/raid1/www/Hosts/bankrupt/TCR_Public/160410.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, April 10, 2016, Vol. 20, No. 101
Headlines
AGATE BAY 2016-2: Fitch Assigns BB Rating on Cl. B-4 Certificates
AGATE BAY 2016-2: Moody's Assigns Ba2(sf) Rating to Cl. B-4 Debt
ALESCO PREFERRED XIV: Moody's Cuts Class C-1 Notes Rating to Ca
AMMC CLO IX: S&P Assigns Preliminary BB Rating on Cl. E-R Notes
APOLLO AVIATION 2016-1: S&P Assigns BB Rating on Class C Notes
BAKER STREET 2005-1: S&P Raises Rating on Cl. E Notes to BB+
BANC OF AMERICA 2001-1: Moody's Affirms C Rating on Class K Debt
CALLIDUS DEBT VI: Moody's Affirms Ba3(sf) Rating on Class D Debt
CAPMARK VII: Moody's Hikes Class B Debt Rating to 'Ba1'
CBA COMMERCIAL 2006-1: Moody's Raises Cl. A Debt Rating to Caa2
CBAC 2004-1: Moody's Affirms Caa2 Rating on Class IO Certificates
CEDARWOODS CRE II: S&P Lowers Rating on 6 Note Tranches to D
CGGS COMMERCIAL 2016-RND: Fitch Rates Cl. E-FX Certs 'BB-sf'
CGGS COMMERCIAL 2016-RND: Moody's Gives Ba2 Rating to Cl. E-FX Debt
CHASE MORTGAGE 2016-1: Fitch Rates Class M-4 Certificates 'BBsf'
CHASE MORTGAGE 2016-1: Moody's Assigns Ba3 Rating on Cl. M-4 Debt
CITI HELD 2016-PM1: Fitch Assigns B Rating on Class C Notes
CITIGROUP 2004-C2: S&P Affirms BB+ Rating on Class G Certificates
CITIGROUP COMMERCIAL 2016-GC37: Fitch to Rate Cl. E Certs 'BB-sf'
COMM 2013-CCRE13: Fitch Affirms B Rating on Cl. F Certificates
COMM 2013-CCRE7: Moody's Affirms B2 Rating on Class G Debt
CONNECTICUT AVENUE 2016-C02: Moody's Rates Cl. 1M-2A Debt 'Ba1'
CREDIT SUISSE 2001-CF2: Fitch Affirms D Rating on 5 Cert. Classes
CS FIRST BOSTON 2001-CKN5: Moody's Affirms C Rating on Cl. A-X Debt
CSFB MORTGAGE 2003-C3: Moody's Affirms Caa3 Rating on 2 Tranches
DBJPM 2016-C1: DBRS Assigns Prov. BB Rating on Class E Certs
DBJPM MORTGAGE 2016-C1: Fitch to Rate Class X-D Debt 'BB-sf'
DENALI CAPITAL XII: Moody's Assigns Ba3 Rating to Class E Debt
DISTRIBUTION FIN'L 2001-1: Fitch Withdraws Csf Rating on Cl. D Debt
DLJ COMMERCIAL 1998-CG1: Fitch Hikes Cl. B-7 Debt Rating to BBsf
EDUCATIONAL LOAN 2006-1: Fitch Affirms CCC Rating on Cl. B Debt
GE CAPITAL 2001-3: Fitch Affirms 'Dsf' Rating on 5 Cert. Classes
GEMSTONE CDO II: S&P Lowers Rating on 3 Note Classes to D
GMACM MORTGAGE 2004-J5: Moody's Cuts Rating on Cl. PO Certs to Ba1
GRAMERCY REAL 2005-1: S&P Raises Rating on Cl. B Notes to BB+
GREYSTAR REAL: Moody's Affirms B2 CFR & Sr. Sec. Bond Rating
GS MORTGAGE 2013-GCJ12: Fitch Affirms B Rating on Class F Certs
GS MORTGAGE 2014-GC20: Fitch Revises Outlook on BB- Rating to Neg.
ICE 1: S&P Puts Cl. D Notes' B Rating on CreditWatch Negative
ICE 3: S&P Puts Class E Notes' BB Rating on CreditWatch Neg.
INSTITUTIONAL MORTGAGE 2012-2: DBRS Puts B Ratings Under Review
INSTITUTIONAL MORTGAGE 2013-3: DBRS Reviews B Rating on Cl. G Debt
INSTITUTIONAL MORTGAGE 2014-5: DBRS Review B Rating on Class G Debt
IRVINE CORE 2013-IRV: S&P Affirms BB+ Rating on Cl. F Certificates
JFIN CLO 2012: S&P Affirms 'BB' Rating on Class D Notes
JP MORGAN 2003-C1: S&P Raises Rating on Class F Certs From B
JP MORGAN 2010-C1: Fitch Lowers Rating on 2 Cert. Classes to C
JP MORGAN 2013-LC11: S&P Affirms 'BB-' Rating on Cl. F Certificate
JP MORGAN 2014-C19: Fitch Affirms 'Bsf' Rating on Class F Certs
JP MORGAN 2016-H2FL: S&P Assigns B- Rating on Cl. C Certificates
LEASE INVESTMENT 2001-1: S&P Lowers Rating on 2 Tranches to CC
LIBERTY CLO: Moody's Affirms B2(sf) Rating on Class C Notes
LIMEROCK CLO I: S&P Raises Rating on Class D Notes to BB+
MAGNETITE XVII: Moody's Assigns Ba3(sf) Rating on Class E Debt
MASTR RESECURITIZATION 2005-4CI: Moody's Ups Cl. N-3 Notes to Caa3
MERRILL LYNCH 2007-CA 22: Moody's Affirms Ratings on 13 Tranches
ML-CFC COMMERCIAL 2006-1: S&P Lowers Rating on 2 Cert. Classes to D
MORGAN STANLEY 1998-WF2: S&P Raises Rating on Cl. L Certs to CCC
MORGAN STANLEY 1999-WF1: Moody's Cuts Class X Debt Rating to Caa1
MORGAN STANLEY 2001-TOP5: Moody's Hikes Cl. X-1 Debt Rating to Caa2
MORGAN STANLEY 2014-C15: Fitch Affirms BB- Rating on Cl. F Certs
MOUNTAIN HAWK I: S&P Puts BB Rating on Cl. E Notes on Watch Neg.
MOUNTAIN VIEW III: Moody's Raises Rating on Cl. E Notes to Ba2
NATIONAL COLLEGIATE 2004-2: Moody’s Puts B1 Cl. B Rating Under Rev
NEUBERGER BERMAN XXI: Moody's Assigns Ba2 Rating on Cl. E Notes
NEUBERGER BERMAN XXI: S&P Assigns BB Rating on Class E Notes
NEW RESIDENTIAL 2016-1: Moody's Rates Class B-5 Notes 'B2sf'
NEW RESIDENTIAL 2016-1: S&P Assigns B Rating on Class B-5 Notes
OAKWOOD MORTGAGE 1998-A: Moody's Raises Class M Debt Rating to B2
RAAC TRUST 2004-SP3: Moody's Hikes Rating on M-I-1 Certs to Ba3
RESIDENTIAL MORTGAGE 2008-2: S&P Withdraws D Ratings on Notes
SATURNS TRUST 2003-1: S&P Lowers Rating on $60.192MM Units to CCC+
SBL COMMERCIAL 2016-KIND: Moody's Assigns B3 Rating on Cl. F Certs
SBL COMMERCIAL 2016-KIND: Moody's Gives (P)B3 Rating to Cl. F Debt
SHINNECOCK CLO 2006-1: S&P Affirms BB+ Rating on Class E Notes
STEERS LASSO 2007-A: S&P Withdraws BB+ Rating on CDO Deal
TELOS CLO 2016-7: S&P Assigns 'BB-' Rating on Class E Notes
TOWD POINT 2016-1: Fitch Assigns 'Bsf' Rating on Class B2 Notes
TRIMARAN VII CLO: Moody's Affirms Ba1 Rating on Cl. B-2L Notes
WELLS FARGO 2011-C4: Fitch Affirms 'BBsf' Rating on Cl. F Certs
WELLS FARGO 2012-C7: Fitch Affirms B Rating on Class G Notes
WELLS FARGO 2015-P2: Fitch Assigns BB Rating on Cl. E Certificates
WELLS FARGO 2016-C33: Fitch Assigns B- Rating on Cl. F Certificate
WFRBS COMMERCIAL 2013-C13: Fitch Affirms B Rating on Cl. F Certs
[*] DBRS Reviews 1,480 Tranches From 107 US RMBS Deals
[*] Fitch Takes Actions on 31 Classes From 4 RMBS Transactions
[*] Moody's Hikes $74 Million of Subprime RMBS Issued in 2004
[*] Moody's Takes Action on $105.9MM of Alt-A/Option ARM RMBS Deals
[*] Moody's Takes Action on $234.7MM of RMBS Issued 2003-2010
[*] Moody's Takes Action on $260.2MM of Alt-A RMBS From 2003-2004
[*] Moody's Takes Action on $629.7MM of RMBS Issued 2005-2007
[*] Moody's Takes Action on $83MM of Subprime RMBS Issued 2003-2004
[*] S&P Discontinues Ratings on 137 Classes From 24 Re-Remic Deals
[*] S&P Puts 8 Prison Project Revenue Bonds on Watch Developing
[*] S&P Puts Ratings on 40 Tranches From 11 CLO Deals on Watch Pos
[*] S&P Takes Actions on 100 Classes From 9 RMBS Re-REMIC Deals
[*] S&P Takes Actions on 107 Classes From 10 RMBS Re-REMIC Deals
[*] S&P Takes Actions on 117 Classes From 14 RMBS Re-REMIC Deals
[*] S&P Takes Actions on 43 Classes From 24 U.S. RMBS Deals
*********
AGATE BAY 2016-2: Fitch Assigns BB Rating on Cl. B-4 Certificates
-----------------------------------------------------------------
Fitch Ratings has assigned these ratings to Agate Bay Mortgage
Trust 2016-2:
-- $216,392,000 class A-6 certificates 'AAAsf'; Outlook Stable;
-- $72,130,000 class A-8 certificates 'AAAsf'; Outlook Stable;
-- $20,234,000 class A-10 certificates 'AAAsf'; Outlook Stable;
-- $308,756,000 class A-X-1 notional certificates 'AAAsf';
Outlook Stable;
-- $216,392,000 class A-X-4 notional certificates 'AAAsf';
Outlook Stable;
-- $72,130,000 class A-X-5 notional certificates 'AAAsf';
Outlook Stable;
-- $20,234,000 class A-X-6 notional certificates 'AAAsf';
Outlook Stable;
-- $5,429,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $6,415,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $3,454,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $2,139,000 class B-4 certificates 'BBsf'; Outlook Stable.
Exchangeable Certificates:
-- $308,756,000 class A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $308,756,000 class A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $288,522,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $288,522,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $216,392,000 class A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $72,130,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $20,234,000 class A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $308,756,000 class A-X-2 exchangeable notional certificates
'AAAsf'; Outlook Stable;
-- $288,522,000 class A-X-3 exchangeable notional certificates
'AAAsf'; Outlook Stable.
The $2,796,601 class B-5 certificates and $328,989,601 class A-IO-S
notional certificates will not be rated.
KEY RATING DRIVERS
High Quality Mortgage Pool: The collateral pool consists of
high-quality 30-year, fixed-rate, fully amortizing loans to
borrowers with strong credit profiles, low leverage and large
liquid reserves. The pool has a weighted average (WA) FICO score
of 773 and an original combined loan-to-value (CLTV) ratio of
67.6%. The collateral attributes of the subject pool are largely
consistent with recent ABMT transactions issued in 2015 and 2016.
Geographic Concentration Risk: The pool's primary concentration
risk is California, where approximately 48% of the collateral is
located. Additionally, approximately 34% is located in the
metropolitan areas encompassing Los Angeles, San Francisco and San
Diego, which represent three of the top five regions in the subject
pool. This concentration resulted in an additional penalty to the
pool's probability of default (PD) of roughly 1.5% to its lifetime
default expectation. While still a concern, the first two ABMT
transactions in 2016 have shown improved geographic diversification
compared with those in 2015.
Robust Representation Framework: Fitch considers the transaction's
representation, warranty and enforcement (RW&E) mechanism framework
to be consistent with Tier 1 quality. The transaction benefits
from life-of-loan representations and warranties (R&W), as well as
a backstop by the seller, TH TRS, in case of insolvency or
dissolution of the related originator. Similar to recent
transactions rated by Fitch, ABMT 2016-2 contains binding
arbitration provisions that may serve to provide timely resolution
to R&W disputes.
Originators with Limited Performance History: Many of the loans
were originated by lenders with a limited non-agency performance
history. However, all the loans were originated to meet TH TRS'
purchase criteria and were reviewed by a third-party due diligence
firm to TH TRS' guidelines with no material findings. TH TRS is a
wholly owned subsidiary of Two Harbors Investment Corp. In
addition, Fitch conducted an onsite review or in-depth call with
four of the top five originators, which account for approximately
38.4% of the pool.
Extraordinary Expense Treatment: The trust provides for expenses,
including indemnification amounts and costs of arbitration, to be
paid by the net WA coupon (WAC) of the loans, which does not affect
the contractual interest due on the certificates. Furthermore, the
expenses to be paid from the trust are capped at $300,000 per annum
($125,000 for the trustee), which can be carried over each year,
subject to the cap until paid in full.
Safe-Harbor Qualified Mortgages: All the loans in the pool have
application dates of Jan. 10, 2014 or later and are, therefore,
subject to the ability-to-repay (ATR)/qualified mortgage (QM) Rule.
All the loans subject to this rule were classified as safe harbor
QM (SHQM), for which no adjustment was made.
RATING SENSITIVITIES
After Fitch determines credit ratings through a rating stress
scenario analysis, additional sensitivity analyses are considered.
The analyses provide a defined stress sensitivity to demonstrate
how the ratings would react to steeper market value declined (MVDs)
than assumed at issuance as well as a defined sensitivity that
demonstrates the stress assumptions required to reduce a rating by
one full category, to non-investment grade, and to 'CCCsf'.
The defined stress sensitivity analysis focuses on determining how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20%, and 30%, in addition to the
model projected 6.7% for this pool. The analysis indicates there
is some potential rating migration with higher MVDs, compared with
the model projection.
Fitch also conducted defined rating sensitivity analyses which
determine the stresses to MVDs that would reduce a rating by one
full category, to non-investment grade, and to 'CCCsf'. For
example, additional MVDs of 6%, 32% and 51% could potentially lower
the 'AAAsf' rated class one rating category, to non-investment
grade, and to 'CCCsf'.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Clayton
Services LLC and American Diligence, LLC. The due diligence
focused on a compliance, credit, valuation and data integrity
review. Fitch considered this information in its analysis and the
findings did not have an adverse impact on our analysis.
The transaction contains 43 loans (9% of the mortgage pool) with
application dates on or after Oct. 3, 2015, and therefore are
subject to the TILA-RESPA Integrated Disclosure (TRID) rule. All
Clayton loans were reviewed by Clayton. No compliance exceptions
were found in 11 of the 43 loans, resulting in compliance grades of
'A'. The issues identified in the remaining 32 loans were
addressed through re-disclosure and reimbursement as applicable;
these loans received grades of 'B' after the re-disclosure.
Consistent with defined methods of error resolution under the rule,
all numerical errors identified were re-disclosed within an
allowable time frame, and appropriate reimbursements to the
borrower were made where necessary. All non-numerical clerical
errors identified were re-disclosed within 60 days of consummation.
Fitch feels the TRID noncompliance risk to investors for this
transaction is immaterial due to the low percentage of loans
subject to the rule, the low limit on statutory damages and the
good-faith efforts to resolve the issues identified. Therefore,
Fitch did not adjust its loss expectations.
Fitch received certifications indicating that the loan-level due
diligence was conducted in accordance with Fitch's published
standards for credit, property valuation and legal/regulatory
compliance. The certifications also stated that the company
performed its work in accordance with the independence standards,
per Fitch's criteria.
AGATE BAY 2016-2: Moody's Assigns Ba2(sf) Rating to Cl. B-4 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Agate Bay Mortgage Trust (ABMT) 2016-2. The certificates are backed
by one pool of 459 prime jumbo, first-lien mortgage loans. The
mortgage loans in the pool are all fixed-rate with a 30-year term
with high FICO scores and low LTV.
The complete rating actions are as follows:
Issuer: Agate Bay Mortgage Trust 2016-2
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aa1 (sf)
Cl. A-10, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1, Definitive Rating Assigned Aaa (sf)
Cl. A- X-2, Definitive Rating Assigned Aaa (sf)
Cl. A- X-3, Definitive Rating Assigned Aaa (sf)
Cl. A- X-4, Definitive Rating Assigned Aaa (sf)
Cl. A- X-5, Definitive Rating Assigned Aaa (sf)
Cl. A- X-6, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is
0.40%. Aaa (sf) subordination for this transaction is 6.15%, which
is 1.65% higher than Moody's Aaa stress loss on the collateral of
4.50%. This is the first Agate Bay transaction that Moody's has
rated.
"The Aaa MILAN CE, inclusive of concentration adjustments, for this
pool is 3.69%. We added 0.53% of loss for loan-level adjustments
not factored in the model. Additional considerations included:
adjustments to borrower probability of default for higher and lower
borrower Debt-To-Income Ratios (DTIs), borrowers with multiple
mortgaged properties, self-employed borrowers, and at a pool level,
for the default risk of Home Ownership Association (HOA) properties
in super lien states. The increase to our Aaa stress loss above the
model output also includes adjustments related to the origination
quality, and the representations and warranties framework. The
MILAN model is based on stressed trajectories of home prices,
unemployment rates and interest rates, at a monthly frequency over
a ten year period."
Collateral Description
The loans in this transaction were aggregated by TH TRS Corp. The
ABMT 2016-2 transaction is a securitization of 459 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $328,989,601.95. The borrowers in the pool have high
FICO scores, significant liquid cash reserves and equity in their
properties. There are 37 originators in the transaction including
New York Community Bank, Parkside Lending, LLC, George Mason
Mortgage LLC, Stonegate Mortgage Corporation, Provident Savings
Bank, FSB and United Shore Financial Services, LLC each
representing 12.9%, 10.8%, 7.4%, 7.3%, 5.7% and 5.3% of the
outstanding principal balance of the mortgage loans. The remaining
31 originators each account for less than 5% of the principal
balance of the loans in the pool.
"Moody's does not have a formal assessment of TH TRS Corp. as an
aggregator of prime jumbo residential mortgages. We have however
met with TH TRS Corp., reviewed their guidelines, and conducted
additional calls to understand their program and procedures and
find them to be adequate."
Tail Risk & Subordination Floor
The transaction cash flows follow a standard shifting interest
structure that allows subordinated bonds to receive principal
payments under certain defined scenarios. Because a shifting
interest structure allows subordinated bonds to pay down over time
as the loan pool shrinks, senior bonds are exposed to increased
performance volatility, known as tail risk i.e. risk of back-end
losses when few loans remain in the pool. The transaction provides
for a subordination floor of 1.50% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time.
Third-party Review and Representations & Warranties
Third party due diligence firms, AMC Diligence, LLC and Clayton
Services LLC, performed detailed credit, compliance, valuation and
data integrity review on 100% of the loans in the pool. All loans
were reviewed for credit against the individual seller's
underwriting guidelines. The review found that the majority of
reviewed loans were compliant with the underwriting guidelines and
had no valuation or regulatory defects.
The originators and the sellers have provided unambiguous
representations and warranties (R&Ws) including an unqualified
fraud R&W. TH TRS Corp. provides a backstop for R&Ws in case of
insolvency or dissolution of the related originator, except for New
York Community Bank and NYCB Mortgage Company, LLC. There is
provision for binding arbitration in the event of dispute between
investors and the R&W provider concerning R&W breaches.
Trustee, Master Servicer & Servicer
"The transaction trustee is Wilmington Savings Fund Society, FSB,
d/b/a Christiana Trust. The custodian functions, paying agent and
cash management functions will be performed by Wells Fargo Bank,
N.A., rather than the trustee. In addition, Wells Fargo, as Master
Servicer, (SQ1-, master servicer assessment) is responsible for
servicer oversight, and termination of servicers and for the
appointment of successor servicers. In addition, Wells Fargo is
committed to act as successor if no other successor servicer can be
found. Cenlar FSB will act as the primary servicer for the
portfolio. Although we do not have a formal servicer quality
assessment on Cenlar, we have evaluated the company's ability to
service this type of collateral and consider it to be adequate."
Bankruptcy Remoteness
"Based on the deal's structure, should the sponsor or any
affiliate, depositor, any originator, servicer, or trustee become
bankrupt, we believe the securitized loans would remain separate
from the bankruptcy estate of such party and the bankruptcy
automatic stay would not apply to the loans. In our analysis we
considered the true sale opinion, the possibility that an affiliate
of TH TRS Corp. will hold a large portion of the issued
certificates and the potential incentives for creditors to
challenge the bankruptcy remoteness of the transaction."
Factors that would lead to an upgrade or downgrade of the rating:
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.
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.
ALESCO PREFERRED XIV: Moody's Cuts Class C-1 Notes Rating to Ca
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by ALESCO Preferred Funding XIV, Ltd.:
US$12,000,000 Class X First Priority Senior Secured Floating Rate
Notes due December 23, 2016 (current balance of $1,500,000),
Upgraded to Aa3 (sf); previously on July 30, 2015 Upgraded to A1
(sf)
US$430,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes due September 23, 2037 (current balance of
$295,470,596), Upgraded to Aa3 (sf); previously on July 30, 2015
Upgraded to A1 (sf)
Moody's also downgraded the ratings on the following notes:
US$50,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes due September 23, 2037 (current balance
of $56,085,485 including cumulative deferred interest balance),
Downgraded to Ca (sf); previously on July 30, 2015 Upgraded to Caa3
(sf)
US$32,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes due September 23, 2037 (current
balance of $40,543,234 including cumulative deferred interest
balance), Downgraded to Ca (sf); previously on July 30, 2015
Upgraded to Caa3 (sf)
US$21,000,000 Class C-3 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes due September 23, 2037 (current
balance of $32,446,889 including cumulative deferred interest
balance), Downgraded to Ca (sf); previously on July 30, 2015
Upgraded to Caa3 (sf)
In addition, Moody's affirmed the ratings on the following notes:
US$80,500,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes due September 23, 2037, Affirmed A3 (sf); previously on
July 30, 2015 Affirmed A3 (sf)
US$103,000,000 Class B Deferrable Third Priority Secured Floating
Rate Notes due September 23, 2037, Affirmed B1 (sf); previously on
July 30, 2015 Upgraded to B1 (sf)
Alesco Preferred Funding XIV, Ltd., issued in December 2006, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating upgrades and affirmations are primarily a result of the
deleveraging of the Class X and Class A-1 notes, the resumption of
interest payments on previously deferring assets, and an
improvement in the credit quality of the underlying portfolio since
July 2015.
The Class A-1 notes have paid down by approximately 5.57% or $17.4
million since then, using principal proceeds from the redemption of
underlying assets and recovery proceeds from promissory notes, as
well as the diversion of excess interest proceeds. Additionally,
the Class X notes have paid down by 50% or $1.5 million, from
interest proceeds.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 742 from 967 in
July 2015.
The rating downgrades on the Class C-1, Class C-2, and Class C-3
notes are primarily a result of an increase in the total par amount
that Moody's treated as defaulted or deferring and a decrease in
the Class C OC ratio. The Moody's assumed defaulted and deferring
amount increased to $92.4 million (15.6% of the current portfolio)
from $71.4 million in July 2015, primarily because two previously
performing assets with a total par of $31.0 million have deferred
interest payments on their TruPS. As a result, the Class C notes'
par coverage, by Moody's calculations, has declined to 82.3%, from
86.4% in July 2015.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $501.7 million, defaulted and deferring par of $92.4 million, a
weighted average default probability of 8.27% (implying a WARF of
742), and a weighted average recovery rate upon default of 10.0%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
AMMC CLO IX: S&P Assigns Preliminary BB Rating on Cl. E-R Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned preliminary ratings to
the class A-R, B-1-R, B-2-R, C-R, D-R, and E-R notes from AMMC CLO
IX Ltd., a collateralized loan obligation managed by American Money
Management Corp.
The replacement notes will be issued via proposed supplemental
indentures, which also include a two-year reinvestment period
extension and a three-year weighted average life test date
extension.
While the class A-R notes are expected to be issued at a lower
spread over LIBOR than the original class A notes, the spread on
the class D-R and class E-R notes are expected to be higher than
the spread on the original notes. The class B notes are being
refinanced via pari passu class B-1-R and B-2-R notes, and the
class C-1 and C-2 notes are being refinanced via the class C-R
notes. The total notional balance of the liabilities remains
unchanged.
In March 2015, S&P raised the ratings on the class B, C-1, C-2, and
D notes and affirmed the ratings on the class A and E notes. The
upgrades reflected seasoning of the collateral pool and the
expectation that the deal would be exiting the reinvestment period
in January 2016. Given the refinancing amendments, including the
reinvestment period extension to January 2018, increase in weighted
average life test assumption, higher spreads on certain classes,
and structural changes, S&P assigned ratings to the refinancing
notes, which were commensurate with the initial ratings assigned at
close, not taking into account the March 2015 upgrades.
On the April 15, 2016, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes, upon which S&P anticipates withdrawing the ratings
on the original notes and assigning final ratings to the
replacement notes. However, if the refinancing doesn't occur, S&P
may affirm the ratings on the original notes and withdraw its
preliminary ratings on the replacement notes.
CASH FLOW ANALYSIS RESULTS
Current date after proposed refinancing
Class Amount Interest BDR SDR Cushion
(mil. $) rate(%) (%) (%) (%)
A-R 270.00 LIBOR plus 1.58 71.48 54.07 17.41
B-1-R 28.00 LIBOR plus 2.50 65.68 46.11 19.57
B-2-R 15.00 4.00 65.68 46.11 19.57
C-R 35.00 LIBOR plus 3.60 48.95 39.54 9.41
D-R 19.50 LIBOR plus 5.65 47.70 34.50 13.20
E-R 21.00 LIBOR plus 7.65 35.31 28.29 7.02
March 2015 rating action
Class Amount Interest BDR SDR Cushion
(mil. $) rate(%) (%) (%) (%)
A 270.00 LIBOR plus 1.65 67.98 54.64 13.33
B 43.00 LIBOR plus 2.50 56.14 54.64 1.49
C-1 17.50 LIBOR plus 3.25 48.35 46.68 1.66
C-2 17.50 LIBOR plus 3.75 48.35 46.68 1.66
D 19.50 LIBOR plus 4.50 42.52 41.65 0.87
E 21.00 LIBOR plus 7.45 38.33 30.43 7.90
BDR--Break-even default rate.
SDR--Scenario default rate.
PRELIMINARY RATINGS ASSIGNED
AMMC CLO IX Ltd.
Replacement class Rating
A-R AAA (sf)
B-1-R AA (sf)
B-2-R AA (sf)
C-R A (sf)
D-R BBB (sf)
E-R BB (sf)
APOLLO AVIATION 2016-1: S&P Assigns BB Rating on Class C Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Apollo
Aviation Securitization Equity Trust 2016-1's $510 million
fixed-rate notes series 2016-1.
The note issuance is an asset-backed securities transaction backed
by the two AOE issuers' series A, B, and C notes, which are in turn
backed by aircraft in the portfolio, aircraft-related leases, and
shares or beneficial interests in entities that directly and
indirectly receive aircraft portfolio leases and residual cash
flows.
The ratings reflect:
-- The likelihood of timely interest on the class A notes
(excluding the step-up amount) on each payment date, the
timely interest on the class B notes (excluding the step-up
amount) when they are the senior-most notes outstanding on
each payment date, and the ultimate interest and principal
payment on the class A, B, and C notes on the legal final
maturity at the respective rating stress.
-- The 63.62% loan-to-value (LTV) ratio (based on the lower of
the mean and median of the half-life base values and the
half-life current market values) on the class A notes, the
76.50% LTV ratio on the class B notes, and the 82.14% LTV
ratio on the class C notes.
-- That of the 32 aircraft in the portfolio, only one (B777-
200ER; 7% of the portfolio value) is out of production. The
initial asset portfolio comprises 27 narrow-body passenger
planes (17 from the A320 family and 10 B737-800) and five
wide-body passenger planes (one A330-200, three A330-300,
and one B777-200ER). That the aircraft in the portfolio are
in mid-life, with a weighted average age (by value) of 14.8
years. Currently, all the 32 aircraft are on lease with
weighted average remaining maturity of 3.5 years.
-- That some of the lessees are in emerging markets where the
commercial aviation market is growing. That the class A and
B notes follow a 12.4-years-to-zero amortization profile
(straight-line amortization on 120 months in the first two
years and straight-line amortization on 156 months
thereafter), and the class C notes follow a 6.3-years-to-
zero amortization profile (straight-line amortization on 60
months for the first two years and straight-line
amortization on 84 months thereafter). Similar to the
majority of the recently rated aircraft securitization
transactions, this transaction has an expected final payment
date (seven years after closing) after which the class A and
B notes' amortization will be full turbo. That the class A
and B notes have a partial cash sweep of 25% in years five
and six, stepping up to 50% in year seven. The class C
notes have a partial cash sweep of 75% 18 months after
closing and have a full cash sweep after month 42. That if
a rapid amortization event (the debt service coverage ratio
or utilization triggers have been breached or seven years
after the initial closing date) has occurred and is
continuing, the class A notes' outstanding principal balance
will be paid from all available monthly cash flow. If no
rapid amortization event has occurred and is continuing but
a disposition deficit has occurred, the class A notes will
receive a disposition deficit amount. A similar arrangement
applies to the class B notes after the class A notes.
-- That a portion of the end-of-lease payments will be paid to
the class A, B, and C notes according to a percentage
equaling the aggregate then-current LTV ratio.
-- A revolving credit facility that equals nine months of
interest on the class A and B notes. A series C reserve
account (initially funded with $0.853 million) to cover the
series C notes' interest in the first three months. The
remaining amount at the end of month three will be
transferred to the collection account.
-- ICF International's provision of a maintenance analysis at
closing. After closing, Apollo Aviation Management Ltd.
(AAML) will perform the maintenance analysis, which will be
confirmed for reasonableness and achievability in an opinion
letter from ICF International. The senior maintenance
reserve account, the junior reserve account, and the engine
reserve account, which in aggregate must keep a balance of
the higher of: the lower of $1 million and the rated notes'
outstanding notional amount, and the sum of forward-looking
maintenance expenses and engine reserve account payments (up
to 12 months). Any excess maintenance amounts over the
required amount will be transferred to the collection
account.
-- The senior indemnification (capped at $10 million), which is
modeled to occur in the first 12 months.
-- The junior indemnification (uncapped), which is subordinated
to the rated classes' interest and principal payments.
-- AAML's, an affiliate of Apollo Aviation Group LLC (a multi-
strategy alternative investment firm specializing in
commercial aviation investing), experience in managing mid-
life and older aircraft assets.
RATINGS ASSIGNED
Apollo Aviation Securitization Equity Trust 2016-1
Class Rating Amount (mil. $)
A A (sf) 395
B BBB (sf) 80
C BB (sf) 35
BAKER STREET 2005-1: S&P Raises Rating on Cl. E Notes to BB+
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C, D, and E notes and affirmed its ratings on the class A-1, A-2,
and B notes from Baker Street Funding CLO 2005-1 Ltd., a U.S.
collateralized loan obligation (CLO) that closed in December 2005
and is managed by Seix Investment Advisors LLC. S&P also removed
its ratings on the class C, D, and E notes from CreditWatch, where
S&P placed them with positive implications on Feb 9, 2016.
The rating actions follow S&P's review of the transaction's
performance using data from the March 8, 2016, trustee report.
The upgrades reflect 117.65 million in collective paydowns to the
class A-1 and A-2 notes, as well as general improvement in the
credit quality of the underlying collateral since S&P's August 2014
rating actions. These paydowns have led to increased
overcollateralization (O/C) ratios. For example, the class E O/C
ratio increased to 108.24% as of March 2016 from 105.32% as of the
August 2014 trustee report, which S&P used for its last rating
actions.
In addition, the transaction is holding approximately $2.9 million
less in defaulted assets than in our August 2014 rating actions. As
of the March 8, 2016, trustee report, the transaction held $3.7
million in defaulted, down from the $6.6 million in defaulted
assets as of the Aug. 4, 2014, trustee report, which S&P used in
its August 2014 rating actions. In addition, the amount of 'CCC'
rated assets in the portfolio has decreased to $1.8 million from $5
million.
The transaction has also benefited from prepayments that have
occurred on the underlying collateral, which were used to either
pay down the rated notes or used to reinvest into additional
collateral. The affirmations reflect S&P's opinion that the credit
support available is commensurate with the current rating levels.
S&P's ratings on the class D and E notes reflect the application of
the largest obligor default test. The test addresses a
transaction's concentration risk. The largest obligor default test
constrained S&P's ratings on the class D and E notes at 'A+ (sf)'
and 'BB+ (sf)', respectively. The transaction currently has 50
performing obligors remaining with the five largest making up more
than 21% of the portfolio's performing collateral balance.
S&P's review of the transaction relied in part upon a criteria
interpretation with respect to S&P's May 2014 criteria, "CDOs:
Mapping A Third Party's Internal Credit Scoring System To Standard
& Poor's Global Rating Scale," published May 8, 2014, which allows
S&P to use a limited number of public ratings from other Nationally
Recognized Statistical Rating Organization's (NRSRO's) 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.
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.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Baker Street Funding CLO 2005-1 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 14.26% AAA (sf)
A-2 AAA (sf) AAA (sf) 14.26% AAA (sf)
B AAA (sf) AAA (sf) 14.26% AAA (sf)
C AA+ (sf)/Watch Pos AAA (sf) 14.26% AAA (sf)
D BBB+ (sf)/Watch Pos AA+ (sf) 11.36% A+ (sf)
E B+ (sf)/Watch Pos A+ (sf) 2.75% 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-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 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) A+ (sf)
E A+ (sf) A- (sf) A+ (sf) A+ (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 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 A+ (sf) A+ (sf) BB+ (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Baker Street Funding CLO 2005-1 Ltd.
Rating
Class To From
C AAA (sf) AA+ (sf)/Watch Pos
D A+ (sf) BBB+ (sf)/Watch Pos
E BB+ (sf) B+ (sf)/Watch Pos
RATINGS AFFIRMED
Baker Street Funding CLO 2005-1 Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
B AAA (sf)
BANC OF AMERICA 2001-1: Moody's Affirms C Rating on Class K Debt
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Banc of America Commercial Mortgage Inc. Commercial Mortgage
Pass-Through Certificates, Series 2001-1 as follows:
Cl. K, Affirmed C (sf); previously on Apr 2, 2015 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Apr 2, 2015 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating on the P&I class was affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor) of the
referenced classes.
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 March 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99.9% to $1.1
million from $948 million at securitization. The certificates are
collateralized by one mortgage loan which is currently in special
servicing.
Fifty-seven loans have been liquidated from the pool, forty-seven
of these loans resulted in an aggregate realized loss of $61.2
million (for an average loss severity of 27%). The only remaining
loan is the Flinn Springs MHP Loan ($1.13 million), which is
secured by a 50 pad mobile home park located in Flinn Springs,
California. The loan transferred to special servicing in March 2011
due to maturity default and the borrower declared bankruptcy soon
thereafter. The special servicer negotiated a term extension
through February 2016. The loan transferred back to special
servicing in February 2016 due to maturity default. The special
servicer indicated the borrower is working on refinancing the loan.
CALLIDUS DEBT VI: Moody's Affirms Ba3(sf) Rating on Class D Debt
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Callidus Debt Partners CLO Fund VI, Ltd.:
US$23,000,000 Class A-2 Senior Secured Floating Rate Notes Due
2021, Upgraded to Aaa (sf); previously on July 23, 2015 Upgraded to
Aa1 (sf)
US$17,500,000 Class B Senior Secured Deferrable Floating Rate Notes
Due 2021, Upgraded to A1 (sf); previously on July 23, 2015 Upgraded
to A2 (sf)
Moody's also affirmed the ratings on the following notes:
US$25,000,000 Class A-1D Delayed Draw Senior Secured Floating Rate
Notes Due 2021 (current outstanding balance of $15,815,938),
Affirmed Aaa (sf); previously on July 23, 2015 Affirmed Aaa (sf)
US$279,000,000 Class A-1T Senior Secured Floating Rate Notes Due
2021 (current outstanding balance of $176,505,867), Affirmed Aaa
(sf); previously on July 23, 2015 Affirmed Aaa (sf)
US$13,000,000 Class D Senior Secured Deferrable Floating Rate Notes
Due 2021, Affirmed Ba3 (sf); previously on July 23, 2015 Affirmed
Ba3 (sf)
US$20,500,000 Class C Senior Secured Deferrable Floating Rate Notes
Due 2021, Affirmed Baa3 (sf); previously on July 23, 2015 Upgraded
to Baa3 (sf)
Callidus Debt Partners CLO Fund VI, Ltd., issued in September 2007,
is a collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in October 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since July 2015. The Class A-1D
and A-1T notes have been paid down collectively by approximately
28.7% or $77.5 million since then. Based on the trustee's February
2016 report, the OC ratios for the Class A, Class B, Class C, and
Class D notes are reported at 131.8%, 121.9%, 112.1%, and 106.6%,
respectively, versus July 2015 levels of 123.6%, 116.6%, 109.4%,
and 105.3%, respectively.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2175)
Class A-1D: 0
Class A-1T: 0
Class A-2: 0
Class B: +2
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3263)
Class A-1D: 0
Class A-1T: 0
Class A-2: -1
Class B: -1
Class C: -1
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $283.9 million, no defaulted par, a
weighted average default probability of 17.98% (implying a WARF of
2719), a weighted average recovery rate upon default of 48.1%, a
diversity score of 45 and a weighted average spread of 3.1% (before
accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
CAPMARK VII: Moody's Hikes Class B Debt Rating to 'Ba1'
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Capmark VII -- CRE Ltd.:
Cl. B, Upgraded to Ba1 (sf); previously on Apr 1, 2015 Upgraded to
B1 (sf)
Cl. C, Upgraded to Caa1 (sf); previously on Apr 1, 2015 Affirmed
Caa3 (sf)
Cl. D, Upgraded to Caa3 (sf); previously on Apr 1, 2015 Affirmed Ca
(sf)
Moody's has also affirmed the ratings on the following notes:
Cl. E, Affirmed C (sf); previously on Apr 1, 2015 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Apr 1, 2015 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Apr 1, 2015 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Apr 1, 2015 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Apr 1, 2015 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Apr 1, 2015 Affirmed C (sf)
RATINGS RATIONALE
Moody's has upgraded the ratings on three classes of notes due to
prepayments and greater than expected recoveries on high credit
risk assets. Additionally, the credit quality of the remaining
asset pool has improved as evidenced by the weighted average rating
factor (WARF) and the weighted average recovery rate (WARR).
Moody's has affirmed the ratings on six classes of notes because
the 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 CLO)
transactions.
Capmark VII -- CRE Ltd. is a currently static cash transaction (the
reinvestment period ended in August 2011) wholly backed by a
portfolio of whole loans and senior participations (100% of the
collateral pool balance). As of the March 8, 2016 trustee report,
the aggregate note balance of the transaction, including preferred
shares, has decreased to $258.5 million from $386.3 million at last
review, and $1.0 billion at issuance. This is a result of
prepayments, regular amortization, recoveries from defaulted
assets, and interest re-classified as principal due to the failure
of certain par value tests.
No assets had defaulted as of the trustee's March 8, 2016 report.
Moody's has identified the following as key indicators of the
expected loss in CRE CLO transactions: the WARF, the weighted
average life (WAL), the 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 CLO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 5329,
compared to 6415 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Ba1-Ba3 (0.0% compared to 7.0% at last
review); and Caa1-Ca/C (100.0% compared to 93.0% at least review).
Moody's modeled a WAL of 2.0 years, the same as that at last
review. The WAL is based on assumptions about extensions on the
underlying loan collateral.
Moody's modeled a fixed WARR of 55.0%, compared to 53.4% at last
review.
Moody's modeled a MAC of 73.8%, compared to 99.9% at last review.
CBA COMMERCIAL 2006-1: Moody's Raises Cl. A Debt Rating to Caa2
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings on two classes in
CBA Commercial Assets, Small Balance Commercial Mortgage
Pass-Through Certificates Series 2006-1 as:
Cl. A, Upgraded to Caa2 (sf); previously on April 15, 2015,
Upgraded to Caa3 (sf)
Cl. X-1, Upgraded to Caa3 (sf); previously on April 15, 2015,
Affirmed C (sf)
RATINGS RATIONALE
The rating on the P&I class, Class A, was upgraded to align it with
Moody's expected loss. The deal has paid down approximately 45%
since last review.
The rating on the IO class, Class X-1 was upgraded based on the
weighted average rating factor or WARF of its referenced classes.
Moody's rating action reflects a base expected loss of 28.6% of the
current balance, compared to 23.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 20.3% of the
original pooled balance, compared to 20.9% at the last review.
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.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I class in this deal since 23% of the pool is in
special servicing and Moody's additionally identified eight
troubled loans, representing 20% of the pool. In this approach,
Moody's determines a probability of default for each specially
serviced and troubled loans that it expects will generate a loss
and estimates a loss given default based on a review of broker's
opinions of value (if available), other information from the
special servicer, available market data and Moody's internal data.
The loss given default for each loan also takes into consideration
repayment of servicer advances to date, estimated future advances
and closing costs. Translating the probability of default and loss
given default into an expected loss estimate, Moody's then applies
the aggregate loss from specially serviced loans to the most junior
class and the recovery as a pay down of principal to the most
senior class.
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 43, compared to 49 at Moody's last review.
DEAL PERFORMANCE
As of the March 25, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 87% to $22.3 million
from $166.8 million at securitization. The certificates are
collateralized by 66 mortgage loans with the top ten loans
constituting 36% of the pool.
Seventy loans have been liquidated from the pool, resulting in an
aggregate realized loss of $27.5 million. Nineteen loans,
constituting 23% of the pool, are currently in special servicing.
Moody's estimates an aggregate $4.0 million loss for the specially
serviced loans (80% expected loss on average).
Moody's has assumed a high default probability for eight poorly
performing loans, constituting 20% of the pool, and has estimated
an aggregate loss of $1.8 million (a 40% expected loss based on a
50% probability default) from these troubled loans.
Moody's weighted average conduit LTV is 93%. Moody's conduit
component excludes loans with credit assessments, defeased and CTL
loans, and specially serviced and troubled loans. Moody's net cash
flow (NCF) reflects a weighted average haircut of 18% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.27X and 1.29X,
respectively. 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.
CBAC 2004-1: Moody's Affirms Caa2 Rating on Class IO Certificates
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of seven classes
in CBA Commercial Assets, Small Balance Commercial Mortgage
Pass-Through Certificates Series 2004-1 (CBAC 2004-1)as follows:
Cl. A-1, Affirmed Aa3 (sf); previously on Apr 10, 2015 Affirmed Aa3
(sf)
Cl. A-2, Affirmed Aa3 (sf); previously on Apr 10, 2015 Affirmed Aa3
(sf)
Cl. A-3, Affirmed Aa3 (sf); previously on Apr 10, 2015 Affirmed Aa3
(sf)
Cl. M-1, Affirmed B3 (sf); previously on Apr 10, 2015 Affirmed B3
(sf)
Cl. M-2, Affirmed Caa3 (sf); previously on Apr 10, 2015 Affirmed
Caa3 (sf)
Cl. M-3, Affirmed C (sf); previously on Apr 10, 2015 Affirmed C
(sf)
Cl. IO, Affirmed Caa2 (sf); previously on Apr 10, 2015 Downgraded
to Caa2 (sf)
RATINGS RATIONALE
The ratings on the P&I classes A-1, A-2 and A-3 were 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 ratings on the P&I classes M-1, M-2 and M-3 were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO class was affirmed because the credit
performance of the referenced classes is consistent with Moody's
expectations.
Moody's rating action reflects a base expected loss of 20.4% of the
current balance compared to 22.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 13.1% of the
original pooled balance, compared to 13.6% 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 COULD 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 February 25, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 84% to $16 million
from $102 million at securitization. The certificates are
collateralized by 53 mortgage loans ranging in size from less than
1% to 8% of the pool, with the top ten loans (excluding defeasance)
constituting 39% of the pool.
Fifty loans have been liquidated from the pool, contributing to an
aggregate realized loss of $10 million (for an average loss
severity of 66%). Two loans, constituting 9% of the pool, are
currently in special servicing. Moody's estimates an approximately
$720,000 loss for the specially serviced loans (51% expected loss
on average).
Moody's has assumed a high default probability for 24 poorly
performing loans, constituting 49% of the pool, and has estimated
an aggregate loss of $2.3 million (a 30% expected loss based on a
50% probability default) from these troubled loans.
CEDARWOODS CRE II: S&P Lowers Rating on 6 Note Tranches to D
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the class
A-2, A-3, B, C, D, and E notes from Cedarwoods CRE CDO II Ltd., a
commercial real estate collateralized debt obligation (CRE CDO)
transaction. At the same time, S&P affirmed its rating on the
class A-1 notes at 'B- (sf)'.
According to the Feb. 4, 2016, trustee event of default and
acceleration notice, an event of default occurred on the Jan. 25,
2016, payment date when the class A principal coverage ratio fell
below the 101.75% trigger, per the transaction documents. In
addition, holders of not less than two-thirds of the aggregate
outstanding amount of the controlling class directed the trustee to
declare the principal of and accrued interest on all of the secured
notes (as specified in the transaction documents) to be immediately
due and payable.
Based on the note valuation report dated Feb. 19, 2016, all the
interest and principal proceeds were used to pay down the most
senior class A-1 notes. However, the non-deferrable class A-2,
A-3, and B notes did not receive the interest payments due on the
February payment date. Therefore, S&P affirmed the class A-1 notes
at their current 'B- (sf)' rating level and lowered its ratings on
the class A-2, A-3, and B notes to 'D (sf)' per S&P's criteria.
S&P also lowered the ratings on the class C, D, and E notes to
'D (sf)' from 'CC (sf)' to reflect its view that it is unlikely the
noteholders will receive their principal and deferred interest in
full by the final maturity date.
S&P will continue to review whether, in its view, the ratings
currently assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
RATINGS LOWERED
Cedarwoods CRE CDO Ltd.
Rating
Class To From
A-2 D (sf) CCC- (sf)
A-3 D (sf) CCC- (sf)
B D (sf) CCC- (sf)
C D (sf) CC (sf)
D D (sf) CC (sf)
E D (sf) CC (sf)
RATING AFFIRMED
Cedarwoods CRE CDO Ltd.
Class Rating
A-1 B- (sf)
CGGS COMMERCIAL 2016-RND: Fitch Rates Cl. E-FX Certs 'BB-sf'
------------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to the
CGGS Commercial Mortgage Trust 2016-RND pass through certificates,
series 2016-RND:
Pool A
-- $607,700,000a class A-FX certificates 'AAAsf'; Outlook
Stable;
-- $134,300,000a class B-FX certificates 'AA-sf'; Outlook
Stable;
-- $78,000,000a class C-FX certificates 'A-sf'; Outlook Stable;
-- $122,000,000a class D-FX certificates 'BBB-sf'; Outlook
Stable;
-- $173,000,000a class E-FX certificates 'BB-sf'; Outlook
Stable.
Pool B
-- $417,500,000a class A-FL certificates 'AAAsf'; Outlook
Stable;
-- $93,500,000a class B-FL certificates 'AA-sf'; Outlook
Stable;
-- $57,000,000a class C-FL certificates 'A-sf'; Outlook Stable;
-- $90,000,000a class D-FL certificates 'BBB-sf'; Outlook
Stable.
a Privately placed pursuant to Rule 144A.
Fitch does not rate the P-FX and P-FL classes, which have been
added to the capital structure. Fitch has withdrawn its expected
ratings on the class X-FX-CP, X-FX-NCP, X-FL-CP, and X-FL-NCP
certificates as the capital structure no longer includes these
classes.
The certificates represent the beneficial interest in a trust that
holds two loans, each consisting of a separate collateral pool and
secured primarily by lab office properties. The two loans in the
trust consist of:
-- One five-year, fixed-rate, interest-only $1.115 billion
mortgage loan secured by the fee and leasehold interests in
30 lab office properties and one multifamily property with a
total of 4.6 million square feet (sf) (Pool A);
-- One two-year, floating-rate, interest-only $658 million
mortgage loan secured by the fee and leasehold interests in
28 lab office properties with a total of 4 million sf (Pool
B).
Proceeds from the loans were used to facilitate Blackstone Real
Estate Partners VIII's acquisition of BioMed Realty Trust Inc.
(BioMed), a public REIT that owns, manages, and develops office and
laboratory space. On Jan. 27, 2016, Blackstone and certain of its
affiliates and subsidiaries completed the acquisition of BioMed for
total consideration of approximately $8.8 billion. The properties
securing the loans represent a substantial portion of BioMed's
stabilized lab office portfolio.
KEY RATING DRIVERS
High Quality Assets: Both Pool A and Pool B are collateralized by
portfolios of high-quality lab office properties located in highly
desirable and in-fill life science submarkets. Pool A received a
weighted average (WA) Fitch property quality grade of 'A-/B+' and
over one-half (as a percentage of NOI) of the properties were built
since 2000. Pool B received a WA Fitch property quality grade of
'B+' and approximately 75% of properties were built since 2000.
Pool Diversity: Pool A is collateralized by the fee (28) and
leasehold (three) interests in 31 (4.6 million sf) properties
located across three states and four distinct markets. Pool B is
collateralized by the fee (25) and leasehold (three) interests in
28 (4 million sf) lab office buildings located across 10 states.
The largest tenant exposure for Pool A is 10.9% by total base rent
(Ironwood Pharmaceuticals, Inc.), while Pool B is more concentrated
with its largest individual exposure at 36.9% (Regeneron
Pharmaceuticals, Inc.).
Trust Leverage: Pool A's Fitch stressed DSCR and LTV for the $1.115
billion mortgage loan are 1.04x and 86.4%, respectively. Pool B's
Fitch stressed DSCR and LTV for the $658 million trust mortgage
loan are 1.30x and 69.2%, respectively.
Institutional Sponsorship: The sponsor of the loans will be
Blackstone Real Estate Partners VIII, which is owned by affiliates
of the Blackstone Group, L.P. (Blackstone; rated 'A+/F1'). As of
Sept. 30, 2015, Blackstone had more than $330 billion in assets
under management.
RATING SENSITIVITIES
Fitch found that Pool A could withstand a 73.9% decline in value
and an approximate 53% decline in Fitch's implied net cash flow
prior to experiencing $1 of loss to the 'AAAsf' rated class. Pool
B could withstand a 74.7% decline in value and an approximate 56.1%
decline in Fitch's implied net cash flow prior to experiencing $1
of loss to the 'AAAsf' rated class. Fitch performed several stress
scenarios in which the Fitch net cash flow (NCF) was stressed.
Fitch evaluated the sensitivity of the ratings for class A-FX and
found that a 10% decline in Fitch's implied NCF would result in a
one-category downgrade, while a 36% decline would result in a
downgrade to below investment grade. Fitch also evaluated the
sensitivity of the ratings for class A-FL and found that a 10%
decline in Fitch's implied NCF would result in a one-category
downgrade, while a 37% decline would result in a downgrade to below
investment grade.
CGGS COMMERCIAL 2016-RND: Moody's Gives Ba2 Rating to Cl. E-FX Debt
-------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to nine
classes of CMBS securities, issued by CGGS Commercial Mortgage
Trust 2016-RND, Commercial Mortgage Pass-Through Certificates,
Series 2016-RND.:
Cl. A-FX, Definitive Rating Assigned Aaa (sf)
Cl. B-FX, Definitive Rating Assigned Aa3 (sf)
Cl. C-FX, Definitive Rating Assigned A3 (sf)
Cl. D-FX, Definitive Rating Assigned Baa2 (sf)
Cl. E-FX, Definitive Rating Assigned Ba2 (sf)
Cl. A-FL, Definitive Rating Assigned Aaa (sf)
Cl. B-FL, Definitive Rating Assigned Aa3 (sf)
Cl. C-FL, Definitive Rating Assigned A2 (sf)
Cl. D-FL, Definitive Rating Assigned Baa1 (sf)
RATINGS RATIONALE
Moody's said, "The securitization consists of two componentized
loans backing groups of fixed rate (FX) and floating rate (FL)
certificates. The FX Certificates are collateralized by one fixed
rate loan backed by a first lien commercial mortgage related to a
portfolio, Pool A, of 30 life science office and laboratory
properties and one multifamily property. The FL Certificates are
collateralized by one floating rate loan backed by a first lien
commercial mortgage related to a portfolio, Pool B, of 28 life
science and laboratory properties. Our ratings are based on the
quality of the collateral and the structure of the transaction.
"Our approach to rating this transaction involved the application
of both our Large Loan and Single Asset/Single Borrower methodology
and our IO Rating methodology. The rating approach for securities
backed by a single loan compares the credit risk inherent in the
underlying properties with the credit protection offered by the
structure. The structure's credit enhancement is quantified by the
maximum deterioration in property value that the securities are
able to withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, we also consider a range of
qualitative issues as well as the transaction's structural and
legal aspects.
"The credit risk of the loan is determined primarily by two
factors: 1) our assessment of the probability of default, which is
largely driven by the DSCR, and 2) our assessment of the severity
of loss in the event of default, which is largely driven by the LTV
of the underlying loan."
Moody's DSCR is based on its stabilized net cash flow. For the Pool
A loan component, the Moody's Trust First Mortgage DSCR is 2.78X
and Moody's Trust First Mortgage Stressed DSCR at a 9.25% constant
is 1.13X. For the Pool B loan component the Moody's Trust DSCR is
4.26X and Moody's Trust Stressed DSCR at a 9.25% constant is 1.49X,
inclusive of the non-pooled B-note the Moody's Total First Mortgage
DSCR is 3.00X and the Moody's Stressed Total First Mortgage DSCR is
1.19X. The Moody's LTV ratio for the Trust First Mortgage balance
on the Pool A loan component is 90.7%. Moody's LTV ratio for the
Trust Pool B loan component is 68.3%, inclusive of the non-pooled
B-note the Moody's LTV ratio on the Total First Mortgage is 85.4%.
The fixed rate and floating rate loan components that secure their
respective Certificates are not cross collateralized or cross
defaulted with each other. However, individually both loan
components are secured by cross-collateralized and cross defaulted
portfolios of properties. Loans secured by multiple properties
benefit from lower cash flow volatility given pooling. Excess cash
flow from one property can be used to augment another's cash flow
to meet debt service requirements. Although multiple property loans
also benefit from the pooling of equity from each underlying
property, significant correlations exist due to pooling within a
single property type, especially with respect to properties exposed
to a single industry. The fixed rate loan component is secured by
Pool A which has a property level Herfindahl score of 11.7. The
floating rate loan component is secured by Pool B which has a
property level Herfindahl score of 8.5.
The Borrowers may prepay up to 20% of the original outstanding
balance of each loan component on a pro rata basis in connection
with a collateral release or voluntary prepayment.
“Our rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced."
Moody's said, "Our review incorporated the use of the excel-based
Large Loan Model, which it uses for single borrower and large loan
multi-borrower transactions. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan level
proceeds derived from our MLTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, and property
type. These aggregated proceeds are then further adjusted for any
pooling benefits associated with loan level diversity, other
concentrations and correlations. Our analysis also uses the CMBS IO
calculator which references the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
"Moody's Parameter Sensitivities: If our value of the collateral in
Pool A used in determining the initial rating on the FX
certificates were decreased by 5.0%, 14.5%, and 23.1%, the
model-indicated rating for the currently rated Aaa (sf) class would
be Aa1, Aa3, and A3. If our value of the collateral in Pool B used
in determining the initial rating on the FL certificates were
decreased by 5.0%, 14.5%, and 23.2%, the model-indicated rating for
the currently rated Aaa (sf) class would be Aa1, Aa3, and A2.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
"These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer."
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 may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan paydowns or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
CHASE MORTGAGE 2016-1: Fitch Rates Class M-4 Certificates 'BBsf'
----------------------------------------------------------------
Fitch rates Chase Mortgage Trust 2016-1 (CMT 2016-1) as follows:
-- $1,656,006,000 class A certificates 'AAAsf'; Outlook Stable;
-- $42,462,000 class M-1 certificates 'AA-sf'; Outlook Stable;
-- $74,544,000 class M-2 certificates 'Asf'; Outlook Stable;
-- $50,010,000 class M-3 certificates 'BBBsf'; Outlook Stable;
-- $25,477,000 class M-4 certificates 'BBsf'; Outlook Stable.
Fitch will not be rating the $38,688,000 class B certificates.
This is the first RMBS transaction that Fitch is aware in which the
issuer intends to comply with the conditions set forth in the
Federal Deposit Insurance Corp. (FDIC) Securitization Safe Harbor
Rule, (the Rule) in order to benefit from the safe harbor. The FDIC
confirms legal isolation of the securitized assets from the seller
in the case of its insolvency if the issuer complies with the
conditions in the Rule.
The certificates are supported by 6,111 very high quality prime
jumbo and agency conforming loans with a total balance of
approximately $1.887 billion as of the cutoff date. Credit
enhancement for the 'AAAsf' certificates of 12.25% reflects Fitch's
loss expectations of 8.25% plus structural features such as the
full pro rata pay structure, the lack of principal and interest
advances, and the servicing incentive fees paid from available
funds. Fitch believes that many of the Safe Harbor Rule
requirements align the interests of the sponsor and originator with
those of the certificateholders and are credit positive for the
transaction as outlined below.
KEY RATING DRIVERS
Above-Average Originator: Based on its review of JPMorgan Chase
Bank, N.A. (Chase) origination platform for agency and non-agency
loans, Fitch believes that the bank has strong processes and
procedures in place and views its ability to originate agency and
non-agency loans as above average. Fitch reduced its probability of
default by 77 basis points (bps) at the 'AAAsf' stress scenario to
account for the strong operational quality of the loans.
High-Quality Fixed-Rate Mortgages: The transaction includes a mix
of conforming (75%) and non-conforming collateral (25%) made to
prime quality borrowers. All of the loans were originated either by
Chase or by one of its correspondents in accordance with its
relevant guidelines. The collateral consists of up to 30-year
fixed-rate mortgage loans and is seasoned roughly 14 months.
Strong Due Diligence Results: Loan level due diligence was
performed on 100% of the non-conforming loans and a statistical
sample for the agency loans. The diligence sample size and scope
for the agency loans are consistent with those of other
risk-sharing transactions referencing Chase mortgage collateral and
rated by Fitch. All but 17 loans received an initial 'A' or 'B'
grade, indicating strong underwriting practices and sound quality
control procedures.
Increased Credit Enhancement: The 12.25% initial credit enhancement
for the 'AAAsf' certificates is materially higher than Fitch's
'AAAsf' mortgage pool loss expectation of 8.25%, reflecting
structural features such as the lack of delinquent principal and
interest advances, a pro rata principal distribution and the
servicing incentive fees and other expenses paid from available
funds.
No Servicer P&I Advances: While the Rule allows for servicing
advancing up to a maximum of 90 days, this transaction is not
incorporating any advancing of delinquent principal and interest
(P&I). As P&I advances made on behalf of loans that become
delinquent and eventually liquidate reduce liquidation proceeds to
the trust, the loan-level loss severities (LS) are less for this
transaction than for those where the servicers are obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AA-sf' rated classes.
Pro Rata Structure: Unlike prime jumbo securitizations issued post
crisis, this transaction will incorporate a pro rata principal
distribution among all classes starting at the first payment date.
This allows for a larger amount of principal distributed to the
subordinate bonds and a faster depletion of credit enhancement than
a standard shifting interest structure. However, the transaction
incorporates various performance triggers that can lock the
subordinate bonds out of principal, and a subordination floor of 55
basis points (bps) prevents distributions to the subordinate bonds
to protect against adverse selection risk as the collateral pool
pays down. The initial credit enhancement reflects the probability
of subordinate balance paydowns over time.
Strong Alignment of Interests: Because the Rule requires the
sponsor, Chase, to retain an economic interest of at least 5% of
the credit risk of the securitized assets, Fitch believes the
transaction benefits from a strong alignment of interest in the
credit risk of the underlying collateral. The sponsor intends to
retain a 5% vertical interest in each class of certificates (other
than the class A-R certificates).
Loan Compliance Representation and Warranty: The Rule requires that
the loan documents for an RMBS transaction contain an additional
representation regarding loan underwriting compliance with
supervisory guidance governing the underwriting of residential
mortgages, including the Interagency Guidance on Non-Traditional
Mortgage Products, Oct. 5, 2006, and the Interagency Statement on
Subprime Mortgage Lending, July 10, 2007, and such other or
additional guidance applicable at the time of loan origination,
which, in Fitch's view, provides additional assurances about the
sound quality of the underlying pool.
Rep and Warranty Qualifiers: While the Rule for RMBS requires that
5% of the cash proceeds due to the sponsor be held in a reserve
fund for 12 months for loan repurchases due to breaches of reps and
warranties, which further aligns the interests of the seller with
those of the certificateholders, many of the reps contain
qualifying or conditional language that could result in fewer loan
repurchases. For this reason, Fitch increased the probability of
default for the 'AAAsf' class by 67 bps.
Servicing Framework to Benefit All Classes: The Rule requires that
RMBS loan servicing be conducted in accordance with best practices
for asset management; loss mitigation to commence when a loan
becomes 90 days delinquent; and that incentive fees be paid for
loan restructuring or other loss mitigation activities that
maximize the net present value of the loans. This requirement,
which also mandates that records be kept for subsequent review by
the trustee or an investor representative, is intended to protect
all classes from potentially detrimental activities that benefit
one class of investors at the expense of another. Servicing
incentive fees are paid from available funds.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected 5.5%. The analysis indicates that there is some potential
rating migration with higher MVDs, compared with the model
projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'. For example, additional MVD
of 6%, 31% and 52% could potentially lower the 'AAAsf' rated class
one rating category, to non-investment grade, and to 'CCCsf'.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from AMC
Diligence, LLC (AMC) on 100% of the non-agency loans and a
statistical sample of the conforming balance loans in the
collateral pool. Fitch received certifications indicating that the
loan-level due diligence was conducted in accordance with its
published standards for reviewing loans and in accordance with the
independence standards outlined in its criteria. The diligence
results showed minimal findings with some nonmaterial exceptions or
waivers. All such findings were sufficiently mitigated with
compensating factors. Fitch believes the overall results of the
review generally reflected strong underwriting controls.
CRITERIA APPLICATION
Fitch analyzed the transaction in accordance with its RMBS rating
criteria, as described in its January 2016 report, 'U.S. RMBS
Master Rating Criteria.' This incorporates a review of the
originators' lending platforms, as well as an assessment of the
transaction's R&Ws provided by the originators and arranger, which
were found to be consistent with the ratings assigned to the
certificates.
An exception was made to Fitch's 'U.S. RMBS Cash Flow Analysis
Criteria' with respect to the delinquency rate vectors used to
analyze structures with limited or no servicer advancing mechanism.
The delinquency rate vectors used are still derived from Fitch's
front-loaded, mid-loaded and back-loaded CDR curves; however,
rather than use an 18-month liquidation timeline, the assumed
liquidation timelines will be based on each rating category's
projected timelines. In addition, a recovery rate based on the
adjusted probability of default and cure rate adjustment (CRA), as
described in Fitch's 'Exposure Draft: U.S. RMBS Loan Loss Model
Criteria,' was incorporated.
The structure of the transaction does not apply interest on
deferred interest amounts, which is inconsistent with Fitch's
'Criteria for Rating Caps and Limitations in Global Structured
Finance Transactions' for high investment-grade ratings. Given that
Fitch rates to the terms of a transaction and the deferred amount
can be factored into the investor's economic investment decision
prior to investing, Fitch did not deem this exception as material.
In accordance for the 'U.S. RMBS Master Rating Criteria', Fitch
looks for a true sale opinion for RMBS. This transaction is
structured in accordance with the FDIC's Safe Harbor Rule so no
true sale opinion is necessary. Fitch received an opinion
addressing the treatment of the assets in connection with this
transaction with respect to the FDIC Securitization Safe Harbor
Rule.
CHASE MORTGAGE 2016-1: Moody's Assigns Ba3 Rating on Cl. M-4 Debt
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to five
classes of residential mortgage-backed securities (RMBS) issued by
Chase Mortgage Trust 2016-1 (Chase 2016-1). The ratings range from
Aaa (sf) to Ba3 (sf).
Chase 2016-1 is potentially the first residential mortgage-backed
security (RMBS) transaction issued under the Federal Deposit
Insurance Corporation's (FDIC) securitization safe harbor rule that
went into effect Sept. 30, 2010. Unlike other RMBS transactions
that structure the transfer of mortgage loans to the trust as legal
"true sales" to achieve de-linkage from the effects of a sponsor
insolvency, this transaction has been structured under the
securitization safe harbor rule to mitigate the risk of the FDIC's
exercise of its repudiation power in the unlikely event that the
FDIC becomes the receiver or conservator of JPMorgan Chase Bank,
N.A. (JPMCB or Chase) (LT/ST: Aa2/P-1). JPMCB will retain 5% of
each class of Certificates to comply with FDIC safe harbor
provisions, effectively providing some risk retention and aligning
its incentive with investors in the transaction.
The transaction incorporates several features unique to post-crisis
RMBS that are credit positive for the bondholders in the
transaction, senior bonds in particular. It incorporates several
features that result in new protections for senior bonds and better
alignment with senior investors' interest. Specifically: 1) A
pro-rata payment structure with multiple and more stringent
performance triggers than other post-crisis transactions; these
triggers redirect to the more senior notes cash that would
otherwise go to the junior notes in the event of performance
deterioration, 2) Lack of principal and interest (P&I) servicer
advancing that will boost ultimate liquidation recoveries on
delinquent loans available for senior bondholders. The lack of P&I
advancing will also reduce the unpredictability of cash flows
driven by servicer stop-advance policies or practices and 3)
Immediate recognition of modification losses that allocates more
cash to senior bonds because written-down junior bonds accrue less
interest.
Separately, the transaction protects against disruption of cash
flow to the bonds and resulting interest shortfalls due to the lack
of P&I advancing by providing for interest payments (including
interest shortfalls if any) and principal payments to be paid from
aggregate available funds. Moreover, Chase is obligated to make
protective advances in respect of certain taxes, insurance premiums
and the cost of the preservation, restoration and protection of the
mortgaged properties and any enforcement or judicial proceedings,
including foreclosures.
The certificates are backed by one pool of 6,111 (74% Conforming
and 26% Non-Conforming) prime quality, fixed rate, fully amortizing
first-lien residential mortgage loans, originated by Chase, who
will also serve as the servicer for the transaction. U.S. Bank
Trust National Association will serve as the trustee.
The complete rating actions are:
Issuer: Chase Mortgage Trust 2016-1
Class A, Definitive RatingAssigned Aaa (sf)
Class M-1, Definitive Rating Assigned Aa1 (sf)
Class M-2, Definitive Rating Assigned Aa3 (sf)
Class M-3, Definitive Rating Assigned Baa2 (sf)
Class M-4, Definitive Rating Assigned Ba3(sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the collateral pool is
0.55% in a base scenario and reaches 5.70% at a stress level
consistent with the Aaa ratings on the senior certificate.
Moody's calculated losses on the pool using our US MILAN model.
Loan-level adjustments to the model-implied losses included
adjustments to borrower probability of default for higher and lower
borrower Debt-To-Income Ratios (DTIs), borrowers with multiple
mortgaged properties, self-employed borrowers, and at a pool level,
for the default risk of HOA properties in super lien states.
Moody's final loss estimates also incorporate adjustments related
to originator assessment (we assess Chase as a strong originator of
prime jumbo residential mortgage loans) and the third-party review
(TPR) findings. For the conforming loans, Moody's modeled its
severity estimate using conforming loan-specific severity data
published by Freddie Mac.
Given the unique pro-rata pay structure, servicing fee structure
and the lack of P&I advancing in the transaction, we modeled the
cash flows under a range of loss timing, servicing fee and
stop-advance assumptions to evaluate the impact on the bonds and
the resulting ratings under the different scenarios. Moody's final
ratings on the bonds incorporate the results under the different
scenarios.
Key Collateral Characteristics
Chase 2016-1 is a securitization of a pool of 6,111 fixed-rate
prime conforming and non-conforming fully-amortizing loans with a
total balance of $1,887,187,001 and a remaining term to maturity of
343 months, with a weighted average (WA) seasoning of 14 months.
The borrowers in this transaction have high FICO scores and
sizeable equity in their properties. The WA original FICO score is
768 and the WA combined original loan-to-value ratio (CLTV) is
79.6%. Although the majority of the loans were originated through
a correspondent lender (65.7%), this is offset by the stronger
property types (56.5% single-family), occupancy (99.4%
owner-occupied) and purpose (67.3% purchase) of the loans.
Moreover, the pool is geographically diverse with 25.4% of the
loans originated in California, 9.6% in New York and 8.9% in Texas.
The characteristics of the loans underlying the pool are
comparable to that of recent GSE credit risk transfer and prime
jumbo deals that Moody's has rated.
All of the mortgage loans in the pool were originated and serviced
by Chase. Chase is a strong originator based on our Originator
Assessment for prime jumbo loans. Reflecting Moody's assessment of
Chase's prime jumbo underwriting, Moody's marginally reduced its
stress loss expectations for the non-conforming part of the pool.
Based on Moody's servicer assessment, Chase also has an
above-average servicing ability as a primary servicer of prime
residential mortgage loans.
Third-party Review and Reps & Warranties
AMC Diligence, LLC, an independent third-party diligence provider,
conducted 100% review on the 758 non-conforming loans and randomly
selected 829 loans from the 5,353 conforming loans. All loans were
reviewed for credit, compliance, appraisal and data integrity.
None of the non-conforming loans reviewed had any significant
defects, 11 of the 829 conforming loans received final Moody's
credit grades of Cs or Ds and were removed from the pool. Also, one
loan from the conforming sample with a high appraisal variance was
removed from the pool. Any data discrepancies observed were
repaired and updated on the loan tape. Moody's increased its Aaa
loss expectations marginally to reflect the findings of conforming
loans' credit quality from the sample review to the broader pool
that did not benefit from the due diligence review.
All of the loans were originated prior to March 2015, thus no loans
were subject to the TILA-RESPA Integrated Disclosures (TRID) rules,
which became effective 3 October 2015. Moreover, all 758
non-conforming loans adhere to the Ability-To-Repay (ATR)/Qualified
Mortgage (QM) rule, and because the conforming loans were
underwritten to Fannie Mae and Freddie Mac guidelines, they meet QM
standards.
Chase, as the mortgage loan seller, has provided clear
representations and warranties (R&Ws) including an unqualified
fraud R&W. There is a provision for binding arbitration in the
event of dispute between investors and the R&W provider concerning
R&W breaches. The breach review is objective, thorough,
transparent, consistent and independent, and will be conducted by
Pentalpha Surveillance, LLC who is an independent third-party with
expertise in forensic loan reviews. The securities administrator
will establish and maintain a repurchase reserve fund which will be
held for 12 months and will be initially equal at least 5% ($8MM)
of the cash proceeds from the securitization. Given the
originator's business practices and the sunset period for the
reserve fund we don't expect this fund to be utilized materially
but it does provide additional support to the R&W framework.
Servicing Arrangement
Moody's considers the overall servicing arrangement for this pool
to be adequate. Moody's assess Chase at SQ2, indicating an above
average servicing ability as a primary servicer of prime
residential mortgage loans.
Servicing compensation for loans in this transaction is based on a
fee-for-service incentive structure. The fee-for-service incentive
structure includes an initial base fee of $19 per loan monthly for
all performing loans and increases if the loans default with
monetary incentive fee for non-performing loans. By establishing a
base servicing fee for performing loans that increases with the
delinquency of loans, the fee-for-service structure aligns monetary
incentives to the servicer with the costs of the servicer. The
fee-for-service compensation is reasonable and adequate for this
transaction. It also better aligns the servicer's costs with the
deal's performance and structure. Class B (NR) is first in line to
absorb any increase in servicing costs above the base servicing
costs.
The institutional and reputational strength of the servicer,
alignment of costs with the monetary compensation for more
difficult tasks, incentive alignment due to risk retention and
requirements under FDIC safe harbor collectively mitigate the moral
hazard that the servicing arrangement will unduly influence the
servicers' behavior. By contrast, in typical RMBS transactions a
servicer can take actions, such as modifications and prolonged work
outs, which increase the value of its mortgage servicing rights.
The Transaction Structure
The transaction follows a simple pro-rata payment structure amongst
the certificates with reverse sequential loss allocation and strong
performance tests. High initial subordination relative to standard
shifting interest (SI) structures and the presence of strong
performance tests make the pro-rata transaction structure neutral
to SI structures. Moreover, the transaction allows for all funds
collected (defined as the available distribution amount), including
interest and principal payments, liquidation proceeds, subsequent
recoveries, insurance proceeds and repurchase amounts, to be used
to make interest payments and then principal payments to the senior
bonds and subordinate bonds on a pro-rata basis. However, any
trust expenses (subject to an annual expense cap of $500K) and
other expenses are deducted from available distribution. This will
reduce the funds available to pay the certificates.
By itself, the pro-rata structure is weaker than SI structures
since unlike SI structures that feature a blanket lock-out period
during which senior bonds amortize faster, the pro-rata structure
allows for depletion of subordination at the outset resulting in
exposure to the senior bonds to credit deterioration. However,
this transaction effectively mitigates against this risk through
the multiple and stringent performance tests that divert payments
to the bonds with higher payment priorities in the waterfall upon
performance deterioration. Also, it is potentially the first prime
transaction in the US which recognizes and incorporates in certain
performance tests the future losses that may result from loans that
are already seriously delinquent.
Performance Tests
The transaction will allocate 100% of prepayments to senior
tranche if the current senior percentage exceeds the senior
percentage as of the closing date minus 25% of the non-
performing loan balance, defined as the percentage of loans
that are more than 90 days delinquent, in foreclosure, subject
to bankruptcy, or are real-estate owned (REO). Although not
strong as the lock-out feature in SI deals, this test is a
strong mitigant to the pro-rata structure since it allows for
faster amortization of the senior bonds (and hence percentage
increase in credit enhancement) in the event of collateral
under-performance.
The transaction provides for Class B lock-out amount of
$10,400,000, which mitigates tail risk by protecting both the
senior and subordinate bonds from eroding credit enhancement
over time.
Additionally, all principal collected will be used to pay down
the senior certificates if the aggregate class principal amount
of the subordinate certificates is less than or equal to 0.55%
of the cut-off date balance, or the aggregate class principle
balance of the Class M-4 and the Class B certificates is zero,
or the six months average 60 days or more (including
foreclosure, bankruptcy and REO) delinquent loans and all
modified loans within 12 months prior to distribution date
equals or exceeds 25% of current aggregate balance of
subordinate certificates, or cumulative realized loss amount
exceeds 10% of original subordinate balance. The delinquency
and cumulative loss tests here are stronger than in standard SI
deals which set these triggers typically at 50% of
subordination balance and up to 40% of original subordination
amount.
For each class of subordinate certificates (other than the
subordinate certificate then outstanding with the highest
payment priority), if the sum of the subordinate class
percentage for such class and that of the classes below is less
than the sum of the original credit support of that class and
25% of the non-performing loan percentage, then the subordinate
principal distribution will be zero.
Factors that would lead to an upgrade or downgrade of the rating:
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.
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.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS," published in February 2015.
CITI HELD 2016-PM1: Fitch Assigns B Rating on Class C Notes
-----------------------------------------------------------
Fitch Ratings assigns these ratings to the Citi Held for Asset
Issuance 2016-PM1 notes:
-- Class A notes 'A-sf'; Outlook Stable;
-- Class B notes 'BBB-sf'; Outlook Stable;
-- Class C notes 'Bsf'; Outlook Stable.
KEY RATING DRIVERS
Adequate Collateral Quality: The 2016-PM1 trust pool consists of
100% unsecured, fixed-rate, fully amortizing, consumer loans that
have either 36- or 60-month original loan terms, as well as
originated and serviced on Prosper's marketplace online lending
platform. The pool exhibits a weighted average FICO score of 704
and a weighted average borrower rate of 13.57%.
Sufficient Credit Enhancement and Liquidity Support: The initial
hard credit enhancement (CE) for class A, B and C is expected to be
33.00%, 25.10% and 12.00%, respectively. Liquidity support is
provided by a non-declining reserve account, which will be fully
funded at closing at 0.50% of the initial pool balance. Transaction
cash flows were satisfactory under all stressed scenarios,
commensurate with the ratings.
Untested Performance through a Full Economic Cycle: Loans
originated and serviced via online platforms, such as Prosper's, do
not yet have a performance history through a recessionary
environment. Furthermore, as the underlying consumer loans are
unsecured and primarily intended for debt consolidation, Fitch
expects borrowers to treat paying down these loans as a lower
priority relative to other borrowings, such as an auto loan or a
mortgage. As such, the pool could experience especially elevated
default frequency in an economic downturn. Fitch placed a rating
cap on this transaction of 'Asf'.
Satisfactory Servicing Capabilities: Prosper will service all the
loans in the 2016-PM1 trust, and Citibank, N.A. will act as the
backup servicer. Fitch considers the servicing operations of
Prosper of consumer loans to be acceptable and Citibank, as a
backup servicer, to be effective.
RATING SENSITIVITIES
As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels
and/or prepayment speeds than the base case. This will result in a
decline in available CE and the remaining loss coverage levels
available to the notes. Therefore, note ratings may be susceptible
to potential negative rating actions, depending on the extent of
the decline in the coverage.
Rating sensitivity results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. Rating sensitivity should not be used as an
indicator of future rating performance.
DUE DILIGENCE USAGE
No third party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
CITIGROUP 2004-C2: S&P Affirms BB+ Rating on Class G Certificates
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on five
classes of commercial mortgage pass-through certificates from
Citigroup Commercial Mortgage Trust 2004-C2, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on four other classes from the same
transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow S&P's 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.
S&P raised its ratings on classes B through F to reflect its
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. The
upgrades also follow S&P's views regarding the collateral's current
and future performance, the amount of defeased loans in the pool
($52.6 million, 45.8%), and the reduced trust balance.
The affirmations on the principal- and interest-paying certificates
reflect S&P's expectation that the available credit enhancement for
these classes will be within S&P's estimate of the necessary credit
enhancement required for the current ratings and our views
regarding the collateral's current and future performance.
While available credit enhancement levels suggest further positive
rating movements on classes C through F and positive rating
movements on classes G through J, S&P's analysis considered the
susceptibility of reduced liquidity support from the three
specially serviced assets ($29.3 million, 25.5%). S&P affirmed its
'AAA (sf)' rating on the class XC interest-only (IO) certificates
based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the March 17, 2016, trustee remittance report, the collateral
pool balance was $114.9 million, which is 11.2% of the pool balance
at issuance. The pool currently includes six loans and two real
estate owned (REO) assets, down from 106 loans at issuance. Three
of these assets are with the special
servicer, two loans are defeased, and one ($7.8 million, 6.8%) is
on the master servicer's watchlist. The master servicer, Midland
Loan Services, reported financial information for 70.1% of the
nondefeased loans in the pool, of which 31.8% was year-end 2015
data, and the remainder was year-end 2014 data.
S&P calculated a 1.25x Standard & Poor's weighted average debt
service coverage (DSC) and a 70.0% Standard & Poor's weighted
average loan-to-value (LTV) ratio using a 7.73% Standard & Poor's
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the three specially
serviced assets and two defeased loans.
To date, the transaction has experienced $24.5 million in principal
losses (2.4% of the original pool trust balance). S&P expects
losses to reach approximately 3.3% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
three specially serviced assets.
CREDIT CONSIDERATIONS
As of the March 17, 2016, trustee remittance report, three assets
in the pool were with the special servicer, Torchlight Loan
Services LLC. Details of the three specially serviced assets are:
-- The Williamsburg Shopping Center REO asset ($18.6 million,
16.2%), the largest nondefeased asset in the transaction and
with the special servicer, has $22.2 million in total
reported exposure. The asset is a 249,184-sq.-ft. retail
property in Williamsburg, Va. The loan transferred to the
special servicer on March 21, 2014, due to imminent default.
The property became REO on Aug. 12, 2014. The reported
occupancy and DSC as of year-end 2013 were 67.7% and 0.82x,
respectively. A $4.7 million appraisal reduction amount
(ARA) is in effect against this asset, and S&P expects a
moderate loss upon its eventual resolution.
-- The West Village Commons loan ($6.2 million, 5.4%), the
second smallest nondefeased asset in the transaction and
second-largest asset with the special servicer, has
$7.4 million in total reported exposure. The loan is
secured by a 100,538-sq.-ft. retail center in Tampa, Fla.
The loan was transferred to special servicer on Sept. 5,
2014, because of maturity default. The loan matured on
Aug. 11, 2014. The special servicer indicated that it is
dual tracking foreclosure/receivership and is in
negotiations with the borrower. The reported DSC as of
year-end 2014 was 1.12x and the property was approximately
49.0% occupied as of Jan. 31, 2016. A $1.3 million ARA is
in effect against this loan, and S&P expects a moderate loss
upon its eventual resolution.
-- The Cantera Commons Shopping REO asset ($4.5 million, 3.9%)
has $5.4 million in total reported exposure. The asset is
a 17,855-sq.-ft. retail property in Warrenville, Ill. The
loan was transferred to the special servicer on June 10,
2014, due to maturity default. The property became REO on
Oct. 20, 2015. The special servicer indicated that it will
continue efforts to lease up the vacant space to reach a
stabilized occupancy and achieve the highest sale price and
recovery for the trust. According to Torchlight, the
property is currently 42.0% occupied. A $1.0 million ARA is
in effect against the asset, and S&P expects a moderate loss
upon its eventual resolution.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Citigroup Commercial Mortgage Trust 2004-C2
US$1.03 bil commercial mortgage pass-through certificates series
2004-C2
Rating
Class Identifier To From
B 173067EH8 AAA (sf) AA+ (sf)
C 173067EJ4 AA+ (sf) AA (sf)
D 173067EK1 AA (sf) A+ (sf)
XC 173067EL9 AAA (sf) AAA (sf)
E 173067EQ8 AA- (sf) A- (sf)
F 173067ES4 A (sf) BBB (sf)
G 173067EU9 BB+ (sf) BB+ (sf)
H 173067EW5 BB- (sf) BB- (sf)
J 173067EY1 B+ (sf) B+ (sf)
CITIGROUP COMMERCIAL 2016-GC37: Fitch to Rate Cl. E Certs 'BB-sf'
-----------------------------------------------------------------
Fitch Ratings has issued a presale report for Citigroup Commercial
Mortgage Trust 2016-GC37 Commercial Mortgage Pass-Through
Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $21,993,000 class A-1 'AAAsf'; Outlook Stable;
-- $19,474,000 class A-2 'AAAsf'; Outlook Stable;
-- $175,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $227,379,000 class A-4 'AAAsf'; Outlook Stable;
-- $42,462,000 class A-AB 'AAAsf'; Outlook Stable;
-- $526,255,000a class X-A 'AAAsf'; Outlook Stable;
-- $33,868,000a class X-B 'AA-sf'; Outlook Stable;
-- $39,947,000b class A-S 'AAAsf'; Outlook Stable;
-- $33,868,000b class B 'AA-sf'; Outlook Stable;
-- $106,814,000b class EC 'A-sf'; Outlook Stable;
-- $32,999,000b class C 'A-sf'; Outlook Stable;
-- $38,210,000c class D 'BBB-sf'; Outlook Stable;
-- $38,210,000ac class X-D 'BBB-sf'; Outlook Stable;
-- $19,105,000c class E 'BB-sf'; Outlook Stable;
-- $7,816,000c class F 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) 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.
(c) Privately placed and pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of April 1, 2016. Fitch does not expect to rate the
$7,816,000 class G or the $28,657,724 class H.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 54 loans secured by 64
commercial properties having an aggregate principal balance of
approximately $697.4 million as of the cut-off date. The loans were
contributed to the trust by Citigroup Global Markets Realty Corp.,
Rialto Mortgage Finance, LLC, The Bank of New York Mellon, Goldman
Sachs Mortgage Company and RAIT Funding, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 76.4% of the properties
by balance, cash flow analysis of 87.6%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool has higher leverage statistics than
other recent Fitch-rated transactions. The pool's weighted average
(WA) Fitch DSCR of 1.04x is below both the YTD 2016 average of
1.14x and the 2015 average of 1.18x. The pool's WA Fitch LTV of
115.3% is above both the YTD 2016 average of 108.7% and the 2015
average of 109.3%.
High Pool Concentration: The largest 10 loans account for 56.1% of
the pool by balance. This is in line with the YTD 2016 average of
56.2% and greater than the 2015 average of 49.3%. The pool's
average concentration resulted in a loan concentration index (LCI)
of 419, which is comparable to the YTD 2016 average of 430, but
worse than the 2015 average of 367.
Good Primary Market Exposure: Seven out of the top 10 properties
totaling 39.7% of the pool are located in the central business
districts of primary markets including New York, Denver, Los
Angeles and Austin.
Above-Average Hotel Exposure: There are six loans, representing
16.2% of the pool, that consist of hotel properties, plus a
mixed-use building with a hotel component that makes up 5.7% of the
pool. This is higher than the YTD 2016 average of 14.9% and the
2015 average hotel concentration of 17%. Hotels have the highest
probability of default in Fitch's multiborrower CMBS model.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.8% 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 CGCMT
2016-GC37 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 'BBB+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 'BBB-sf'
could result.
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 54 mortgage loans. Fitch considered this information in its
analysis and the findings did not have an impact on the analysis.
COMM 2013-CCRE13: Fitch Affirms B Rating on Cl. F Certificates
--------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Deutsche Bank Securities,
Inc.'s COMM 2013-CCRE13 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
majority of the underlying collateral pool. The Negative Outlooks
on Classes E and F reflect the underperformance of three Fitch
Loans of Concern (3.1% of the pool), including two loans secured by
properties located in the troubled Bakken shale region of North
Dakota. During a recent tour of the region to assess market
conditions, Fitch visited both properties and confirmed the low
demand for housing in their immediate areas.
As of the March 2016 distribution date, the pool's aggregate
principal balance has been reduced by 1.9% to $1.1 billion from
$1.13 billion at issuance. The pool has experienced no realized
losses to date. No loans are defeased.
The largest Fitch Loan of Concern (2.2%) is secured by a mixed-use
property located in downtown Philadelphia, PA. The property
consists of approximately 40,000 square feet (sf) of ground floor
retail space, 8,000 sf of second-floor office space, 14 residential
units, and a 318-space parking garage. At closing, a high-end
specialty grocer had signed a lease for approximately 20,000 sf of
retail space with an expected move-in date of September 2014. The
tenant never took possession of the space and requested to be
released from its lease.
Approximately 50% of the retail space remains vacant. However, the
borrower has reportedly submitted a request to the Lender for
approval of a new lease with a different small grocer for 16,215 sf
of first-floor space, which is currently being reviewed by the
servicer. The servicer reported year-end 2015 net operating income
(NOI) debt service coverage ratio (DSCR) was 0.67x. A debt service
guarantee from the sponsor is currently in place.
Two additional Fitch Loans of Concern are secured by multifamily
properties located in the Bakken shale region of ND, which has been
severely impacted by the steep decline in oil prices. The
Dickinson 16 loan (0.13%), which recently transferred to special
servicing due to a payment default, is secured by a 16-unit
multifamily property located in the city of Dickinson. Occupancy
at the property declined from 100% at Issuance to 37% at year-end
2015. The Washington Valley Apartments loan (0.77%) is secured by
a 72-unit multifamily complex located in Williston, ND. The
year-end 2015 rent roll reported an occupancy of 60% compared with
94% at Issuance. While the loan has reportedly not been
transferred to the special servicer, it is currently due for both
the January and February 2016 payments.
RATING SENSITIVITIES
The Negative Outlooks on classes E and F reflect potential negative
impact to the classes from the three poorly performing Fitch Loans
of Concern. Downgrades to the classes are possible should the
loans' performance not improve.
The Rating Outlooks for all other classes is Stable. Should
overall portfolio performance remain steady or improve and loans
continue to receive paydown, classes B through D could be upgraded
in the future. All classes are subject to downgrade should
performance decline.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these classes as indicated and assigned or
revised Rating Outlooks as indicated:
-- $29.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $187.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $72.7 million class A-SB at 'AAAsf'; Outlook Stable;
-- $175 million class A-3 at 'AAAsf'; Outlook Stable;
-- $287.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $105 million class A-M at 'AAAsf'; Outlook Stable;
-- $47 million class B at 'AA-sf'; Outlook Stable;
-- $52.5 million class C at 'A-sf'; Outlook Stable;
-- $0 class PEZ* at 'A-sf'; Outlook Stable;
-- $55.3 million class D at 'BBB-sf'; Outlook Stable;
-- $22.1 million class E at 'BBsf'; Outlook to Negative from
Stable;
-- $9.7 million class F at 'Bsf'; Outlook to Negative from
Stable;
-- $860.4 million class X-A** at 'AAAsf', Outlook Stable;
-- $154.8 million class X-B** at 'BBB-sf', Outlook Stable.
* The class A-M, B and C certificates may be exchanged for class
PEZ certificates, and class PEZ certificates may be exchanged for
the class A-M, B and C certificates.
** Notional amount and interest only.
Fitch does not rate the class X-C, G and SLG certificates.
COMM 2013-CCRE7: Moody's Affirms B2 Rating on Class G Debt
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings of seventeen
classes in COMM 2013-CCRE7 Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2013-CCRE7 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed Aaa
(sf)
Cl. A-3FL, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed
Aaa (sf)
Cl. A-3FX, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Apr 16, 2015 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Apr 16, 2015 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Apr 16, 2015 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Apr 16, 2015 Affirmed Ba2
(sf)
Cl. F, Affirmed Ba3 (sf); previously on Apr 16, 2015 Affirmed Ba3
(sf)
Cl. G, Affirmed B2 (sf); previously on Apr 16, 2015 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Apr 16, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed A2 (sf); previously on Apr 16, 2015 Affirmed A2
(sf)
Cl. PEZ, Affirmed A1 (sf); previously on Apr 16, 2015 Affirmed A1
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were 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 transaction contains exchangeable certificates. Classes A-M, B
and C may be exchanged for Class PEZ certificates. The EC
certificates will be entitled to receive the sum of interest and
principal distributable on the Classes A-M, B and C certificates
that are exchanged for such PEZ certificates. The rating on Class
PEZ was affirmed based on the WARF of its reference classes.
The ratings on the IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of
their referenced classes.
Moody's rating action reflects a base expected loss of 3.0% of the
current balance, compared to 2.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.9% of the original
pooled balance, compared to 2.5% at the last review.
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 March 11, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $889 million
from $936 million at securitization. The certificates are
collateralized by 58 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans constituting 55% of
the pool. Two loans, constituting less than 1% of the pool have
defeased and are secured by US government securities.
Three loans, constituting 9% 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.
No loans have been liquidated from the pool since securitization.
Three loans, constituting 2% of the pool, are currently in special
servicing. The loans ($15.2 million -- 1.7% of the pool), are
secured by three cross-collateralized, select-service hotels in
North Dakota. The hotels total 254 keys with two properties in
Williston and one property in Dickinson, North Dakota. The hotels
are located within the Bakken Formation of North Dakota which has
emerged in recent years as one of the most important sources of new
oil production in the United States. The slow down in oil
production has had a direct correlation on the hotels performance.
The Dickinson property saw occupancy and NOI decline from 78% and
$1.03 million in NOI at year end 2014 to 57% and $515 thousand in
NOI at year end 2015. The properties are working to secure more
business from the oil, gas and infrastructure work companies that
are operating in the region. Moody's estimates a modest loss for
the specially serviced loans.
Moody's has assumed a high default probability for one poorly
performing loan, constituting 1% of the pool, and has estimated an
aggregate loss of $1.4 million (a 15% expected loss based on a 50%
probability default) from the troubled loan.
Moody's received full year 2014 operating results for 69% of the
pool, and a full or partial-year 2015 operating results for 47% of
the pool. Moody's weighted average conduit LTV is 95%, compared to
99% 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 15% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.72X and 1.17X,
respectively, compared to 1.61X and 1.15X 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 29% of the pool balance. The
largest loan is the Moffett Towers Phase II Loan ($130.0 million --
14.6% of the pool), which represents a participation in a $245
million senior mortgage loan. The loan is also encumbered with
mezzanine debt of $29,791,667. The loan is secured by a 676,598 SF
office property located in Silicon Valley. The property consists of
three separate LEED Gold certified eight-story office buildings. As
of September 2015 the property was 100% leased. The two tenants
occupying the collateral are Hewlett Packard (58% of NRA) and a
subsidiary of Amazon.com, Inc. (42% of NRA). Performance has
remained in-line with expectations. Moody's LTV and stressed DSCR
are 107% and 0.94X, respectively, same as at the last review.
The second largest loan is the Lakeland Square Mall Loan ($66.5
million -- 7.5% of the pool), which is secured by a 535,937 SF
component of a 883,290 SF regional mall located in Lakeland,
Florida approximately 35 miles east of Tampa. The property is
anchored by Dillard's, J.C. Penney, Macy's and Sears. Only J.C.
Penney is collateral for this loan. Junior anchors include
Burlington Coat Factory and Cinemark Movie Theaters. As of
September 2015 the property was 90% leased with inline occupancy
leased at 75%. Performance has remained in-line with expectations.
Moody's LTV and stressed DSCR are 100% and 1.11X, respectively,
compared to 102% and 1.09X at the last review.
The third largest loan is the Larkspur Landing Hotel Portfolio Loan
($57.2 million -- 6.4% of the pool), which represents a
participation in a $133.5 million senior mortgage loan. The loan is
secured by 11 cross-collateralized and cross-defaulted
extended-stay, all-suite hotels located in San Francisco,
Sacramento, Seattle and Portland. The portfolio totals 1,277 rooms
with the properties constructed between 1997 and 2000. Performance
has improved due to higher revenues. Moody's LTV and stressed DSCR
are 82% and 1.42X, respectively, compared to 95% and 1.22X at the
last review.
CONNECTICUT AVENUE 2016-C02: Moody's Rates Cl. 1M-2A Debt 'Ba1'
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of notes on Connecticut Avenue Securities, Series 2016-C02,
a securitization designed to provide credit protection to the
Federal National Mortgage Association (Fannie Mae) against the
performance of a reference pool of mortgages totaling approximately
$36 billion. 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 action is as follows:
$342.3 million of Class 1M-1 notes, Definitive Rating Assigned
Baa3 (sf)
$599.0 million of Class 1M-2 notes, Definitive Rating Assigned B1
(sf)
The Class 1M-2 note holders can exchange their notes for the
following notes:
$222.5 million of Class 1M-2A exchangeable notes, Definitive
Rating Assigned Ba1 (sf)
$376.5 million of Class 1M-2B exchangeable notes, Definitive
Rating Assigned B2 (sf)
The Class 1M-2A note holders can exchange their notes for the
following notes:
$222.5 million of Class 1M-2F exchangeable notes, Definitive
Rating Assigned Ba1 (sf)
$222.5 million of Class 1M-2I exchangeable notes, Definitive
Rating Assigned Ba1 (sf)
CAS 2016-C02 is the eleventh 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-C02's note write-downs are determined by actual realized
losses and modification losses on the loans in the reference pool,
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-C02 is
also the third 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 reference pool is 1.10% and
is expected to reach 9.00% at a stress level consistent with a Aaa
(sf) rating.
The Notes
The Class 1M-1 notes are adjustable rate P&I notes with an interest
rate that adjusts relative to LIBOR.
The Class 1M-2 notes are adjustable rate P&I notes with an interest
rate that adjusts relative to LIBOR. The holders of the Class 1M-2
notes can exchange those notes for a Class 1M-2A exchangeable note
and a Class 1M-2B exchangeable note (together referred as the
"Exchangeable Notes").
Additionally, the holders of the Class 1M-2A notes can exchange
those notes for the Class 1M-2F note and the Class 1M-2I note
(together with the 1M-2 note referred as the "RCR Notes"). The
Class 1M-2I exchangeable notes are fixed rate interest only notes
that have a notional balance that equals the 1M-2A note balance.
The Class 1M-2F notes are adjustable rate P&I notes that have a
balance that equals the Class 1M-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 September 2028 if balances remain
outstanding.
Credit events in CAS 2016-C02 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 March 1, 2015 and May 31, 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 752
indicate. The weighted average CLTV of 76.00% is higher than recent
private label prime jumbo deals, which typically have CLTVs in the
high 60's range, but is similar to the weighted average CLTVs of
other CAS transactions.
Structural Considerations
"We 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, we have taken into consideration the
level of rate modifications based on the projected defaults, the
weighted average coupon of the reference pool (4.00%), 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
1B and Class 1B-H reference tranches 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 reference pool consists of 146,193 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
752. There are no interest-only (IO) loans in the reference pool
and all of the loans are underwritten to full documentation
standards.
Reps and Warranties
Moody's said, "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. Our 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.
CREDIT SUISSE 2001-CF2: Fitch Affirms D Rating on 5 Cert. Classes
-----------------------------------------------------------------
Fitch Ratings has affirmed seven classes of Credit Suisse First
Boston Mortgage Securities Corp. (CSFB) commercial mortgage
pass-through certificates series 2001-CF2.
KEY RATING DRIVERS
The affirmation of class G reflects high credit enhancement and
full repayment of the class supported by defeased collateral. The
affirmation of class H reflects the high likelihood of losses to
the class.
As of the March 2016 distribution date, the pool's aggregate
principal balance has been reduced by 98.1% to $21.1 million from
$1.1 billion at issuance. The transaction is concentrated with
only seven loans remaining. The largest loan (58.3%) is in special
servicing and the second largest loan is defeased (28.9%). Interest
shortfalls are currently affecting classes H through O. Fitch
modeled losses of 41.3% of the remaining pool; expected losses on
the original pool balance total 9.6%, including $99.6 million (8.8%
of the original pool balance) in realized losses to date.
The sole contributor to expected losses and the largest loan in the
pool is a real estate owned (REO) a 172,640 square foot (sf) office
property located in Jenkintown, PA. The loan transferred to the
special servicer in May 2013 and has been REO since June 2014. As
of year-end 2015, the property was 60.8% occupied with a
servicer-reported debt service coverage ratio (DSCR) well below
1.0x. Per the special servicer, the sale of the property will be
considered after further lease up is achieved. Based on the most
recently reported appraised value, significant losses are
anticipated which would impact class H.
The remaining pool consists of four retail properties (11.8%), all
of which are leased to Rite Aid (rated 'B' as of October 28, 2016
by Fitch), and one multifamily property (1%), all in tertiary
locations.
RATING SENSITIVITIES
The Rating Outlook on class G remains Stable due to increasing
credit enhancement from continued pay down and full repayment
supported by defeased collateral. The rating of class H will be
downgraded to 'Dsf' should losses be realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these classes:
-- $334, 033 class G at 'AAAsf'; Outlook Stable;
-- $3.4 million class H at 'Csf'; RE 20%;
-- $5.4 million 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%.
The class A-1, A-2, A-3, A-4, A-CP, B, C, D, E and F certificates
have paid in full. Fitch does not rate the class O, NM-1, NM-2 and
RA certificates. Fitch previously withdrew the rating on the
interest-only class A-X certificates.
CS FIRST BOSTON 2001-CKN5: Moody's Affirms C Rating on Cl. A-X Debt
-------------------------------------------------------------------
Moody's Investors Service affirmed three classes of CS First Boston
Mortgage Securities Corp 2001-CKN5, Commercial Mortgage
Pass-Through Certificates, Series 2001-CKN5 as follows:
Cl. H, Affirmed Ca (sf); previously on Apr 23, 2015 Upgraded to Ca
(sf)
Cl. A-X, Affirmed C (sf); previously on Apr 23, 2015 Downgraded to
C (sf)
Cl. A-Y, Affirmed Aaa (sf); previously on Apr 23, 2015 Affirmed Aaa
(sf)
RATINGS RATIONALE
The rating on one P&I class, Class H, was affirmed because the
ratings are consistent with Moody's expected loss. As a result of
previously liquidated loans, realized losses to Class H total 50%
of its original balance.
The rating on the IO class, A-X, was affirmed based on the credit
performance of its referenced classes.
The rating on the IO class, A-Y, was affirmed based on the credit
performance of its referenced loans.
Moody's rating action reflects a base expected loss of 0.0% of the
current balance, the same as at last review. Moody's base plus
realized loss totals 8.4% of the original pooled balance, the same
as at last review.
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 March 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by over 99% to $29,680
from $1.07 billion at securitization. The certificates are
collateralized by five mortgage loans that are secured by
residential cooperatives located in Brooklyn (four) and Farmingdale
(one), New York. These loans each have a Moody's LTV less than
40%.
Four loans, constituting 58% 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-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $90.5 million (for an average loss
severity of 43%).
Moody's received full year 2014 operating results for 100% of the
pool.
CSFB MORTGAGE 2003-C3: Moody's Affirms Caa3 Rating on 2 Tranches
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through
Ctfs. 2003-C3 as:
Cl. J, Affirmed Caa3 (sf); previously on April 15, 2015,
Affirmed Caa3 (sf)
Cl. K, Affirmed C (sf); previously on April 15, 2015, Affirmed
C (sf)
Cl. A-X, Affirmed Caa3 (sf); previously on April 15, 2015,
Affirmed Caa3 (sf)
Cl. A-Y, Affirmed Aaa (sf); previously on April 15, 2015,
Affirmed Aaa (sf)
RATINGS RATIONALE
The ratings on classes J and K were affirmed because the ratings
are consistent with Moody's expected loss.
The ratings on the A-X class was affirmed based on the credit
performance (or the weighted average rating factor) of its
referenced classes.
The rating on the A-Y class was affirmed based on the credit
performance (or the weighted average rating factor) of its
referenced loans.
Moody's rating action reflects a base expected loss of 24.9% of the
current balance, compared to 15.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.4% of the original
pooled balance, compared to 3.3% at the last review.
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.
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 in October 2015.
DESCRIPTION OF MODELS USED
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 5, compared to 6 at Moody's last review.
Moody's analysis used 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.
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 March 17, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $25.4 million
from $1.72 billion at securitization. The certificates are
collateralized by 10 mortgage loans ranging in size from less than
1% to 30% of the pool. Two loans, constituting 0.5% of the pool,
are secured by residential cooperatives located in New York and
Washington, DC and have a Moody's LTV below 40%.
One loan, constituting 4.4% 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.
Nineteen loans have been liquidated with from the pool with a loss,
resulting in an aggregate realized loss of $51.9 million (for an
average loss severity of 62%). Three loans, constituting 64% of
the pool, are currently in special servicing. The largest
specially serviced loan is the Honeywell International Building
($7.7 million -- 30.3% of the pool), which is secured by a 163,000
square foot (SF) office building located in Colorado Springs,
Colorado. The loan transferred to special servicing in 2013 due to
maturity default and become real estate owned (REO) in May 2014.
The property is fully leased to Honeywell International through
November 2016. However, earlier this year the tenant gave notice
that it would not renew its lease. Due to the single-tenant nature
of the loan, Moody's performed a lit / dark analysis.
The remaining two specially serviced loans are secured by an office
and retail property. Moody's estimates an aggregate $6.3 million
loss for the specially serviced loans (39% 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 67% of
the pool. Moody's weighted average conduit LTV is 50%, compared to
52% at Moody's last review. Moody's conduit component excludes
residential cooperative loans, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 19% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.45X and 2.30X,
respectively, compared to 1.47X and 2.16X 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 30.4% of the pool balance.
The largest loan is the Polar Plastics Loan ($4.9 million -- 19.2%
of the pool), which is secured by 384,000 SF industrial property
located in Mooresville, North Carolina. The property is fully
leased to Polar Plastics through March 2023. The loan is fully
amortizing and the loan maturity is coterminous with the tenant's
lease expiration. Due to the single tenant nature of the loan,
Moody's performed a lit / dark analysis. Moody's LTV and stressed
DSCR are 37% and 2.88X, respectively, compared to 40% and 2.61X at
the last review.
The second largest loan is the ParkRidge at McPerson Loan ($1.6
million -- 6.4% of the pool), which is secured by a 72 unit
multi-family property located in McPherson, Kansas. As of
September 2015, the property was approximately 95% leased, compared
to 99% the prior year. Since 2011, the property has been at least
94% leased. Performance has been stable. Moody's LTV and stressed
DSCR are 70% and 1.39X, respectively, compared to 72% and 1.35X at
the last review.
The third largest loan is The Veranda at Twin Creek Apartments Loan
($1.2 million -- 4.7% of the pool), which is secured by an 88 unit
multi-family property located in Killeen, Texas. As of December
2015, the property was approximately 95% leased. Since 2011, the
property has been at least 95% leased. Moody's LTV and stressed
DSCR are 41% and 2.38X, respectively, compared to 42% and 2.34X at
the last review.
DBJPM 2016-C1: DBRS Assigns Prov. BB Rating on Class E Certs
------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C1, to
be issued by DBJPM 2016-C1 Mortgage Trust. All trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3A at AAA (sf)
-- Class A-3B at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class X-E at AAA (sf)
-- Class X-F at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (sf)
-- Class G at B (low) (sf)
Classes A-3B, X-B, X-C, X-D, X-E, X-F, D, E, F, G and H will be
privately placed.
The X-A, X-B, X-C, X-D, X-E and X-F balances are notional. DBRS
ratings on IO certificates address the likelihood of receiving
interest based on the notional amount outstanding. DBRS considers
the IO certificate’s position within the transaction payment
waterfall when determining the appropriate rating.
The collateral consists of 33 fixed-rate loans secured by 45
commercial and multifamily properties, comprising a total
transaction balance of $818,034,830. The pool exhibits a relatively
strong DBRS weighted-average (WA) term debt service coverage ratio
(DSCR) of 1.66 times (x) based on the whole-loan balances,
indicating moderate term-default risk. Six loans, comprising 30.2%
of the pool, are located in urban markets and, overall, 80.0% of
the pool’s underlying markets was classified as urban or suburban
by DBRS. The DBRS sample included 26 of the 33 loans, comprising
93.0% of the pool. Five of the largest 15 loans, representing 25.3%
of the DBRS sample, were deemed to have favorable property quality.
Higher-quality assets are more likely to retain and attract
tenants/guests, resulting in a more stable performance.
Two of the largest five loans, 787 Seventh Avenue and 225 Liberty
Street, exhibit credit characteristics consistent with
investment-grade shadow ratings. 787 Seventh Avenue has credit
characteristics consistent with an “A” shadow rating and 225
Liberty Street has credit characteristics consistent with an AA
(low) shadow rating. Combined, these loans represent 14.7% of the
pool.
The pool is concentrated based on loan size, property type and
geography. The largest five and ten loans total 35.6% and 56.8% of
the pool, respectively, and the pool has a concentration profile
equivalent to that of 21 equal-sized loans. Furthermore, 54.6% of
the properties are concentrated in just three states: New York,
California and Texas. The pool is also highly concentrated by
property type as the retail concentration is 35.6% and the office
concentration is 35.5%. DBRS applied a concentration penalty given
the pool’s lack of diversity, which increases each loan’s
probability of default (POD). Twenty properties across 18 loans,
comprising 21.2% of the pool, are secured by hotels, including
three of the top ten largest loans in the pool. Hotels have the
highest cash flow volatility of all major property types as their
income, which is derived from daily contracts rather than
multi-year leases, and their expenses, which are often mostly
fixed, are a high percentage of revenue. The loans in the pool
secured by hotel properties have WA DBRS Going-In and Exit Debt
Yields of 10.6% and 12.3%, respectively, which compare quite
favorably with the WA DBRS Going-In and Exit Debt Yields of 8.6%
and 9.5%, respectively, for the non-hotel properties in the pool,
which partially mitigates concerns associated with the increased
cash flow volatility risk for this property type. Additionally,
69.1% of the hotel concentration is considered to be of Excellent
or Above Average property quality by DBRS. Lastly, seven loans,
representing 15.0% of the pool, have unfavorable sponsorship. DBRS
increased the POD penalty to mitigate risk associated with these
sponsorship concerns, which included SLS South Beach and West
Valley Corporate Center.
The ratings assigned to the Certificates by DBRS are based
exclusively on the credit provided by the transaction structure and
underlying trust assets. All classes will be subject to ongoing
surveillance, which could result in upgrades or downgrades by DBRS
after the date of issuance.
DBJPM MORTGAGE 2016-C1: Fitch to Rate Class X-D Debt 'BB-sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report on Deutsche Bank
Securities, Inc.'s DBJPM Mortgage Trust 2016-C1 commercial mortgage
pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $28,858,000 class A-1 'AAAsf'; Outlook Stable;
-- $35,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $46,052,000 class A-SB 'AAAsf'; Outlook Stable;
-- $140,000,000 class A-3A 'AAAsf'; Outlook Stable;
-- $247,714,000 class A-4 'AAAsf'; Outlook Stable;
-- $637,044,000b class X-A 'AAAsf'; Outlook Stable;
-- $64,420,000 class A-M 'AAAsf'; Outlook Stable;
-- $50,105,000 class B 'AA-sf'; Outlook Stable;
-- $35,789,000 class C 'A-sf'; Outlook Stable;
-- $75,000,000a class A-3B 'AAAsf'; Outlook Stable;
-- $85,894,000ab class X-B 'A-sf'; Outlook Stable;
-- $38,856,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $17,384,000ab class X-D 'BB-sf'; Outlook Stable;
-- $38,856,000a class D 'BBB-sf'; Outlook Stable;
-- $17,384,000a class E 'BB-sf'; Outlook Stable;
-- $8,180,000a 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 March 28, 2016. Fitch does not expect to rate the
16,360,000 interest-only class X-E, the $22,496,828 interest-only
class X-F, the $8,180,000 class G, or the $22,496,828 class H.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 33 loans secured by 45
commercial properties having an aggregate principal balance of
$818,034,828 as of the cut-off date. The loans were contributed to
the trust by German American Capital Corporation and JP Morgan
Chase Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 85.3% of the properties
by balance and asset summary reviews and cash flow analysis of
92.6% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: This transaction has lower leverage than other
recent Fitch-rated transactions. The Fitch DSCR for the trust is
1.25x, while the YTD 2016 and 2015 averages are 1.14x and 1.18x,
respectively. The Fitch LTV for the trust is 98.7%, which is lower
than both the YTD 2016 and 2015 averages of 108.7% and 109.3%,
respectively. Excluding the credit-opinion loans (14.7% of the
pool), the Fitch DSCR and LTV are 1.21x and 105.7%, respectively.
High Pool Concentration: The pool is more concentrated than other
recent Fitch-rated multiborrower transactions. The top 10 loans
comprise 56.8% of the pool, which is in-line with the recent
averages of 56.2% for YTD 2016 and above the 2015 average of 49.3%.
Additionally, the loan concentration index (LCI) and sponsor
concentration index (SCI) are 472 and 555, respectively, above the
respective 2015 averages of 367 and 410.
Investment-Grade Credit Opinion Loans: The transaction has two
credit opinion loans, totaling 14.7% of the pool. 787 Seventh
Avenue (9.8% of the pool) is the largest loan in the transaction
and has an investment-grade credit opinion of 'BBB+sf' on a
stand-alone basis. 225 Liberty Street (5% of the pool) is the fifth
largest loan in the transaction and has an investment-grade credit
opinion of 'BBBsf' on a stand-alone basis. Excluding these loans,
the conduit has a Fitch stressed DSCR and LTV of 1.21x and 105.7%,
respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11.5% 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 could result in potential
rating actions on the certificates.
DENALI CAPITAL XII: Moody's Assigns Ba3 Rating to Class E Debt
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to one class of
loans and seven classes of notes issued by Denali Capital CLO XII,
Ltd. (the "Issuer" or "Denali Capital CLO XII").
Moody's rating action is as follows:
US$192,250,000 Class A-1 Senior Secured Floating Rate Notes due
2028 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$30,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2028
(the "Class A-2 Notes"), Assigned Aaa (sf)
US$20,000,000 Class B-1 Senior Secured Floating Rate Notes due 2028
(the "Class B-1 Notes"), Assigned Aa2 (sf)
US$20,000,000 Class B-1 Loans due 2028 (the "Class B-1 Loans"),
Assigned Aa2 (sf)
US$2,875,000 Class B-2 Senior Secured Fixed Rate Notes due 2028
(the "Class B-2 Notes"), Assigned Aa2 (sf)
US$20,350,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class C Notes"), Assigned A2 (sf)
US$19,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class D Notes"), Assigned Baa3 (sf)
US$17,500,000 Class E Secured Deferrable Floating Rate Notes due
2028 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, Class A-2 Notes, Class B-1 Notes, Class B-1
Loans, Class B-2 Notes, Class C Notes, Class D Notes and Class E
Notes are referred to herein, collectively, as the "Rated Debt."
RATINGS RATIONALE
Moody's ratings of the Rated Debt address the expected losses posed
to debtholders. The 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.
Denali Capital CLO XII is a managed cash flow CLO. The issued debt
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 92.5% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 7.5% of the portfolio may consist of second
lien loans and unsecured loans, of which up to 2.5% may consist of
unsecured loans. We expect the portfolio to be at least 97% ramped
as of the closing date.
Crestline Denali Capital, L.P. (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, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Debt, the Issuer has issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the debt in order of seniority.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $350,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2767
Weighted Average Spread (WAS): 4.00%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8 years.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Debt.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Debt. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Debt
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2767 to 3182)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B-1 Notes: -1
Class B-1 Loans: -1
Class B-2 Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2767 to 3597)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -1
Class B-1 Notes: -2
Class B-1 Loans: -2
Class B-2 Notes: -2
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
DISTRIBUTION FIN'L 2001-1: Fitch Withdraws Csf Rating on Cl. D Debt
-------------------------------------------------------------------
Fitch Ratings has affirmed and withdrawn the following ratings for
Distribution Financial Services RV/Marine Trust 2001-1:
-- Class D at 'Csf', Recovery Estimate revised to 0% from 15%.
KEY RATING DRIVERS
The affirmation of the outstanding class D notes at 'Csf' reflects
Fitch's view that default is considered inevitable.
The pool of RV/marine collateral consists predominately of aged,
discretionary equipment, which Fitch believes will be unable to
generate sufficient cash flow to repay the notes in full, as the
size of the trust's remaining debt obligations far exceeds the
value of the collateral.
The recovery estimate for the class D notes was revised to 0%, as
the notes are expected to incur an incurable interest shortfall.
Principal is expected to be locked out from collections, as all
future collections will be applied to fees and interest only.
Actual recoveries may be different depending on the performance of
the remaining obligors.
Fitch is withdrawing the ratings of Distribution Financial Services
RV/Marine Trust 2001-1 as they are no longer considered to be
relevant to the agency's coverage.
RATING SENSITIVITIES
Not applicable as the ratings have been withdrawn.
DLJ COMMERCIAL 1998-CG1: Fitch Hikes Cl. B-7 Debt Rating to BBsf
----------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed one class of DLJ
Commercial Mortgage Corp. commercial mortgage pass-through
certificates series 1998-CG1.
KEY RATING DRIVERS
The upgrade of class B-7 is based on the stable performance of the
underlying collateral pool, increasing credit enhancement and the
continued expected amortization. The affirmation of class B-6 is
based on the class being fully covered by the defeased collateral.
As of the March 2016 remittance report, the transaction has paid
down 97.5% to $39.4 million from $1.564 billion at issuance. Fitch
modeled losses 2.54% of the remaining pool; expected losses of the
original pool are at 1.07% including losses already incurred to
date (1.01%). Thirteen of the original 303 loans remain
outstanding. There are no specially serviced loans, but four loans
are on the servicer watchlist (24%) of which three (15.7%) are
considered Fitch Loans of Concern. Three loans (47.4%), including
the largest loan in the pool (37.8%), are fully defeased. The
remaining non-defeased loans consist of fully amortizing (74.2%)
and ARD loans (17.2%). The loans' final maturity dates are in 2017
(8.6%), 2018 (27.6%), 2022 (8.3%), and 2023 (55.5%). The remaining
loans are low levered, with a weighted average LTV of 46.4%
The largest Fitch loan of concern (7.4%) is secured by a 59,238 sf
retail center, Oxford Square, located in Casselberry, FL a suburb
10 miles northeast of the Orlando central business district (CBD).
The loan was formerly in special servicing and modified in May 2012
whereby the loan term was increased by 115 months and the interest
rate reduced to 6.25% from the issuance rate of 7%. The occupancy
of the center reached a new low of 75% in December 2014 from an
issuance high of 97%. During the 2015 calendar year, occupancy
improved 100 basis points as management signed a small new tenant
and renewed The Dollar General Store, which exercised a three-year
renewal option. The volatile performance of the asset is expected
to continue as the property management company continues to secure
new tenants and works to renew leases for 25% of the net rentable
area (NRA) during the next 12 months. The loan's scheduled
maturity date is October 2017.
The second largest Fitch loan of concern (5.7%) is secured by The
Market at Merrill Shopping Center, a 122,204 sf retail center
located in Little Rock, AR a suburb located eight miles west of the
Little Rock, AR (CBD). The property's occupancy was listed at 73%
as of fourth quarter 2015 after a high of 85% in December 2014.
The property management team is currently working to secure
renewals for the majority of tenants as 85% of the NRA rolls during
the next 24 months. The sponsor indicates that the market is
experiencing economic weakness which is hindering leasing efforts.
The loan remains current and is scheduled to mature in June 2018.
The last Fitch Loan of Concern (1.8%) is secured by University
Shoppes, a 50,797 sf neighbourhood retail center located in
Lauderhill, FL, a suburb located 13 miles northwest of the city
center. The property's current occupancy is listed at 62% as of
September 2015. The property's operating cash flows remain weak
with the servicer-reported third quarter 2015 debt service coverage
ratio at 0.86x. The sponsor indicates that the leasing environment
is difficult due to demographic changes in the area and large
retail suites not being ideal for current prospective lessees. The
loan is current and the scheduled maturity date is March 2018.
RATING SENSITIVITIES
The Rating Outlook on class B-7 is Stable as additional upgrades
are not expected due to the concentrated nature of pool with only
13 loans remaining, 66% of which are collateralized by retail
properties. Class B-6 is expected to pay in full from defeased
collateral and amortization. Downgrades, while unlikely, could
occur if loans transfer to special servicing and expected losses
increase significantly.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades this class:
-- $15.6 million class B-7 to 'BBsf' from 'Bsf', Outlook
Stable.
Fitch affirms this class:
-- $16.1 million class B-6 at 'AAAsf', Outlook Stable.
The class A-1A, A-1B, A-1C, A-2, A-3, A-4, B-1, B-2, B-3, B-4, and
B-5 certificates have paid in full. Fitch does not rate the class
C certificates. Fitch previously withdrew the rating on the
interest-only class S certificates.
EDUCATIONAL LOAN 2006-1: Fitch Affirms CCC Rating on Cl. B Debt
---------------------------------------------------------------
Fitch Ratings affirms the senior student loan notes and the
subordinate student loan note issued by Educational Loan Company
Trust I 2006-1 at 'Asf' and 'CCCsf', respectively. The Rating
Outlook for the senior notes remains Negative.
KEY RATING DRIVERS
High Collateral Quality: The trust collateral comprises Federal
Family Education Loan Program (FFELP) loans with guaranties
provided by eligible guarantors and reinsurance provided by the
U.S. Department of Education (ED) for at least 97% of principal and
accrued interest.
Credit Enhancement: CE is provided by overcollateralization (OC;
the excess of trust's asset balance over bond balance) and excess
spread. As of February 2016, senior parity is at 111.06%, while
total parity remains below par at 98.04%. The trust continues
generating negative excess spread.
Liquidity Support: Liquidity support is provided by a reserve fund
currently sized at $1,707,147 (1% of the bond balance, with a floor
of $750,000).
Acceptable Servicing Capabilities: Day-to-day servicing is provided
by Great Lakes and ACS. Both servicers have demonstrated adequate
servicing capabilities.
On Nov. 18, 2015, Fitch released its exposure draft which
delineates revisions it plans to make to the 'Rating U.S. Federal
Family Education Loan Program Student Loan ABS Criteria', dated
June 23, 2014. Fitch has reviewed this transaction under both the
existing and proposed criteria.
RATING SENSITIVITIES
Since the FFELP student loan ABS relies on the U.S. government to
reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in
tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S.
sovereign rating, defaults, basis risk, and loan extension risk
account for the majority of the risk embedded in FFELP student loan
transactions. Additional defaults, basis shock beyond Fitch's
published stresses, lower than expected payment speed, and other
factors could result in future downgrades. Likewise, a buildup of
CE driven by positive excess spread given favorable basis factor
conditions could lead to future upgrades.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings:
Educational Loan Company Trust I:
-- Class A-1 at 'Asf'; Outlook Negative;
-- Class A-2 at 'Asf'; Outlook Negative;
-- Class A-3 at 'Asf'; Outlook Negative;
-- Class B at 'CCCsf'; RE 60%.
GE CAPITAL 2001-3: Fitch Affirms 'Dsf' Rating on 5 Cert. Classes
----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed five classes of
GE Capital Commercial Mortgage Corporation (GECCMC) commercial
mortgage pass-through certificates series 2001-3 due to stable pool
performance.
KEY RATING DRIVERS
The upgrade of class H is based on the class being fully covered by
defeased collateral, continued principal paydown, and better than
expected recoveries of three specially serviced loans since Fitch's
last rating action. Fitch modeled losses of 1.7% of the remaining
pool; expected losses of the original pool are at 5.5% including
losses already incurred to date (5.5%). No loans are listed on the
servicer watchlist or as Fitch Loans of Concern.
As of the March 2016 distribution date, the pool's aggregate
principal balance has been reduced by 99% (including 5.5% of
realized losses) to $9.4 million from $963.8 million at issuance.
Cumulative interest shortfalls in the amount of $2.191 million are
currently affecting classes N through K.
Of the original 133 loans, six remain, three of which (64.1%) are
fully defeased. The loans have maturity dates in 2016 (55.4%),
2019 (9.7%), 2020 (27.8%), and 2021 (7%). Five loans (54%) are
fully amortizing and one loan has a balloon maturity (46%). The
three non-defeased loans are collateralized by fully amortizing
loans.
The largest non-defeased loan is the single tenanted 15,120 square
foot (sf) freestanding retail building, Walgreens Meridian, located
in Meridian, ID a town located 422 miles southeast of Portland, OR.
The loan is fully amortizing with a scheduled maturity date of
December 2020.
The second largest non-defeased loan is the single tenanted 13,905
square foot (sf) freestanding retail building, Walgreens Passaic,
located in a New York - New Jersey metropolitan area 11 miles north
of Newark central business district. The loan is fully amortizing
with a scheduled maturity date of December 2020.
The last remaining non-defeased loan is the 120,020 sf self-storage
facility located in Albuquerque, NM. The facility is built in 1976
and renovated in 1996. Performance has been steady since issuance
with the debt service coverage ratio reaching 4.64 times (x) and
occupancy at 84%. The fully amortizing loan is current with a
scheduled maturity date September 2021.
RATING SENSITIVITIES
Fitch anticipates that the trust will pay off within the next one
to two months as the master servicer intends to collapse the
transaction. Additional rating changes are not expected. If the
servicer does not collapse the trust, the recovery estimate on
class I could be updated with any changes to loss expectations.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades this class:
-- $3.5 million class H to 'AAAsf' from 'Bsf', Outlook Stable.
Fitch affirms these classes:
-- $5.9 million class I at 'Dsf', RE 30%;
-- $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%.
The class A-1, A-2, B, C, D, E, F, and G certificates have paid in
full. Fitch does not rate the class N certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
GEMSTONE CDO II: S&P Lowers Rating on 3 Note Classes to D
---------------------------------------------------------
Standard & Poor's Ratings Services lowered to 'D (sf)' from
'CC (sf)' its ratings on the class A-2, A-3, and B notes from
Gemstone CDO II Ltd., a collateralized debt obligation transaction
collateralized primarily by residential mortgage-backed
securities.
As of the Jan. 29, 2016, monthly report, the net outstanding
portfolio balance in the transaction was $10.28 million, which was
all principal cash.
According to the Feb. 9, 2016, note valuation report, all of the
cash was used to first pay the expenses and interest of the class A
and B notes and then pay down the notes in the manner specified in
the transaction documents.
Following these paydowns, the class A-1 notes were paid down in
full, and S&P subsequently withdrew the rating on Feb. 23, 2016.
Although classes A-2 and A-3 received some paydowns, their
outstanding balances remain at 43.5% and 5.9%, respectively, of
their original balances.
S&P lowered the ratings to 'D (sf)' to reflect its view that it is
unlikely the noteholders will receive their principal in full by
the final maturity date.
RATINGS LOWERED
Gemstone CDO II Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
A-3 D (sf) CC (sf)
B D (sf) CC (sf)
GMACM MORTGAGE 2004-J5: Moody's Cuts Rating on Cl. PO Certs to Ba1
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class PO
from GMACM Mortgage Loan Trust 2004-J5.
Complete rating actions are:
Issuer: GMACM Mortgage Loan Trust 2004-J5
Cl. PO Certificate, Downgraded to Ba1 (sf); previously on
May 18, 2015, Confirmed at Baa1 (sf)
RATINGS RATIONALE
The rating action is primarily due to an error correction, and also
reflects weaker performance of the underlying collateral. The
action reflects a correction to the cash-flow model used by Moody's
in rating this transaction. In the previous model, the principal
distribution on one subgroup was mistakenly directed to the other
subgroup. The error has been corrected, and today's rating action
reflects this change.
The principal methodology used in this rating action 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 March 2016 from 5.5% in
March 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.
GRAMERCY REAL 2005-1: S&P Raises Rating on Cl. B Notes to BB+
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class B
notes from Gramercy Real Estate CDO 2005-1 Ltd., a U.S. commercial
real estate collateralized debt obligation (CRE CDO) transaction.
At the same time, S&P affirmed its ratings on the class C, D, E, F,
and G notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using the data from the February 2016 trustee report.
Since S&P's previous rating actions in December 2013, the
transaction had paid off its class A-1 and A-2 notes, and began
paying down the class B notes. Following the paydowns on the
Jan. 25, 2016, payment date, the class B note balance declined to
38.32% of its original balance from 100% in December 2013.
The paydowns increased the available credit support as reflected in
the higher overcollaterization (O/C) ratios. For example, the
class A/B O/C ratio as per the February 2016 monthly report was
483.87%, up from the 156.36% in the November 2013 monthly report
that S&P used for its December 2013 rating actions.
Though the paydowns improved the credit support, the transaction
currently has only 12 performing obligors, which has increased the
concentration risk. Nearly 80% of the performing assets are
commercial mortgage-backed securities (CMBS), and the remaining are
CRE loans. S&P's final ratings also reflect the credit quality of
these assets that back the tranches.
The class B note rating was upgraded following the improvement in
its credit support. The affirmations of the class C, D, E, F, and
G ratings reflect S&P's belief 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.
RATING RAISED
Gramercy Real Estate CDO 2005-1 Ltd.
Rating
Class To From
B BB+ (sf) BB- (sf)
RATINGS AFFIRMED
Gramercy Real Estate CDO 2005-1 Ltd.
Class Rating
C B- (sf)
D CCC+ (sf)
E CCC- (sf)
F CCC- (sf)
G CCC- (sf)
GREYSTAR REAL: Moody's Affirms B2 CFR & Sr. Sec. Bond Rating
------------------------------------------------------------
Moody's Investors Service affirmed the B2 senior secured bond
rating and corporate family rating of Greystar Real Estate
Partners, LLC. The rating outlook for Greystar is stable.
Proceeds from the $70 million upsize on the senior secured bond
will be used for debt repayment and to fund sponsor equity
investments over the next year. As part of its core strategy
Greystar typically co-invests with clients in real estate
investments.
Issuer: Greystar Real Estate Partners, LLC
Ratings Affirmed with Stable Outlook:
Corporate Family Rating, Affirmed at B2
$250 million Senior Secured Notes, Affirmed at B2
$70 million add-on Senior Secured Notes, Assigned at B2
RATINGS RATIONALE
Moody's notes that Greystar's B2 corporate family and senior
secured ratings reflect the company's successful track record as
the largest multifamily operator. The company has developed a
platform that includes investment management and development of
multifamily properties that helps feed its property management
segment. While the multifamily sector has experienced strong
supply/demand fundamentals for several years, new supply and lower
NOI growth suggest Moody's may be in the later stages of the
current real estate cycle.
The B2 rating also considers certain credit challenges, including
the company's concentration in Texas, which represented 23% of U.S.
property management fee revenue as of YE15 (43% of its Texas
revenue comes from Houston). In addition, there is cash flow
volatility inherent in multifamily property management contracts,
which are short-term in nature (one-year) and are cancellable with
30 days' notice and investment management fees which are reliant on
real estate values. Finally, Moody's views Greystar's liquidity as
limited given the company's small size, and status as a private
firm that relies on internally generated cash flows for capital
needs.
The stable ratings outlook incorporates Moody's expectation that
the company's leverage and coverage metrics, at a minimum, will
remain at current levels or will gradually improve as the company
organically grows, while maintaining adequate liquidity.
Moody's stated that ratings improvements will be difficult in the
medium-term, but would be predicated upon improvement in the
company's overall liquidity profile through a traditional unsecured
revolving bank line with a maturity longer than two years and
availability more commensurate with Greystar's size. In addition,
an upgrade would contemplate continued successful growth and
diversification of Greystar's revenue streams accompanied by
material improvements in its credit profile, which would include
Total Debt/Trailing 12-month (TTM) EBITDA consistently at or below
4.0x and EBITA / Interest Expense consistently at or above 3.5x.
Downward ratings pressure would occur from any significant missteps
in the execution of the construction and the sale of ongoing
development projects resulting in a 10% or more reduction in
revenues. A downgrade would also be prompted should the company
lose key business relationships resulting in reduction in its
average property management retention rate to below 70%.
Deterioration in Greystar's credit profile to the extent that Total
Debt/EBITDA were to rise closer to 6.0x would also result in
negative ratings pressure.
The principal methodology used in these ratings was Business and
Consumer Service Industry published in December 2014.
Greystar Real Estate Partners, LLC a private real estate service
provider specializing in the multifamily sector. The company
provides property management, investment management and development
and construction services mainly to private investors such as
pension funds, private equity groups, financial institutions and
lenders in possession. Greystar is headquartered in Charleston,
South Carolina, USA, and has over 12,000 employees in 160 markets
in the US, the UK, Mexico City and the Netherlands.
GS MORTGAGE 2013-GCJ12: Fitch Affirms B Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of GS Mortgage Securities
Trust 2013-GCJ12 commercial mortgage pass-through certificates,
series 2013-GCJ12.
KEY RATING DRIVERS
The affirmations are based on stable performance of the underlying
collateral pool since issuance. As of the March 2016, distribution
date, the pool's aggregate principal balance has been reduced by
3.8% to $1.153 billion from $1.197 billion at issuance. Five loans
(12.7% of the pool) are on the master servicer's watch list, one of
which Fitch considers a Loan of Concern (FLOC). Currently there is
one specially-serviced loan that accounts for 0.8% of the pool.
The specially-serviced loan is secured by two flagged limited
service hotels with a total of 155 rooms. One hotel has 73 rooms
and is located in Scott, LA, and the second has 82 rooms and is
located in Grenada, MS. The loan transferred to special servicing
in May 2015 due to payment default. The loan trigger was met for
full cash management, and the lockbox will remain hard until all
defaults are settled/cured. The special servicer is continuing to
dual track the workout; however, per the servicer the borrower is
close to accepting final terms for a forbearance agreement mandated
by the lender. As of year-end (YE) 2014, portfolio occupancy,
RevPAR, and DSCR were 69.1%, $63.93, and 1.93x, respectively.
The third largest loan in the pool (5.2%), Eagle Ridge Village, is
an FLOC secured by a 648-unit, 87-acre apartment community. The
property is located in Evans Mills, NY, less than 80 miles north of
Syracuse, NY and approximately one mile west of Fort Drum, a U.S.
Army base. Occupancy at issuance was 98.6% (as of December 2012);
however, performance has declined with occupancy at 53% and DSCR at
0.94x as of YE 2015. The property primarily serves as off-base
military housing, and therefore is impacted by leasing volatility;
as per federal law soldiers can terminate any lease with 30-day
notice upon receipt of deployment orders. Per the servicer, Fort
Drum reported military personnel cut backs of over 2,000 in
addition to 3,300 currently deployed. In years past soldiers were
free to choose their own housing, but more recently soldiers have
been asked to live on base in order to minimize vacancy. In
addition, roughly 700 units were added to the market in 2014
creating added leasing challenges.
RATING SENSITIVITIES
Rating Outlooks on classes A-1 through D remain Stable. The
Negative Outlooks on classes E and F reflect the potential for
future downgrades should Eagle Ridge Village continue to
underperform. Upgrades to classes B through D are not expected in
the near-term as performance has been relatively stable since
issuance.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings and revised Outlooks as
indicated:
-- $39.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $134.2 million class A-2 'AAAsf'; Outlook Stable;
-- $200 million class A-3 'AAAsf'; Outlook Stable;
-- $313.8 million class A-4 'AAAsf'; Outlook Stable;
-- $105.5 million class A-AB 'AAAsf'; Outlook Stable;
-- $80.8 million class A-S 'AAAsf'; Outlook Stable;
-- $86.8 million class B 'AA-sf'; Outlook Stable;
-- $55.4 million class C 'A-sf'; Outlook Stable;
-- $49.4 million class D 'BBB-sf'; Outlook Stable;
-- $32.9 million class E 'BBsf'; Outlook to Negative from
Stable;
-- $12 million class F 'Bsf'; Outlook to Negative from Stable;
-- $874.2 million* class X-A 'AAAsf'; Outlook Stable;
-- $142.2 million* class X-B 'A-sf'; Outlook Stable.
*Notional amount and interest only.
Fitch does not rate the interest-only class X-C or class G
certificates.
GS MORTGAGE 2014-GC20: Fitch Revises Outlook on BB- Rating to Neg.
------------------------------------------------------------------
Fitch Ratings has revised the Outlook of one class of GS Mortgage
Securities Trust Series 2014-GC20 commercial mortgage pass-through
certificates to Negative from Stable.
KEY RATING DRIVERS
The Outlook revision follows increased concern surrounding the
fourth largest loan in the pool, Three WestLake Park (6.8% of the
pool). The collateral is a 19-story office building located in
Houston's Energy Corridor. At issuance, it was nearly fully
occupied by two tenants, ConocoPhillips (57.7% of the net rentable
area [NRA]) and BP Amoco (40.8% of the NRA). BP has announced that
it will not renew its lease, which is scheduled to expire in
November 2016. A majority of BP's space at the property is already
dark. Additionally, ConocoPhillips (recently downgraded by Fitch
to 'A-'/Outlook Negative) maintains its headquarters less than two
miles from the subject. The company recently laid off an estimated
500 employees in Houston and in February announced major cuts to
quarterly dividends and capex spending. It is now offering all of
its space at Three WestLake Park for sublease; ConocoPhillips'
lease extends through February 2019 with no termination options.
The 10-year, $80 million loan, which has a current exposure of $191
per square foot (psf), is interest-only (IO) for the first five
years and returned $21 million in equity back to the sponsor at
closing. While ConocoPhillips will ultimately be paying rent on
its share of the building for the next four years, increased
submarket vacancy and the current state of the oil and gas industry
could make it challenging for the property manager to attract
replacement tenants.
Fitch also continues to monitor two additional large loans, Chase
Tower (6.9% of the pool) and Sheraton Suites Houston (3.4% of the
pool). Chase Tower is a 21-story office building located in the
Austin, Texas CBD. Occupancy declined to 91.4% as of December 2015
from 98% at YE2014 and 100% at closing. The second largest tenant,
JP Morgan Chase, occupies 14.5% of the NRA on a lease expiring in
May 2016. The tenant will be giving back approximately 3,000 sf of
space (5.3% of the tenant's space, 0.8% of the total NRA) but is
expected to renew the remaining space. The largest tenant, Bury &
Partners, occupies 18.4% of the NRA on a lease expiring in August
2017. This tenant is not expected to renew its lease. Since
issuance, two new Class A office properties have come on line in
the submarket. The loan is amortizing with a current exposure of
$206 psf.
The Sheraton Suites Houston is performing in line with its
competitive set, according to the most recent report from Smith
Travel Research. However, both the subject and the competitive set
have shown a marked decline in occupancy, ADR and RevPAR over the
last 12 months.
RATING SENSITIVITIES
The Outlook for the class E certificate has been revised to
Negative from Stable as a result of performance concerns for some
of the pool's largest loans. The class is currently rated 'BB-sf'.
A future downgrade of one category or more is possible should the
collateral level changes described above prove material to the
long-term stability of the pool.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch made this Outlook revision:
-- $29.5 million class E, rated 'BB-'; Outlook to Negative from
Stable.
ICE 1: S&P Puts Cl. D Notes' B Rating on CreditWatch Negative
-------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'B (sf)' rating on
the class D notes from ICE 1: EM CLO Ltd., a cash flow emerging
market collateralized debt obligation (CDO) transaction, on
CreditWatch with negative implications following S&P's recent
surveillance review. The affected tranche, which is subordinate to
the other rated tranches in the transaction, had an original
issuance amount and has a current balance of $40 million and
$35.9 million, respectively, as of the March 2016 trustee report.
S&P did not take rating actions on the class A-2, A-3, B, and C
notes.
Since the last rating action in April 2014, the class A-1D and A-1R
notes have paid off in full, and S&P has withdrawn their ratings.
As of the March 2016 trustee report, the class A-2 notes have paid
down to $53 million from its issuance amount of $184 million,
resulting in increased overcollateralization (O/C) ratios for all
of the classes besides class D. The balance of 'CCC'-rated and
defaulted assets represent a considerable proportion of the
portfolio, resulting in a decline in the class D principal coverage
test. According to the March 2016 trustee report, the class D
principal coverage test is failing at 97.6%, down from 107.8% as of
the April 2014 trustee report, which S&P used in its previous
rating action. Additionally, the transaction has significant
exposure to issuers in the energy sector and to assets from
companies that have Standard & Poor's corporate credit ratings with
negative outlooks. S&P placed its class D rating on CreditWatch
with negative implications because S&P believes the credit support
available to these notes may no longer be commensurate with its
current rating level.
S&P expects to resolve the CreditWatch negative placements within
90 days after S&P 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
ICE 1: EM CLO Ltd.
Rating
Class Identifier To From
D 45110EAA9 B (sf)/Watch Neg B (sf)
RATINGS UNAFFECTED
ICE 1: EM CLO Ltd.
Class Identifier Rating
A-2 45110CAE5 AA (sf)
A-3 45110CAG0 A (sf)
B 45110CAJ4 BBB+ (sf)
C 45110CAL9 BB+ (sf)
ICE 3: S&P Puts Class E Notes' BB Rating on CreditWatch Neg.
------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on the class
D and E notes from ICE 3: Global Credit CLO Ltd., a cash flow
emerging market collateralized debt obligation (CDO) transaction,
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 issuance
amount of $33.75 million and $27.5 million, respectively, as of the
March 2016 trustee report. S&P did not take rating actions on the
class A-1, B-1, B-2, C-1, and C-2 notes.
Since the transaction's effective date on Nov. 19, 2013, there has
been a moderate decline in the assets' credit quality as the
balance of 'CCC' rated and defaulted assets has increased,
resulting in a modest decline in the overcollateralization ratios.
Additionally, the transaction has significant exposure to issuers
in the energy sector and to assets from companies that have
Standard & Poor's corporate ratings with negative outlooks. S&P
placed its class D and E ratings on CreditWatch with negative
implications because S&P believes the credit support available to
these notes may no longer be commensurate with their current
ratings.
S&P expects to resolve the CreditWatch negative placements within
90 days after S&P 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
ICE 3: Global Credit CLO Ltd.
Rating
Class Identifier To From
D 44928TAN3 BBB (sf)/Watch Neg BBB (sf)
E 44928WAA4 BB (sf)/Watch Neg BB (sf)
RATINGS UNAFFECTED
ICE 3: Global Credit CLO Ltd.
Class Identifier Rating
A-1 44928TAC7 AAA (sf)
B-1 44928TAE3 AA (sf)
B-2 44928TAG8 AA (sf)
C-1 44928TAJ2 A (sf)
C-2 44928TAL7 A (sf)
INSTITUTIONAL MORTGAGE 2012-2: DBRS Puts B Ratings Under Review
---------------------------------------------------------------
DBRS Limited placed the following three classes of the Commercial
Mortgage Pass-Through Certificates issued by Institutional Mortgage
Securities Canada Inc., 2012-2 Under Review with Negative
Implications:
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
There is no trend for these rating actions.
DBRS has taken these actions because of the concerns and
uncertainty surrounding the third-largest loan, Lakewood
Apartments, which recently transferred to the special servicer in
February 2016 because of imminent default. As of March 2016
remittance, this is the only loan is special servicing for the
pool.
The Lakewood Apartments loan (Prospectus ID#3, 8.3% of the pool) is
secured by a four-storey apartment building, which contains 111
units in total, comprising seven one-bedroom units and 104
two-bedroom units. The property is located in Fort McMurray,
Alberta, situated in the Timberlea area within the Wood Buffalo
Regional Municipality. The loan was originally placed on the
servicer’s watchlist in May 2015 because of a low YE2014 debt
service coverage ratio (DSCR) of 1.04 times (x). As of the YE2015
financials, performance has further declined to 0.45x and,
according to the January 2016 rent roll, the property was 32.0%
occupied with an average rental rate of $1,877 per unit compared
with 79.0% occupied with an average rental rate of $2,788 per unit
as of December 2014. The loan was transferred to the special
servicer after the borrower provided notice of its inability to
fund ongoing debt service payments and is currently due for March
2016 payments. Performance has deteriorated because of a
substantial decline in occupancy, which is primarily a result of
the economic difficulties in the region tied to the downturn in the
global energy markets. According to the Canada Mortgage Housing
Corporation, as of October 2015, the Wood Buffalo Municipal Region
reported an average vacancy rate for two-bedroom units of 30.7%,
which is an increase from the October 2014 rate of 10.6%. Also, the
average rental rate for the region as of October 2015 was reported
at $1,841 per unit, a decrease from the October 2014 rate of $2,118
per unit. According to a January 2016 report published by the
Alberta government, the oil and gas sector lost 25,000 jobs in
Alberta between December 2014 and October 2015 while the
construction sector, a closely related industry in the province,
lost 18,000 jobs in the same period. The decline in market
performance was anticipated as the condition of the Canadian energy
sector has weakened in recent years.
The loan has full recourse to the sponsors, Lanesborough Real
Estate Investment Trust (LREIT), 2668921 Manitoba Ltd (Manitoba
Ltd.) and Shelter Canadian Properties Limited (SCPL). According to
LREIT’s YE2015 financial statements, it reported total assets of
$278.5 million and total liabilities of $281.4 million, resulting
in a deficit of $2.9 million. In addition, LREIT reported a loss
before discontinued operations of $96.0 million and a cash
deficiency from operating activities of $6.5 million. The cash flow
difficulties have developed in a time of low oil prices and the
resulting declining economic environment in Western Canada, where
the firm’s real estate holdings are heavily concentrated. LREIT
published a March 2016 press release stating that the YE2015 net
operating income is not sufficient to fund its debt service
obligations; therefore, LREIT defaulted on several mortgage loans
not secured within this transaction, which have an outstanding
balance of payments owing of approximately $1.3 million. LREIT is
also deferring interest payments on the revolving loan issued by
Manitoba Ltd. amounting to approximately $200,000 and property
management payments owed to SCPL of approximately $100,000. In
terms of the revolving loan from Manitoba Ltd., in July 2015, the
loan was renewed for an additional three years with an expiration
of July 2018 and LREIT is able to borrow up to $18.0 million. SCPL
has provided concessions pertaining to property management and
service fees to allow LREIT to temporarily reduce operating costs.
LREIT’s management has undertaken other initiatives to improve
its financial stability, including the sale of two properties in
2015 totalling net cash proceeds of $30.8 million, the repayment of
an interest-only mortgage loan of $7.5 million funded by advances
from Manitoba Ltd.’s revolving loan, the reduction of operating
and capital expenditures as well as the deferral of discretionary
expenditures to decrease long-term liabilities. Manitoba Ltd. and
SCPL have been cooperative and will continue to provide financial
support in hopes to aid in the stabilization of LREIT’s
operations.
The special servicer has not received an updated appraisal for the
property to date; DBRS has requested the file be forwarded as
received. The appraised value at issuance was $34.8 million;
however, DBRS expects the value to have declined significantly,
given the general economic decline in the area. DBRS does note that
the loan benefits from full recourse to three entities including
Manitoba Ltd. and SCPL, but DBRS also acknowledges the increased
risks associated with the declining energy market that could
minimize the ability of those entities to cover any shortfall that
is likely in the event of a disposition in the near term.
INSTITUTIONAL MORTGAGE 2013-3: DBRS Reviews B Rating on Cl. G Debt
------------------------------------------------------------------
DBRS Limited placed three classes of Commercial Mortgage
Pass-Through Certificates Series 2013-3 issued by Institutional
Mortgage Securities Canada Inc., Series 2013-3 Under Review with
Negative Implications as follows:
-- Class E at BBB (low) (sf), Under Review with Negative
Implications
-- Class F at BB (sf), Under Review with Negative Implications
-- Class G at B (sf), Under Review with Negative Implications
In addition, DBRS has confirmed the remaining classes with Stable
trends as listed below:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class X at AAA (sf)
DBRS does not rate the first loss piece, Class H.
DBRS has placed Class E through Class G Under Review with Negative
Implications due to the concerns and uncertainties surrounding
three loans that were recently transferred to special servicing in
February 2016 due to imminent default. The loans are secured by
multifamily properties located in Fort McMurray, Alberta, and
collectively represent 8.8% of the current pool balance. The
details of the loans are discussed below.
At issuance, the transaction consisted of 38 loans secured by 43
properties. As of the March 2016 remittance report, 35 loans remain
in the pool as three loans prepaid in January 2016 ahead of the
respective loan maturities in 2019. The aggregate outstanding
principal balance of the trust is $223.2 million, which represents
a collateral reduction of 10.9%. Loans representing 71.0% of the
pool are reporting YE2014 financials and one loan, representing
4.1% of the pool has trailing 12-month May 2015 financials. The
remaining loans are reporting YE2013 financials. Based on the most
recent financials available, the top 15 reported a weighted-average
(WA) amortizing debt service coverage ratio (DSCR) of 1.52 times
(x) with a WA debt yield of 10.6%. In addition, the top 15 loans
experienced a WA net cash flow growth of 12.8% over the DBRS
underwritten figures. As of the March 2016 remittance, there are
three loans in special servicing and one loan is on the
servicer’s watchlist, representing 8.8% and 4.2% of the current
pool balance, respectively. The specially serviced loans and
watchlisted loan are highlighted below.
The Lunar and Whimbrel Apartments (Prospectus ID#10), Snowbird and
Skyview Apartments (Prospectus ID#11) and Parkland and Gannet
Apartments loans (Prospectus ID#17) are secured by multifamily
properties located in Fort McMurray, Alberta. The loans were
transferred to the special servicer in February 2016 due to
imminent default as the borrower has requested for temporary relief
on their debt obligation. According to the January 2016 rent roll,
occupancies at the subject properties ranged from 52.4% to 69.4%,
which is a significant decrease from the YE2014 occupancies, which
ranged from 76.2% to 85.7%. In addition to the increased vacancy,
the average rental rates have declined from the YE2014 levels.
Across the three loans, one-bedroom units, two-bedroom units and
three-bedroom units reported an average rental rate on a per-unit
basis of $1,379, $1,515 and $2,121, respectively, according to the
January 2016 rent rolls. In comparison, the YE2014 rent roll
reported average rental rates for one-bedroom units, two-bedroom
units and three-bedroom units as $1,604, $1,866, and $2,435,
respectively. According to Canada Mortgage Housing Corporation, as
of October 2015, the Wood Buffalo Municipal Region reported an
average vacancy rate of 29.4%, which is an increase from the
October 2014 average vacancy rate of 11.8%. Also, the average
rental rate for all unit types was reported at $1,761 per unit, a
decrease from the October 2014 average rental rate of $2,013 per
unit. According to a January 2016 report published by the Alberta
government, the oil and gas sector lost 25,000 jobs in Alberta
between December 2014 and October 2015, while the construction
sector, a closely related industry in the province, lost 18,000
jobs for the same period. The decline in market performance was
anticipated as the condition of the Canadian energy sector has
weakened in recent years. Consequently, the underlying assets were
adversely affected as well as the sponsor’s financial condition
given its large exposure to the market.
According to Lansborough Real Estate Investment Trust’s (LREIT,
the full recourse sponsor) YE2015 financial statements, LREIT
reported total assets of $278.5 million and total liabilities of
$281.4 million, resulting in a deficit of $2.9 million. In
addition, LREIT reported a loss before discontinued operations of
$96 million and a cash deficiency from operating activities of $6.5
million. LREIT published a March 2016 press release stating the
YE2015 net operating income is not sufficient to fund its debt
service obligations; therefore, LREIT defaulted on several mortgage
loans not secured in this transaction, which has an outstanding
balance of payments owing of approximately $1.3 million. LREIT is
also deferring interest payments on the revolving loan issued by
2668921 Manitoba Ltd. (Manitoba Ltd.) amounting to approximately
$200,000 and property management payments owed to Shelter Canadian
Properties Limited (SCPL) of approximately $100,000. In terms of
the revolving loan from Manitoba Ltd., in July 2015, the loan was
renewed for an additional three years with an expiration of July
2018 and LREIT is able to borrow up to $18.0 million. SCPL has
provided concessions pertaining to property management and service
fees to allow LREIT to temporarily reduce operating costs.
LREIT’s management has undertaken other initiatives to improve
its financial stability including the sale of two properties in
2015 totalling net cash proceeds of $30.8 million, the repayment of
an interest-only mortgage loan of $7.5 million funded by advances
from Manitoba Ltd.’s revolving loan, the reduction of operating
and capital expenditures, as well as the deferral of discretionary
expenditures to decrease long-term liabilities. Manitoba Ltd. and
SCPL have been cooperative and will continue to provide financial
support in hopes to aid in the stabilization of LREIT’s
operations. This loan also has a partial guarantee of 25% of the
loan balance by Manitoba Ltd.
The special servicer has not received an updated appraisal for the
property to date; DBRS has requested the file be forwarded as
received. The appraised value at issuance was $14.8 million for the
Lunar and Whimbrel properties, $13.7 million for the Snowbird and
Skyview properties and $11.2 million for the Parkland and Gannet
properties. DBRS expects the value of the loans to have declined
significantly from issuance due to the general economic decline in
the area. Given the uncertainty surrounding the strategy and timing
of the resolution of the loans, the poor market conditions and the
ongoing concern of LREIT’s ability to rebound from its operation
shortfalls, the loans were modelled with stressed cash flows to
inflate the credit enhancement levels across all rating categories.
The Sherbrooke Street Office loan (Prospectus ID#6, 4.2% of the
current pool balance) is secured by a Class B office building in
the Le Plateau – Mont Royal borough of Montréal, Québec. This
loan was originally placed on the watchlist in September 2014
because the former largest tenant, Aro Inc. (Aro), previously
occupying 32.8% of the net rentable area (NRA), exercised its early
termination option and vacated the property in May 2015. According
to the March 2015 rent roll, the property was 95.9% occupied;
however, this figure includes Aro in occupancy. In addition,
tenants representing 53.7% of NRA have leases that expired or will
be expiring in 2016, including the second- and third-largest
tenants – Conservatoire Lasalle (14.5% of NRA, lease expired in
May 2015) and College April Fortier Inc. (6.4% of NRA, lease
expires in December 2016), respectively. As of March 2016, Altus
listed 84,144 square feet (sf) of space as available, which
included a portion of Aro’s former space and Conservatoire
Lasalle’s space. Occupancy could be as low as 48% when excluding
Aro and Conservatoir Lasalle. DBRS has reached out to the servicer
for confirmation of the departure of the large tenants and details
regarding the leasing activity at the property. According to
Cushman & Wakefield, the YE2015 average vacancy for the East End
Montréal submarket was at 17.1%, which is an increase from the Q1
2015 level of 15.6%. The YE2015 submarket average rental rate was
$26 per square foot (psf), which is above the average rental rate
at the property, which as of the March 2015 rent roll, was $15 psf.
The YE2014 operating statement analysis report cited an amortizing
DSCR of 1.77x, which is an increase from the YE2013 DSCR of 1.76x
and DBRS underwritten DSCR of 1.16x. The loan was modelled with an
elevated probability of default to reflect the anticipated cash
flow decline following the departure of two large tenants. The loan
benefits from full recourse to an experienced sponsor with a large
portfolio of commercial real estate, specializing in Quebec
markets. This loan is cross-collateralized and cross-defaulted with
two other properties located in Québec.
INSTITUTIONAL MORTGAGE 2014-5: DBRS Review B Rating on Class G Debt
-------------------------------------------------------------------
DBRS Limited (DBRS) placed one class of the Commercial Mortgage
Pass-Through Certificates issued by Institutional Mortgage
Securities Canada Inc., Series 2014-5 Under Review with Negative
Implications as follows:
-- Class G at B (sf), Under Review with Negative Implications
There is no trend assigned for this rating action.
DBRS has taken this action because of concerns and uncertainty
surrounding the Nelson Ridge loan, which was recently transferred
to the special servicer in February 2016 because of imminent
default. The loan is one piece of a $31.0 million pari passu note
with an issuance balance of $8.0 million secured in this
transaction and $23.0 million secured in the IMSCI 2013-4
transaction. The whole loan also includes subordinate debt of $4.5
million.
The Nelson Ridge loan (Prospectus ID#17) represents 2.8% of the
current pool balance as of the March 2016 remittance and is secured
by three four-storey apartment buildings consisting of 225
two-bedroom units located in Fort McMurray, Alberta. The servicer
advises that the property is 45.8% occupied as of January 2016,
which is a decrease from the YE2014 occupancy of 88.0%. As of March
2016, the property management and one of the sponsors, Shelter
Canadian Properties Limited (SCPL), listed an asking rental rate of
$1,300 per unit on its website, which is a significant decline from
the August 2013 rental rate of $2,300 per unit. According to Canada
Mortgage Housing Corporation, as of October 2015, the Wood Buffalo
Municipal Region reported an average vacancy rate for two-bedroom
units of 30.7%, which is an increase from the October 2014 rate of
10.6%. Also, the average rental rate for the Region was reported at
$1,841 per unit, a decrease from the October 2014 rate of $2,118
per unit. According to a January 2016 report published by the
Alberta government, 25,000 jobs were lost in Alberta’s oil and
gas sector between December 2014 and October 2015, while the
construction sector, a closely related industry in the province,
saw 18,000 jobs lost for the same period. The decline in market
performance was anticipated, as the condition of the Canadian
energy sector has weakened in recent years.
According to Lansborough Real Estate Investment Trust’s (LREIT,
one of the three sponsors) YE2015 financial statements, LREIT
reported total assets of $278.5 million and total liabilities of
$281.4 million, resulting in a deficit of $2.9 million. In
addition, LREIT reported a loss before discontinued operations of
$96.0 million and a cash deficiency from operating activities of
$6.5 million. The cash flow difficulties have developed in a time
of low oil prices and the resulting declining economic environment
in Western Canada, where the firm’s real estate holdings are
heavily concentrated. LREIT published a March 2016 press release
stating that the YE2015 net operating income is not sufficient to
fund its debt service obligations; therefore, LREIT defaulted on
several mortgage loans not secured in this transaction, with an
outstanding balance of payments owing of approximately $1.3
million. LREIT is also deferring interest payments on the revolving
loan issued by 2668921 Manitoba Ltd. (Manitoba Ltd., one of the
three sponsors) amounting to approximately $200,000 and property
management payments owed to SCPL of approximately $100,000. With
regard to the revolving loan from Manitoba Ltd., the loan was
renewed in July 2015 for an additional three years with an
expiration of July 2018, and LREIT is able to borrow up to $18.0
million. SCPL has provided concessions pertaining to property
management and service fees to allow LREIT to temporarily reduce
operating costs. LREIT’s management has undertaken other
initiatives to improve its financial stability, including the sale
of two properties in 2015 totalling net cash proceeds of $30.8
million, the repayment of an interest-only mortgage loan of $7.5
million funded by advances from Manitoba Ltd.’s revolving loan,
the reduction of operating and capital expenditures, as well as the
deferral of discretionary expenditures to decrease long-term
liabilities. Manitoba Ltd. and SCPL have been cooperative and will
continue to provide financial support in hopes of aiding in the
stabilization of LREIT’s operations.
The special servicer has not received an updated appraisal for the
property to date; DBRS has requested the file be forwarded as
received. The appraised value at issuance was $68.8 million;
however, DBRS expects the value to have declined significantly
given the general economic decline in the area. DBRS does note that
the loan benefits from full recourse to three entities, including
Manitoba Ltd. and SCPL; however, DBRS also acknowledges the
increased risks associated with the declining energy market that
could minimize the ability of those entities to cover any shortfall
that is likely in the event of a disposition in the near term.
IRVINE CORE 2013-IRV: S&P Affirms BB+ Rating on Cl. F Certificates
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C commercial mortgage pass-through certificates from Irvine
Core Office Trust 2013-IRV, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P affirmed its
ratings on six other classes from the same transaction.
The rating actions on the principal- and interest-paying classes
follow S&P's 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 upgrades on classes B and C reflect S&P's expectation of the
credit enhancement available to the classes, which S&P believes is
greater than its estimates of credit enhancement necessary at the
most recent rating levels, S&P's view of the current and future
performance of the transaction's collateral, and amortization of
the trust balance.
The affirmed ratings on the principal- and interest-paying
certificate classes reflect subordination and liquidity support
levels that are consistent with the outstanding ratings and S&P's
view of the current and future performance of the transaction's
collateral.
S&P affirmed its rating on the class X-A interest-only (IO)
certificates based on S&P's criteria for rating IO securities,
under which the rating on the IO securities would not be higher
than the lowest rated reference class. The class X-A certificates
reference class A-1.
S&P's analysis of this transaction is predominantly a
recovery-based approach that assumes a loan default. Using this
approach, S&P's property-level analysis included an analysis of the
10 class A office properties encompassing 17 buildings totaling 4.8
million sq. ft. in southern California that secure the 10 mortgage
loans in the trust. S&P also considered the servicer-reported net
operating income (NOI) and occupancy for the past four years for
the collateral properties.
According to the March 17, 2016, trustee remittance report, the
trust fund consisted of a pool of 10 fixed-rate commercial mortgage
loans (not cross-collateralized or cross-defaulted) with a $824.5
million trust balance, down from $874.9 million at issuance. Each
loan pays interest at a per annum fixed rate of 3.1843%, has a
10-year term, and amortizes on a 30-year schedule. Each loan
matures on May 10, 2023. There are no loans currently with the
special servicer, and one loan, the 610 Newport Center Drive loan
($72.9 million, 8.8%), is on the master servicer's watchlist
because of reported declining occupancy. According to the master
servicer, Wells Fargo Bank N.A., the 18-story, 286,798-sq.-ft.
class A office property in Newport Beach, Calif. that secures the
loan reported a decline in occupancy to 71% from 83% in September
2015. Wells Fargo Bank N.A. reported a 1.89x debt service coverage
(DSC) for the 12 months ended June 30, 2015. To date, the trust has
not incurred any principal losses.
S&P based its analysis partly on a review of each property's
historical NOI for the three months ended Sept. 30, 2015, 12 months
ended June 30, 2011, through 2015, and the most recent rent rolls
provided by the master servicer to determine S&P's opinion of a
sustainable cash flow for the office properties. Although S&P
observed that in aggregate, the reported performance at the
properties were steady, S&P also noted that some of the individual
properties' performances were slightly down. In aggregate, S&P's
expected case value, using a Standard & Poor's weighted average
6.91% capitalization rate, yielded a 69.9% Standard & Poor's
weighted average loan-to-value ratio. The Standard & Poor's
weighted average DSC was 1.82x for the 10 loans.
RATINGS RAISED
Irvine Core Office Trust 2013-IRV
Commercial mortgage pass-through certificates
Rating
Class To From
B AA+ (sf) AA (sf)
C A+ (sf) A (sf)
RATINGS AFFIRMED
Irvine Core Office Trust 2013-IRV
Commercial mortgage pass-through certificates
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
X-A AAA (sf)
D BBB+ (sf)
E BBB- (sf)
F BB+ (sf)
JFIN CLO 2012: S&P Affirms 'BB' Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-2a, A-2b, B-1, B-2, C, and D notes from JFIN CLO 2012
Ltd. JFIN CLO 2012 Ltd. is a U.S. collateralized loan obligation
(CLO) transaction that that closed in July 2012 and is managed by
Apex Credit Partners LLC.
The transaction's reinvestment period ended in July 2015, and since
that time, the class A-1 notes have received $27.2 million in
principal paydowns to reduce their outstanding balance to 85.1% of
the original balance. Since the transaction's effective date, the
default asset balance has increased to $6.2 million as of the March
2016 trustee report. Over the same time span, the amount of 'CCC'
rated assets has increased to $35.2 million from $24.0 million.
The increase in 'CCC' rated assets has led to the transaction
surpassing its 7.5% threshold for those obligations. As a result,
a $7.49 million haircut is being applied to the
overcollateralization (O/C) ratio numerators, thus reducing the
class B, C, and D O/C ratios from the ratios in the March 2013
effective date report. The March 2016 trustee report indicated the
following O/C changes when compared to the November 2012 report:
-- The class A O/C increased slightly to 144.91% from 144.79%;
-- The class B O/C decreased to 125.48% from 127.62%;
-- The class C O/C decreased to 116.67% from 119.63%; and
-- The class D O/C decreased to 108.00% from 111.64%.
In addition, around 21% of the underlying portfolio are assets from
companies with ratings currently with negative outlooks. Of the
obligations, 5.52% are classified as nonferrous metals/minerals as
of the March 2016 trustee report, which is a sector that has seen
recent credit deterioration and could continue to decline in the
near future.
The affirmations reflect S&P's view that the credit deterioration
of the portfolio and future risks to the transaction given the
current credit market are offset by the paydowns to the class A
notes and initial high levels of credit enhancement at the
effective date.
If the transaction continues to show credit deterioration, S&P may
place the subordinate notes on CreditWatch with negative
implications because they would be vulnerable to a potential
downgrade.
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
JFIN CLO 2012 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 11.86% AAA (sf)
A-2a AA+ (sf) AAA (sf) 7.46% AA+ (sf)
A-2b AA (sf) AAA (sf) 1.87% AA (sf)
B-1 A+ (sf) AA- (sf) 2.25% A+ (sf)
B-2 A (sf) AA- (sf) 1.78% A (sf)
C BBB (sf) BBB+ (sf) 7.70% BBB (sf)
D BB (sf) BB (sf) 1.30% 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-2a AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
A-2b AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
B-1 AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
B-2 AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf)
C BBB+ (sf) BBB+ (sf) BBB+ (sf) A (sf) BBB (sf)
D BB (sf) B+ (sf) BB- (sf) BB+ (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-2a AAA (sf) AAA (sf) AA+ (sf) AA+ (sf)
A-2b AAA (sf) AA+ (sf) AA+ (sf) AA (sf)
B-1 AA- (sf) A+ (sf) BBB+ (sf) A+ (sf)
B-2 AA- (sf) A+ (sf) BBB+ (sf) A (sf)
C BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
D BB (sf) B+ (sf) CC (sf) BB (sf)
RATINGS LIST
JFIN CLO 2012 Ltd.
US$314.3 mil JFIN CLO 2012 Ltd./JFIN CLO 2012 LLC
Rating
Class Identifier To From
A-1 46616AAA4 AAA (sf) AAA (sf)
A-2a 46616AAC0 AA+ (sf) AA+ (sf)
A-2b 46616AAJ5 AA (sf) AA (sf)
B-1 46616AAE6 A+ (sf) A+ (sf)
B-2 46616AAL0 A (sf) A (sf)
C 46616AAG1 BBB (sf) BBB (sf)
D 46616EAA6 BB (sf) BB (sf)
JP MORGAN 2003-C1: S&P Raises Rating on Class F Certs From B
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Corp.'s series
2003-C1, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
These actions follow S&P's 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 upgrades
further 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. The upgrades also follow S&P's views
regarding the current and future performance of the transaction's
collateral and available liquidity support.
While available credit enhancement levels suggest further positive
rating movement on class F, S&P's analysis also considered the
bond’s susceptibility to reduced liquidity support due to its
larger size (which increases the forecasted duration of this class)
and the asset with the special servicer.
TRANSACTION SUMMARY
As of the March 14, 2016, trustee remittance report, the collateral
pool balance was $25.4 million, which is 2.3% of the pool balance
at issuance. The pool currently includes six loans and one REO
(real estate-owned) asset, down from 104 loans at issuance. One
loan ($2.7 million, 10.5%) is with the special servicer, two loans
($2.9 million, 11.4%) are defeased, and one loan ($2.2 million,
8.7%) is secured by a cooperative (co-op) housing property. The
master servicer, Wells Fargo Bank N.A., reported financial
information for 100.0% of the remaining loans in the pool, of which
78.4% was year-end 2014 data, and the remainder was partial- or
year-end 2015 data.
Excluding the specially serviced asset, the defeased loans, and the
loan backed by the cooperative housing property, S&P calculated a
1.16x Standard & Poor's weighted average debt service coverage
(DSC) and a 38.7% Standard & Poor's weighted average loan-to-value
(LTV) ratio using a 7.75% Standard & Poor's weighted average
capitalization rate. To date, the transaction has experienced
$91.5 million in principal losses (8.6% of the original pool trust
balance). S&P expects losses to remain near 8.6% upon the eventual
resolution of the sole specially serviced asset.
CREDIT CONSIDERATIONS
As of the March 14, 2016, trustee remittance report, one asset
($2.7 million, 10.5%) in the pool was with the special servicer,
LNR Partners LLC. The Blue Ash Corporate Center loan is the
third-largest nondefeased loan in the pool and has a total reported
exposure of $2.8 million. The loan is secured by a 56,545-sq.-ft.
office property in Blue Ash, Ohio. The loan was transferred to
special servicing on Dec. 6, 2012, due to delinquent payments and
became REO on Feb. 18, 2016. The reported occupancy as of the REO
date was 70.0%. S&P expects a minimal loss upon this asset's
eventual resolution, which S&P defines as a loss less than 25%.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Corp.
US$1.089 bil commercial mortgage pass-through certificates series
2003-C1
Rating Rating
Class Identifier To From
E 46625MUB3 AAA (sf) BBB (sf)
F 46625MUE7 BBB- (sf) B (sf)
JP MORGAN 2010-C1: Fitch Lowers Rating on 2 Cert. Classes to C
--------------------------------------------------------------
Fitch Ratings has downgraded five and affirmed six classes of JP
Morgan Chase Commercial Mortgage Securities Trust commercial
mortgage pass through certificates, series 2010-C1.
KEY RATING DRIVERS
The downgrades are largely the result of anticipated losses in
connection with the recent loan modification of Gateway at Salt
Lake City, the largest loan in the pool (30.6%). The Gateway at
Salt Lake City, a 623,972 square foot (sf) retail center in
downtown Salt Lake City, has underperformed expectations since
issuance. Direct competition from the newer City Creek Center
retail property has led to declining occupancy and lower foot
traffic at the subject property.
As of the March 2016 distribution date, the pool's certificate
balance has paid down 57% to $308 million from $716.3 million at
issuance. The pool has become highly concentrated with only 13 of
the original 36 loans remaining. Two loans are considered Fitch
loans of concern (34.5%); the remainder of the collateral is
amortizing balloon loans which currently have a Fitch stressed
weighted average loan to value (LTV) of 48.5%.
The Gateway at Salt Lake City loan transferred to the special
servicer in August 2015 for imminent default following several
years of declining performance. The servicer recently negotiated a
loan assumption and write-down of debt; the new sponsor is Vestar,
an operator of retail and entertainment destinations in the Western
U.S. The servicer is finalizing the details of the assumption, and
the April remittance will likely reflect terms of the modification,
including the write-down of debt.
The Gateway at Salt Lake City has suffered a steady decline in
occupancy since 2012 when City Creek opened. Currently, the
property is approximately 75% occupied, compared to 78.8% at
year-end (YE) 2014 and 96.4% at issuance. The servicer reported
annualized third quarter 2015 (3Q2015) debt service coverage ratio
(DSCR) was 0.71x compared to 0.82x at YE2014 and 1.59x at UW. The
new sponsor intends to reposition the property with a focus on
entertainment tenants, and according to the servicer, performance
may temporarily drop further as the mall transitions from its
current tenant base to one that fits Vestar's business strategy.
Additionally, Fitch has concerns with the near-term maturity of the
Aquia Office Building loan (3.9%), which has experienced high
vacancy in recent years. The loan, which is secured by a 97,990 sf
office property in Stafford, VA, was previously in special
servicing and modified with a one-year maturity extension from June
2015 to June 2016. Fitch has concerns over the loan's ability to
refinance due to performance remaining below expectations. As of
YE2015, the property was 65% occupied. Although occupancy remains
low, this is an improvement from 31.4% at YE2014 after the former
largest tenant vacated upon lease expiration in December 2014.
Servicer reported DSCR as of YE2015 was 0.62x, compared to 1.68x at
YE2014 and 1.46x at UW.
RATING SENSITIVITIES
The Negative Rating Outlook on class C represents the uncertainty
surrounding the future performance of the Gateway at Salt Lake
City. Additional downgrades are possible if the modified loan
fails to stabilize. The Rating Outlooks for classes A1 through B
remain Stable as the majority of remaining loans exhibit low
leverage and stable performance.
Fitch has downgraded these classes as indicated:
-- $16.1 million class B to 'Asf' from 'AAsf'; Outlook to
Stable from Negative;
-- $26.9 million class C to 'BBB-sf' from 'A-sf'; Outlook
Negative.
-- $14.3 million class D to 'CCCsfsf' from 'BBsf'; RE50%
-- $16.1 million class E to 'Csf' from 'Bsf'; RE0%;
-- $9 million class F to 'Csf' from 'CCCsf'; RE0%.
Fitch has affirmed these classes and revised Outlooks as
indicated:
-- $11.8 million class A-1 at 'AAAsf'; Outlook Stable;
-- $131.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $61.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $7.2 million class G at 'Csf'; RE 0%;
-- $6.3 million class H at 'Csf'; RE 0%.
Fitch does not rate classes NR and X-B.
JP MORGAN 2013-LC11: S&P Affirms 'BB-' Rating on Cl. F Certificate
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 14
classes of commercial mortgage pass-through certificates from J.P.
Morgan Chase Commercial Mortgage Securities Trust 2013-LC11, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
S&P's rating actions on the principal- and interest-paying
certificates 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
affirmations of the ratings on these bonds further reflect S&P's
expectation that the available credit enhancement for these classes
will be within S&P's estimate of the necessary credit enhancement
required for the current ratings.
S&P affirmed its 'AAA (sf)' rating on the class X-A and its
'A- (sf)' rating on the class X-B interest-only (IO) certificates
based on S&P's 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, A-2, A-3, A-4, A-5, A-SB, and A-S. The
notional balance on classes X-B references classes B and C.
TRANSACTION SUMMARY
As of the March 17, 2016, trustee remittance report, the collateral
pooled trust balance was $1.29 billion, which is 98.1% of the
pooled trust balance at issuance. The pool currently includes 51
loans (reflecting crossed loans), the same as at issuance. Five of
these loans ($60.4 million, 4.7%) are on the master servicer's
watchlist. No loans are reported as specially serviced or
defeased. The master servicer, Midland Loan Services, reported
financial information for 99.6% of the loans in the pool, of which
33.4% was year-end 2015 data, 10.7% was partial-year 2015 data, and
the remainder was year-end 2014 data.
S&P calculated a 1.67x Standard & Poor's weighted average debt
service coverage (DSC) and 81.7% Standard & Poor's weighted average
loan-to-value (LTV) ratio using a 7.74% Standard & Poor's weighted
average capitalization rate. The top 10 loans have an aggregate
outstanding pool trust balance of $769.0 million (59.5%). Using
servicer-reported numbers, S&P calculated a Standard & Poor's
weighted average DSC and LTV of 1.57x and 84.5%, respectively, for
the top 10 loans. To date, the transaction has not experienced
principal loss.
RATINGS LIST
J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
Commercial mortgage pass through certificates series 2013-LC11
Rating
Class Identifier To From
A-1 46639YAL1 AAA (sf) AAA (sf)
A-2 46639YAM9 AAA (sf) AAA (sf)
A-3 46639YAN7 AAA (sf) AAA (sf)
A-4 46639YAP2 AAA (sf) AAA (sf)
A-5 46639YAQ0 AAA (sf) AAA (sf)
A-SB 46639YAR8 AAA (sf) AAA (sf)
X-A 46639YAS6 AAA (sf) AAA (sf)
X-B 46639YAT4 A- (sf) A- (sf)
A-S 46639YAU1 AAA (sf) AAA (sf)
B 46639YAV9 AA- (sf) AA- (sf)
C 46639YAW7 A- (sf) A- (sf)
D 46639YAX5 BBB- (sf) BBB- (sf)
E 46639YAC1 BB (sf) BB (sf)
F 46639YAE7 BB- (sf) BB- (sf)
JP MORGAN 2014-C19: Fitch Affirms 'Bsf' Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed the ratings on all 14 classes of and
revised the Rating Outlook to Negative for one class of J.P. Morgan
Chase Commercial Mortgage Securities Trust (JPMBB) commercial
mortgage pass-through certificates series 2014-C19.
KEY RATING DRIVERS
The affirmations are based off of the overall stable performance of
the pool's underlying collateral since issuance and increased
credit enhancement (CE) due to continued amortization. As of the
March 2016 distribution date, the pool's aggregate balance has been
reduced by 1.2% to $1.66 billion from $1.68 billion at issuance.
Fitch modeled losses of 4.4% of the remaining pool; expected losses
on the original pool balance total 3.6%. The pool has experienced
no realized losses to date. Fitch has designated one loan (0.7%)
as a Fitch Loan of Concern. The pool contains no defeased or
specially serviced loans and there have been no interest shortfalls
to date.
The Fitch Loan of Concern is secured by a 147 room full-service
hotel located in Williston, ND. The hotel is within the Bakken
shale region, which is an area that has been severely affected by
low oil prices. During a recent tour of the region to assess
market conditions, Fitch visited the property and confirmed the low
demand for lodging in the area. Performance at the hotel has
declined sharply since issuance. Per servicer reporting, the net
operating income (NOI) debt service coverage ratio (DSCR) dropped
to 0.14x as of year-end (YE) 2015 from 1.36x as of YE 2014.
Occupancy for the year fell to 46% in 2015 from 67% in 2014. While
the loan remains current, the drop in the NOI DSCR has triggered
the lockbox provision and the property is currently being cash
managed. Fitch will continue to monitor the loan for further
deterioration in performance. Given the decline in performance and
market conditions, Fitch modeled a significant loss on the loan.
The largest loan in the pool is the Outlets at Orange loan (9%),
which is secured by a 787,697 square foot (sf) open air outlet mall
located in Orange, CA. The mall is anchored by Saks Fifth Avenue
Off 5th, Last Call by Neiman Marcus, and Nordstrom Rack. Per
servicer reporting, the NOI DSCR increased to 2.82x as of YE 2015
from 2.75x as of YE 2014. Occupancy at the property was 99% as of
the December 2015 rent roll.
The second largest loan in the pool is the NSP Multifamily
Portfolio loan (8.5%), which is secured by a portfolio of four
multifamily properties. The portfolio, totalling 1,382 units, is
located throughout several markets including Coraopolis, PA,
Cranberry Township, PA, Florence, KY and Lexington, KY. As of
December 2015, portfolio-wide occupancy was down to 83% from 88% as
of YE 2014. The NOI DSCR dropped slightly to 1.46x as of YE 2015
from 1.87x as of YE 2014.
RATING SENSITIVITIES
The Rating Outlooks on classes A-1 through E remain Stable as
credit enhancement is high due to continued amortization and
downgrades are not expected. Rating Upgrades are not likely until
the pool has experienced more significant paydown. Class F has
been assigned a Negative Rating Outlook due to an increase in
expected losses stemming from the Fitch Loan of Concern. A
downgrade to the Rating for class F is possible if more loans in
the pool become distressed or if losses on the Fitch Loan of
Concern are recognized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes and revises Rating Outlooks as
indicated:
-- $46.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $468.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $112.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $276.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $62.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $1.1* billion class X-A at 'AAAsf'; Outlook Stable;
-- $98.7 million class A-S at 'AAAsf'; Outlook Stable;
-- $89.9 million class B at 'AA-sf'; Outlook Stable;
-- $89.9* million class X-B at 'AA-sf'; Outlook Stable;
-- $63.4 million class C at 'A-sf'; Outlook Stable;
-- $252 class EC at 'A-sf'; Outlook Stable;
-- $65.2 million class D at 'BBB-sf'; Outlook Stable;
-- $31.7 million class E at 'BBsf'; Outlook Stable;
-- $17.6 million class F at 'Bsf'; Outlook to Negative from
Stable.
*Notional and interest-only.
Fitch does not rate the class NR, CSQ and the interest-only X-C
certificates. Class A-S, B, and C certificates may be exchanged
for a related amount of class EC certificates, and class EC
certificates may be exchanged for class A-S, B, and C certificates.
JP MORGAN 2016-H2FL: S&P Assigns B- Rating on Cl. C Certificates
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to J.P.
Morgan Chase Commercial Mortgage Securities Trust 2016-H2FL's
$297.310 million commercial mortgage pass-through certificates
series 2016-H2FL.
The issuance is a commercial mortgage-backed securities backed by
five commercial mortgage loans with an aggregate cut-off date
principal balance of $297.310 million.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-H2FL
Class Rating Amount ($)
A BBB- (sf) 213,540,000
B BB- (sf) 50,770,000
C B- (sf) 33,000,000
LEASE INVESTMENT 2001-1: S&P Lowers Rating on 2 Tranches to CC
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the class
A-1 and A-2 notes from Lease Investment Flight Trust (LIFT) series
2001-1 to 'CC (sf)' from 'CCC (sf)'. At the same time, S&P lowered
its rating on UCAT 2005-1's class A notes.
LIFT is an asset-backed securities (ABS) transaction originated in
2001 that is collateralized primarily by the lease revenue and
sales proceeds from a portfolio of commercial aircraft. UCAT
2005-1 is a repack transaction initially backed by $95 million of
LIFT's class A-1 notes and $50 million of LIFT's class A-2 notes.
The downgrades on the LIFT class A-1 and A-2 notes reflect S&P's
opinion of the remaining 13 aircraft's significant value decline,
which have resulted in the increased loan-to-value (LTV) ratio for
the class A-1 and A-2 notes to 167.1% from 119.6% in June 2013.
S&P previously lowered the ratings on LIFT in July 2013. As of the
Feb. 16, 2016, payment date, the remaining balances of the class
A-1 and A-2 notes were $252.8 million and $164.3 million,
respectively.
The fleet in LIFT's portfolio is significantly concentrated in
Boeing 737 classics and A320 family aircraft that were manufactured
in the late 1990s. As of the Feb. 9, 2016, calculation date, the
remaining 13 aircraft were leased to 10 airlines from nine
countries, and one aircraft is currently off-lease.
The UCAT 2005-1 class A notes have been paid down by approximately
$20.4 million since S&P affirmed the rating in July 2013. The
paydown reduced the notes' outstanding balance to $35.3 million as
of the Feb. 16, 2016, payment date. In addition to the paydowns on
the underlying LIFT notes, the class A notes also benefit from some
excess spread provided by the LIFT notes. However, the LIFT notes'
LTV ratio and negative performance mitigated the paydowns, excess
spread, and the overcollateralization provided to the UCAT 2005-1
notes, which resulted in our downgrade.
Standard & Poor's will continue to review whether, in its view, the
ratings currently assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
RATINGS LOWERED
Lease Investment Flight Trust (Series 2001-1)
Rating
Class To From
A-1 CC (sf) CCC (sf)
A-2 CC (sf) CCC (sf)
UCAT 2005-1
Rating
Class To From
A-1 BB+ (sf) BBB (sf)
LIBERTY CLO: Moody's Affirms B2(sf) Rating on Class C Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Liberty CLO, Ltd.:
US$49,000,000 Class B Floating Rate Deferrable Senior Secured
Extendable Notes, Upgraded to A1 (sf); previously on November 11,
2015 Upgraded to A2 (sf)
Moody's also affirmed the ratings on the following notes:
US$68,500,000 Class A-3 Floating Rate Senior Secured Extendable
Notes (current outstanding balance of $38,455), Affirmed Aaa (sf);
previously on November 11, 2015 Affirmed Aaa (sf)
US$43,000,000 Class A-4 Floating Rate Senior Secured Extendable
Notes, Affirmed Aaa (sf); previously on November 11, 2015 Affirmed
Aaa (sf)
US$52,000,000 Class C Floating Rate Deferrable Senior Secured
Extendable Notes (current outstanding balance of $30,378,081),
Affirmed B2 (sf); previously on November 11, 2015 Affirmed B2 (sf)
Liberty CLO, Ltd., issued in December 2005, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans and CLO securities. The transaction's reinvestment
period ended in November 2012.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since November 2015. The Class
A-3 notes have been paid down by $21.6 million or 99.8% since that
time. Based on Moody's calculation, the OC ratios for the Class A,
Class B, and Class C notes are currently at 313.6%, 146.7%, and
110.3%, respectively, versus November 2015 numbers of 244.5%,
139.1%, and 109.7%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since November 2015. Based on Moody's calculation, the weighted
average rating factor is currently 3202 compared to 3002 in
November 2015.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on the trustee's February 2016
report, securities that mature after the notes do currently make up
approximately 23.95% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature. Despite the increase in the OC ratio of the Class
C notes, Moody's affirmed the rating on the Class C notes owing to
market risk stemming from the exposure to these long-dated assets.
LIMEROCK CLO I: S&P Raises Rating on Class D Notes to BB+
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-4, B, C, and D notes from Limerock CLO I and removed them from
CreditWatch with positive implications. At the same time, S&P
affirmed its 'AAA (sf)' ratings on the class A-1, A-2, A-3a, and
A-3b notes. Limerock CLO I is a U.S. collateralized loan
obligation (CLO) transaction that closed in March 2007 and is
managed by Invesco Senior Secured Management Inc.
The rating actions follow S&P's review of the transaction's
performance using data from the Feb. 10, 2016, trustee report.
The upgrades mainly reflect the transaction's $149.4 million in
collective paydowns to the class A-1, A-2, and A-3a notes since
S&P's February 2015 rating actions, which was based on data from
the Jan. 12, 2015, trustee report. These paydowns have left the
class A-1, A-2 and A-3a notes at approximately 34.15%, 34.15%, and
26.84% of their original balances, respectively.
In addition, the aforementioned paydowns have also improved these
O/C ratios for all classes:
-- The class A O/C ratio is 156.00%, up from 128.68% in January
2015.
-- The class B O/C ratio is 136.65%, up from 120.43% in January
2015.
-- The class C O/C ratio is 123.42%, up from 114.10% in January
2015.
-- The class D O/C ratio is 112.01%, up from 108.13% in January
2015.
As of the February 2016 trustee report, there are $0.77 million of
defaulted assets and $7.14 million of collateral obligations rated
'CCC+' or lower, compared to $0.10 million and $7.98, respectively,
as of the January 2015 trustee report.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
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
Limerock CLO I
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating(iii)
A-1 AAA (sf) AAA (sf) 29.83 AAA (sf)
A-2 AAA (sf) AAA (sf) 29.83 AAA (sf)
A-3a AAA (sf) AAA (sf) 32.35 AAA (sf)
A-3b AAA (sf) AAA (sf) 29.83 AAA (sf)
A-4 AA+ (sf)/Watch Pos AAA (sf) 10.32 AAA (sf)
B AA- (sf)/Watch Pos AA+ (sf) 13.36 AA+ (sf)
C A- (sf)/Watch Pos AA- (sf) 2.56 A+ (sf)
D BB (sf)/Watch Pos BBB (sf) 0.56 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.
(iii) The amount of cushion for class C and D at the cash flow
implied rating is relatively low compared to the other tranches.
When considered in tandem with other attributes of the transaction
(exposure the structured finance assets, the amount of collateral
obligations rated 'CCC+' or lower in the portfolio, moderate
exposure to the oil and gas industry, and higher than normal
sensitivity to the recovery compression sensitivity test), S&P
determined that the final ratings should be lower than the cash
flow implied ratings. This allows for additional cushion and a
lower probability of a downgrade in the event of any defaults or
rating migration in the transaction's collateral pool.
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)
A-3a AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3b AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-4 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
D 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)
A-3a AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-3b AAA (sf) AAA (sf) AAA (sf AAA (sf)
A-4 AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA- (sf) AA+ (sf)
C AA- (sf) AA- (sf) BBB- (sf) A+ (sf)
D BBB (sf) BBB- (sf) CC (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Limerock CLO I
Rating
Class To From
A-4 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) AA- (sf)/Watch Pos
C A+ (sf) A- (sf)/Watch Pos
D BB+ (sf) BB (sf)/Watch Pos
RATINGS AFFIRMED
Limerock CLO I
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
A-3a AAA (sf)
A-3b AAA (sf)
MAGNETITE XVII: Moody's Assigns Ba3(sf) Rating on Class E Debt
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Magnetite XVII, Limited (the "Issuer" or "Magnetite
XVII").
Moody's rating action is as follows:
US$2,400,000 Class X Amortizing Senior Secured Floating Rate Notes
due 2028 (the "Class X Notes"), Assigned Aaa (sf)
US$320,000,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Assigned Aaa (sf)
US$45,000,000 Class B-1 Senior Secured Floating Rate Notes due 2028
(the "Class B-1 Notes"), Assigned Aa2 (sf)
US$15,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2028
(the "Class B-2 Notes"), Assigned Aa2 (sf)
US$27,000,000 Class C Deferrable Mezzanine Floating Rate Notes due
2028 (the "Class C Notes"), Assigned A2 (sf)
US$28,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2028 (the "Class D Notes"), Assigned Baa3 (sf)
US$25,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2028 (the "Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, Class A Notes, Class B-1 Notes, Class B-2 Notes,
Class C Notes, Class D Notes and Class E Notes are referred to
herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The 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.
Magnetite XVII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate 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 and unsecured
loans. The portfolio is 80% ramped as of the closing date.
BlackRock Financial Management, 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, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer has issued subordinated
notes.
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: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2715
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.50%
Weighted Average Life (WAL): 8 years.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2715 to 3122)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2715 to 3530)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B-1 Notes: -3
Class B-2 Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
MASTR RESECURITIZATION 2005-4CI: Moody's Ups Cl. N-3 Notes to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Class N-3
issued by MASTR Resecuritization 2005-4CI.
The resecuritization is backed by WAMU 2005-AR6 Class X which is
backed by option adjustable-rate residential mortgage loans.
The complete rating action is as follows:
Issuer: MASTR Resecuritization 2005-4CI
Cl. N-3 Notes, Upgraded to Caa3 (sf); previously on Jun 9, 2011
Downgraded to C (sf)
The rating upgrade is due to increasing expected recoveries on the
bond and improved performance of the underlying assets.
MERRILL LYNCH 2007-CA 22: Moody's Affirms Ratings on 13 Tranches
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of thirteen
classes in Merrill Lynch Financial Assets Inc., Commercial Mortgage
Pass-Through Certificates, Series 2007-Canada 22 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Apr 10, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Apr 10, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Apr 10, 2015 Upgraded to
Aaa (sf)
Cl. C, Affirmed Aa3 (sf); previously on Apr 10, 2015 Upgraded to
Aa3 (sf)
Cl. D, Affirmed Baa1 (sf); previously on Apr 10, 2015 Upgraded to
Baa1 (sf)
Cl. E, Affirmed Baa2 (sf); previously on Apr 10, 2015 Upgraded to
Baa2 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Apr 10, 2015 Affirmed Ba1
(sf)
Cl. G, Affirmed Ba3 (sf); previously on Apr 10, 2015 Affirmed Ba3
(sf)
Cl. H, Affirmed B2 (sf); previously on Apr 10, 2015 Affirmed B2
(sf)
Cl. J, Affirmed Caa1 (sf); previously on Apr 10, 2015 Affirmed Caa1
(sf)
Cl. K, Affirmed Caa2 (sf); previously on Apr 10, 2015 Affirmed Caa2
(sf)
Cl. L, Affirmed Caa3 (sf); previously on Apr 10, 2015 Affirmed Caa3
(sf)
Cl. XC, Affirmed Ba3 (sf); previously on Apr 10, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on eight P&I classes, Classes A-2 through G, were
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 ratings on the remaining four P&I classes were affirmed because
the ratings are consistent with Moody's expected loss.
The ratings on the IO class, Class XC, 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 2.6% of the
current balance, compared to 2.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.1% of the original
pooled balance, the same as 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 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 March 14, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 49% to $220 million
from $434 million at securitization. The certificates are
collateralized by 41 mortgage loans ranging in size from less than
1% to 6% of the pool, with the top ten loans (excluding defeasance)
constituting 43% of the pool. Eleven loans, representing 28% of the
pool have defeased and are secured by Canadian Government
securities.
Eight loans, representing 18% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of our
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $3.2 million (44% loss severity). There
are no loans currently in special servicing.
Moody's has assumed a high default probability for two
poorly-performing loans representing 4.1% of the pool and has
estimated an aggregate $1.8 million loss (20% expected loss based
on a 50% probability of default) from these troubled loans.
Moody's received full or partial year 2014 operating results for
81% of the pool (excluding defeased and specially se rviced loans).
Moody's weighted average conduit LTV is 85%, the same as at 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% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.2%.
Moody's actual and stressed conduit DSCRs are 1.41X and 1.27X,
respectively, compared to 1.43X and 1.25X 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 performing conduit loans represent 17% of the pool
balance. The largest loan is the Station Park London Loan ($14
million -- 6% of the pool). The loan is secured by an office
property in central London, Ontario. The property was 75% leased as
of March 2016, consistent with occupancy in February 2015, but down
from 86% leased as of February 2014. Moody's LTV and stressed DSCR
are 116% and 0.84X, respectively, compared to 118% and 0.82X at the
last review.
The second largest loan is the Empress Kanata Loan ($12 million --
6% of the pool), which is secured by a multifamily retirement
community located in suburban Ottawa, Ontario. The property was 96%
leased as of December 2014. Moody's LTV and stressed DSCR are 96%
and 1.01X, respectively, compared to 100% and 0.98X, at the last
review.
The third largest loan is the Clearspring Centre Loan ($11 million
-- 5% of the pool), which is secured by a 221,000 SF retail
shopping center located in Stienbach, Manitoba approximately 40
miles Southeast of Winnipeg. Moody's LTV and stressed DSCR are 62%
and 1.58X, respectively, compared to 57% and 1.69X, at the last
review.
ML-CFC COMMERCIAL 2006-1: S&P Lowers Rating on 2 Cert. Classes to D
-------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of commercial mortgage pass-through certificates from
ML-CFC Commercial Mortgage Trust 2006-1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
raised its ratings on two classes and affirmed its ratings on two
other classes from the same transaction.
S&P's rating actions 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 assets in the pool, the
transaction's structure, and the liquidity available to the trust.
The downgrades on classes D and E to 'D (sf)' reflect accumulated
interest shortfalls that S&P expects will remain outstanding in the
near term, as well as the credit support erosion that S&P
anticipates will occur upon the eventual resolution of 15 ($126.7
million, 67.3%) of the 16 assets ($137.2 million, 72.9%) with the
special servicer. Classes D and E have had accumulated interest
shortfalls outstanding for five consecutive months. According to
the March 14, 2016, trustee remittance report, the trust
experienced net monthly interest shortfalls totaling $45,668. The
current net interest shortfall amount included one-time appraisal
subordinate entitlement reduction (ASER) recoveries totaling
$127,593. The net interest shortfalls were primarily because of
special servicing fees of $26,921 and interest not advanced of
$59,147. However, these were offset by net ASER recoveries of
$32,477.
The current net interest shortfalls affected classes subordinate to
and including class E.
S&P raised its ratings on classes A-J and AN-FL to reflect its
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. The
upgrades also follow S&P's views regarding the current and future
performance of the transaction's collateral, the available
liquidity support, and the reduced trust balance.
The affirmations on classes B and C reflect S&P's expectation that
the available credit enhancement for the classes will be within its
estimate of the necessary credit enhancement required for the
current ratings. The affirmations also reflect S&P's views
regarding the current and future performance of the transaction's
collateral, the transaction structure, and liquidity support
available to the classes.
While available credit enhancement levels suggest further positive
rating movements on classes A-J and AN-FL and positive rating
movement on class B, S&P's analysis also considered the magnitude
of assets with the special servicer and the susceptibility of these
classes to reduced liquidity support from the specially serviced
assets, as well as the loans on the master servicer's watchlist
(six; $47.5 million, 25.2%).
TRANSACTION SUMMARY
As of the March 14, 2016, trustee remittance report, the collateral
pool balance was $188.3 million, which is 8.8% of the pool balance
at issuance. The pool currently includes 17 loans and seven real
estate-owned (REO) assets, down from 152 loans at issuance.
Sixteen of these assets are with the special servicer, six are on
the master servicer's watchlist, two are cooperative (co-op) loans
($11.9 million, 6.3%), and no loans are defeased. The master
servicer, Wells Fargo Bank N.A., reported financial information for
79.2% of the loans in the pool, of which 45.0% was partial- or
year-end 2015 data and the remainder was year-end 2014 data.
Excluding 15 of the 16 specially serviced assets and two co-op
loans, S&P calculated a 1.37x Standard & Poor's weighted average
debt service coverage (DSC) and 78.4% Standard & Poor's
loan-to-value (LTV) ratio using a 7.78% Standard & Poor's weighted
average capitalization rate for the remaining pool balance. The
top 10 assets have an aggregate outstanding pool trust balance of
$136.7 million (72.6%). Using servicer-reported numbers, S&P
calculated a Standard & Poor's weighted average DSC and LTV of
1.30x and 87.4%, respectively, for five of the top 10 assets. The
remaining top 10 assets are nonperforming and with the special
servicer.
To date, the transaction has experienced $96.7 million in principal
losses, or 4.5% of the original pool trust balance. S&P expects
losses to reach approximately 8.3% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of 15 of
the 16 specially serviced assets.
CREDIT CONSIDERATIONS
As of the March 14, 2016, trustee remittance report, 16 assets in
the pool were with the special servicer, CWCapital Asset Management
LLC (CWCapital). Appraisal reduction amounts (ARAs) totaling $75.6
million were placed on 13 of the 16 specially serviced assets. Of
these 13 assets, two ($12.2 million, 6.5%) had subsequently been
deemed norecoverable by the master servicer. Details of the three
largest specially serviced assets are:
The Prince Georges Center II loan ($36.9 million, 19.6%) is the
largest asset in the trust and with the special servicer. The loan
has a total reported exposure of $37.2 million and is secured by a
394,578-sq.-ft. suburban office property in Hyattsville, Md. The
loan, which has a foreclosure in progress payment status, was
transferred to the special servicer on Nov. 6, 2015, because of
imminent maturity default. The loan matured on Dec. 8, 2015.
Although the reported occupancy was 100% as of Jan. 4, 2016,
CWCapital indicated that the largest tenant leasing approximately
327,000 sq. ft. has lease expiration on April 30, 2016, and the
tenant has indicated its intent to relocate by May 2017. The
reported DSC was 1.59x for the nine months ended Sept. 30, 2015. A
$32.6 million ARA was previously in effect against the loan, and
S&P expects a significant loss upon its eventual resolution.
The Airport Square REO asset ($22.3 million, 11.8%), the
second-largest asset in the pool and with the special servicer, has
a total reported exposure of $24.3 million. The asset is a
170,796-sq.-ft. retail property in Reno, Nev. The loan was
transferred to the special servicer on Oct. 3, 2013, because of
imminent default, and the property became REO on June 4, 2015.
According to CWCapital, the property is currently 55.0% occupied.
An $8.2 million ARA is in place against this asset, and S&P
anticipates a moderate loss upon its eventual resolution.
The Singleton Square REO asset ($11.8 million, 6.3%), the
fourth-largest asset in the pool and the third-largest asset with
the special servicer, has a total reported exposure of $16.8
million. The asset consists of a 130,512-sq.-ft. retail property in
Norcross, Ga. The loan was transferred to the special servicer on
Feb. 4, 2010 (received according to CWCapital on Feb. 8, 2010),
because of imminent default, and the property became REO on May 6,
2014. The reported DSC and occupancy were 0.45x and 92.7%,
respectively, for year-end 2015. A $4.1 million ARA is in effect
against the asset, and S&P expects a moderate loss upon its
eventual resolution.
The 13 remaining assets with the special servicer have individual
balances that represent less than 5.7% of the total pool trust
balance. S&P estimated losses for 15 of the 16 specially serviced
assets, arriving at a 63.8% weighted average loss severity. The
remaining loan, the Pueblo Crossing loan, is expected to be
modified and returned back to the master servicer.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
ML-CFC Commercial Mortgage Trust 2006-1
Commercial mortgage pass-through certificates series 2006-1
Rating Rating
Class Identifier To From
A-J 606935AK0 BBB+ (sf) BB+ (sf)
AN-FL 606935BB9 BBB+ (sf) BB+ (sf)
B 606935AL8 B (sf) B (sf)
C 606935AM6 B- (sf) B- (sf)
D 606935AN4 D (sf) B- (sf)
E 606935AP9 D (sf) CCC (sf)
MORGAN STANLEY 1998-WF2: S&P Raises Rating on Cl. L Certs to CCC
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Inc.'s series 1998-WF2, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its rating on one other class from the same transaction.
S&P's rating actions 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 upgrades also reflect S&P's expectation of the available credit
enhancement for the classes, which S&P believes is greater than its
most recent estimate of necessary credit enhancement for the
respective rating levels, the classes' interest shortfalls history,
S&P's views regarding the collateral's current and future
performance, and the reduced trust balance.
S&P previously lowered the rating on class L to 'D (sf)' due to
accumulated interest shortfalls that S&P expected to remain
outstanding for a prolonged period. S&P raised its rating on this
class from 'D (sf)' to 'CCC (sf)' because the cumulative interest
shortfalls that affected the trust have been resolved in full, and
currently S&P believes further default of this certificate class is
not virtually certain.
The affirmation on class K reflects S&P's expectation that the
available credit enhancement for the class will be within S&P's
estimate of the necessary credit enhancement required for the
current rating, as well as S&P's views regarding the collateral's
current and future performance.
While available credit enhancement levels suggest further positive
rating movements on classes K and L, S&P's analysis also considered
the susceptibility to reduced liquidity support due to the reported
declining performance of one of the loans on the master servicer's
watchlist, the 1201 Pennsylvania Avenue loan ($27.1 million,
71.6%). This loan is the largest in the pool and is secured by a
437,961-sq.-ft. office property in Washington, D.C. According to
the Dec. 31, 2015, rent roll, the property was 77.2% leased. The
master servicer, Wells Fargo Bank N.A., indicated that occupancy is
expected to decline because the largest tenant, which comprises
57.9% of the net rentable area, is expected to vacate when its
lease expires on Aug. 23, 2016. The reported debt service coverage
(DSC) for the same reporting period was 1.34x.
TRANSACTION SUMMARY
As of the March 15, 2016, trustee remittance report, the collateral
pool balance was $37.8 million, which is 3.6% of the pool balance
at issuance. The pool currently includes 10 loans, down from 226
loans at issuance. None of these loans are with the special
servicer, one ($4.2 million, 11.1%) is defeased, and three ($27.7
million, 73.3%) are on the master servicer's watchlist. Wells Fargo
reported financial information for 100.0% of the nondefeased loans
in the pool, of which 95.0% was year-end 2015 data and the
remainder was partial-year 2015 or year-end 2014 data.
Excluding the defeased loan, we calculated a 1.18x Standard &
Poor's weighted average DSC and 40.9% Standard & Poor's weighted
average loan-to-value ratio using a 7.33% Standard & Poor's
weighted average capitalization rate for the remaining pool.
To date, the transaction has experienced $9.1 million in principal
losses, or 0.9% of the original pool trust balance.
RATINGS RAISED
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1998-WF2
Rating Rating Credit
Class To From enhancement (%)
H AA+ (sf) AA- (sf) 95.27
J AA (sf) BBB (sf) 74.19
L CCC (sf) D (sf) 10.94
RATING AFFIRMED
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1998-WF2
Class Rating Credit enhancement (%)
K BB- (sf) 53.11
MORGAN STANLEY 1999-WF1: Moody's Cuts Class X Debt Rating to Caa1
-----------------------------------------------------------------
Moody's Investors Service upgraded two, affirmed one and downgraded
one class of Morgan Stanley Capital I Inc. 1999-WF1, Commercial
Mortgage Pass-Through Certificates, Series 1999-WF1 as follows:
Cl. L, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa
(sf)
Cl. M, Upgraded to Aaa (sf); previously on May 1, 2015 Upgraded to
Aa2 (sf)
Cl. N, Upgraded to Baa3 (sf); previously on May 1, 2015 Affirmed
Ba3 (sf)
Cl. X, Downgraded to Caa1 (sf); previously on May 1, 2015 Affirmed
B3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes, Classes M and N, were upgraded
based on an increase in credit support resulting from loan
paydowns, amortization and defeasance. The deal has paid down 20%
since Moody's prior review and defeasance now constitutes 8% of the
pool, up from 1% at last review.
The rating on one P&I class, Class L, 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
transactions Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO class, Class X, was downgraded due to the
decline in the credit performance of its reference classes
resulting from paydowns of high quality reference classes.
Moody's rating action reflects a base expected loss of 0.8% of the
current balance compared to 0.7% at last review. The numerical base
expected loss figure declined compared to last review while the
percentage increased due to paydowns and amortization. The deal has
paid down 20% since last review and 99% since securitization.
Moody's base plus realized loss totals 0.5%.
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 March 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $14.9 million
from $969 million at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from 1% to 25%
of the pool, with the top ten loans (excluding defeasance)
constituting 85% of the pool. The pool contains no loans with
investment-grade structured credit assessments. Two loans,
constituting 8% of the pool, have defeased and are secured by US
government securities.
Five loans, constituting 15% 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 that generated losses,
contributing to an aggregate realized loss of $4.3 million (for an
average loss severity of 32%). There are currently no loans in
special servicing.
Moody's received full year 2014 operating results for 97% of the
pool, and full or partial year 2015 operating results for 73% of
the pool (excluding defeased loans). Moody's weighted average
conduit LTV is 21%, compared to 23% 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 10.2% 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 conduit DSCRs are 1.98X and >4.00X,
respectively, compared to 1.56X and 4.00X 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 performing conduit loans represent 56% of the pool
balance. The largest loan is the Vista Oaks Apartment Loan ($3.7
million -- 25% of the pool). The loan is secured by a 108-unit
garden-style apartment complex located in Martinez, California, in
the greater San Francisco Bay Area. As of December 2015, the
property was 95% leased compared to 96% leased as of December 2014.
Financial performance has steadily increased the past few years
while sustaining strong leasing figures. The loan is amortizing and
has paid down 30% since securitization. Moody's LTV and stressed
DSCR are 28% and 3.64X, respectively, compared to 32% and 3.24X at
the last review.
The second largest loan is the Ward Offices/Retails Loan ($3.3
million -- 22% of the pool), which is secured by a five-property,
151,000 square foot office and retail portfolio in Bel Air,
Maryland, a suburb of Baltimore. As of June 2015, the property was
91% leased, the same as at last review. The loan is fully
amortizing and has paid down 78% since securitization. Moody's LTV
and stressed DSCR are 15% and >4.00X, respectively, compared to
21% and >4.00X at prior review.
The third largest loan is the Canal Park Apartments Loan ($1.4
million -- 9% of the pool). The loan is secured by a 72-unit
apartment complex in Boise, Idaho. The property was 99% leased as
of December 2015 compared to 99% leased at last review. The loan is
amortizing and has paid down 28% since securitization. Moody's LTV
and stressed DSCR are 46% and, 2.17X, respectively, compared to 57%
and 1.74X at the last review.
MORGAN STANLEY 2001-TOP5: Moody's Hikes Cl. X-1 Debt Rating to Caa2
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and downgraded the rating on one class in Morgan Stanley Dean
Witter Capital I Trust Commercial Mortgage Pass-Through
Certificates, Series 2001-TOP5 as follows:
Cl. L, Upgraded to Aaa (sf); previously on Apr 17, 2015 Upgraded to
A1 (sf)
Cl. M, Upgraded to Baa1 (sf); previously on Apr 17, 2015 Upgraded
to Ba1 (sf)
Cl. X-1, Downgraded to Caa2 (sf); previously on Apr 17, 2015
Affirmed Caa1 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were upgraded primarily due to an
increase in credit support since Moody's last review, resulting
from paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the payoff of
loans approaching maturity that are well positioned for refinance.
The pool has paid down by 18% since Moody's last review. In
addition, loans constituting 81% of the pool that have either
defeased or have debt yields exceeding 12.0% are scheduled to
mature within the next eight months.
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 base expected loss plus realized losses is now 0.7% of the
original pooled balance, the same as Moody's last review.
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 March 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $11 million
from $1.04 billion at securitization. The certificates are
collateralized by six mortgage loans ranging in size from 1% to 65%
of the pool. One loan, constituting 13% of the pool, has defeased
and is secured by US government securities.
One loan, constituting 65% 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.
The deal has experienced aggregate realized losses of $7 million as
a result of previously liquidated loans.
Moody's received full year 2014 and 2015 operating results for 100%
of the pool. Moody's weighted average conduit LTV is 39%, the same
as 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 8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.91X and 4.18X,
respectively, compared to 1.92X and 3.68X 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 largest non-defeased loan is the Lake Forest Shopping Center
loan ($7.2 million -- 65.0% of the pool), which is secured by a
112,600 square foot (SF) shopping center located in Lake Forest,
California. The two largest tenants at the property are Ralphs (39%
of the net rentable area (NRA); lease expiration in 2030) and CVS
(13% of the NRA; lease expiration in 2021). As of December 2015,
the property was 93% leased, compared to 94% at last review.
Property performance has been stable since securitization and the
loan benefits from amortization. Moody's LTV and stressed DSCR are
44% and 2.34X, respectively, compared to 45% and 2.30X at the last
review.
The second largest non-defeased loan is the Walgreens—Van Nuys
loan ($1.1 million -- 10.2% of the pool), which is secured by a
15,120 square foot retail building 100% leased to Walgreens. The
property is located in Van Nuys, California. Property performance
remains stable and the loan matures in September 2021. Moody's LTV
and stressed DSCR are 29% and 3.61X, respectively, compared to 35%
and 2.94X at the last review.
The third largest non-defeased loan is the Walgreens -- Chicago, IL
loan ($1.0 million -- 9.1% of the pool), which is secured by a
13,000 square foot retail building 100% leased to Walgreens. The
property is located in Chicago, Illinois. Property performance
remains stable and the loan matures in August 2021. Moody's LTV and
stressed DSCR are 26% and 3.91X, respectively, compared to 32% and
3.25X at the last review.
MORGAN STANLEY 2014-C15: Fitch Affirms BB- Rating on Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of
America Merrill Lynch Trust, Series 2014-C15 commercial mortgage
pass-through certificates. The Rating Outlook for all classes
remains Stable.
KEY RATING DRIVERS
The affirmations are due to the overall stable performance of the
collateral pool since issuance. As of the March 2016 distribution
date, the pool's aggregate principal balance has been reduced by
1.5% to $1,064 million from $1,079.8 million at issuance. There
are four servicer watchlist loans (16.7% of the pool). Fitch has
identified three loans (3.1%) as Fitch loans of concern (FLOC),
including one specially serviced loan (1%).
The first FLOC is the Woodland Glen Apartments loan (1.7%), a 10
year partial interest only (IO) loan (IO for the initial 24
months). It is secured by a 304 unit garden style multifamily
property located in Northville, MI. This property has been
affected by fire losses and suffered major damage in 2015. Per the
servicer, repairs are in progress and contractors are performing
work. The collateral has property insurance against damages and
business interruption. However, the borrower is in dispute with
the insurance company regarding the coverage and has hired public
adjuster. The case is in arbitration.
The second FLOC is the Campus Court loan (1%), a 10 year balloon
loan amortizing on a 30 year schedule. It is secured by a 333 bed
(198 units) student housing complex located in Bloomington, IN. The
loan was transferred to special servicing in May 2015 due to
payment default. Foreclosure has been filed and a receiver was
appointed by the court in August 2015. The property's occupancy
has dropped significantly to 73% as of 3Q15 from 95% at issuance.
The property has outdated internet WIFI system which has impacted
demand. The special servicer is evaluating exit strategies.
The third FLOC is the Darby Row & The Belfry Apartments loan
(0.4%), a 10 year partial interest only (IO) loan (IO for the
initial 24 months). It is secured by two student housing buildings
located in South Bend, IN. Darby Row has 19 units with 35 beds and
The Belfry has 18 units with 36 beds. Both buildings are in close
vicinity to the University of Notre Dame. As of 3Q15, the servicer
reported DSCR decreased to 0.71x, compared to 0.74x at YE2014 and
1.48x at UW. The decline in the DSCR is due to the decline in
income combined with the increase in expenses. As of YE2014,
occupancy was 85% compared to 94% at UW. The occupancy has since
improved to 92% based on 3Q15 rent roll.
The largest loan in the pool, Arundel Mills & Marketplace (14.1%),
is a 10 year interest-only loan. The whole loan consists of three
pari passu notes totaling $385 million. Only the A1 note is
included in the trust. The collateral consists of Arundel Mills
Mall, a 1,554,241 sf super-regional mall, and Arundel Mills
Marketplace, an adjacent one-story, anchored shopping center
containing 101,535 sf. The property is located in Hanover, MD with
an occupancy rate of 99.7% as of YE2015, compared to 99.5% at
underwriting. Anchors include Bass Pro Shops (7.7% of NRA),
Cinemark Theatres (6.5% of NRA) and Burlington Coat Factory (4.9%
of NRA). The loan was on the servicer watchlist due to the lease
rollover of three major tenants: TJ Maxx, Burlington Coat Factory
and David & Buster's in January 2016. All have since extended
their leases. The loan is sponsored by Simon Property Group, Inc.
(59%) and Kan Am, LLC (41%). The loan is performing in line with
issuer underwriting expectations. The servicer reported YE2015
DSCR was 2.98x, compared to 2.96x at issuance.
The second largest loan in the pool, AmericasMart (12.6% of the
pool), is secured by a 7.1 million sf wholesale trade market with
approximately 4.6 million sf of rentable area in four attached
buildings. The whole loan consists of four pari passu notes with a
total current balance of $535.8 million, amortizing from $560
million at issuance. Only the A4 note is included in the trust.
Located in the CBD of Atlanta, GA, the property caters to a variety
of retailers, wholesalers and manufacturers that engage in
wholesale trade. There are over 1,500 permanent tenants occupying
approximately 3.5 million sf, and 1.1 million sf of temporary
exhibition space can be leased during trade shows. The loan is
sponsored by AMC Inc. The servicer reported occupancy for the
performance space as of January 2016 was 90.2%, compared to 85% at
issuance. The loan is performing in line with issuer underwriting
expectations. Servicer reported fiscal year 3Q2015 DSCR was 1.77x,
compared to 1.76x at issuance.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Due to the
recent issuance of the transaction and stable performance, 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 has affirmed these classes:
-- $32.8 million class A-1 at 'AAAsf'; Outlook Stable;
-- $89.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $86.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $210 million class A-3 at 'AAAsf'; Outlook Stable;
-- $321.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- IO class X-A at 'AAAsf'; Outlook Stable;
-- $52.6 million class A-S at 'AAAsf'; Outlook Stable;
-- $81 million class B at 'AA-sf'; Outlook Stable;
-- Exchangeable class PST at 'A-sf'; Outlook Stable;
-- $44.5 million class C at 'A-sf'; Outlook Stable;
-- IO class X-B at 'AA-sf'; Outlook Stable;
-- $64.8 million class D at 'BBB-sf'; Outlook Stable;
-- $13.5 million class E at 'BB+sf'; Outlook Stable;
-- $10.8 million class F at 'BB-sf'; Outlook Stable.
Fitch does not rate the IO class X-C, classes G, H and J.
MOUNTAIN HAWK I: S&P Puts BB Rating on Cl. E Notes on Watch Neg.
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'BBB (sf)' and
'BB (sf)' ratings on the class D and E notes, respectively, from
Mountain Hawk I CLO Ltd. , a cash flow collateralized loan
obligation (CLO), on CreditWatch with negative implications
following S&P's recent surveillance review. S&P did not take
rating actions on the class A-1, A-X, B-1, B-2, and C notes.
S&P placed its ratings on the class D and E notes on CreditWatch
with negative implications because S&P believes the credit support
available to these notes may no longer be commensurate with their
current ratings.
The class D and E notes, which are subordinate to the other rated
tranches in the transaction, had an original and current issuance
amount of $23 million and $29.5 million, respectively. Since the
transaction's effective date in May 2013, the balance of
'CCC'-rated and defaulted assets has increased, resulting in
declined overcollateralization (O/C) ratios. The class E O/C ratio
has declined to 104.14% as of the March 2016 trustee report from
107.97% as of the May 2013 trustee report. In addition, the
transaction has significant exposure to assets from companies that
have Standard & Poor's corporate ratings with negative outlooks.
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 I CLO Ltd.
Rating
Class To From
D (defer) BBB (sf)/Watch Neg BBB (sf)
E (defer) BB (sf)/Watch Neg BB (sf)
RATINGS UNAFFECTED
Mountain Hawk I CLO Ltd.
Class Rating
A-1 AAA (sf)
A-X AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C (defer) A (sf)
MOUNTAIN VIEW III: Moody's Raises Rating on Cl. E Notes to Ba2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Mountain View CLO III Ltd.:
$31,000,000 Class C Floating Rate Deferrable Notes, Due April,
2021, Upgraded to Aaa (sf); previously on Aug. 13, 2015,
Upgraded to Aa2 (sf)
$24,000,000 Class D Floating Rate Deferrable Notes, Due April,
2021, Upgraded to A3 (sf); previously on Aug. 13, 2015,
Upgraded to Baa1 (sf)
$14,000,000 Class E Floating Rate Deferrable Notes, Due April,
2021, Upgraded to Ba2 (sf); previously on Aug. 13, 2015,
Affirmed Ba3 (sf)
Moody's also affirmed the ratings on these notes:
$299,700,000 Class A-1 Floating Rate Notes, Due April, 2021
(current outstanding balance of $143,344,107), Affirmed
Aaa (sf); previously on Aug. 13, 2015, Affirmed Aaa (sf)
$75,000,000 Class A-2 Floating Rate Notes, Due April, 2021,
Affirmed Aaa (sf); previously on Aug. 13, 2015, Affirmed
Aaa (sf)
$25,000,000 Class B Floating Rate Notes, Due April 2021,
Affirmed Aaa (sf); previously on Aug. 13, 2015, Affirmed
Aaa (sf)
Mountain View CLO III Ltd., issued in May 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
April 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since August 2015. The Class
A-1 notes have been paid down by approximately 32.4% or $68.7
million since then. Based on the trustee's March 2016 report, the
OC ratios for the Class A/B, C, D and E notes are reported at
135.1%, 119.8%, 110.2% and 105.2%, respectively, versus August 2015
levels of 128.3%, 116.7%, 109.1% and 105.1%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since August 2015. Based on Moody's calculations, the weighted
average rating factor is currently 2548 compared to 2312 in August
2015.
The rating actions also reflect a correction to Moody's modeling.
In the August 2015 rating action, one of the assets was incorrectly
identified as long-dated. The error has now been corrected, and
today's rating actions reflect this change.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and/or collateral sales
by the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
6) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal can reinvest certain proceeds after
the end of the reinvestment period, and as such the manager
has the ability to erode some of the collateral quality
metrics to the covenant levels. Such reinvestment could
affect the transaction either positively or negatively.
Moody's notes that the deal currently holds $42.1 million of
principal proceeds as of the March 2016 trustee report. In
its analysis, Moody's considered additional scenarios of
reinvesting various portions of principal proceeds into
eligible assets.
7) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around $22.3
million of par, Moody's ran a sensitivity case defaulting
those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2038)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3058)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
Class D: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $327.0 million, defaulted par
of $13.0 million, a weighted average default probability of 9.68%
(implying a WARF of 2548), a weighted average recovery rate upon
default of 50.89%, a diversity score of 36 and a weighted average
spread of 3.00% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
NATIONAL COLLEGIATE 2004-2: Moody’s Puts B1 Cl. B Rating Under Rev
--------------------------------------------------------------------
Moody's Investors Service has placed on review for downgrade 8
classes of notes in 4 National Collegiate Student Loan Trusts
(NCSLT). The securitizations are backed by private student loans
that are not guaranteed by the US Department of Education. GSS Data
Services, Inc., a wholly owned subsidiary of Goal Structured
Solutions, Inc., is the Administrator for all the securitizations.
The complete rating actions are as follow:
Issuer: National Collegiate Student Loan Trust 2004-2
Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Dec 18, 2015 Upgraded to Aaa (sf)
Cl. B, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 3, 2013 Upgraded to B1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-1
Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Dec 18, 2015 Upgraded to Aaa (sf)
Cl. A-5-1, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 18, 2015 Upgraded to Baa3 (sf)
Cl. A-5-2, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 18, 2015 Upgraded to Baa3 (sf)
Issuer: National Collegiate Student Loan Trust 2005-2
Cl. A-4, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 20, 2014 Upgraded to Baa2 (sf)
Issuer: National Collegiate Student Loan Trust 2005-3
Cl. A-4, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 18, 2015 Upgraded to Aa2 (sf)
Issuer: NCF Grantor Trust 2004-2
Cl. A-5-1, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 3, 2013 Confirmed at Baa2 (sf)
RATINGS RATIONALE
The primary rationale for the rating actions is the increase in
operational and governance risks in the transactions caused by a
disputed servicing agreement with a new party, Odyssey Education
Resources LLC. The Odyssey servicing agreement creates uncertainty
as to which entities are servicing the underlying student loan
pools, and may also introduce market value risk to the
transactions. A dispute appears to have arisen on this issue
between US Bank N.A., the Indenture Trustee, and VCG Securities
LLC, which holds a beneficial interest in the transactions. On
February 18, 2016, US Bank filed a petition in the District Court
of Ramsey County, Minnesota, in which it requested instructions
from the court regarding the validity of a servicing agreement
purporting to appoint Odyssey as servicer for the transactions. The
petition also seeks instruction regarding the payment of
approximately $1.46 million of invoiced expenses from Odyssey,
resolution of certain inconsistencies between the Odyssey servicing
agreement and the existing servicing agreements, and other related
issues. The Odyssey servicing agreement allows Odyssey to service
30+ day delinquent loans, and to purchase 180+ day delinquent loans
at below market prices. Pursuant to the existing servicing
agreements, all 30+ day delinquent loans are serviced by US Bank,
as Special Servicer, through several special sub-servicers.
Moody's believes that the current dispute between US Bank and VCG
Securities LLC (which appears to be affiliated with Odyssey)
reflects uncertainty as to which party will service the loan pools
underlying the NCSLT deals and increases operational risk in these
transactions. In addition, Moody's believes that some of the terms
of the Odyssey servicing agreement that deviate from the existing
servicing agreements contribute to the transactions' governance
risk.
Moody's placed under review for downgrade those tranches whose
credit quality could be negatively affected by the potential
servicer transfer and the resulting possible increase in defaults
and net losses. “However, we did not place under review tranches
that benefit from a substantial amount of credit enhancement or
that are likely to be paid off in a short amount of time.”
The principal methodology used in these ratings was "Moody's
Approach to Rating U.S. Private Student Loan-Backed Securities"
published in January 2010. Please see the Ratings Methodologies
page on www.moodys.com for a copy of this methodology.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations.
Performance that falls outside the given range may indicate that
the collateral's credit quality is stronger or weaker than Moody's
had anticipated when the related securities ratings were issued.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations
preclude such actions. The decision to take (or not take) a rating
action is dependent on an assessment of a range of factors
including, but not exclusively, the performance metrics.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Among the factors that could drive the ratings up are lower
defaults and net losses on the underlying student loan pools than
Moody's expects.
Down
Among the factors that could drive the ratings down are higher
defaults and net losses on the underlying student loan pools than
Moody's expects.
NEUBERGER BERMAN XXI: Moody's Assigns Ba2 Rating on Cl. E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Neuberger Berman CLO XXI, Ltd.
Moody's rating action is:
$3,000,000 Class X Senior Secured Floating Rate Notes due 2027,
Definitive Rating Assigned Aaa (sf)
$223,200,000 Class A Senior Secured Floating Rate Notes due
2027, Definitive Rating Assigned Aaa (sf)
$20,000,000 Class B-1 Senior Secured Floating Rate Notes due
2027, Definitive Rating Assigned Aa2 (sf)
$25,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2027,
Definitive Rating Assigned Aa2 (sf)
$15,500,000 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2027, Definitive Rating Assigned A2 (sf)
$7,900,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate
Notes due 2027, Definitive Rating Assigned A2 (sf)
$19,800,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2027, Definitive Rating Assigned Baa3 (sf)
$16,200,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2027, Definitive Rating Assigned Ba2 (sf)
The Class X Notes, the Class A Notes, the Class B-1 Notes, the
Class B-2 Notes, the Class C-1 Notes, the Class C-2 Notes, the
Class D Notes and the Class E Notes, are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The 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.
Neuberger Berman CLO XXI, Ltd. is a managed cash flow CLO. The
issued notes and loans will be collateralized primarily by broadly
syndicated first-lien senior secured corporate loans. At least 96%
of the portfolio must consist of senior secured loans and eligible
investments, and up to 4% of the portfolio may consist of second
lien loans and unsecured loans. The underlying portfolio is
approximately 90% ramped as of the closing date.
Neuberger Berman Investment Advisers LLC (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, the Manager may purchase
additional collateral using principal proceeds from prepayments and
sales of credit risk obligations, subject to certain conditions.
In addition to the Rated Notes, the Issuer will issue subordinated
fee notes and subordinated notes. 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 these base-case assumptions:
Par amount: $360,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.8%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.85%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2775 to 3191)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C-1 Notes: -2
Class C-2 Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2775 to 3608)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B-1 Notes: -3
Class B-2 Notes:-3
Class C-1 Notes: -4
Class C-2 Notes: -4
Class D Notes: -2
Class E Notes: -2
NEUBERGER BERMAN XXI: S&P Assigns BB Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Neuberger Berman CLO XXI Ltd./Neuberger Berman CLO XXI LLC's
$242.40 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The ratings reflect:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The asset manager's experienced management team.
-- The transaction's ability to make timely interest and
ultimate principal payments on the rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned ratings under various
interest rate scenarios, including LIBOR ranging from
0.3439%-12.5967%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
rated notes' outstanding balance.
-- The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of a
certain amount of excess interest proceeds, that are
available before paying uncapped administrative expenses and
fees; subordinated hedge termination payments; collateral
manager incentive fees; and subordinated note payments, to
principal proceeds to purchase additional collateral assets
during the reinvestment period.
RATINGS ASSIGNED
Neuberger Berman CLO XXI Ltd./Neuberger Berman CLO XXI LLC
Class Rating Amount
(mil. $)
X AAA (sf) 3.00
A AAA (sf) 223.20
B-1 NR 20.00
B-2 NR 25.00
C-1 (deferrable) NR 15.50
C-2 (deferrable) NR 7.90
D (deferrable) NR 19.80
E (deferrable) BB (sf) 16.20
Subordinated notes NR 30.90
NR--Not rated.
NEW RESIDENTIAL 2016-1: Moody's Rates Class B-5 Notes 'B2sf'
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 15
classes of notes issued by New Residential Mortgage Loan Trust
2016-1. The NRMLT 2016-1 transaction is a securitization of $261.2
million of first lien, seasoned mortgage loans with weighted
average seasoning of approximately 150 months, weighted average
updated LTV ratio of 60.7% and weighted average updated FICO score
of 697. Approximately 25.8% of the loans were previously modified.
Ocwen Loan Servicing, LLC, Nationstar Mortgage LLC and PNC Mortgage
(PNC), will act as primary servicers and Nationstar Mortgage LLC
will act as master servicer.
The complete rating action is as follows:
Issuer: New Residential Mortgage Loan Trust 2016-1
Class A-1 Notes, Definitive Rating Assigned Aaa (sf)
Class A-IO Notes, Definitive Rating Assigned Aaa (sf)
Class A-2 Notes, Definitive Rating Assigned Aaa (sf)
Class A-3 Notes, Definitive Rating Assigned Aaa (sf)
Class A-4 Notes, Definitive Rating Assigned Aa1 (sf)
Class A-5 Notes, Definitive Rating Assigned Aaa (sf)
Class A-6 Notes, Definitive Rating Assigned Aaa (sf)
Class A Notes, Definitive Rating Assigned Aaa (sf)
Class B-1 Notes, Definitive Rating Assigned Aa2 (sf)
Class B1-IO Notes, Definitive Rating Assigned Aa2 (sf)
Class B-2 Notes, Definitive Rating Assigned A2 (sf)
Class B2-IO Notes, Definitive Rating Assigned A2 (sf)
Class B-3 Notes, Definitive Rating Assigned Baa1 (sf)
Class B-4 Notes, Definitive Rating Assigned Ba1 (sf)
Class B-5 Notes, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
Moody's said, "Our losses on the collateral pool are 2.65% in an
expected scenario and reach 15.25% at a stress level consistent
with the Aaa ratings on the senior classes. We based our expected
loss on this pool on our estimates of (1) the default rate on the
remaining balance of the loans and (2) the principal recovery rate
on the defaulted balances. The final expected losses for the pool
reflect the third party review (TPR) findings and our assessment of
the representations and warranties (R&Ws) framework for this
transaction.
"To estimate the losses on this pool, we used an approach similar
to our surveillance approach. Under this approach, we apply
expected annual delinquency rates, conditional prepayment rates
(CPRs), loss severity rates and other variables to estimate future
losses on the pool. Our assumptions on these variables are based on
the observed rate of delinquency on seasoned modified and
non-modified loans, and the collateral attributes of the pool
including the percentage of loans that were delinquent in the past
24 months. For this pool, we used default burnout and voluntary CPR
assumptions similar to those detailed in our 'US RMBS Surveillance
Methodology' for Alt-A loans originated before 2005. We then
aggregated the delinquencies and converted them to losses by
applying pool-specific lifetime default frequency and loss severity
assumptions."
Collateral Description
NRMLT 2016-1 is a securitization of seasoned performing residential
mortgage loans which the sellers, NRZ Sponsor V LLC and NRZ Sponsor
VI LLC, have previously purchased in connection with the
termination of various securitization trusts. The transaction
consists primarily of 30-year fixed rate loans. 74.2% of the loans
in this pool by balance have never been modified and have been
performing while approximately 25.8% of the loans were previously
modified but are now current and cash flowing. The weighted average
seasoning on the collateral is approximately 150 months.
Third-party Review and Representations & Warranties
A third party due diligence provider conducted a compliance review
on a sample of 769 loans proposed to be included in the mortgage
pool. The regulatory compliance review consisted of a review of
compliance with Section 32/HOEPA, Federal Truth in Lending
Act/Regulation Z (TILA), the Real Estate Settlement Protection
Act/Regulation X (TILA), and federal, state and local
anti-predatory regulations. Home data index (HDI) values were
obtained for 1,773 out of 1,789 properties in the securitization.
In addition, updated broker price opinions (BPOs) were obtained for
522 of the properties contained within the securitization from a
third party BPO provider.
The third party due diligence provider also conducted reviews of
data integrity, pay history, and title/lien on selected samples to
confirm that certain information in the mortgage loan files matched
the information supplied by the servicers. Any issues identified
during the data integrity review were corrected on the data tape,
and the pay history analysis indicated there were no material pay
history issues on the data tape.
The third party due diligence review identified 567 loans that had
compliance exceptions, the majority of which were due to missing
HUD and/or TIL documents, under disclosed finance charges, missing
right to cancel disclosures, or missing FACTA disclosures. Although
the diligence provider's report indicated that the statute of
limitations for borrowers to rescind their loans has already
passed, borrowers can still raise these legal claims in defense
against foreclosure as a set off or recoupment and win damages that
can reduce the amount of the foreclosure proceeds. Such damages
include up to $4,000 in statutory damages, borrowers' legal fees
and other actual damages.
The sellers, NRZ Sponsor V LLC and NRZ Sponsor VI LLC, are
providing a representation and warranty for missing mortgage files.
To the extent that the indenture trustee, master servicer, related
servicer, depositor or custodian has actual knowledge of a
defective or missing mortgage loan document or a breach of a
representation or warranty regarding the completeness of the
mortgage file or the accuracy of the mortgage loan documents, and
such missing document, defect or breach is preventing or materially
delaying the (a) realization against the related mortgaged property
through foreclosure or similar loss mitigation activity or (b)
processing of any title claim under the related title insurance
policy, the party with such actual knowledge will give written
notice of such breach, defect or missing document, as applicable,
to the related seller, indenture trustee, depositor, master
servicer, related servicer and custodian. Upon notification of a
missing or defective mortgage loan file, the related seller will
have 120 days from the date it receives such notification to
deliver the missing document or otherwise cure the defect or
breach. If it is unable to do so, the related seller will be
obligated to replace or repurchase the mortgage loan.
Moody's said, "Despite this provision, we increased our loss
severities to account for loans with missing title policies
(according to both the title/lien review and a custodial file
review), mortgage notes, or mortgage/deed/security agreements. This
adjustment was based on both the results of the TPR review and
because the R&W provider is an unrated entity and weak from a
credit perspective. In our analysis we assumed that 1.4% of the
projected defaults will have missing documents' breaches that will
not be remedied and result in higher than expected loss
severities."
Trustee & Master Servicer
The transaction indenture trustee is Wilmington Trust National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A. The paying agent and cash management functions
will be performed by Citibank, N.A. In addition, Nationstar
Mortgage LLC, as master servicer, is responsible for servicer
oversight, termination of servicers, and the appointment of
successor servicers.
Transaction Structure
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.
Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 3.1% of the closing principal balance.
There is also a provision that prevents subordinate bonds from
receiving principal if the credit enhancement for the Class A-1
Note falls below its percentage at closing, 16.75%. These
provisions mitigate tail risk by protecting the senior bonds from
eroding credit enhancement over time.
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 our 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. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
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 our 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.
NEW RESIDENTIAL 2016-1: S&P Assigns B Rating on Class B-5 Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to New
Residential Mortgage Loan Trust 2016-1's $246.432 million rated
mortgage-backed notes series 2016-1.
The note issuance is an RMBS securitization backed by residential
mortgage loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided, as well as the associated
structural transaction mechanics;
-- The pool's collateral composition, which consists of highly
seasoned, prime and non-prime, fixed- and adjustable-rate
mortgages (ARMs);
-- The representation and warranty (R&W) framework; and
-- The ability and willingness of key transaction parties to
perform their contractual obligations, and the likelihood
that the parties could be replaced if needed.
RATINGS ASSIGNED
New Residential Mortgage Loan Trust 2016-1
Class Rating Amount
(Mil. $)
A-1 AAA (sf) 212.927
A-IO AAA (sf) (i)
B-1 AA (sf) 10.103
B1-IO AA (sf) (i)
B-2 A (sf) 7.545
B2-IO A (sf) (i)
B-3 BBB (sf) 6.522
B-4 BB+ (sf) 4.092
B-5 B (sf) 5.243
B-6 NR 9.336488
A-2 AAA (sf) 209.730
A-3 AAA (sf) 3.197
A-4 AA (sf) 223.030
A-5 AAA (sf) 191.570
A-6 AAA (sf) 21.357
A AAA (sf) 212.927
B NR 42.841488
FB NR 5.247244
(i) Notional amount.
NR--Not rated.
OAKWOOD MORTGAGE 1998-A: Moody's Raises Class M Debt Rating to B2
-----------------------------------------------------------------
Moody's Investors Service, on April 5, 2016, upgraded the ratings
of seven tranches issued by six transactions between 1997 and 2002.
The collateral backing these transactions consists primarily of
manufactured housing units.
Complete rating action:
Issuer: Oakwood Mortgage Investors, Inc. Series 1997-D
M, Upgraded to Aa3 (sf); previously on May 29, 2015, Upgraded to
A3 (sf)
Issuer: Oakwood Mortgage Investors, Inc. Series 1998-A
M, Upgraded to B2 (sf); previously on March 30, 2009, Downgraded
to Caa2 (sf)
Issuer: Oakwood Mortgage Investors, Inc., Series 1998-C
A, Upgraded to A2 (sf); previously on Oct. 25, 2012, Upgraded to
Baa1 (sf)
A-1 ARM, Upgraded to Baa1 (sf); previously on Dec. 21, 2004,
Downgraded to Baa3 (sf)
Issuer: Oakwood Mortgage Investors, Inc., Series 1998-D
A, Upgraded to A3 (sf); previously on Aug. 14, 2014, Upgraded to
Baa2 (sf)
Issuer: Oakwood Mortgage Investors, Inc., Series 1999-B
A-4, Upgraded to B3 (sf); previously on March 30, 2009,
Downgraded to Caa2 (sf)
Issuer: OMI Trust 2002-C
Cl. A-1, Upgraded to Ba2 (sf); previously on Aug. 14, 2014,
Upgraded to B2 (sf)
RATINGS RATIONALE
The rating 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 an increase in credit
enhancement available to the bonds. Performance has remained
generally stable from our last review.
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 March 2016 from 5.5% in
March 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.
RAAC TRUST 2004-SP3: Moody's Hikes Rating on M-I-1 Certs to Ba3
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 14 tranches
from five deals backed by "scratch and dent" RMBS loans.
Complete rating actions are:
Issuer: RAAC 2006-SP2 Trust
Cl. A-3 Certificate, Upgraded to A1 (sf); previously on May 26,
2015 Upgraded to A3 (sf)
Issuer: RAAC Series 2004-SP3 Trust
Cl. A-I-4 Certificate, Upgraded to A3 (sf); previously on
July 17, 2012, Confirmed at Baa1 (sf)
Cl. A-I-5 Certificate, Upgraded to A2 (sf); previously on
May 19, 2011 Downgraded to A3 (sf)
Cl. A-II Certificate, Upgraded to A3 (sf); previously on
June 28, 2013, Downgraded to Baa2 (sf)
Cl. M-I-1 Certificate, Upgraded to Ba3 (sf); previously on
July 17, 2012, Confirmed at B1 (sf)
Cl. M-II-1 Certificate, Upgraded to Ba3 (sf); previously on
June 28, 2013, Downgraded to B1 (sf)
Issuer: RAAC Series 2005-SP3 Trust
Cl. A-3 Certificate, Upgraded to A1 (sf); previously on May 19,
2011, Confirmed at A2 (sf)
Cl. M-1 Certificate, Upgraded to Baa1 (sf); previously on
June 28, 2013, Upgraded to Baa3 (sf)
Cl. M-2 Certificate, Upgraded to B1 (sf); previously on June 28,
2013, Upgraded to B3 (sf)
Cl. M-3 Certificate, Upgraded to Caa1 (sf); previously on
June 28, 2013, Upgraded to Caa3 (sf)
Issuer: RAAC Series 2006-SP3 Trust
Cl. A-3 Certificate, Upgraded to A3 (sf); previously on May 26,
2015, Upgraded to Baa1 (sf)
Cl. M-1 Certificate, Upgraded to Baa3 (sf); previously on
May 26, 2015, Upgraded to Ba3 (sf)
Cl. M-2 Certificate, Upgraded to Ca (sf); previously on May 4,
2009, Downgraded to C (sf)
Issuer: RAMP Series 2004-SL2 Trust
Cl. A-IO Certificate, Upgraded to B1 (sf); previously on
March 14, 2013, Downgraded to B2 (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 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 February 2016 from 5.5% in
February 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.
RESIDENTIAL MORTGAGE 2008-2: S&P Withdraws D Ratings on Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the notes
from Residential Mortgage Securities Funding 2008-2 Ltd. to 'D
(sf)' from 'CCC (sf)' and subsequently withdrew it.
The transaction is a U.S. residential mortgage-backed securities
(RMBS) resecuritized real estate mortgage investment conduit
(re-REMIC) transaction issued in 2008. The notes were originally
structured to be backed by class M-1 from Renaissance Home Equity
Loan Trust 2006-2, the repackaged base security. In addition, two
notes from collateralized debt obligations (CDO) transactions
(class X from High Grade Structured Credit CDO 2005-1 Ltd. and
class C from Porter Square CDO II Ltd.) provided performance
enhancements to the deal.
As of February 2016, among the re-REMIC's underlying classes, only
class C from Porter Square CDO II Ltd. had an outstanding balance.
These notes are currently capitalizing their interest. S&P do not
expect any cash flow from this class to support the re-REMIC at the
'CCC (sf)' rating level or higher.
Presently, the re-REMIC has been deferring its interest payments,
and based on the levels of credit support that it currently has, it
is unlikely to pay back its balance. As a result, S&P lowered the
rating to 'D (sf)' and subsequently withdrew it.
RATING LOWERED
Residential Mortgage Securities Funding 2008-2 Ltd.
Rating
Class CUSIP To From
Notes 76115DAA1 D (sf) CCC (sf)
RATING WITHDRAWN
Residential Mortgage Securities Funding 2008-2 Ltd.
Rating
Class CUSIP To From
Notes 76115DAA1 NR D (sf)
SATURNS TRUST 2003-1: S&P Lowers Rating on $60.192MM Units to CCC+
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on SATURNS
Trust No. 2003-1's $60.192 million units to 'CCC+' from 'B'.
S&P's rating on the units is dependent on its rating on the
underlying security, Sears Roebuck Acceptance Corp.'s 7.00% notes
due June 1, 2032 ('CCC+').
The rating action follows the March 4, 2016, lowering of S&P's
rating on the underlying security to 'CCC+' from 'B'. S&P may take
subsequent rating actions on the units due to changes in its rating
assigned to the underlying security.
SBL COMMERCIAL 2016-KIND: Moody's Assigns B3 Rating on Cl. F Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to eight
classes of commercial mortgage backed securities, issued by SBL
Commercial Mortgage Trust 2016-KIND, Commercial Mortgage
Pass-Through Certificates, Series 2016-KIND.:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. X*, Definitive Rating Assigned Aa3 (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. F, Definitive Rating Assigned B3 (sf)
Cl. G, Definitive Rating Assigned Caa2 (sf)
* Interest-Only Class
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to a portfolio of 550 early
childhood education centers operated by KinderCare, leading
operator of for-profit early childhood education centers. Moody's
ratings are based on the collateral and the structure of the
transaction.
The loan collateral is comprised of the borrower's fee interest in
550 childcare centers located across 37 states. Three states make
up 30.3% of the portfolio's total square footage including Illinois
(60 properties; 12.7% of the allocated loan amount; 10.9% of total
square footage), California (49 properties; 12.7% of the allocated
loan amount; 10.1% of total square footage), and Texas (50
properties; 6.6% of the allocated loan amount; 9.3% of total square
footage). Construction dates range between 1970 and 2008 and
reflect a weighted average age of 26.9 years. As of June 30, 2015,
the portfolio's weighted average enrollment rate was 66.8%.
Moody's approach to rating this transaction involved the
application of both Moody's Single Borrower methodology and Moody's
IO Rating methodology. The rating approach for securities backed
by a single loan compares the credit risk inherent in the
underlying property with the credit protection offered by the
structure. The structure's credit enhancement is quantified by the
maximum deterioration in property value that the securities are
able to withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of the loan is determined primarily by two factors:
1) our assessment of the probability of default, which is largely
driven by the DSCR, and 2) our assessment of the severity of loss
in the event of default, which is largely driven by the LTV of the
underlying loan.
The original first mortgage loan amount represents $550.0 million
of non-recourse first mortgage financing to a single borrower that
owns interests in 550 early childhood education centers. The
mortgage loan was originated on November 13, 2015 and is secured by
first priority mortgages/deeds of trust on the fee simple interest
in the 550-property portfolio. The loan has a term of ten years
and calls for amortization equal to 0.25% annually during years
1-3; 0.50% annually during years 4-5; 1.0% annually during years
6-8 and 2.0% annually thereafter. Principal payments are based on
the initial Loan amount and is to be paid in quarterly installments
concurrently with interest payments. The Borrower may prepay the
loan, in whole or in part, at any time without penalty or premium.
Total loan proceeds from the Mortgage Loan and the Mezzanine A Loan
were used to repay existing debt in the amount of approximately
$591 million, pay interest and closing costs in the amount of $19.2
million and return $29.8 million of equity to the Borrower.
These factors were the strongest features of the transaction: (i)
strong geographic diversity with 550 Properties located in 37
states with no one state representing more than 12.7% of the
allocated loan balance, (ii) granular loan allocation with Largest
Property and the Top 10 Loans representing only 0.8% and 5.5% of
the allocated loan balance, respectively, (iii) a property HERF of
434.9, (iv) a strong operator in KinderCare, the largest for-profit
provider of early child care and education services in the U.S.,
which operates 1,493 early childhood education and care centers
with a licensed capacity of 198,123 children, (v) strong
demographics including a weighted average 5-mile population and
average household income of 194,478 and $94,746 and (vi)
satisfactory loan performance in BACM 2005-6, BACM 2006-1 and GECMC
2006-C1 which included the subject collateral and 163 other
properties.
The following factors were the strongest concerns of the
transaction: (i) the collateral is comprised of specialty use which
is considered a risky property type due to its significant
operating component, (ii) a single tenant concentration in
KinderCare, an unrated operator, subject to a Opco/Propco Master
Lease (iii) approximately 18.6% of the properties are in
secondary/tertiary markets which tend to exhibit greater cash flow
and cap rate variability over time, may be less liquid and can
result in lower recovery values in the event of a default, (iv) the
properties are encumbered with $90.0 million of non-pooled
mezzanine debt and (v) the weighted average size and age of
properties at approximately 8,000 square feet and 26 years which
may pose some challenges in the event of a loan default.
All 550 properties are subject to a 15-year absolute triple net
Master Lease with a fixed base rent for the first five years with
rent bumps in the fifth and tenth lease years equal to the lesser
of (i) 10% of the prior year's rent and (ii) the All Urban
Consumers, All Items, Not Seasonally Adjusted CPI increase. The
Master Lease includes two, five-year extensions for all of the
sites with at least twelve months prior notice. The tenant is
permitted to (i) permanently discontinue operations in up to
fifteen properties, (ii) sublease up to forty properties and (iii)
temporarily discontinue operations in up to five sites for up to
180 days for purposes of remodeling or making alterations or
improvements to a site or 120 days for the purposes of correcting
or curing any health, safety or regulatory issues or violations at
such site. However, the sum of subleased and dark centers may not
exceed forty properties.
Moody's DSCR is based on its stabilized net cash flow. The first
mortgage balance of $550.0 million represents a Moody's LTV of
117.6%. Inclusive of the $90.0 million mezzanine loan held outside
of the trust, the Moody's LTV is 136.8%. The Moody's First
Mortgage Actual DSCR is 1.69X and Moody's Total Debt Stressed DSCR
at a 9.25% constant is 1.29X. Inclusive of the $90.0 mezzanine
loan, the Moody's First Mortgage Actual DSCR is 1.20X and Moody's
Total Debt Stressed DSCR at a 9.25% constant is 1.03X.
The collateral for the loan is comprised of 550
cross-collateralized properties. Loans secured by multiple
properties benefit from lower cash flow volatility given that
excess cash flow from one property can be used to augment another's
cash flow to meet debt service requirements. Although multiple
property loans also benefit from the pooling of equity from each
underlying property, significant correlations exist due to pooling
within a single property type, especially with respect to
properties exposed to a single industry. The loan has a property
level Herfindahl score of 434.9.
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Moody's review incorporated the use of the excel-based Large Loan
Model, which it uses for single borrower and large loan
multi-borrower transactions. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan level
proceeds derived from our Moody's loan level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, and property type. These aggregated proceeds are then
further adjusted for any pooling benefits associated with loan
level diversity, other concentrations and correlations. Moody's
analysis also uses the CMBS IO calculator which references the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and credit
estimates; original and current bond balances grossed up for losses
for all bonds the IO(s) reference(s) within the transaction; and IO
type corresponding to an IO type as defined in the published
methodology.
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5%, 14.5%,
or 23.1%, the model-indicated rating for the currently rated Aaa
(sf) class would be Aa1 (sf), Aa3 (sf), or A2 (sf). Parameter
Sensitivities are not intended to measure how the rating of the
security might migrate over time; rather they are designed to
provide a quantitative calculation of how the initial rating might
change if key input parameters used in the initial rating process
differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
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 may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
SBL COMMERCIAL 2016-KIND: Moody's Gives (P)B3 Rating to Cl. F Debt
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to eight
classes of commercial mortgage backed securities, issued by SBL
Commercial Mortgage Trust 2016-KIND, Commercial Mortgage
Pass-Through Certificates, Series 2016-KIND:
Cl. A, Assigned (P)Aaa (sf)
Cl. X*, Assigned (P)Aa3 (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B3 (sf)
Cl. G, Assigned (P)Caa2 (sf)
* Interest-Only Class
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to a portfolio of 550 early
childhood education centers operated by KinderCare, leading
operator of for-profit early childhood education centers. "Our
ratings are based on the collateral and the structure of the
transaction," Moody's said.
The loan collateral is comprised of the borrower's fee interest in
550 childcare centers located across 37 states. Three states make
up 30.3% of the portfolio's total square footage including Illinois
(60 properties; 12.7% of the allocated loan amount; 10.9% of total
square footage), California (49 properties; 12.7% of the allocated
loan amount; 10.1% of total square footage), and Texas (50
properties; 6.6% of the allocated loan amount; 9.3% of total square
footage). Construction dates range between 1970 and 2008 and
reflect a weighted average age of 26.9 years. As of June 30, 2015,
the portfolio's weighted average enrollment rate was 66.8%.
"The credit risk of the loan is determined primarily by two
factors: (1) our assessment of the probability of default, which is
largely driven by the DSCR, and (2) our assessment of the severity
of loss in the event of default, which is largely driven by the LTV
of the underlying loan," Moody's said.
The original first mortgage loan amount represents $550.0 million
of non-recourse first mortgage financing to a single borrower that
owns interests in 550 early childhood education centers. The
mortgage loan was originated on November 13, 2015 and is secured by
first priority mortgages/deeds of trust on the fee simple interest
in the 550-property portfolio. The loan has a term of ten years and
calls for amortization equal to 0.25% annually during years 1-3;
0.50% annually during years 4-5; 1.0% annually during years 6-8 and
2.0% annually thereafter. Principal payments are based on the
initial Loan amount and is to be paid in quarterly installments
concurrently with interest payments. The Borrower may prepay the
loan, in whole or in part, at any time without penalty or premium.
Total loan proceeds from the Mortgage Loan and the Mezzanine A Loan
were used to repay existing debt in the amount of approximately
$591 million, pay interest and closing costs in the amount of $19.2
million and return $29.8 million of equity to the Borrower.
The following factors were the strongest features of the
transaction: (i) strong geographic diversity with 550 Properties
located in 37 states with no one state representing more than 12.7%
of the allocated loan balance, (ii) granular loan allocation with
Largest Property and the Top 10 Loans representing only 0.8% and
5.5% of the allocated loan balance, respectively, (iii) a property
HERF of 434.9, (iv) a strong operator in KinderCare, the largest
for-profit provider of early child care and education services in
the U.S., which operates 1,493 early childhood education and care
centers with a licensed capacity of 198,123 children, (v) strong
demographics including a weighted average 5-mile population and
average household income of 194,478 and $94,746 and (vi)
satisfactory loan performance in BACM 2005-6, BACM 2006-1 and GECMC
2006-C1 which included the subject collateral and 163 other
properties.
The following factors were the strongest concerns of the
transaction: (i) the collateral is comprised of specialty use which
is considered a risky property type due to its significant
operating component, (ii) a single tenant concentration in
KinderCare, an unrated operator, subject to a Opco/Propco Master
Lease (iii) approximately 18.6% of the properties are in
secondary/tertiary markets which tend to exhibit greater cash flow
and cap rate variability over time, may be less liquid and can
result in lower recovery values in the event of a default, (iv) the
properties are encumbered with $90.0 million of non-pooled
mezzanine debt and (v) the weighted average size and age of
properties at approximately 8,000 square feet and 26 years which
may pose some challenges in the event of a loan default.
All 550 properties are subject to a 15-year absolute triple net
Master Lease with a fixed base rent for the first five years with
rent bumps in the fifth and tenth lease years equal to the lesser
of (i) 10% of the prior year's rent and (ii) the All Urban
Consumers, All Items, Not Seasonally Adjusted CPI increase. The
Master Lease includes two, five-year extensions for all of the
sites with at least twelve months prior notice. The tenant is
permitted to (i) permanently discontinue operations in up to
fifteen properties, (ii) sublease up to forty properties and (iii)
temporarily discontinue operations in up to five sites for up to
180 days for purposes of remodeling or making alterations or
improvements to a site or 120 days for the purposes of correcting
or curing any health, safety or regulatory issues or violations at
such site. However, the sum of subleased and dark centers may not
exceed forty properties.
Moody's DSCR is based on its stabilized net cash flow. The first
mortgage balance of $550.0 million represents a Moody's LTV of
117.6%. Inclusive of the $90.0 million mezzanine loan held outside
of the trust, the Moody's LTV is 136.8%. The Moody's First Mortgage
Actual DSCR is 1.69X and Moody's Total Debt Stressed DSCR at a
9.25% constant is 1.29X. Inclusive of the $90.0 mezzanine loan, the
Moody's First Mortgage Actual DSCR is 1.20X and Moody's Total Debt
Stressed DSCR at a 9.25% constant is 1.03X.
The collateral for the loan is comprised of 550
cross-collateralized properties. Loans secured by multiple
properties benefit from lower cash flow volatility given that
excess cash flow from one property can be used to augment another's
cash flow to meet debt service requirements. Although multiple
property loans also benefit from the pooling of equity from each
underlying property, significant correlations exist due to pooling
within a single property type, especially with respect to
properties exposed to a single industry. The loan has a property
level Herfindahl score of 434.9.
Moody's said, "Our review incorporated the use of the excel-based
Large Loan Model, which it uses for single borrower and large loan
multi-borrower transactions. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan level
proceeds derived from our Moody's loan level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, and property type. These aggregated proceeds are then
further adjusted for any pooling benefits associated with loan
level diversity, other concentrations and correlations. Our
analysis also uses the CMBS IO calculator which references the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and credit
estimates; original and current bond balances grossed up for losses
for all bonds the IO(s) reference(s) within the transaction; and IO
type corresponding to an IO type as defined in the published
methodology."
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5%, 14.5%,
or 23.1%, the model-indicated rating for the currently rated (P)
Aaa (sf) class would be (P) Aa1 (sf), (P) Aa3 (sf), or (P) A2 (sf).
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
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 may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
SHINNECOCK CLO 2006-1: S&P Affirms BB+ Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, and D notes from Shinnecock CLO 2006-1 Ltd., a U.S.
collateralized loan obligation (CLO) managed by Crescent Capital
Group LP. At the same time, S&P affirmed its ratings on the class
A-1, A-2, and E notes. S&P also removed its ratings on the class
B, C, D, and E notes from CreditWatch, where they were placed with
positive implications on Feb. 9, 2016.
The upgrades mainly reflect paydowns to the class A-1 notes and a
subsequent increase in the credit support available to support the
notes since S&P's October 2014 rating actions. Since then, the
transaction has paid down the class A-1 notes by approximately
$85.42 million, leaving them at approximately 26.01% of their
original balance.
Mainly due to the aforementioned paydowns, the upgrades also
reflect an improvement in the overcollateralization (O/C) available
to support the notes. The trustee reported these O/C ratios in the
February 2016 monthly report:
-- The class A/B O/C ratio was 146.54%, up from a reported
amount of 126.23% in September 2014 (which S&P used for its
October 2014 actions).
-- The class C/D O/C ratio was 115.67%, up from 110.52% in
September 2014.
In addition, the underlying portfolio's credit quality has
deteriorated slightly since S&P's October 2014 rating actions.
According to the February 2016 trustee report, the transaction has
$8.97 million of assets rated in the 'CCC' range, up slightly from
$7.37 million, as reported in the September trustee 2014 trustee
report. Furthermore, the defaulted assets increased slightly
through the same period, to a reported $2.79 million as of these
rating actions from the $1.79 million reported as of S&P's last
rating actions.
The application of the largest obligor default test, a supplemental
stress test included in S&P's criteria for corporate cash flow
CDOs, constrained the ratings on the class D and E notes. The
obligor concentration risk of the portfolio has increased since
S&P's last rating actions because the number of unique obligors
represented in the portfolio has decreased to 65 from 107.
The affirmations of S&P's class A and E note ratings reflect its
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 RESULTS AND SENSITIVITY ANALYSIS
Shinnecock CLO 2006-1 Ltd
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A-1 AAA (sf) AAA (sf) 23.79 AAA (sf)
A-2 AAA (sf) AAA (sf) 23.79 AAA (sf)
B AA+ (sf)/Watch Pos AAA (sf) 20.91 AAA (sf)
C AA- (sf)/Watch Pos AAA (sf) 2.66 AA+ (sf)
D BBB+ (sf)/Watch Pos AA- (sf) 1.61 A+ (sf)
E BB+ (sf)/Watch Pos BBB+ (sf) 1.47 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 (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 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 AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
D AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
E BBB+ (sf) BBB- (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 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf)
D AA- (sf) AA- (sf) BB+ (sf) A+ (sf)
E BBB+ (sf) BBB- (sf) B+ (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM WATCH POSITIVE
Shinnecock CLO 2006-1 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
RATING REMOVED FROM WATCH POSITIVE
Shinnecock CLO 2006-1 Ltd.
Rating
Class To From
E BB+ (sf) BB+ (sf)/Watch Pos
RATINGS AFFIRMED
Shinnecock CLO 2006-1 Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
STEERS LASSO 2007-A: S&P Withdraws BB+ Rating on CDO Deal
---------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'BB+ (sf)' rating
on Steers Lasso Trust Series 2007-A, a U.S. synthetic
collateralized debt obligation (CDO) transaction backed by
corporate CDOs.
The withdrawal follows the termination of the notes.
TELOS CLO 2016-7: S&P Assigns 'BB-' Rating on Class E Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Telos
CLO 2016-7 Ltd./Telos CLO 2016-7 LLC's $225.00 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a static pool consisting primarily of broadly syndicated
senior secured loans.
The ratings reflect:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which comprises
primarily broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- The transaction's ability to make timely interest and
ultimate principal payments on the rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned ratings under various
interest rate scenarios, including LIBOR ranging from
0.3439%-12.0193%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
RATINGS LIST
Telos CLO 2016-7 Ltd./Telos CLO 2016-7 LLC
Amount
Class Rating (mil. $)
A AAA (sf) 156.50
B AA (sf) 37.00
C A (sf) 14.50
D BBB- (sf) 12.00
E BB- (sf) 5.00
Subordinated notes NR 27.37
NR--Not rated.
TOWD POINT 2016-1: Fitch Assigns 'Bsf' Rating on Class B2 Notes
---------------------------------------------------------------
Fitch Ratings assigns these ratings to Towd Point Mortgage Trust
2016-1 (TPMT 2016-1):
-- $523,151,000 class A1 notes 'AAAsf'; Outlook Stable;
-- $51,387,000 class A2 notes 'AAsf'; Outlook Stable;
-- $37,092,000 class M1 notes 'Asf'; Outlook Stable;
-- $32,069,000 class M2 notes 'BBBsf'; Outlook Stable;
-- $29,364,000 class B1 notes 'BBsf'; Outlook Stable;
-- $20,864,000 class B2 notes 'Bsf'; Outlook Stable;
-- $523,151,000 class A1A exchangeable notes 'AAAsf'; Outlook
Stable;
-- $523,151,000 class A1B exchangeable notes 'AAAsf'; Outlook
Stable;
-- $523,151,000 class A1C exchangeable notes 'AAAsf'; Outlook
Stable;
-- $523,151,000 class X1 notional exchangeable notes 'AAAsf';
Outlook Stable;
-- $523,151,000 class X2 notional exchangeable notes 'AAAsf';
Outlook Stable;
-- $523,151,000 class X3 notional exchangeable notes 'AAAsf';
Outlook Stable;
-- $574,538,000 class A3 exchangeable notes 'AAsf'; Outlook
Stable;
-- $574,538,000 class A3A exchangeable notes 'AAsf'; Outlook
Stable;
-- $574,538,000 class A3B exchangeable notes 'AAsf'; Outlook
Stable;
-- $574,538,000 class A3C exchangeable notes 'AAsf'; Outlook
Stable;
-- $574,538,000 class X4 notional exchangeable notes 'AAsf';
Outlook Stable;
-- $574,538,000 class X5 notional exchangeable notes 'AAsf';
Outlook Stable;
-- $574,538,000 class X6 notional exchangeable notes 'AAsf';
Outlook Stable;
-- $611,630,000 class A4 exchangeable notes 'Asf'; Outlook
Stable;
-- $611,630,000 class A4A exchangeable notes 'Asf'; Outlook
Stable;
-- $611,630,000 class A4B exchangeable notes 'Asf'; Outlook
Stable;
-- $611,630,000 class A4C exchangeable notes 'Asf'; Outlook
Stable;
-- $611,630,000 class X7 notional exchangeable notes 'Asf';
Outlook Stable;
-- $611,630,000 class X8 notional exchangeable notes 'Asf';
Outlook Stable;
-- $611,630,000 class X9 notional exchangeable notes 'Asf';
Outlook Stable;
-- $643,699,000 class A5 exchangeable notes 'BBBsf'; Outlook
Stable.
These classes will not be rated by Fitch:
-- $39,410,000 class B3 notes;
-- $39,413,325 class B4 notes.
The notes are supported by one collateral group that consisted of
2,868 seasoned performing and re-performing mortgages with a total
balance of approximately $772.75 million (which includes $7.95
million, or 1.03 %, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the cut-off
date.
The 'AAAsf' rating on class A1 notes reflects the 32.30%
subordination provided by the 6.65% class A2, 4.80% class M1, 4.15%
class M2, 3.80% class B1, 2.70% class B2, 5.10% class B3 and 5.10%
class B4 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral, the quality of the servicers, Select
Portfolio Servicing, Inc. (rated 'RPS1-') and the representation
(rep) and warranty framework, minimal due diligence findings and
the sequential pay structure.
KEY RATING DRIVERS
Distressed Performance History (Concern): The collateral pool
consists primarily of peak-vintage seasoned re-performing loans
(RPLs), including loans that have been paying for the past 24
months, which Fitch identifies as 'clean current' (82.6%) and loans
that are current but have recent delinquencies or incomplete
paystrings are identified as 'dirty current' (17.4%). All loans
were current as of the cutoff date. 62.1% of the loans have
received modifications.
'D' Grades for Compliance (Concern): The third-party review (TPR)
firm's due diligence review resulted in 76 loans graded 'D', the
majority of which had late fee charges that violated state
regulation or had HUD1 Settlement Statement (HUD1) exceptions. For
30 loans (1.05%), the due diligence results showed issues regarding
high cost testing with the loans either missing the final HUD1 or
having used alternate documentation to test. Therefore a slight
upwards revision to the model output loss severity (LS) was
applied, as further described in the Third-Party Due Diligence
section beginning on page 7.
No Servicer P&I Advances (Positive): The servicers will not be
advancing delinquent monthly payments of principal and interest
(P&I). As P&I advances made on behalf of loans that become
delinquent and eventually liquidate reduce liquidation proceeds to
the trust, the loan-level loss severities (LS) are less for this
transaction than for those where the servicers are obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.
Sequential-Pay Structure (Mixed): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes, in the absence of servicer advancing.
Potential Interest Deferrals (Neutral): To address the lack of an
external P&I advance mechanism, principal otherwise distributable
to the notes may be used to pay monthly interest. While this helps
provide stability in the cash flows to the high investment grade
rated bonds the lower rated bonds may experience long periods of
interest deferral that will generally not be repaid until such note
becomes the most senior outstanding.
Under Fitch's 'Criteria for Rating Caps and Limitations in Global
Structured Finance Transactions,' published in May 2014, the agency
may assign ratings of up to 'Asf' on notes that incur deferrals if
such deferrals are permitted under terms of the transaction
documents, provided such amounts are fully recovered with interest
accrued thereon prior to legal final maturity under the relevant
rating stress.
Limited Life of Rep Provider (Concern): FirstKey Mortgage, LLC as
rep provider, will only be obligated to repurchase a loan due to
breaches prior to the payment date in April 2017. Thereafter, a
reserve fund will be available to cover amounts due to noteholders
for loans identified as having rep breaches. Amounts on deposit in
the reserve fund, as well as the increased level of subordination,
will be available to cover additional defaults and losses resulting
from rep weaknesses or breaches occurring after April 2017. If
FirstKey Mortgage, LLC does not fulfill its obligation to
repurchase a mortgage loan due to a breach, Cerberus Global
Residential Mortgage Opportunity Fund, L.P. (the responsible party)
will step in to repurchase the loan.
Tier 2 Representation Framework (Neutral): Fitch considers the
representation, warranty and enforcement (RW&E) mechanism construct
for this transaction to be consistent with what it views as a Tier
2 framework due to the inclusion of knowledge qualifiers and the
exclusion of loans from certain reps as a result of third-party due
diligence findings. Thus, Fitch increased its 'AAAsf' loss
expectations by roughly 200 bps to account for a potential increase
in defaults and losses arising from weaknesses in the reps.
Timing of Recordation and Document Remediation (Neutral): An
updated title and tax search, as well as a review to confirm that
the mortgage and subsequent assignments were recorded in the
relevant local jurisdiction, was also performed. Per the
representations provided in the transaction, all loans have either
been recorded in the appropriate jurisdiction, are in the process
of being recorded, or will be sent for recordation with 12 months
of the closing date.
While the expected timelines for recordation and remediation are
viewed by Fitch as reasonable, Fitch believes that FirstKey's
oversight for completion of these activities serves as a strong
mitigant to potential delays. In addition, the obligation of
FirstKey Mortgage, LLC or Cerberus Global Residential Mortgage
Opportunity Fund, L.P. to repurchase loans, for which assignments
are not recorded and endorsements are not completed by the payment
date in April 2017, aligns the issuer's interests regarding
completing the recordation process with those of noteholders.
PD Adjustment for Clean Current Loans (Positive): Fitch's analysis
of the performance of clean current loans found that, for these
loans, its loan loss model projected probability of default (PD)
that was more punitive than that indicated by Fitch's delinquency
roll rate projections. To account for this difference, Fitch
reduced the lifetime default expectations by approximately 18% for
the loans that have a clean payment history for at least the past
24 months.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $7.95 million (1.03% of the unpaid
principal balance) are outstanding on 363 loans. Fitch included
the deferred amounts when calculating the borrower's LTV and sLTV,
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes borrower default
behaviour for these loans will resemble that of the higher LTVs as
exit strategies (i.e. sale or refinancing) will be limited relative
to those borrowers with more equity in the property.
Third-Party Loan Sale Provisions (Neutral): The transaction permits
nonperforming loans and loans classified as real estate-owned (REO)
to be sold to unaffiliated third parties to maximize liquidation
proceeds to the issuer. FirstKey as asset manager is charged with
responsibility for arranging such sales. To ensure that loan sales
do not result in losses to the trust that exceed Fitch's
expectations, the sale price is floored at a minimum value equal to
63.42% of the unpaid principal balance, which approximates Fitch's
'Bsf' LS expectations.
Solid Alignment of Interest (Positive): FirstKey Mortgage, LLC in
its capacity as the Sponsor for the securitization will acquire and
retain a 5% vertical interest in each class of the securities to be
issued.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 5%. The analysis indicates there is some potential
rating migration with higher MVDs, compared with the model
projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information, as well as the
final Form 15E, from WestCor, Clayton, American Mortgage
Consultants (AMC)/JCIII & Associates (JCIII). The due diligence
focused on regulatory compliance, pay history, servicing comments,
the presence of key documents in the loan file and data integrity.
In addition, Westcor, AMC, and JCIII were retained to perform an
updated title and tax search, as well as a review to confirm that
the mortgages were recorded in the relevant local jurisdiction and
the related assignment chains.
A regulatory compliance and data integrity review was competed on
100% of the pool. A pay history review was conducted on 98% of the
pool, and a servicing comment review was completed on approximately
31% of the loans.
Fitch considered this information in its analysis and based on the
findings, Fitch made minor adjustments to its analysis.
Two loans had their loss severity adjusted by 5%, since the statute
of limitations (SOL) had not expired based on the reports provided
by the TPR firms.
248 loans experienced a 1X30 delinquency in the last 12 months and
a servicing comment review was either not performed or performed
prior to October 2015; a 100% PD was assumed.
42 loans were found to have an exception due to missing
modification documents or a missing signature on modification
documents. For these loans, timelines were extended by an
additional three months in addition to the six-month timeline
extension applied to the entire pool.
Two of the loans that were graded 'D' and eligible for federal,
state, and/or local predatory testing could expose the trust to
potential assignee liability as they contained material violations
including an inability to test for high cost violations or confirm
compliance. These loans are marked as 'indeterminate' and are
located in states that fall under Freddie Mac's do not purchase
list of 'high cost' or 'high risk'. For these two loans Fitch
assumed a 100% loss severity.
The likelihood of all loans being high cost is lower for the
remaining 28 loans graded 'D' and eligible for federal, state,
and/or local predatory testing where a final HUD1 was not used for
testing and the properties are not located in the states that fall
under Freddie Mac's do not purchase list. However, Fitch assumes
the trust could potentially incur notable legal expenses and
increased its loss severity expectations by 5% for these loans to
account for the risk.
TRIMARAN VII CLO: Moody's Affirms Ba1 Rating on Cl. B-2L Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Trimaran VII CLO Ltd.:
$30,000,000 Class A-3L Floating Rate Notes due June 2021,
Upgraded to Aa1 (sf); previously on July 15, 2015, Affirmed
Aa3 (sf)
$18,500,000 Class B-1L Floating Rate Notes due June 2021,
Upgraded to A3 (sf); previously on July 15, 2015, Upgraded to
Baa1 (sf)
Moody's also affirmed the ratings on these notes:
$333,000,000 Class A-1L Floating Rate Notes due June 2021
(current outstanding balance of $104,916,544), Affirmed
Aaa (sf); previously on July 15, 2015, Affirmed Aaa (sf)
$25,000,000 Class A-1LR Floating Rate Revolving Notes due June
2021 (current outstanding balance of $7,876,617), Affirmed
Aaa (sf); previously on July 15, 2015 Affirmed Aaa (sf)
$35,000,000 Class A-2L Floating Rate Notes due June 2021,
Affirmed Aaa (sf); previously on July 15, 2015, Affirmed
Aaa (sf)
$12,500,000 Class B-2L Floating Rate Notes due June 2021,
Affirmed Ba1 (sf); previously on July 15, 2015, Upgraded to
Ba1 (sf)
Trimaran VII CLO Ltd., issued in March 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in June
2013.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since July 2015. The Class A-1L
and Class A-1LR notes have been paid down collectively by
approximately 31% or $50.9 million since that time. Based on
Moody's calculation, the OC ratios for the Class A-2L, Class A-3L,
Class B-1L and Class B-2L notes are currently 156.7%, 130.2%,
118.0% and 110.9%, respectively, versus July 2015 levels of 143.1%,
124.3%, 115.0% and 109.5%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since July 2015. Based on Moody's calculation, the weighted
average rating factor is currently 2741 compared to 2658 at that
time.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
a) uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and/or collateral sales
by the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
6) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around
$7.4 million of par, Moody's ran a sensitivity case
defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2192)
Class A-1L: 0
Class A-1LR: 0
Class A-2L: 0
Class A-3L: +1
Class B-1L: +2
Class B-2L: +2
Moody's Adjusted WARF + 20% (3289)
Class A-1L: 0
Class A-1LR: 0
Class A-2L: 0
Class A-3L: -2
Class B-1L: -2
Class B-2L: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $231.3 million, defaulted par
of $1.7 million, a weighted average default probability of 16.11%
(implying a WARF of 2741), a weighted average recovery rate upon
default of 51.79%, a diversity score of 31 and a weighted average
spread of 3.06% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
WELLS FARGO 2011-C4: Fitch Affirms 'BBsf' Rating on Cl. F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Wells Fargo Bank, N.A.
(WFRBS) commercial mortgage pass-through certificates series
2011-C4.
KEY RATING DRIVERS
The affirmations reflect stable performance of the underlying
collateral pool. Fitch modeled losses of 2.9% of the remaining
pool; expected losses on the original pool balance total 2.5%. The
pool has experienced no realized losses to date. Fitch has
designated four loans (2.8%) as Fitch Loans of Concern, which
includes one specially serviced asset (0.8%). There is a
significant retail exposure within the pool as 46.4% of the loans
are secured by retail properties.
As of the March 2016 distribution date, the pool's aggregate
principal balance has been reduced by 14.6% to $1.26 billion from
$1.48 billion at issuance. Per the servicer reporting, three loans
(9.8% of the pool) are defeased. Interest shortfalls are currently
affecting class H.
The largest contributor to expected losses is secured by a 423,556
square foot (sf; 235,656 sf is collateral) shopping mall located in
Wausau, WI (1.4% of the pool). The mall is anchored by Younkers
and Sears. JC Penney's (JCP), which is the only anchor space that
is part of the collateral, vacated in May 2014 and lease payments
ceased upon the August 2014 lease expiration. According to media
reports, the loan's sponsor, CBL & Associates Properties, Inc., is
attempting to move Younker's into the former JCP space. While the
loan remains current and a replacement tenant for the JCP space may
be finalized soon, Fitch's stressed analysis assumed the anchor
space remained vacant. As of year-end (YE) 2015, the property
occupancy was 61%, down from 94% at issuance. The debt service
coverage ratio (DSCR) decreased to 0.90x for YE 2015 from 1.64x at
issuance.
The next largest contributor to expected losses is the
specially-serviced asset (0.8%). It is secured by a 252-unit
student housing property located in Fredonia, NY and adjacent to
the State University of New York at Fredonia. The loan transferred
to the special servicer in November 2014 due to a borrower hardship
letter indicating imminent default. The loan has, however,
remained current. The servicer is in the process of gathering
property information to determine a resolution. According to the
October 2015 rent roll, the property is 92% occupied.
The largest loan in the pool (12%) is secured by a 1.2 million sf
(648,728 sf is collateral) regional mall located in Appleton, WI.
The mall, which is the second largest in WI, is anchored by JC
Penney, Sears, Target, Macy's, Younkers and Scheel's. Scheel's is
the only anchor that is part of the collateral. The servicer
reported DSCR was 2.06x as of September 2015 compared to 2.11x as
of YE 2013 and 1.91x at issuance. Occupancy as of YE 2015 was 97%
compared to 96% for YE 2013 and 92% at issuance.
RATING SENSITIVITIES
Rating Outlooks on classes A2 through G remain Stable due to
increasing credit enhancement, continued paydown, and overall
stable collateral performance. Fitch does not foresee positive or
negative ratings migration unless a material economic or asset
level event changes the underlying 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 these classes:
-- $78.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $164.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $90 million class A-FL at 'AAAsf'; Outlook Stable;
-- $0 class A-FX at 'AAAsf'; Outlook Stable;
-- $681.4 million class A-4 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $42.6 million class B at 'AAsf'; Outlook Stable;
-- $42.6 million class C at 'A+sf'; Outlook Stable;
-- $33.3 million class D at 'A-sf'; Outlook Stable;
-- $51.8 million class E at 'BBB-sf'; Outlook Stable;
-- $20.4 million class F at 'BBsf'; Outlook Stable;
-- $18.5 million class G at 'Bsf'; Outlook Stable.
The class A-1 certificates have paid in full. Fitch does not rate
the class H or X-B certificates.
WELLS FARGO 2012-C7: Fitch Affirms B Rating on Class G Notes
------------------------------------------------------------
Fitch Ratings has affirmed all classes of Wells Fargo Bank, N.A.'s
WFRBS 2012-C7 pass-through certificates.
KEY RATING DRIVERS
The affirmations are due to the overall stable pool performance
since issuance. As of the March 2016 distribution date, the pool's
aggregate principal balance has been reduced by 6.3% to $998.4
million from $1.104 billion at issuance. Five loans are on the
servicer watch list (5.6% of the pool), two loans (1.4%) are in
special servicing, and one loan (3.4%) is defeased.
The largest contributor to expected losses is the Pathmark Staten
Island loan (1.1%) which is secured by a 64,117 square foot (sf)
retail property which was fully occupied by Pathmark. Pathmark
filed for protection under Chapter 11 of the Bankruptcy Code in
July 2015. This store subsequently closed in November 2015 and the
loan transferred to special servicing in late February for imminent
monetary default. The loan is 60 days past due for its January
2016 payment.
The largest loan in the pool is Northridge Fashion Center (14.3%),
which is collateralized by 643,564 sf of a 1.52 million sf regional
mall located in Northridge, CA. The property is shadow anchored by
JC Penney, Macy's, Macy's Men's & Home, and Sears. The property
was 96.7% occupied as of year-end 2015, compared to 88.7% at
underwriting. The servicer reported year-end 2015 debt service
coverage ratio (DSCR) was 1.69x, compared to 1.46x at underwriting.
Notably, one of the larger tenants at the property, Sports
Authority, filed for protection under Chapter 11 of the Bankruptcy
Code earlier this month. Fitch will continue to monitor this asset
related to the Sports Authority exposure.
The second largest loan in the pool is Town Center at Cobb (12.2%),
which is secured by 559,940 sf of a 1.28 million sf regional mall
located in Kennesaw, GA. Collateral anchors are Belk and JC Penney
(partial space of 31,026 sf). Other non-collateral anchors include
JC Penney, Macy's, Macy's Furniture, and Sears. The property was
83.3% occupied with a servicer reported DSCR of 2.57x as of
year-end 2015, compared to 91.3% and 1.59x, respectively, as of
year-end 2012. Fitch will continue to monitor this loan given the
decline in occupancy and unfavorable sales trends.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset level event changes the transaction's overall
portfolio-level metrics.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes as indicated:
-- $119.5 million class A-1 notes at 'AAAsf'; Outlook Stable;
-- $418 million class A-2 notes at 'AAAsf'; Outlook Stable;
-- $165.3 million class A-FL notes at 'AAAsf'; Outlook Stable;
-- $0 class A-FX notes at 'AAAsf'; Outlook Stable;
-- $82.8 million class A-S notes at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAA'; Outlook Stable;
-- $58 million class B notes at 'AAsf'; Outlook Stable;
-- $41.4 million class C notes at 'Asf'; Outlook Stable;
-- $27.6 million class D notes at 'BBB+sf'; Outlook Stable;
-- $48.3 million class E notes at 'BBB-sf'; Outlook Stable;
-- $19.3 million class F notes at 'BBsf'; Outlook Stable;
-- $19.3 million class G notes at 'Bsf'; Outlook Stable.
Fitch does not rate the class H certificates, or the interest-only
class X-B. The aggregate balance of class A-FL may be adjusted as
a result of the exchange of all or a portion of the class A-FL
certificates for the non-offered class A-FX certificates.
WELLS FARGO 2015-P2: Fitch Assigns BB Rating on Cl. E Certificates
------------------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to
Wells Fargo Commercial Mortgage Trust 2015-P2 commercial mortgage
pass-through certificates:
-- $28,655,000 class A-1 'AAAsf'; Outlook Stable;
-- $70,000,000 class A-2A 'AAAsf'; Outlook Stable;
-- $82,513,000 class A-2B 'AAAsf'; Outlook Stable;
-- $209,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $253,790,000 class A-4 'AAAsf'; Outlook Stable;
-- $57,582,000 class A-SB 'AAAsf'; Outlook Stable;
-- $47,605,000 class A-S 'AAAsf'; Outlook Stable;
-- $749,145,000b class X-A 'AAAsf'; Outlook Stable;
-- $61,385,000b class X-B 'AA-sf'; Outlook Stable;
-- $61,385,000 class B 'AA-sf'; Outlook Stable;
-- $50,110,000 class C 'A-sf'; Outlook Stable;
-- $56,373,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $56,373,000a class D 'BBB-sf'; Outlook Stable;
-- $22,550,000a class E 'BBsf'; Outlook Stable;
-- $11,275,000a class F 'Bsf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Since Fitch issued its presale report on Dec. 2, 2015, the balance
of the class A-3 certificates has increased from $170,000,000 to
$209,000,000 and the balance of the class A-4 certificates has
decreased from $292,790,000 to $253,790,000. Fitch does not rate
the $51,363,025 class G certificates.
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 71 loans secured by 115
commercial properties having an aggregate principal balance of
approximately $1 billion as of the cutoff date. The loans were
contributed to the trust by Principal Commercial Capital, Ladder
Capital Finance LLC, Citigroup Global Markets Realty Corp., Wells
Fargo Bank, National Association, and Societe Generale.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 69.5% of the properties
by balance, cash flow analysis of 81.1%, and asset summary reviews
on 81.1% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The transaction has higher leverage than other
recent Fitch-rated fixed-rate multiborrower transactions. The
pool's Fitch debt service coverage ratio (DSCR) of 1.14x is below
both the year-to-date 2015 and 2014 averages of 1.18x and 1.19x,
respectively. The pool's Fitch loan-to-value (LTV) of 111.2% is
above both the year-to-date 2015 average of 109.4% and the 2014
average of 106.2%.
Below-Average Amortization: The pool is scheduled to pay down by
only 9.1% of the initial pool balance prior to maturity. This is
below both the year-to-date 2015 and 2014 averages of 12.1% and
12%, respectively. There are 19 full-term interest-only loans
(28.4%), 27 loans (48%) are partial interest only, and 25 loans
(23.6%) are balloon loans.
Property Type Diversity: The pool's largest property type is retail
and has the largest exposure at 25.7% of initial pool balance,
followed by multifamily at 19.1%. No one property type has
exposure greater than 30%. Industrial property type exposure is
higher than recent CMBS transactions at 11%. Additionally, the
pool has below-average exposure for office at 7.6%, compared to
year-to-date 2015 and 2014 averages of 23.3% and 22.8%,
respectively. However, hotel is higher than average at 17%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15.6% below
the most recent net operating income (NOI) for properties for which
a recent 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 WFCM
2015-P2 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 '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 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 71 mortgage loans. Fitch considered this
information in its analysis and the findings did not have an impact
on its analysis.
WELLS FARGO 2016-C33: Fitch Assigns B- Rating on Cl. F Certificate
------------------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to
Wells Fargo Commercial Mortgage Trust 2016-C33 commercial mortgage
pass-through certificates.
-- $30,449,000 class A-1 'AAAsf'; Outlook Stable;
-- $84,502,000 class A-2 'AAAsf'; Outlook Stable;
-- $150,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $191,116,000 class A-4 'AAAsf'; Outlook Stable;
-- $42,486,000 class A-SB 'AAAsf'; Outlook Stable;
-- $53,416,000 class A-S 'AAAsf'; Outlook Stable;
-- $551,969,000b class X-A 'AAAsf'; Outlook Stable;
-- $70,332,000b class X-B 'A-sf'; Outlook Stable;
-- $38,282,000 class B 'AA-sf'; Outlook Stable;
-- $32,050,000 class C 'A-sf'; Outlook Stable;
-- $35,611,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $16,915,000ab class X-E 'BB-sf'; Outlook Stable;
-- $7,122,000ab class X-F 'B-sf'; Outlook Stable;
-- $35,611,000a class D 'BBB-sf'; Outlook Stable;
-- $16,915,000a class E 'BB-sf'; Outlook Stable;
-- $7,122,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $30,270,087ab class X-G certificates and
the $30,270,087a class G certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 79 loans secured by 104
commercial properties having an aggregate principal balance of
approximately $712.2 million as of the cut-off date. The loans
were contributed to the trust by Wells Fargo Bank, National
Association, Ladder Capital Finance LLC, Rialto Mortgage Finance,
LLC, C-III Commercial Mortgage LLC, Natixis Real Estate Capital LLC
and National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 68.1% of the properties
by balance, cash flow analysis of 78.9%, and asset summary reviews
on 78.9% of the pool.
KEY RATING DRIVERS
Leverage in Line with Recent Transactions: The pool's Fitch debt
service coverage ratio (DSCR) and loan to value (LTV) are 1.48x and
101.1%, respectively. However, excluding co-op and credit opinion
collateral, the pool's Fitch DSCR and LTV are 1.15x and 108.5%,
respectively. This is in line with other recent Fitch-rated
transactions. The 2015 and year to date (YTD) 2016 average Fitch
LTVs were 109.3% and 108.3%, respectively. The 2015 and YTD 2016
average Fitch DSCRs were 1.18x and 1.15x, respectively.
Co-Op Collateral: The pool contains 14 loans (5.5% of the pool)
secured by multifamily co-ops, 12 of which are within the New York
City metro area with one each in Washington DC and Atlanta, GA. The
weighted average Fitch DSCR and LTV of the co-op collateral in this
transaction as rentals are 6.74x and 26.1%, respectively.
Property Type Concentration: The pool's largest concentration by
property type is office (32.4%), which is greater than the 2015
average of 23.5%. The pool also has an above average concentration
of self-storage properties which comprise 14% of the pool, higher
than the 2015 average of 4%. Loans secured by hotel properties
comprise only 13% of the pool, which is below the 2015 average of
17%. Office properties have an average likelihood of default in
Fitch's multiborrower model, self-storage properties have a below
average likelihood of default, while hotels properties demonstrate
more volatility and have higher default probabilities.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 17.5% 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 could result in potential
rating actions on the certificates.
Fitch evaluated the sensitivities of the ratings assigned to WFCM
2016-C33 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 '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 '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 79 mortgage loans. Fitch considered this
information in its analysis and the findings did not have an impact
on the analysis.
WFRBS COMMERCIAL 2013-C13: Fitch Affirms B Rating on Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of WFRBS Commercial Mortgage
Trust commercial mortgage pass-through certificates series
2013-C13.
KEY RATING DRIVERS
Fitch's affirmations are based on the stable performance of the
underlying collateral pool. No loans have transferred to specially
servicing since issuance. Fitch has designated one Fitch Loan of
Concern (FLOC) due to upcoming tenant rollover risk.
As of the March 2016 distribution date, the pool's aggregate
principal balance has been reduced by 3.3% to $848 million from
$876.7 million at issuance. One loan (0.84%) is defeased.
Deminimis interest shortfalls are currently affecting the non-rated
class G.
The largest loan in the pool (10.1% of the pool) is secured by two
office buildings located in San Francisco, CA. As of year-to-date
(YTD) Sept. 30, 2015, the servicer reported occupancy and debt
service coverage ratio (DSCR) were 99.8% and 2.34x, respectively.
Amazon is the largest tenant, occupying approximately 40% of the
net rentable area (NRA) with lease expiration in October 2019.
The second largest loan in the pool (10% of the pool) is secured by
an 188,646 square feet (sf), 42-story office tower located in
Charlotte, NC. The property now serves as the East Coast
headquarters of Wells Fargo Bank (69.5% of NRA; lease expires
Dec. 31, 2021). As of year-end 2015, the servicer reported
occupancy and DSCR were 98% and 2.22x, respectively.
The FLOC (1.6% of the pool) is secured by a 130,410-sf anchored
retail shopping center located in Marietta, GA. As of YTD Sept.
30, 2015, the servicer reported occupancy and DSCR were 100% and
2.28x, respectively. There is significant tenant rollover risk in
2017 (approximately 63.7%) primarily due to the anchor tenant's
lease expiration; LA Fitness (37.1% of NRA) lease expires June
2017. Fitch will continue to monitor the loan as leasing status
updates are received.
RATING SENSITIVITIES
Rating Outlooks on classes A-1 through F are Stable due to
increasing credit enhancement from continued pay down and the
stable performance of the collateral. Future upgrades are unlikely
due to limited upcoming loan maturities; 90.4% of the pool matures
in 2023. Fitch does not foresee negative ratings migration unless
a material economic and/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 has affirmed these classes:
-- $27.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $79.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $200 million class A-3 at 'AAAsf'; Outlook Stable;
-- $206.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $686.6 million interest only class X-A at 'AAAsf'; Outlook
Stable;
-- $81.1 million interest only class X-B at 'A-sf'; Outlook
Stable;
-- $71.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $91 million class A-S at 'AAAsf'; Outlook Stable;
-- $51.5 million class B at 'AA-sf'; Outlook Stable;
-- $29.6 million class C at 'A-sf'; Outlook Stable;
-- $32.9 million class D at 'BBB-sf'; Outlook Stable;
-- $15.3 million class E at 'BBsf'; Outlook Stable;
-- $16.4 million class F at 'Bsf'; Outlook Stable.
Fitch does not rate the class G certificates or the interest only
class X-C certificates.
[*] DBRS Reviews 1,480 Tranches From 107 US RMBS Deals
------------------------------------------------------
DBRS, Inc., on March 23, 2016, reviewed 1,480 classes from 107 U.S.
residential mortgage-backed security (RMBS) transactions. Of the
1,480 classes reviewed, 56 classes were upgraded, 1,422 classes
were confirmed and two classes were discontinued due to full
principal repayment to the bondholders.
The rating upgrades reflect positive performance trends and that
these classes have experienced increases in credit support
sufficient to withstand stresses at their new rating level. For
transactions where the rating has been confirmed, current asset
performance and credit support levels have been consistent with the
current rating.
The transactions consist of U.S. RMBS and re-securitization of real
estate mortgage investment conduit (ReREMIC) transactions. The
pools backing these transactions consist of ReREMIC, second lien,
scratch and dent, prime, option ARM, Alt-A and subprime
collateral.
A full text copy of the press release is available free at:
http://is.gd/6CVOuI
[*] Fitch Takes Actions on 31 Classes From 4 RMBS Transactions
--------------------------------------------------------------
Fitch Ratings has taken rating actions on 31 classes from four U.S.
RMBS transactions. The transactions reviewed consist of one
re-performing loan (RPL) transaction (issued in 2015), two re-REMIC
transactions (issued in 2004 and 2009), and one class from one
Alt-A transaction (issued in 2004).
A summary of the rating actions is as follows:
-- 24 classes affirmed;
-- One class upgraded;
-- Six classes downgraded.
KEY RATING DRIVERS
The RPL transaction reviewed was Citigroup Mortgage Loan Trust
2015-A. Fitch affirmed the ratings on all 24 classes in this
transaction. The affirmations reflect performance to date in line
with expectations and sufficient amounts of credit enhancement (CE)
to withstand stressed loss expectations on the underlying assets.
The downgrades of MASTR 2004-P7 reflect the current and projected
undercollateralization of the re-REMIC bonds. The
undercollateralization was caused by a one-time interest shortfall
on one of the classes underlying the re-REMIC. The interest
shortfall led to the redirection of principal collections to pay
interest in the re-REMIC and consequently undercollateralization
within the re-REMIC. While the amount of undercollateralization is
relatively small, it is expected to increase modestly going forward
until deal maturity, when the re-remic classes will likely incur
writedowns.
The downgrades of RBSSP 2009-7 reflect the re-REMIC classes'
sensitivity to low interest rate environments. Because of an
uncommon payment waterfall, the affected classes pay down faster in
high interest rate environments. In lower rate environments, the
classes are outstanding longer and are more exposed to losses.
The upgraded class is a component principal-only (PO) class. The
upgrade reflects an improved relationship of expected loss to
credit enhancement and brings the class' rating in line with the
rating of its component PO counterpart class.
RATING SENSITIVITIES
Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are increasingly
more stressful and less likely to occur. Although many variables
are adjusted in the stress scenarios, the primary driver of the
loss scenarios is the home-price forecast assumption. In the 'Bsf'
scenario, Fitch assumes home prices decline 10% below their
long-term sustainable level. The home-price decline assumption is
increased by 5% at each higher rating category up to a 35% decline
in the 'AAAsf' scenario.
In addition to increasing mortgage pool losses at each rating
category to reflect increasingly stressful economic scenarios,
Fitch analyzes various loss-timing, prepayment, loan modification,
servicer advancing, and interest rate scenarios as part of the cash
flow analysis. Each class is analyzed with 43 different
combinations of loss, prepayment and interest rate projections.
Classes currently rated below 'Bsf' are at-risk to default at some
point. As default becomes more imminent, bonds currently rated
'CCCsf' and 'CCsf' will migrate toward 'Csf' and eventually 'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be
sensitive to future mortgage borrower behavior, which historically
has been strongly correlated with home-price movements. Despite
recent positive trends, Fitch currently expects home prices to
decline in some regions before reaching a sustainable level. While
Fitch's ratings reflect this home-price view, the ratings of
outstanding classes may be subject to revision to the extent actual
home price and mortgage performance trends differ from those
currently projected by Fitch.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
A list of the Affected Ratings is available at the Fitch site at
http://bit.ly/1SackFr
[*] Moody's Hikes $74 Million of Subprime RMBS Issued in 2004
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine tranches
from three transactions backed by Subprime mortgage loans.
Complete rating actions are:
Issuer: Equifirst Mortgage Loan Trust 2004-1
Cl. M-4, Upgraded to Ba2 (sf); previously on May 5, 2014,
Upgraded to Ba3 (sf)
Cl. M-5, Upgraded to Ba3 (sf); previously on May 5, 2014,
Upgraded to B1 (sf)
Cl. M-6, Upgraded to B2 (sf); previously on May 5, 2014,
Upgraded to B3 (sf)
Cl. M-7, Upgraded to Caa1 (sf); previously on March 7, 2011,
Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FF1
Cl. M-1, Upgraded to Baa2 (sf); previously on April 9, 2012,
Downgraded to Ba1 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on April 10, 2015,
Upgraded to Caa1 (sf)
Cl. S, Upgraded to Caa1 (sf); previously on April 9, 2012,
Downgraded to Caa2 (sf)
Issuer: Fremont Home Loan Trust 2004-3
Cl. M2 Certificate, Upgraded to Ba3 (sf); previously on
March 21, 2011, Downgraded to Caa1 (sf)
Cl. M3 Certificate, Upgraded to Caa1 (sf); previously on
March 21, 2011, Downgraded 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 February 2016 from 5.5% in
February 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 Takes Action on $105.9MM of Alt-A/Option ARM RMBS Deals
-------------------------------------------------------------------
Moody's Investors Service, on April 1, 2016, upgraded the ratings
of 22 tranches and downgraded the ratings of two tranches from five
transactions, backed by Alt-A and Option ARM RMBS loans, issued by
multiple issuers.
Complete rating actions are:
Issuer: GSAA Home Equity Trust 2004-10
Cl. AF-4 Certificate, Upgraded to A2 (sf); previously on
March 15, 2011, Downgraded to Baa2 (sf)
Cl. AF-5 Certificate, Upgraded to A1 (sf); previously on
March 15, 2011, Downgraded to Baa1 (sf)
Issuer: GSAA Home Equity Trust 2005-5
Cl. M-2 Certificate, Downgraded to Baa3 (sf); previously on
Feb. 22, 2013, Downgraded to A3 (sf)
Cl. M-3 Certificate, Downgraded to B1 (sf); previously on
Aug. 12, 2014, Upgraded to Baa3 (sf)
Issuer: HarborView Mortgage Loan Trust 2004-10
Cl. 1-A-1 Certificate, Upgraded to Ba1 (sf); previously on
June 29, 2012, Downgraded to Ba3 (sf)
Cl. 1-A-2A Certificate, Upgraded to Ba1 (sf); previously on
June 29, 2012, Downgraded to Ba2 (sf)
Cl. 1-A-2B Certificate, Upgraded to Ba3 (sf); previously on
June 29, 2012, Downgraded to B2 (sf)
Cl. 2-A Certificate, Upgraded to Ba1 (sf); previously on
June 29, 2012, Downgraded to Ba3 (sf)
Cl. 3-A-1A Certificate, Upgraded to Ba1 (sf); previously on
June 29, 2012, Downgraded to Ba2 (sf)
Cl. 3-A-1B Certificate, Upgraded to Ba3 (sf); previously on
June 29, 2012, Downgraded to B2 (sf)
Cl. 4-A Certificate, Upgraded to Ba1 (sf); previously on
June 29, 2012, Downgraded to Ba2 (sf)
Cl. X-1 Certificate, Upgraded to Ba2 (sf); previously on Aug. 4,
2014, Upgraded to B1 (sf)
Cl. X-2 Certificate, Upgraded to Ba1 (sf); previously on Aug. 4,
2014, Upgraded to Ba3 (sf)
Issuer: RALI Series 2004-QS5 Trust
Cl. A-1 Certificate, Upgraded to Baa3 (sf); previously on
May 27, 2015, Upgraded to Ba2 (sf)
Cl. A-2 Certificate, Upgraded to Baa3 (sf); previously on
May 27, 2015, Upgraded to Ba2 (sf)
Cl. A-5 Certificate, Upgraded to Baa3 (sf); previously on
May 27, 2015, Upgraded to Ba2 (sf)
Cl. A-6 Certificate, Upgraded to Baa3 (sf); previously on
May 27, 2015, Upgraded to Ba2 (sf)
Cl. A-7 Certificate, Upgraded to Baa3 (sf); previously on
May 27, 2015, Upgraded to Ba2 (sf)
Cl. A-8 Certificate, Upgraded to Baa3 (sf); previously on
May 27, 2015, Upgraded to Ba2 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-6XS
Cl. A3 Certificate, Upgraded to A3 (sf); previously on Aug. 4,
2014, Upgraded to Baa3 (sf)
Cl. A5A Certificate, Upgraded to A3 (sf); previously on Aug. 4,
2014, Upgraded to Baa3 (sf)
Cl. A5B Certificate, Upgraded to A3 (sf); previously on Aug. 4,
2014, Upgraded to Baa3 (sf)
Cl. A6 Certificate, Upgraded to A2 (sf); previously on Aug. 4,
2014, Upgraded to Baa2 (sf)
Cl. M1 Certificate, Upgraded to Caa2 (sf); previously on May 14,
2012, Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pools and an increase in credit
enhancement available to the bonds. The rating downgrades are due
to the weak interest reimbursement mechanism and outstanding unpaid
interest shortfalls on 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 March 2016 from 5.5% in
March 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 $234.7MM of RMBS Issued 2003-2010
-------------------------------------------------------------
Moody's Investors Service, on April 4, 2016, upgraded the ratings
of 14 tranches and downgraded the ratings of three tranches from
eight transactions, backed by Alt-A and Option ARM RMBS loans,
issued by multiple issuers.
Complete rating actions are:
Issuer: American General Mortgage Loan Trust 2010-1
Cl. A-4, Upgraded to Aa3 (sf); previously on June 12, 2015,
Upgraded to A2 (sf)
Issuer: American General Mortgage Pass-Through Certificates, Series
2006-1
Cl. A-3, Upgraded to Aa3 (sf); previously on Oct, 19, 2012,
Downgraded to A1 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust,
Series 2004-4
Cl. II-AR-1, Upgraded to A1 (sf); previously on July 29, 2015,
Upgraded to Baa1 (sf)
Cl. II-AR-2, Upgraded to Aa3 (sf); previously on July 29, 2015,
Upgraded to A1 (sf)
Cl. II-MR-2, Upgraded to Caa2 (sf); previously on March 3, 2011,
Downgraded to Ca (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR2
Cl. 2-A1A, Upgraded to Ba3 (sf); previously on May 11, 2015,
Upgraded to B2 (sf)
Issuer: New York Mortgage Trust 2005-3
Cl. A-1, Downgraded to Ba1 (sf); previously on Aug. 30, 2012,
Confirmed at Baa2 (sf)
Cl. A-2, Downgraded to Baa1 (sf); previously on Aug. 30, 2012,
Confirmed at A2 (sf)
Cl. A-3, Downgraded to Ba2 (sf); previously on Aug. 30, 2012,
Confirmed at Baa3 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AP3
Cl. A-5A, Upgraded to Ba1 (sf); previously on June 26, 2012,
Confirmed at Ba2 (sf)
Cl. A-5B, Upgraded to Ba1 (sf); previously on June 26, 2012,
Confirmed at Ba2 (sf)
Cl. A-6, Upgraded to Baa3 (sf); previously on June 26, 2012,
Confirmed at Ba1 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on June 26,
2012 Confirmed at Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Opteum Mortgage Acceptance Corporation Asset Backed
Pass-Through Certificates 2005-5
Cl. II-A1D1, Upgraded to Ba1 (sf); previously on Aug. 4, 2015,
Upgraded to Ba3 (sf)
Cl. II-A1D2, currently rated A2 (sf); previously on Jan. 18,
2013, Downgraded to A2 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Aug. 4,
2015, Upgraded to Ba3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed
at A2, Outlook Stable on July 2, 2014)
Cl. II-AN, Upgraded to Ba1 (sf); previously on May 9, 2014,
Upgraded to Ba3 (sf)
Issuer: Thornburg Mortgage Securities Trust 2003-2
Cl. M-1, Upgraded to Baa1 (sf); previously on Sept. 23, 2014,
Downgraded to Baa3 (sf)
Cl. M-2, Upgraded to Baa3 (sf); previously on Sept. 23, 2014,
Downgraded to Ba2 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
these pools. The rating upgrades are due to the stronger
collateral performance and the credit enhancement available to the
bonds. The ratings downgraded are due to the erosion of credit
enhancement available to the bonds.
The rating action on Opteum Mortgage Acceptance Corporation Asset
Backed Pass-Through Certificates 2005-5 also reflects a correction
to the cash-flow model used by Moody's in rating this transaction.
In the prior model, excess cash flow was not correctly calculated,
resulting in lower payments to the Group II senior bonds than
called for in the transaction documents. This error has now been
corrected, and the rating action reflects this change.
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 March 2016 from 5.5% in
March 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 $260.2MM of Alt-A RMBS From 2003-2004
-----------------------------------------------------------------
Moody's Investors Service, on March 29, 2016, downgraded the
ratings of six tranches from two transactions and upgraded the
ratings of sixteen tranches from six transactions backed by Alt-A
RMBS loans, and issued by Bank of America and Bear Stearns.
Complete rating actions are:
Issuer: Banc of America Alternative Loan Trust 2003-6
Cl. 1-NC-4, Upgraded to Ba1 (sf); previously on Aug. 21, 2014,
Upgraded to B1 (sf)
Cl. 1-NC-5, Upgraded to B1 (sf); previously on April 13, 2012,
Downgraded to B3 (sf)
Cl. 1-NC-WIO, Upgraded to B1 (sf); previously on April 13, 2012,
Downgraded to B2 (sf)
Issuer: Banc of America Alternative Loan Trust 2004-4
Cl. 1-A-1, Upgraded to Baa3 (sf); previously on Oct. 18, 2013,
Downgraded to Ba1 (sf)
Issuer: Banc of America Alternative Loan Trust 2004-5
Cl. 1-A-1, Upgraded to Ba1 (sf); previously on June 21, 2012,
Downgraded to Ba3 (sf)
Issuer: Banc of America Alternative Loan Trust 2004-6
Cl. 4-A-1, Downgraded to B1 (sf); previously on April 13, 2012,
Downgraded to Ba3 (sf)
Cl. 4-IO, Downgraded to B1 (sf); previously on April 13, 2012,
Confirmed at Ba3 (sf)
Cl. 15-PO, Downgraded to B1 (sf); previously on April 13, 2012,
Downgraded to Ba3 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-3
Cl. A-1, Upgraded to Baa1 (sf); previously on April 17, 2012,
Downgraded to Baa3 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Oct. 22, 2013,
Upgraded to Ba2 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-6
Cl. I-A, Upgraded to Aa2 (sf); previously on June 2, 2015,
Upgraded to A1 (sf)
Cl. III-A, Upgraded to Aa3 (sf); previously on June 2, 2015,
Upgraded to A1 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on June 2, 2015,
Upgraded to Ba2 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on June 2, 2015,
Upgraded to Caa1 (sf)
Cl. B-1, Upgraded to Caa3 (sf); previously on March 14, 2011,
Downgraded to C (sf)
Issuer: Bear Stearns ALT-A Trust 2004-8
Cl. I-A, Upgraded to Aa3 (sf); previously on June 2, 2015,
Upgraded to A1 (sf)
Cl. II-A, Upgraded to A1 (sf); previously on June 2, 2015,
Upgraded to A3 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on June 2, 2015,
Upgraded to B2 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on March 14, 2011,
Downgraded to C (sf)
Issuer: Bear Stearns ALT-A Trust 2004-9
Cl. I-A-1, Downgraded to B3 (sf); previously on Feb. 27, 2013,
Downgraded to B1 (sf)
Cl. I-A-2, Downgraded to Caa3 (sf); previously on Feb. 27, 2013,
Downgraded to Caa1 (sf)
Cl. III-A-1, Downgraded to B3 (sf); previously on Feb. 27, 2013,
Affirmed B1 (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, the credit enhancement
available to the bonds, and realignment. The ratings downgraded
are due to the weaker performance of the underlying collateral and
the 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 February 2016 from 5.5% in
February 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 $629.7MM of RMBS Issued 2005-2007
-------------------------------------------------------------
Moody's Investors Service, on March 30, 2016, upgraded the ratings
of 14 tranches and downgraded the rating of one tranche from six
transactions, backed by Alt-A and Option ARM loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-61
Cl. 1-A-1 Certificate, Upgraded to B2 (sf); previously on Aug 20,
2012 Confirmed at Caa2 (sf)
Cl. 2-A-1 Certificate, Upgraded to B3 (sf); previously on Aug 20,
2012 Downgraded to Caa2 (sf)
Issuer: HomeBanc Mortgage Trust 2005-3
Cl. A-1 Certificate, Upgraded to Baa3 (sf); previously on Apr 26,
2013 Upgraded to Ba2 (sf)
Cl. A-2 Certificate, Upgraded to Baa3 (sf); previously on Apr 26,
2013 Upgraded to Ba2 (sf)
Cl. M-1 Certificate, Upgraded to B3 (sf); previously on May 26,
2015 Upgraded to Caa3 (sf)
Cl. M-2 Certificate, Upgraded to Caa2 (sf); previously on May 26,
2015 Upgraded to Ca (sf)
Cl. M-3 Certificate, Upgraded to Ca (sf); previously on Oct 14,
2010 Downgraded to C (sf)
Issuer: HomeBanc Mortgage Trust 2005-4
Cl. A-1 Certificate, Upgraded to Ba3 (sf); previously on May 26,
2015 Upgraded to B2 (sf)
Cl. A-2 Certificate, Upgraded to Ba3 (sf); previously on May 26,
2015 Upgraded to B2 (sf)
Cl. M-1 Certificate, Upgraded to Caa3 (sf); previously on Oct 14,
2010 Downgraded to C (sf)
Issuer: Lehman Mortgage Trust 2007-5
Cl. 2-A1 Certificate, Downgraded to Ca (sf); previously on Jan 14,
2011 Confirmed at Caa3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A3
Cl. A-1 Certificate, Upgraded to A1 (sf); previously on Nov 27,
2013 Upgraded to A3 (sf)
Cl. A-2 Certificate, Upgraded to A2 (sf); previously on Aug 12,
2014 Upgraded to Baa1 (sf)
Cl. M-1 Certificate, Upgraded to B3 (sf); previously on Aug 12,
2014 Upgraded to Caa2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR5
Cl. A-1A2A Certificate, Upgraded to B3 (sf); previously on Dec 15,
2010 Downgraded to Caa1 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pools and an increase in credit
enhancement available to the bonds.
The rating action on Lehman Mortgage Trust 2007-5 Class 2-A1
reflects the correction of a prior error. This bond is exchangeable
to Class 2-A3 and Class 2-A4. However, in the May 2015 rating
action, Class 2-A3 and Class 2-A4 were downgraded from Caa3 to Ca,
but the rating on Class 2-A1 was left unchanged. This error has now
been corrected, and the recent rating action reflects this change.
[*] Moody's Takes Action on $83MM of Subprime RMBS Issued 2003-2004
-------------------------------------------------------------------
Moody's Investors Service, on April 4, 2016, upgraded the ratings
of nine tranches from four transactions and downgraded the ratings
of two tranches from two transactions, backed by Subprime loans,
issued by various issuers.
Complete rating actions are:
Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series
2003-WF1
Cl. M-2, Upgraded to B2 (sf); previously on July 7, 2014,
Upgraded to B3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2004-HE2
Cl. M-3, Upgraded to B1 (sf); previously on Aug. 22, 2014,
Upgraded to B2 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on May 22, 2015,
Upgraded to Caa1 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on May 22, 2015,
Upgraded to Caa3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2004-HS1
Cl. A-2, Upgraded to A1 (sf); previously on Mar 15, 2011,
Downgraded to A3 (sf)
Cl. A-3, Upgraded to A1 (sf); previously on March 15, 2011,
Downgraded to A3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on July 28, 2014,
Upgraded to B2 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on March 15, 2011,
Downgraded to C (sf)
Issuer: Ameriquest Mortgage Securities Inc., Ser 2003-6
Cl. M-5, Downgraded to C (sf); previously on March 29, 2011,
Downgraded to Ca (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2003-8
Cl. AF-4, Upgraded to Aa3 (sf); previously on May 4, 2012,
Upgraded to A1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R4
Cl. M-1, Downgraded to B1 (sf); previously on Oct. 23, 2013,
Downgraded to Ba1 (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 downgrade action on Ameriquest
Mortgage Securities 2003-6 Class M-5 is due to depletion in credit
enhancement available to the bond. The downgrade action on
Ameriquest Mortgage Securities 2004-R4 Class M-1 is primarily the
result of recent interest shortfalls that are unlikely to be
recouped. 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 February 2016 from 5.5% in
February 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.
[*] S&P Discontinues Ratings on 137 Classes From 24 Re-Remic Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services, on March 31, 2015, discontinued
its 'D (sf)' ratings on 137 classes from 24 U.S. residential
mortgage-backed securities (RMBS) resecuritized real estate
mortgage investment conduit (re-REMIC) transactions.
The affected securities were issued between 2004 and 2008. The
underlying securities are backed by a mix of adjustable- and
fixed-rate loans secured primarily by first liens on one- to
four-family residential properties.
S&P discontinued these ratings according to its surveillance and
withdrawal policy. S&P had lowered the ratings to 'D (sf)' due to
principal writedowns, and S&P views a subsequent upgrade as
unlikely under the relevant criteria.
A list of the Affected Ratings is available at:
http://bit.ly/1W6fBvF
[*] S&P Puts 8 Prison Project Revenue Bonds on Watch Developing
---------------------------------------------------------------
Standard & Poor's Ratings Services, on April 5, 2016, placed its
ratings on eight federal prison project revenue bond issues on
CreditWatch with developing implications following the discovery of
an error in the application of its criteria. The issuers affected
are:
-- Willacy County Public Facility Corp., Texas (BBB/Watch Dev);
-- Garza County Public Facility Corp., Texas (BBB/Watch Dev);
-- Willacy County Local Government Corp., Texas (CCC+/Watch
Dev);
-- Grady County Criminal Justice Authority, Okla. (BB+/Watch
Dev);
-- Fannin County Public Facility Corp., Texas (BBB/Watch Dev);
-- Prairielands Public Facilities Corp, Texas (BBB/Watch Dev);
-- San Luis Facility Development Corp., Ariz. (BBB/Watch Dev);
and
-- La Paz County Industrial Development Authority, Ariz.
(BBB/Watch Dev).
"The CreditWatch developing placement reflects our view that there
is at least a one-in-two likelihood that we will either lower or
raise each rating on the bonds within the next 90 days," said
Standard & Poor's credit analyst Ann Richardson.
At issuance and in subsequent reviews, S&P applied its "Special Tax
Bonds," criteria, published June 13, 2007, and its "U.S. Federal
Future Flow Securitization Methodology," criteria, published March
12, 2012; both on RatingsDirect.
However, S&P has determined that the revenues pledged as security
for the bonds are not a special tax as described in the Special Tax
criteria but are derived from a contract for the provision of
services and therefore the Special Tax criteria do not apply.
During the CreditWatch period, S&P will determine the applicable
criteria for these bonds, including whether to continue to apply
the Future Flow criteria, which apply only to debt secured by
future congressional appropriations of cash flows from a U.S.
government related entity, to federal prison project bonds.
S&P expects to resolve the CreditWatch placement within the next 90
days.
[*] S&P Puts Ratings on 40 Tranches From 11 CLO Deals on Watch Pos
------------------------------------------------------------------
Standard & Poor's Ratings Services, on April 1, 2016, placed its
ratings on 40 tranches from 11 U.S. collateralized loan obligation
(CLO) transactions on CreditWatch with positive implications. The
CreditWatch placements follow S&P's surveillance review of U.S.
cash flow collateralized debt obligation (CDO) transactions.
The CreditWatch positive placements resulted from enhanced
overcollateralization due to paydowns to the senior tranches among
these CLO transactions. All of the transactions have exited their
reinvestment periods. Of the 40 tranches, three have started to
receive paydowns.
The table below reflects the years of issuance for the 11
transactions from which S&P placed ratings on CreditWatch.
Year of issuance No. of deals
2006 2
2007 5
2011 1
2012 3
Voya CLO 2012-1 Ltd. was issued in 2012 but was refinanced in 2014.
Golub Capital Partners CLO 10 Ltd. was issued in 2011, and classes
B, C, and D were refinanced in 2014. Golub Capital Partners CLO 12
Ltd. was issued in 2012, and class C was refinanced in 2014.
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 CDO transactions it rates and take rating actions,
including CreditWatch placements, as S&P deems appropriate.
RATINGS PLACED ON CREDITWATCH POSITIVE
Babson CLO Ltd. 2007-I
Rating
Class To From
B-1 AA+ (sf)/Watch Pos AA+ (sf)
B-2 AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D-1 BBB+ (sf)/Watch Pos BBB+ (sf)
D-2 BBB+ (sf)/Watch Pos BBB+ (sf)
CIFC Funding 2011-I 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)
Denali Capital CLO VI Ltd.
Rating
Class To From
B-1L A+ (sf)/Watch Pos A+ (sf)
B-2L B+ (sf)/Watch Pos B+ (sf)
Franklin CLO V Ltd.
Rating
Class To From
C A+ (sf)/Watch Pos A+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Golub Capital Partners CLO 10 Ltd.
Rating
Class To From
B-R AA (sf)/Watch Pos AA (sf)
C-R A (sf)/Watch Pos A (sf)
D-R BBB (sf)/Watch Pos BBB (sf)
E BB (sf)/Watch Pos BB (sf)
F B (sf)/Watch Pos B (sf)
Golub Capital Partners CLO 12 Ltd.
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C-R A (sf)/Watch Pos A (sf)
Harch CLO III Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BBB- (sf)/Watch Pos BBB- (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
LightPoint Pan-European CLO 2006 PLC
Rating
Class To From
C AA- (sf)/Watch Pos AA- (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E B- (sf)/Watch Pos B- (sf)
PPM Grayhawk CLO Ltd.
Rating
Class To From
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D B- (sf)/Watch Pos B- (sf)
Tralee CDO I Ltd.
Rating
Class To From
A-2a AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Voya CLO 2012-1 Ltd.
Rating
Class To From
A-2-R AA (sf)/Watch Pos AA (sf)
B-R A (sf)/Watch Pos A (sf)
C-R BBB (sf)/Watch Pos BBB (sf)
D-R BB (sf)/Watch Pos BB (sf)
E-R B (sf)/Watch Pos B (sf)
[*] S&P Takes Actions on 100 Classes From 9 RMBS Re-REMIC Deals
---------------------------------------------------------------
Standard & Poor's Ratings Services, on March 29, 2016, took various
actions on 100 classes from nine U.S. residential mortgage-backed
securities (RMBS) resecuritized real estate mortgage investment
conduit (re-REMIC) transactions. S&P raised 31 ratings; lowered 13
ratings, with one lowered rating remaining on CreditWatch negative;
affirmed 43 ratings, revised the CreditWatch statuses on five
ratings to CreditWatch developing from CreditWatch negative; placed
one rating on CreditWatch developing; kept five ratings on
CreditWatch negative; and discontinued two ratings.
All of the transactions in this review were issued between 2009 and
2010 and are supported by underlying classes from RMBS transactions
backed by a mix of various mortgage loan collateral types.
Subordination, overcollateralization (where available), and excess
interest, as applicable, provide credit support for the re-REMIC
transactions' underlying securities. In addition, the re-REMICs'
capital structures contain subordination.
ANALYTICAL CONSIDERATIONS
S&P routinely incorporates 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.
UPGRADES
S&P raised its ratings on 31 classes as the projected credit
support for these classes is sufficient to cover its projected
losses at these rating levels. The upgrades reflect these (among
other reasons):
-- Improved collateral performance/delinquency trends in the
underlying transactions;
-- Lower observed loss severities;
-- Short duration; and/or
-- Increased credit support to the class.
DOWNGRADES
S&P lowered its ratings on 13 classes due to deteriorated
collateral performance, an increase in delinquencies, and/or a
decrease in credit support to these classes, among other reasons.
Ten of the classes received reduced interest payments as a result
of interest shortfalls experienced by the underlying classes and
were downgraded in accordance with S&P's interest shortfall
criteria.
S&P lowered its ratings on classes 16-A1 and 16-A1B from Jefferies
Resecuritization Trust 2009-R5 to 'D (sf)' from 'BBB (sf)' in
accordance with S&P's interest shortfall criteria. The underlying
class, class 1-A-90 from JP Morgan Trust 2007-S3, had interest
shortfalls outstanding for greater than 12 periods, which in turn
resulted in classes 16-A1 and 16-A1B also having interest
shortfalls outstanding for greater than 12 periods.
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 one or
more of:
-- Delinquency trends;
-- Historical interest shortfalls;
-- Weighted average coupon deterioration due to loan
modifications;
-- A low priority of principal payments;
-- A high proportion of IO loans in the pool that will reset in
coming years; and
-- Low subordination or overcollateralization, or both.
S&P affirmed 22 ratings in the 'AAA' through 'B' categories. These
affirmations reflect S&P's opinion that its projected credit
support is sufficient to cover its projected losses in those rating
scenarios.
S&P also affirmed 21 'CCC (sf)' or 'CC (sf)' ratings. S&P believes
that its projected credit support will remain insufficient to cover
its projected losses to these classes. As defined in "Criteria For
Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct.
1, 2012, the 'CCC (sf)' affirmations indicate that S&P believes
these classes are still vulnerable to default, and the 'CC (sf)'
affirmations reflect S&P's belief that these classes remain
virtually certain to default.
DISCONTINUANCE
S&P discontinued its ratings on two classes because these classes
have been paid in full.
CREDITWATCH
The ratings on 13 classes in this review were placed on CreditWatch
negative on Jan. 20, 2016, as S&P further investigates the weighted
average coupon deterioration in the affected pools in accordance
with S&P's loan modification criteria to determine what effect such
deterioration may have on S&P's ratings for these classes.
The rating on one of these classes was downgraded, but remains on
CreditWatch negative. Five other classes did not have a rating
movement in this review, and their ratings remain on CreditWatch
negative.
S&P revised the CreditWatch statuses on five classes to CreditWatch
developing from CreditWatch negative. S&P also placed one rating
on one class on CreditWatch developing. These six classes
experienced enough improved collateral performance to merit a
possible upgrade; however, S&P's analysis under the loan
modification criteria may instead result in an affirmation or
downgrade.
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 of 4.8% in 2016;
-- Real GDP growth of 2.7% in 2016;
-- The inflation rate will be 1.9% in 2016; and
-- The 30-year fixed mortgage rate will average about 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, S&P 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://bit.ly/1TtZLdt
[*] S&P Takes Actions on 107 Classes From 10 RMBS Re-REMIC Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services, on March 29, 2016, took various
actions on 107 classes from 10 U.S. residential mortgage-backed
securities (RMBS) resecuritized real estate mortgage investment
conduit (re-REMIC) transactions. S&P raised 54 ratings, lowered 35
ratings, affirmed 16 ratings, and discontinued two ratings.
All of the transactions in this review were issued between 2005 and
2010 and are supported by underlying classes backed by a mix of
various mortgage loan collateral types.
Subordination, overcollateralization (where available), and excess
interest, as applicable, provide credit support for the re-REMIC
transactions' underlying securities. In addition, the re-REMICs'
capital structures contain subordination.
ANALYTICAL CONSIDERATIONS
S&P routinely incorporates 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.
UPGRADES
S&P raised its ratings on 54 classes as the projected credit
support for these classes is sufficient to cover S&P's projected
losses at these rating levels. The upgrades reflect these (among
other reasons):
-- Improved collateral performance trends in the underlying
transactions and/or
-- Increased credit support to the class.
DOWNGRADES
S&P lowered its ratings on 34 classes due to deteriorated
collateral performance within the underlying transactions,
decreased credit support to these classes, and/or the application
of our interest shortfall criteria, among other reasons.
In addition to the above downgrades, S&P also lowered its rating to
'D (sf)' on the class notes from Bear Stearns Structured Products
Inc. Trust 2005-10 due to the application of S&P's interest
shortfall criteria. This class has had aggregated interest
shortfall amounts outstanding for more than 12 months.
AFFIRMATIONS
S&P affirmed nine 'AAA (sf)' ratings. These affirmations reflect
S&P's opinion that its projected credit support is sufficient to
cover its projected losses in those rating scenarios.
S&P also affirmed seven 'CCC (sf)' or 'CC (sf)' ratings. S&P
believes that its projected credit support will remain insufficient
to cover its projected losses to these classes. As defined in
"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings,"
published Oct. 1, 2012, the 'CCC (sf)' affirmations indicate that
S&P believes these classes are still vulnerable to default, and the
'CC (sf)' affirmations reflect S&P's belief that these classes
remain virtually certain to default.
DISCONTINUANCES
S&P discontinued its ratings on classes V-A3 and V-A9 from BCAP LLC
2010-RR1 Trust because these classes have been paid in full.
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 of 4.8% in 2016;
-- Real GDP growth of 2.7% in 2016;
-- The inflation rate will be 1.9% in 2016; and
-- The 30-year fixed mortgage rate will average about 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://bit.ly/25EVita
[*] S&P Takes Actions on 117 Classes From 14 RMBS Re-REMIC Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services, on March 30, 2016, took various
actions on 117 classes from 14 U.S. residential mortgage-backed
securities (RMBS) resecuritized real estate mortgage investment
conduit (re-REMIC) transactions. S&P raised 27 ratings, lowered 10
ratings, affirmed 69 ratings, and discontinued 10 ratings. One
additional rating remains on CreditWatch negative.
All of the transactions in this review were issued between 2004 and
2010 and are supported by underlying classes from RMBS transactions
backed by a mix of various mortgage loan collateral types.
Subordination, overcollateralization (where available), and excess
interest provide credit support for the re-REMIC transactions'
underlying securities. In addition, the re-REMICs' capital
structures contain subordination.
ANALYTICAL CONSIDERATIONS
S&P routinely incorporates 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.
UPGRADES
S&P raised its ratings on 27 classes as the projected credit
support for these classes is sufficient to cover S&P's projected
losses at these rating levels. The upgrades reflect these (among
other reasons):
-- Improved collateral performance/delinquency trends in the
underlying transactions,
-- Increased credit support to the class, and/or
-- Expected short duration.
DOWNGRADES
S&P lowered its ratings on 10 classes due to deteriorated
collateral performance within the underlying transactions, erosion
of credit support, and/or the application of S&P's interest
shortfall criteria, among other reasons.
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 one or
more of:
-- Delinquency trends,
-- Historical interest shortfalls,
-- Bond performance projection remains stable, and/or
-- Low subordination or overcollateralization.
S&P affirmed 58 ratings in the 'AAA' through 'B' categories. These
affirmations reflect S&P's opinion that its projected credit
support is sufficient to cover its projected losses in those rating
scenarios.
S&P affirmed 11 'CCC (sf)' or 'CC (sf)' ratings. S&P believes that
its projected credit support will remain insufficient to cover its
projected losses to these classes. As defined in "Criteria For
Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct.
1, 2012, the 'CCC (sf)' affirmations indicate that S&P believes
these classes are still vulnerable to default, and the 'CC (sf)'
affirmations reflect S&P's belief that these classes remain
virtually certain to default.
RATING REMAINING ON CREDITWATCH NEGATIVE
S&P's 'A (sf)' rating on class 15-A from JMAC Master
Resecuritization Trust I Series 2009-B remains on CreditWatch
negative to reflect the lack of information necessary to apply
S&P's loan modification criteria.
DISCONTINUANCES
S&P discontinued its ratings on 10 classes from 10 transactions
because these classes have been paid in full.
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 of 4.8% in 2016;
-- Real GDP growth of 2.7% in 2016;
-- The inflation rate will be 1.9% in 2016; and
-- The 30-year fixed mortgage rate will average about 4.4% in
2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, S&P 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, S&P 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://bit.ly/239919x
[*] S&P Takes Actions on 43 Classes From 24 U.S. RMBS Deals
-----------------------------------------------------------
Standard & Poor's Ratings Services, on March 31, 2016, took various
actions on 43 classes from 24 U.S. residential mortgage-backed
securities (RMBS) transactions. S&P lowered eight ratings from
five transactions, raised nine ratings from six transactions,
placed three ratings on CreditWatch with negative implications from
one transaction, and affirmed 23 ratings from 15 transactions.
All of the transactions in this review were issued between 1998 and
2007 and are supported by a mix of fixed- and adjustable-rate
second-lien high loan-to-value (LTV) and closed-end second-lien
mortgage loans originated primarily between 2000 and 2007.
Subordination, overcollateralization (where available), excess
interest, as applicable, pool policies, and bond insurance provide
credit enhancement for the transactions in this review. Where the
bond insurer is rated lower than what S&P would rate the respective
class, it relied solely on the underlying collateral's credit
quality and the transaction structure to derive the rating.
ANALYTICAL CONSIDERATIONS
S&P routinely incorporates 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.
DOWNGRADES
S&P lowered its ratings on eight classes from five transactions.
The eight downgrades primarily reflect one or more of:
-- Deteriorating credit performance trends;
-- Observed interest shortfalls; and
-- Insufficient credit enhancement relative to our projected
losses.
The lowered ratings were already speculative-grade before the
rating actions.
Application Of Interest Shortfall Criteria
Of the eight downgrades, one class reflected the application of
S&P's interest shortfall criteria. Class B from CWABS, Inc. Series
2003-SC1 was downgraded from 'CCC (sf)' to 'D (sf)' as it has had
interest shortfalls outstanding for greater than 12 periods.
UPGRADES
S&P raised its ratings on nine classes from six transactions. The
projected credit enhancement for the affected classes is sufficient
to cover S&P's projected losses at these rating levels. The
upgrades reflect one or more of:
-- Improved collateral performance/delinquency trends;
-- Increased prepayments;
-- Lower observed loss severities; and
-- Increased credit support.
CREDITWATCH PLACEMENTS
Classes M-1, M-2 and M-4 from CWABS Inc.'s series 2003-SC1 had
their ratings placed on CreditWatch with negative implications.
Class M-1 had interest shortfalls outstanding since September 2015,
while classes M-2 and M-4 had interest shortfalls outstanding since
March 2015. This transaction experienced a large decline in
interest collections beginning September 2015, which continued
through February 2016, resulting in some of the interest shortfalls
experienced by these classes. S&P will monitor these classes and
may take further negative rating action in accordance with its
interest shortfall criteria if interest shortfall amounts remain
outstanding.
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 one or
more of:
-- A high proportion of balloon loans in the pool that are
approaching their maturity date;
-- Low levels of available credit enhancement; and
-- The application of an 'A+' cap.
In addition, in accordance with our second-lien criteria, some
classes are limited to a liquidity rating cap of 'A+' due to having
an estimated payoff of greater than 24 months, or having
insufficient hard credit enhancement for higher rating categories.
S&P affirmed 10 ratings in the 'AAA' through 'A' categories on
classes from eight transactions. In addition, S&P affirmed ratings
in the 'BBB' through 'B' categories on eight classes from five
transactions. These affirmations reflect S&P's opinion that our
projected credit support is sufficient to cover its projected
losses in those rating scenarios.
S&P also affirmed five 'CCC (sf)' or 'CC (sf)' ratings. S&P
believes that its projected credit support will remain insufficient
to cover S&P's projected losses to these classes. As defined in
"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings,"
published Oct. 1, 2012, the 'CCC (sf)' affirmations indicate that
S&P believes these classes are still vulnerable to default, and the
'CC (sf)' affirmations reflect S&P's belief that these classes
remain virtually certain to default.
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 of 4.8% in 2016;
-- Real GDP growth of 2.7% in 2016;
-- The inflation rate will be 1.9% in 2016; and
-- The 30-year fixed mortgage rate will average about 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, S&P 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://bit.ly/1YbARP7
*********
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
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2016. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***