upgraded to Ba2 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Feb. 20,
2015, Upgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-2, Upgraded to Baa2 (sf); previously on Feb. 20, 2015,
Upgraded to Ba2 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on Feb 20,
2015 Upgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. B-1, Upgraded to Ba3 (sf); previously on Feb. 20, 2015,
Upgraded to B3 (sf)
Cl. B-2, Upgraded to B1 (sf); previously on Feb. 20, 2015,
Upgraded to Caa1 (sf)
Issuer: Long Beach Mortgage Loan Trust 2004-3
Cl. M-3, Upgraded to Ba1 (sf); previously on Feb. 20, 2015,
Upgraded to Ba3 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on Feb. 20, 2015,
Upgraded to B2 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on Feb. 20, 2015,
Upgraded to B3 (sf)
Cl. M-6, Upgraded to B3 (sf); previously on Feb. 20, 2015,
Upgraded to Caa3 (sf)
Cl. M-7, Upgraded to Caa2 (sf); previously on March 8, 2011,
Downgraded to Ca (sf)
Issuer: CSFB ABS Trust Series 2001-HE16
Cl. M-1 Certificate, Upgraded to Caa1 (sf); previously on
April 9, 2012, Downgraded to Caa3 (sf)
RATINGS RATIONALE
The ratings upgraded are a result of the improving performance of
the related pools and an increase in credit enhancement available
to the bonds. The rating actions reflect the recent performance of
the underlying pools and Moody's updated loss expectation on the
pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Raises Ratings on $473MM Subprime RMBS Issued 2005-2007
-------------------------------------------------------------------
Moody's Investors Service, on Feb. 16, 2015, upgraded the ratings
of 21 tranches from nine deals issued by various issuers, backed by
Subprime mortgage loans.
Complete rating actions are:
Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH2,
Asset-Backed Pass-Through Certificates, Series 2007-CH2
Cl. AV-1, Upgraded to A1 (sf); previously on Feb. 23, 2015,
Upgraded to Baa2 (sf)
Cl. AV-3, Upgraded to Baa1 (sf); previously on Feb. 23, 2015,
Upgraded to Ba2 (sf)
Cl. AV-4, Upgraded to Baa3 (sf); previously on Feb. 23, 2015,
Upgraded to B2 (sf)
Cl. AV-5, Upgraded to Ba1 (sf); previously on Feb. 23, 2015,
Upgraded to B3 (sf)
Cl. MV-1, Upgraded to B3 (sf); previously on May 1, 2014,
Upgraded to Ca (sf)
Issuer: Option One Mortgage Loan Trust 2005-3
Cl. M-3, Upgraded to B3 (sf); previously on May 23, 2014,
Upgraded to Caa3 (sf)
Issuer: Option One Mortgage Loan Trust 2005-4
Cl. M-2, Upgraded to B3 (sf); previously on May 23, 2014,
Upgraded to Caa2 (sf)
Issuer: OwnIt Mortgage Loan Trust 2005-2
Cl. M-4, Upgraded to Aa3 (sf); previously on March 6, 2015,
Upgraded to Baa1 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on March 6, 2015,
Upgraded to Ba3 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-5
Cl. A-1A, Upgraded to Ba1 (sf); previously on Feb. 19, 2015,
Upgraded to Ba3 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-A
Cl. M-2, Upgraded to Ba3 (sf); previously on May 30, 2014,
Upgraded to B3 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on May 30, 2014,
Upgraded to Ca (sf)
Issuer: Saxon Asset Securities Trust 2005-2
Cl. M-2, Upgraded to B1 (sf); previously on March 6, 2013,
Affirmed Caa2 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on March 6, 2013,
Affirmed Ca (sf)
Issuer: Structured Asset Investment Loan Trust 2005-HE2
Cl. M1, Upgraded to A1 (sf); previously on Feb. 23, 2015,
Upgraded to Baa1 (sf)
Cl. M2, Upgraded to Caa2 (sf); previously on April 12, 2010,
Downgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2005-NC2
Cl. M2, Upgraded to Aa2 (sf); previously on July 22, 2013,
Upgraded to A1 (sf)
Cl. M3, Upgraded to Aa3 (sf); previously on May 1, 2014,
Upgraded to Baa1 (sf)
Cl. M4, Upgraded to A3 (sf); previously on Feb. 23, 2015,
Upgraded to Ba1 (sf)
Cl. M5, Upgraded to B1 (sf); previously on Feb. 23, 2015,
Upgraded to Caa1 (sf)
Cl. M6, Upgraded to Ca (sf); previously on April 12, 2010,
Downgraded to C (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2016. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures.
Any change resulting from servicing transfers or other policy or
regulatory change can impact the performance of these
transactions.
[*] Moody's Raises Ratings on $480MM Subprime RMBS Issued 2005-2006
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 16 tranches
from six transactions backed by Subprime mortgage loans.
Complete rating actions are:
Issuer: Fieldstone Mortgage Investment Trust, 2005-3
Cl. 2-A2, Upgraded to Baa3 (sf); previously on Feb. 10, 2015,
Upgraded to Ba1 (sf)
Cl. 2-A3, Upgraded to Ba2 (sf); previously on Feb. 10, 2015,
Upgraded to Ba3 (sf)
Issuer: Fremont Home Loan Trust 2005-1
Cl. M-6, Upgraded to Ca (sf); previously on March 6, 2013,
Affirmed C (sf)
Issuer: Fremont Home Loan Trust 2005-B
Cl. M3, Upgraded to Aa2 (sf); previously on Feb. 10, 2015,
Upgraded to A1 (sf)
Cl. M4, Upgraded to A1 (sf); previously on Feb. 10, 2015,
Upgraded to Baa2 (sf)
Cl. M5, Upgraded to B2 (sf); previously on May 30, 2014,
Upgraded to B3 (sf)
Issuer: Fremont Home Loan Trust 2005-E
Cl. 1-A-1, Upgraded to A2 (sf); previously on Feb. 10, 2015,
Upgraded to Baa2 (sf)
Cl. 2-A-3, Upgraded to Ba1 (sf); previously on May 16, 2014,
Upgraded to B1 (sf)
Cl. 2-A-4, Upgraded to Ba3 (sf); previously on Feb. 10, 2015,
Upgraded to B3 (sf)
Issuer: Fremont Home Loan Trust 2006-2
Cl. I-A-1, Upgraded to Baa1 (sf); previously on Feb. 10, 2015,
Upgraded to Ba1 (sf)
Cl. II-A-3, Upgraded to B1 (sf); previously on Feb. 10, 2015,
Upgraded to Caa1 (sf)
Cl. II-A-4, Upgraded to B2 (sf); previously on Feb. 10, 2015,
Upgraded to Caa3 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-FRE1
Cl. AI, Upgraded to A1 (sf); previously on Feb. 10, 2015,
Upgraded to Baa2 (sf)
Cl. AII-V-2, Upgraded to A2 (sf); previously on Feb. 10, 2015,
Upgraded to Baa2 (sf)
Cl. AII-V-3, Upgraded to Baa1 (sf); previously on Feb. 10, 2015,
Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Feb. 10, 2015,
Upgraded to Caa2 (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2016. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures.
[*] Moody's Raises Ratings on $774MM Subprime RMBS Issued 2004-2007
-------------------------------------------------------------------
Moody's Investors Service, on Feb. 9, 2016, upgraded the ratings of
16 tranches from 11 transactions, backed by Subprime loans, issued
by multiple issuers.
Complete rating actions are:
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-ASAP3
Cl. A-1, Upgraded to Caa1 (sf); previously on April 14, 2010,
Downgraded to Caa2 (sf)
Cl. A-2C, Upgraded to B3 (sf); previously on April 14, 2010,
Downgraded to Caa3 (sf)
Cl. A-2D, Upgraded to Caa2 (sf); previously on April 14, 2010,
Downgraded to Ca (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-HE2
Cl. A-1, Upgraded to Caa1 (sf); previously on April 14, 2010,
Downgraded to Caa2 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE9
Cl. M1, Upgraded to B2 (sf); previously on March 11, 2011,
Downgraded to B3 (sf)
Issuer: Fremont Home Loan Trust 2006-C
Cl. 1-A1, Upgraded to Caa2 (sf); previously on April 29, 2010,
Downgraded to Ca (sf)
Issuer: OwnIt Mortgage Loan Trust 2005-1
Cl. M-2, Upgraded to B1 (sf); previously on Sept 8, 2014,
Upgraded to B2 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-2
Cl. A-1, Upgraded to B1 (sf); previously on June 10, 2014,
Upgraded to B3 (sf)
Issuer: RAMP Series 2006-NC2 Trust
Cl. A-2, Upgraded to Baa1 (sf); previously on Sept. 10, 2014,
Upgraded to Ba2 (sf)
Cl. A-3, Upgraded to Ba1 (sf); previously on Sept. 10, 2014,
Upgraded to B2 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on April 6, 2010,
Downgraded to C (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR1
Cl. A-1, Upgraded to Caa1 (sf); previously on July 8, 2010,
Downgraded to Caa3 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC1
Cl. A-1, Upgraded to Caa2 (sf); previously on July 8, 2010,
Downgraded to Caa3 (sf)
Issuer: Structured Asset Investment Loan Trust 2006-4
Cl. A4, Upgraded to Caa2 (sf); previously on April 12, 2010,
Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-WF2
Cl. M2, Upgraded to B3 (sf); previously on Aug. 20, 2012,
Downgraded to Caa2 (sf)
Cl. M3, Upgraded to Caa2 (sf); previously on April 12, 2010,
Downgraded to Ca (sf)
RATINGS RATIONALE
The ratings upgraded are a result of the improving performance of
the related pools and/or an increase in credit enhancement
available to the bonds. The rating actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectation on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $231.2MM of RMBS Issued 2005-2006
-------------------------------------------------------------
Moody's Investors Service, on Feb. 11, 2016, upgraded the ratings
of 14 tranches from five transactions backed by Alt-A and Option
ARM RMBS loans, and issued by multiple issuers.
Complete rating actions are as follows:
Issuer: IndyMac INDX Mortgage Loan Trust 2006-FLX1
Cl. A-1, Upgraded to Ba3 (sf); previously on Mar 31, 2015 Upgraded
to B1 (sf)
Cl. A-2, Upgraded to Ca (sf); previously on Jul 18, 2011 Downgraded
to C (sf)
Issuer: Lehman XS Trust Series 2005-1
Cl. 1-A3, Upgraded to A1 (sf); previously on Jul 24, 2013 Upgraded
to A2 (sf)
Cl. 1-A4, Upgraded to A2 (sf); previously on Jul 24, 2013 Upgraded
to A3 (sf)
Cl. 2-A1, Upgraded to A2 (sf); previously on Mar 27, 2015 Upgraded
to A3 (sf)
Cl. 2-A2, Upgraded to A3 (sf); previously on Mar 27, 2015 Upgraded
to Baa1 (sf)
Issuer: Lehman XS Trust Series 2005-3
Cl. 1-A3, Upgraded to A1 (sf); previously on Mar 27, 2015 Upgraded
to A2 (sf)
Cl. 1-A4, Upgraded to A3 (sf); previously on Mar 27, 2015 Upgraded
to Baa1 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2005-AR1
Cl. I-A-1, Upgraded to Aa3 (sf); previously on Aug 16, 2012
Upgraded to A1 (sf)
Cl. I-A-2, Upgraded to A1 (sf); previously on Jul 31, 2013 Upgraded
to A2 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Jun 17, 2014 Upgraded
to Caa2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR2
Cl. 1-A-1A, Upgraded to B3 (sf); previously on Jul 26, 2013
Upgraded to Caa1 (sf)
Cl. 1-A-1B, Upgraded to Caa3 (sf); previously on Dec 3, 2010
Downgraded to Ca (sf)
Cl. X, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflects Moody's updated loss expectation on
these pools. The ratings upgraded are due to the stronger
performance of the underlying collateral and the credit enhancement
available to the bonds.
[*] Moody's Takes Action on $250.5MM Alt-A RMBS Issued 2003-2006
----------------------------------------------------------------
Moody's Investors Service, on Jan. 29, 2016, downgraded the ratings
of 17 tranches from five transactions and upgraded the ratings of
18 tranches from seven transactions backed by Alt-A RMBS loans, and
issued by multiple issuers.
Complete rating actions are:
Issuer: American Home Mortgage Investment Trust 2004-2
Cl. II-A, Upgraded to Baa2 (sf); previously on Feb. 26, 2015,
Upgraded to Baa3 (sf)
Cl. III-A, Upgraded to Baa2 (sf); previously on Feb. 26, 2015,
Upgraded to Baa3 (sf)
Cl. IV-A-6, Upgraded to A2 (sf); previously on Aug. 5, 2013,
Upgraded to A3 (sf)
Cl. V-A, Upgraded to A3 (sf); previously on Feb. 26, 2015,
Upgraded to Baa1 (sf)
Issuer: CitiMortgage Alternative Loan Trust 2006-A1
Cl. IIA-1, Upgraded to A3 (sf); previously on Aug. 27, 2012,
Downgraded to Baa2 (sf)
Issuer: CitiMortgage Alternative Loan Trust 2006-A3
Cl. IIA-1, Upgraded to B1 (sf); previously on July 28, 2014,
Downgraded to Caa1 (sf)
Cl. IIA-IO, Upgraded to B1 (sf); previously on July 28, 2014,
Downgraded to Caa1 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-9
Cl. 1-A-4, Upgraded to Caa3 (sf); previously on May 4, 2010,
Downgraded to Ca (sf)
Cl. 5-A-1, Upgraded to Ba3 (sf); previously on Aug. 12, 2014,
Upgraded to B1 (sf)
Cl. 5-A-2-2, Upgraded to Ba3 (sf); previously on Aug. 12, 2014,
Upgraded to B1 (sf)
Cl. 5-A-3, Upgraded to B3 (sf); previously on Aug. 12, 2014,
Upgraded to Caa2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-AR3
Cl. C-B-1, Upgraded to B3 (sf); previously on July 16, 2012,
Downgraded to Caa2 (sf)
Cl. III-A-1, Upgraded to Ba1 (sf); previously on July 16, 2012,
Downgraded to Ba2 (sf)
Cl. III-A-2, Upgraded to Ba1 (sf); previously on July 16, 2012,
Downgraded to Ba2 (sf)
Cl. III-X, Upgraded to Ba1 (sf); previously on July 16, 2012,
Downgraded to Ba2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-5
Cl. D-P, Downgraded to Caa1 (sf); previously on April 10, 2013,
Affirmed B3 (sf)
Cl. II-A-3, Downgraded to Caa2 (sf); previously on April 10,
2013, Affirmed Caa1 (sf)
Cl. II-A-4, Downgraded to Caa2 (sf); previously on April 10,
2013, Affirmed Caa1 (sf)
Cl. II-A-5, Downgraded to Caa2 (sf); previously on April 10,
2013, Affirmed Caa1 (sf)
Cl. II-A-6, Downgraded to Caa2 (sf); previously on April 10,
2013 Affirmed Caa1 (sf)
Cl. II-A-10, Downgraded to Caa2 (sf); previously on April 10,
2013 Affirmed Caa1 (sf)
Cl. II-A-14, Downgraded to Caa2 (sf); previously on April 10,
2013 Affirmed Caa1 (sf)
Cl. II-A-16, Downgraded to Caa2 (sf); previously on April 10,
2013 Affirmed Caa1 (sf)
Cl. IV-A-1, Downgraded to Caa1 (sf); previously on July 13,
2010, Downgraded to B1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-6
Cl. VI-A-1, Downgraded to Caa3 (sf); previously on July 13,
2010, Downgraded to Caa2 (sf)
Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series
2005-AR2
Cl. VI-A-1, Downgraded to Caa1 (sf); previously on Aug. 22,
2012, Upgraded to B3 (sf)
Cl. VI-A-2, Downgraded to Ca (sf); previously on Aug. 22, 2012,
Upgraded to Caa1 (sf)
Issuer: Impac CMB Trust Series 2003-11
Cl. 1-M-2, Upgraded to Ba1 (sf); previously on Aug. 12, 2013,
Confirmed at Ba3 (sf)
Cl. 1-M-3, Upgraded to Ba2 (sf); previously on Aug. 12, 2013,
Confirmed at B2 (sf)
Issuer: Lehman Mortgage Trust 2006-6
Cl. 5-A1, Downgraded to Ca (sf); previously on Aug. 20, 2012,
Downgraded to Caa2 (sf)
Cl. 5-A2, Downgraded to Ca (sf); previously on Aug. 20, 2012,
Downgraded to Caa2 (sf)
Cl. 5-A3, Downgraded to Ca (sf); previously on Aug. 20, 2012,
Downgraded to Caa2 (sf)
Cl. 5-A4, Downgraded to Ca (sf); previously on Aug. 20, 2012,
Downgraded to Caa2 (sf)
Issuer: MortgageIT Trust 2004-2
Cl. A-2, Downgraded to Baa3 (sf); previously on June 15, 2012,
Downgraded to Baa2 (sf)
Issuer: Sequoia Mortgage Trust 2003-2
Cl. A-2, Upgraded to Baa3 (sf); previously on Aug. 29, 2013,
Downgraded to Ba1 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflects Moody's updated loss expectation on
these pools. The ratings upgraded are due to the stronger
performance of the underlying collateral and the credit enhancement
available to the bonds. The ratings downgraded are due to the
weaker performance of the underlying collateral and the depletion
of credit enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in December 2015 from 5.6% in
December 2014. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $27.6MM of RMBS Issued 2003-2005
------------------------------------------------------------
Action: Moody's takes action on $27.6 million of Scratch and Dent
RMBS issued between 2003 and 2005
Moody's Investors Service has taken actions on the ratings of eight
tranches from three deals backed by "scratch and dent" RMBS loans.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities Trust 2003-SD2
Cl. I-A, Downgraded to Ba3 (sf); previously on May 24, 2013
Downgraded to Ba1 (sf)
Cl. II-A, Downgraded to Ba1 (sf); previously on May 24, 2013
Downgraded to Baa1 (sf)
Cl. III-A, Downgraded to B1 (sf); previously on May 24, 2013
Downgraded to Ba2 (sf)
Cl. B-1, Downgraded to Caa2 (sf); previously on May 24, 2013
Downgraded to B3 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2005-SD1
Cl. I-A-3, Upgraded to Aa2 (sf); previously on May 20, 2011
Downgraded to A1 (sf)
Cl. II-M-1, Downgraded to B1 (sf); previously on May 20, 2011
Downgraded to Baa1 (sf)
Cl. II-M-2, Downgraded to Caa2 (sf); previously on Mar 26, 2015
Downgraded to B3 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-SD1
Cl. M-1, Downgraded to B3 (sf); previously on Mar 3, 2015
Downgraded to B1 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are a result of improving
performance of the related pools and/or an increase in credit
enhancement available to the bonds. The ratings downgraded are due
to the weaker performance of the underlying collateral and/or the
erosion of enhancement available to the bonds, or the occurrence of
recent interest shortfalls that are unlikely to be reimbursed.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $38.9MM of RMBS Issued 2004-2005
------------------------------------------------------------
Moody's Investors Service, on Feb. 11, 2016, downgraded the ratings
of seven tranches and upgraded the rating of one tranche backed by
Prime Jumbo RMBS loans, issued by miscellaneous issuers.
Complete rating actions are as follows:
Issuer: GMACM Mortgage Loan Trust 2004-J1
Cl. A-3, Downgraded to B1 (sf); previously on May 1, 2015
Downgraded to Ba2 (sf)
Cl. A-20, Downgraded to Ba3 (sf); previously on May 1, 2015
Downgraded to Ba1 (sf)
Cl. A-21, Downgraded to B3 (sf); previously on May 1, 2015
Downgraded to B1 (sf)
Cl. PO, Downgraded to B1 (sf); previously on May 1, 2015 Downgraded
to Ba1 (sf)
Issuer: GMACM Mortgage Loan Trust 2005-AR4
Cl. 1-A, Downgraded to Caa2 (sf); previously on Apr 21, 2010
Downgraded to Caa1 (sf)
Cl. 4-A-1, Downgraded to B3 (sf); previously on Jul 20, 2011
Confirmed at B2 (sf)
Cl. 5-A-1, Downgraded to B3 (sf); previously on Jul 20, 2011
Downgraded to B2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2006-11 Trust
Cl. A-10, Upgraded to Baa1 (sf); previously on Aug 6, 2013
Downgraded to B1 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings downgraded are due to the weaker performance
of the underlying collateral and the erosion of enhancement
available to the bonds. The rating upgraded is a result of the
improving performance of the related pools and sufficient support
provided by super senior support tranche.
The rating action on Wells Fargo Mortgage Backed Securities 2006-11
also reflects a correction to the cash-flow model used by Moody's
in rating this transaction. In the previous model, some losses were
incorrectly applied to Class A-10 whereas they should have been
applied to its super senior support tranche, Class A-17. The error
has been corrected, and today's rating action reflects this
change.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $64.3MM of RMBS Issued 2005-2006
------------------------------------------------------------
Moody's Investors Service, on Feb. 16, 2015, downgraded the ratings
of four tranches and upgraded the ratings of five tranches backed
by Prime Jumbo RMBS loans, issued by miscellaneous issuers.
Complete rating actions are:
Issuer: GSR Mortgage Loan Trust 2005-3F
Cl. 2A-4, Downgraded to B3 (sf); previously on May 18, 2015,
Confirmed at B2 (sf)
Issuer: GSR Mortgage Loan Trust 2005-4F
Cl. 4A-3, Upgraded to Baa3 (sf); previously on May 22, 2015,
Confirmed at Ba3 (sf)
Cl. 4A-4, Upgraded to B1 (sf); previously on May 22, 2015,
Confirmed at B3 (sf)
Cl. 5A-1, Upgraded to B1 (sf); previously on May 22, 2015,
Confirmed at B3 (sf)
Cl. 5A-2, Upgraded to Caa1 (sf); previously on May 22, 2015,
Confirmed at Caa3 (sf)
Cl. A-X, Downgraded to B2 (sf); previously on May 22, 2015,
Confirmed at B1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2006-S1
Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Sept 19, 2012,
Downgraded to B3 (sf)
Cl. 2-A-8, Downgraded to Caa1 (sf); previously on Sept. 19,
2012, Confirmed at B3 (sf)
Cl. 3-A-4, Upgraded to Baa3 (sf); previously on June 4, 2015,
Upgraded to Ba1 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings downgraded are due to the weaker
performance of the underlying collateral and the erosion of
enhancement available to the bonds. The ratings upgraded are a
result of improving performance of the related pools and an
increase in credit enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in January 2016 from 5.7% in
January 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's: Large Energy Exposures Wear on Credit Quality of CLOs
------------------------------------------------------------------
US collateralized loan obligations' (CLOs) exposure to debt from
companies whose ratings were recently downgraded, those whose
ratings are on review for downgrade or have negative credit
outlooks, and those with the weakest liquidity increased in the
fourth quarter of 2015, a credit negative. The deterioration in
these metrics was primarily a result of the weakening credit
quality of companies in the energy sector, according to the latest
report on CLO credit trends from Moody's Investors Service.
Notably, the credit impact on CLO 2.0s with larger exposure to
energy is significantly worse than the average for all CLO 2.0s,
and particularly for mezzanine and junior notes.
"As corporate rating downgrades filter through CLO portfolios, the
weighted average rating factor (WARF) among CLO 2.0s with high
energy exposures will likely increase and some deals will start
failing their WARF tests," says Moody's Vice President Oktay
Veliev.
The overall credit outlook for US CLOs issued after 2010 (CLO 2.0s)
weakened in Q4 2015. By the end of 2015, the median default
exposure for CLO 2.0s went above zero for the first time, while the
share of CLO collateral from firms with negative outlooks rose to
12.6% from 10.4% in Q3 2015. In addition, CLO 2.0 exposures to
assets rated Caa, Moody's lowest credit rating, grew modestly, to
3.6% in Q4 2015 from 3.3% in Q3 2015 and 2.4% in Q4 2014, but
remained well below the CLO 1.0 peak of 11.3%, reached in Q3 2009.
Finally, CLO 2.0 over-collateralization (OC) ratios declined, owing
to small par losses amid limited defaults and sales of credit risk
assets.
"We expect CLO 2.0s to suffer further junior OC erosion as defaults
and rating downgrades in the energy sector continue," says Moody's
Veliev.
-- Weak energy sector liquidity will drive an increase in the US
speculative-grade default rate.
-- CLO exposures to assets rated B3 and lower remain high.
-- US CLO collateral recovery rate expectations continue to
decline.
[*] S&P Lowers Rating on 95 Certs From 52 US RMBS Deals to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services, on Feb. 12, 2016, lowered its
ratings on 95 classes of mortgage pass-through certificates from 52
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2002 and 2009 to 'D (sf)'.
The downgrades reflect S&P's assessment of the principal
write-downs' impact on the affected classes during recent
remittance periods. All of the classes whose ratings were lowered
to
'D (sf)' today were rated 'B- (sf)' or lower before the rating
action, except for two classes rated 'AA+ (sf)' from Wells Fargo
Mortgage Backed Securities 2007-5 Trust.
During the September 2015 remittance period, Wells Fargo Asset
Securities Corp., as depositor, exercised its clean-up call option
related to Wells Fargo Mortgage Backed Securities 2007-5 Trust.
Pursuant to the related deal documents, the trustee and master
servicer each established a reserve account from the funds received
in connection with the clean-up call to hold funds that will be
used to meet their current and future expenses relating to the
trust, including expenses incurred in connection with ongoing
litigation. The time period for which funds will need to be held
in the reserve accounts is currently unknown. As a result, each of
the 10 classes with outstanding ratings was allocated a principal
write-down in the September 2015 remittance period. Therefore, S&P
lowered its ratings on each of these classes, including the two
classes previously rated 'AA+', to 'D (sf)'. In addition, S&P
subsequently withdrew its ratings on these classes to reflect their
zero principal balance and related lack of market interest.
The 95 defaulted classes consist of:
-- 53 from prime jumbo transactions (55.79%);
-- 18 from Alternative-A transactions (18.95%);
-- 11 from subprime transactions (11.58%);
-- Seven from resecuritized real estate mortgage investment
conduit transactions;
-- Four from negative amortization transactions;
-- One from a Federal Housing Administration/Veterans
Administration transaction;
-- One from a reperforming transaction.
All of the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization (where applicable).
S&P will continue to monitor its ratings on securities that
experience principal write-downs, and will further adjust its
ratings as S&P considers appropriate according to its criteria.
A list of the Affected Ratings is available at:
http://is.gd/ipqK7o
[*] S&P Puts Ratings on 68 Tranches from 23 U.S. CLO Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 68
tranches from 23 U.S. collateralized loan obligation (CLO)
transactions on CreditWatch with positive implications. The
CreditWatch placements follow our surveillance review of U.S. cash
flow collateralized debt obligation (CDO) transactions.
The CreditWatch positive placements resulted from enhanced
overcollateralization because of paydowns to the senior tranches
among these CLO transactions. All of the transactions have exited
their reinvestment periods. Of the 68 tranches, five have started
to receive paydowns.
The table below reflects the year of issuance for the 23
transactions whose ratings were placed on CreditWatch.
Year of issuance No. of deals
2006 13
2007 10
S&P expects to resolve the CreditWatch placements within 90 days
after it completes a comprehensive cash flow analysis and committee
review for each of the affected transactions. S&P will continue to
monitor the collateralized debt obligation (CDO) transactions it
rates and take rating actions, including CreditWatch placements, as
we deem appropriate.
RATINGS PLACED ON CREDITWATCH POSITIVE
AIMCO CLO Series 2006-A
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB (sf)/Watch Pos BB (sf)
Ares IIIR/IVR CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C AA- (sf)/Watch Pos AA- (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E BB (sf)/Watch Pos BB (sf)
Baker Street Funding CLO 2005-1 Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Blackrock Senior Income Series IV
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Carlyle High Yield Partners VIII Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
CIFC Funding 2006-II Ltd.
Rating
Class To From
B-1L AA (sf)/Watch Pos AA (sf)
B-2L BBB (sf)/Watch Pos BBB (sf)
CIFC Funding 2007-I Ltd.
Rating
Class To From
A-3L AA+ (sf)/Watch Pos AA+ (sf)
B-1L A- (sf)/Watch Pos A- (sf)
B-2L BB+ (sf)/Watch Pos BB+ (sf)
GoldenTree Loan Opportunities V Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D A (sf)/Watch Pos A (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
GSC Group CDO Fund VIII Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Hamlet II Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
Hewett's Island CLO I-R Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D BBB- (sf)/Watch Pos BBB- (sf)
E B+ (sf)/Watch Pos B+ (sf)
Jersey Street CLO Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
Limerock CLO I
Rating
Class To From
A-4 AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C A- (sf)/Watch Pos A- (sf)
D BB (sf)/Watch Pos BB (sf)
Mountain View CLO III Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D BBB (sf)/Watch Pos BBB (sf)
E B+ (sf)/Watch Pos B+ (sf)
MSIM Peconic Bay Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Nautique Funding Ltd.
Rating
Class To From
B-1 AA+ (sf)/Watch Pos AA+ (sf)
B-2 AA+ (sf)/Watch Pos AA+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
OFSI Fund III Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E-1 B+ (sf)/Watch Pos B+ (sf)
E-2 B+ (sf)/Watch Pos B+ (sf)
Pangaea CLO 2007-1 Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Prospect Park CDO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
Sands Point Funding Ltd.
Rating
Class To From
C Deferrab AA+ (sf)/Watch Pos AA+ (sf)
D Deferrab BBB+ (sf)/Watch Pos BBB+ (sf)
Shinnecock CLO 2006-1 Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C AA- (sf)/Watch Pos AA- (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
Veritas CLO II Ltd.
Rating
Class To From
C AA (sf)/Watch Pos AA (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
Voya CLO III Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A- (sf)/Watch Pos A- (sf)
D BB (sf)/Watch Pos BB (sf)
[*] S&P Takes Actions on 21 Prime RMBS Deals Issued 2002-2005
-------------------------------------------------------------
Standard & Poor's Ratings Services completed its review of 21 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2005. The review yielded 17 upgrades, 35
downgrades (including one to 'D (sf)'), 158 affirmations, nine
withdrawals, and four discontinuances. S&P removed three of the
affirmed ratings from CreditWatch, where S&P placed them with
negative implications on Dec. 14, 2015.
The transactions in this review are backed by a mix of fixed- and
adjustable-rate prime jumbo mortgage loans, which are secured
primarily by first liens on one- to four-family residential
properties.
Subordination and/or bond insurance provide credit support for the
reviewed transactions. Where the bond insurer is rated lower than
what S&P would rate the respective class without bond insurance, or
is not rated, S&P relied solely on the underlying collateral's
credit quality and the transaction structure to derive the rating.
As discussed in S&P's criteria, "The Interaction Of Bond Insurance
And Credit Ratings," published Aug. 24, 2009, the rating on a
bond-insured obligation will be the higher of the rating on the
bond insurer and the rating of the underlying obligation without
considering the potential credit enhancement from the bond
insurance.
The two classes listed below are insured as:
-- Banc of America Funding 2005-4 Trust's class A-1
('AA (sf)'), insured by Assured Guaranty ('AA') and
-- RFMSI Series 2003-S4 Trust's class A-3 ('BBB- (sf)'),
insured by MBIA Insurance Corp. ('B').
The rating actions resolve three CreditWatch placements made on
Dec. 14, 2015. These ratings had initially been placed on
CreditWatch because of cited interest shortfalls by the trustee on
the affected classes during recent remittance periods.
ANALYTICAL CONSIDERATIONS
S&P routinely incorporate various considerations into its decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by S&P's projected cash flows. These
considerations are based on specific performance or structural
characteristics, or both, and their potential effects on certain
classes.
Application Of U.S. RMBS Pre-2009 Criteria When Loan-Level Data Is
Not Available
When performing S&P's credit analysis to determine the foreclosure
frequency for all pools within this review, S&P segmented the
collateral into current loans (including reperforming) and
delinquent loans. S&P further segmented the "current" bucket based
on payment pattern.
Where loan-level data was available, S&P derived the foreclosure
frequency as described in "U.S. RMBS Surveillance Credit And Cash
Flow Analysis For Pre-2009 Originations," published Feb. 18, 2015
(pre-2009 surveillance criteria). When loan-level data was not
available, to derive the current bucket's foreclosure frequency,
S&P made certain assumptions regarding the percentage of current
loans that are reperforming, the percentage of current loans that
have impaired credit history, and the adjusted loan-to-value of
perfect payers.
S&P used pool-level data to compare each pool's performance with
the cohort average. For pools with high delinquencies and
normalized cumulative losses relative to the cohort average, S&P
assumed a higher foreclosure frequency than that of the cohort
average. Conversely, S&P assumed a lower foreclosure frequency for
pools with better observed performance relative to the cohort
average.
S&P used pool-level data to derive the foreclosure frequency for
delinquent loans because S&P uses cohort-specific roll rate
assumptions as set forth in its pre-2009 RMBS surveillance
criteria.
In this review, S&P did not have loan-level data available for
these transactions:
-- Bear Stearns ARM Trust 2002-1 and
-- Banc of America Funding 2005-4 Trust.
UPGRADES
S&P raised its ratings on 17 classes from three transactions based
on improved collateral performance, increased credit support,
decreased delinquency levels and/or payment allocation mechanics.
The upgrades reflect S&P's opinion that our projected credit
support for the classes will be sufficient to cover the projected
losses at the higher rating levels.
DOWNGRADES
S&P lowered its ratings on 35 classes from 11 transactions,
including 18 ratings that were lowered four or more notches. Of
the 35 downgrades, S&P lowered its ratings on 12 classes to
speculative-grade ('BB+' or lower) from investment-grade ('BBB-' or
higher). Another nine lowered ratings remained at an
investment-grade level, and the remaining 14 downgraded classes
already had speculative-grade ratings. The downgrades reflect
S&P's belief that its projected credit support for the affected
classes will be insufficient to cover its remaining projected
losses for the related transactions at a higher rating. The
downgrades also reflect one or more of:
-- Deteriorated credit performance trends;
-- Substantial changes in pool-level constant prepayment rates;
-- Payment allocation mechanics;
-- Observed principal write-downs; and/or
-- Tail risk.
S&P lowered the rating on class B-1 from Morgan Stanley Dean Witter
Capital I Inc. Trust 2003-HYB1 to 'D (sf)' from 'CC (sf)' due to
principal write-downs incurred by the class.
Tail Risk
Some of the transactions in this review are backed by a small
remaining pool of mortgage loans. S&P believes that pools with
less than 100 loans remaining could have an increased risk of
credit instability because a liquidation and subsequent loss on one
or a small number of remaining loans at the tail end of a
transaction's life may have a disproportionate impact on the
remaining credit support. S&P refers to this as tail risk.
S&P addressed tail risk on the small pools in this review by
conducting a loan-level analysis that assesses this additional
risk, as set forth in S&P's pre-2009 RMBS surveillance criteria.
Tail risk present in the associated small loan pool backing Morgan
Stanley Dean Witter Capital I Inc. Trust 2003-HYB1 was the primary
driver for the downgrades of classes A-1, A-2, A-3, and A-4 from
this transaction.
AFFIRMATIONS
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and in turn to the ratings suggested by S&P's cash flow
projections. In these circumstances, S&P affirmed, rather than
raised, its ratings on those classes to promote ratings stability.
In general, the bonds that were affected reflect:
-- Historical interest shortfalls;
-- Low priority of principal payments;
-- Significant growth in the delinquency pipeline;
-- Low subordination; and/or
-- Reduced interest payments over time due to loan
modifications or other credit-related events.
Of the 158 affirmed ratings, 93 are investment-grade and 65 are
speculative-grade. The affirmations of classes rated above 'CCC
(sf)' reflect the classes' relatively senior positions in payment
priority and S&P's opinion that its projected credit support is
sufficient to cover its projected losses at those rating levels.
Three of the affirmed ratings were removed from CreditWatch with
negative implications and had initially been placed on CreditWatch
due to cited interest shortfalls by the trustee on the affected
classes during recent remittance periods.
WITHDRAWALS
S&P withdrew its ratings on seven classes from CHL Mortgage
Pass-Through Trust 2003-HYB2 because the related pool has a small
number of loans remaining. Once a pool has declined to a de
minimis amount, S&P believes there is a high degree of credit
instability that is incompatible with any rating level.
S&P withdrew its ratings on two classes from RFMSI Series 2003-S4
Trust according to its interest-only (IO) criteria, which state
that S&P will maintain the rating on an IO class until the ratings
on all of the classes that the IO security references, in the
determination of its notional balance, are either lowered below
'AA-' or have been retired.
DISCONTINUANCES
S&P discontinued its ratings on four classes from CHL Mortgage
Pass-Through Trust 2003-J10 because the transaction reached its
final maturity.
ECONOMIC OUTLOOK
When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
its view of how the loans will behave under various economic
conditions. Standard & Poor's baseline macroeconomic outlook
assumptions for variables that it believes could affect residential
mortgage performance are:
-- An overall unemployment rate declining to 4.8% in 2016;
-- Real GDP growth increasing to 2.7% in 2016;
-- The inflation rate will be 1.9% in 2016; and
-- The 30-year fixed mortgage rate will rise to 4.4% in 2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with Standard & Poor's downside
forecast, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:
-- Total unemployment will tick up to 5.4% for 2016;
-- Downward pressure causes GDP growth to fall to 1.3% in 2016;
-- Home price momentum slows as potential buyers are not able
to purchase property; and
-- While the 30-year fixed mortgage rate inches up to 4.0% in
2016, limited access to credit and pressure on home prices
will largely prevent consumers from capitalizing on these
rates.
A list of the affected ratings is available at:
http://is.gd/jkJbIN
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
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Each Tuesday edition of the TCR contains a list of companies with
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On Thursdays, the TCR delivers a list of recently filed
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includes links to freely downloadable images of these small-dollar
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The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
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