/raid1/www/Hosts/bankrupt/TCR_Public/160501.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, May 1, 2016, Vol. 20, No. 122
Headlines
A10 TERM ASSET 2015-1: DBRS Confirms BB Rating on Class E Debt
AGATE BAY 2016-1: Fitch to Rate Class B-4 Certs 'BBsf'
AMAC CDO I: Fitch Raises Rating Class D-1 Notes to 'CCCsf'
AMERICAN CREDIT 2016-2: S&P Assigns BB Rating on Cl. D Notes
AMMC CLO 18: Moody's Assigns (P)Ba3 Rating to Class E Notes
ANTHRACITE CDO III: Moody's Hikes Cl. D-FL Debt Rating to B3(sf)
ASCENTIUM EQUIPMENT 2016-1: Moody's Rates Class E Debt Ba2
BANC OF AMERICA 2006-4: Moody's Hikes Cl. B Debt Rating to Ba2(sf)
BANC OF AMERICA 2007-3: S&P Raises Rating on Cl. A-J Certs to BB-
BLADE ENGINE 2006-1: Moody's Lowers Rating on 2 Tranches to B3
BLADE ENGINE: Fitch Says Intent to Sell Engine Won't Impact Ratings
BUSINESS LOAN 2003-A: Moody's Confirms Ba3 Rating on Cl. A Debt
CARLYLE GLOBAL 2016-1: S&P Assigns BB- Rating on Cl. D Notes
CARLYLE GLOBAL 2016-2: Moody's Assigns Ba3 Rating on Cl. D-2 Notes
CHILDREN'S TRUST: S&P Lowers Rating on 2 Term Bonds to BB
COMM 2007-C9: Moody's Hikes Class D Debt Rating to Ba1(sf)
CPS AUTO 2016-B: S&P Assigns BB- Rating on Class E Notes
CREDIT SUISSE 2007-C2: Moody's Affirms B2 Rating on Cl. A-J Debt
DBUBS 2011-LC1: Moody's Affirms Ba3(sf) Rating on Cl. X-B Debt
EXETER AUTOMOBILE: S&P Affirms BB Rating on 4 Tranches
FANNIE MAE 2016-C03: Fitch Assigns BB+ Rating on Cl. 1M-2A Notes
FLAGSHIP CREDIT 2016-2: S&P Gives Prelim BB- Rating on Cl. D Notes
FULTON STREET: S&P Affirms B Rating on Class A-1A Notes
GE BUSINESS 2005-1: Moody's Lowers Rating on Cl. A-3 Debt to Ba1
GMAC COMMERCIAL 2004-C1: Fitch Raises Rating on Cl. F Certs to BB
GRAMERCY REAL 2005-1: Moody's Cuts Cl. J Debt Rating to Ca(sf)
GREEN TREE MH 1994-05: Moody's Cuts Class B-2 Debt Rating to C
GS MORTGAGE 2011-GC5: Moody's Affirms B2 Rating on Class F Certs
GS MORTGAGE 2013-GCJ12: S&P Affirms BB- Rating on Class F Certs
HPS LOAN 9-2016: Moody's Assigns Ba3 Rating on Cl. D-2 Notes
ICE GLOBAL: S&P Lowers Rating on Class D Notes to BB+
JC PENNEY: S&P Raises Rating on 8 Cert. Classes to 'CCC+'
JP MORGAN 2002-CIBC5: Fitch Affirms 'Bsf' Rating on Class L Certs
JP MORGAN 2004-C2: Fitch Affirms 'Bsf' Rating on Class J Certs
JP MORGAN 2013-LC11: Moody's Affirms B2(sf) Rating on Cl. F Debt
JPMBB COMMERCIAL 2013-C12: S&P Affirms B+ Rating on Cl. F Certs
LB-UBS 2006-C3: Moody's Affirms B1 Rating on Cl. C Debt
LCM XXI: S&P Assigns BB- Rating on Class E Notes
MERRILL LYNCH 2006-CANADA: Moody's Cuts Cl. XC Debt Rating to B3
MERRILL LYNCH 2008-C1: Moody's Affirms Ba1 Rating on Class E Debt
MIDOCEAN CREDIT I: S&P Affirms BB Rating on Class D Notes
MILL CREEK CLO II: Moody's Assigns Ba3 Rating on Class E Debt
MILL CREEK II: Moody's Assigns Definitive Ba3 Rating on Cl. E Debt
MORGAN STANLEY 2003-TOP11: Moody's Affirms B3 Rating on X-1 Debt
OCEANVIEW CBO I: S&P Affirms B Rating on Class A-1A Notes
ONDECK ASSET 2016-1: S&P Assigns Prelim. BB- Rating on Cl. B Notes
PALMER SQUARE 2016-2: S&P Assigns Prelim. BB Rating on Cl. D Notes
RASC TRUST 2004-KS10: Moody's Raises Rating on Cl. M-3 Debt to B3
RASC TRUST 2004-KS2: Moody's Raises Rating on Cl. M-I-1 Debt to B2
SHEFFIELD CDO: Moody's Affirms Caa2 Rating on Class C Notes
SHERIDAN SQUARE: S&P Affirms B Rating on Class F Notes
SIERRA TIMESHARE 2013-2: Fitch Affirms BBsf Rating on Cl. C Notes
WAMU ASSET 2005-C1: S&P Raises Rating on Cl. M Certs to B
WELLFLEET CLO 2016-1: Moody's Assigns Ba3(sf) Rating to Cl. E Debt
WELLS FARGO BANK 2012-C8: Fitch Affirms 'Bsf' Rating on Cl. G Debt
WHITEHORSE VI: S&P Affirms 'B' Rating on Class B-3L Notes
[*] Fitch Takes Various Actions on 12 Trust Preferred CDOs
[*] Moody's Hikes $1-Bil. of Subprime RMBS Issued 2005-2006
[*] Moody's Takes Action on $301.6MM Housing Securities
[*] Moody's Takes Action on $87MM Subprime RMBS Issued 2001-2004
[*] Moody's Takes Action on $98.7MM Prime Jumbo RMBS Issued 2003-20
[*] Moody's Takes Actions on Subprime RMBS Issued 2005-2007
[*] S&P Lowers Ratings on 58 Classes From 41 RMBS Transactions to D
[*] S&P Takes Actions on 50 Tranches From 11 RMBS Deals
*********
A10 TERM ASSET 2015-1: DBRS Confirms BB Rating on Class E Debt
--------------------------------------------------------------
DBRS Limited confirmed the following ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2015-1, issued by A10
Term Asset Financing 2015-1, LLC:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at A (sf)
-- Class C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable. Classes E and F are non-offered classes.
The rating confirmations reflect the continued performance of the
pool since issuance in April 2015. The transaction consists of 26
loans secured by 26 transitional commercial real estate assets,
including office, multifamily, retail and industrial properties.
According to the March 2016 remittance, there has been collateral
reduction of 10.3% since issuance as five loans have been repaid in
full since issuance and proceeds were used to pay down their
respective loan balances. According to the servicer’s updates,
most of the respective borrowers' stabilization plans are on track
with the timelines provided at issuance. As of the March 2016
remittance, there are no loans in special servicing and no loans on
the servicer’s watchlist. The largest loan in the pool based on
the fully funded amount is discussed in detail below.
All of the collateral loans were originated by A10 Capital, LLC
(A10). A10 specializes in mini-perm loans, which typically have
two- to five-year terms and are used to finance properties until
they are fully stabilized. The borrowers are typically new equity
sponsors of fairly well-positioned assets within their respective
markets. A10’s initial advance is the senior debt component
typically used for the purchase of a real estate-owned acquisition
or discounted payoff loans. Most loans are structured with
three-year terms and include built-in extensions and future funding
facilities meant to aid in property stabilization, both of which
are at the lender’s sole discretion. Five loans have experienced
full principal repayment totaling approximately $36.8 million and
proceeds were used to pay the outstanding Class A-1 bond and to
fund the reserve account, which may be used to provide future
funding to individual borrowers. The reserve account has a current
balance of $27.6 million against total potential future funding
obligations of $45.0 million. According to the most recent
reporting, a portion of the collateral assets in the subject pool
have reached stabilization; however, others continue to perform
below the respective stabilization plans.
The transaction is concentrated as the largest loan in the
transaction represents 10.7% of the current pool balance based on
the fully funded loan amount. This loan, 2280 N Greenville, which
is secured by an office building in Richardson, Texas, was recently
upsized by an additional $5.0 million over its original fully
funded loan balance of $18.8 million to fund the tenant
improvement/leasing commission (TI/LC) package of the newest
tenant, Geico. The tenant signed a 152-month lease for 100.0% of
the net rentable area at $13.75 per square foot (psf) triple net
with $0.38 psf annual increases. The lease commenced in January
2016 and Geico will receive eight months’ free rent and a TI/LC
package totaling $14.3 million, which will be funded by a
combination of fresh borrower equity and the aforementioned loan
upsize proceeds. In addition, the sponsor has achieved its business
plan to convert the adjacent warehouse/industrial building into a
covered parking structure to adequately accommodate the parking
needs of Geico.
The largest five and ten loans represent 41.0% and 66.4% of the
current pool balance based on their fully funded loan amounts,
respectively. None of the loans in the pool have an initial
maturity date prior to August 1, 2016, and four remaining loans,
representing 14.1% of the current pool balance, did not receive
future funding components with their respective financings.
DBRS's ratings contemplate timely payments of distributable
interest and, in the case of the Offered Notes other than the Class
A-1 and A-2 Notes, ultimate recovery of Deferred Collateralized
Note Interest Amounts (inclusive of interest payable thereon at the
applicable rate to the extent permitted by law). The transaction is
a standard sequential-pay waterfall.
AGATE BAY 2016-1: Fitch to Rate Class B-4 Certs 'BBsf'
------------------------------------------------------
Fitch Ratings expects to rate Agate Bay Mortgage Trust 2016-1 as:
-- $197,937,000 class A-6 certificates 'AAAsf'; Outlook Stable;
-- $65,979,000 class A-8 certificates 'AAAsf'; Outlook Stable;
-- $20,418,000 class A-10 certificates 'AAAsf'; Outlook Stable;
-- $284,334,000 class A-X-1 notional certificates 'AAAsf';
Outlook Stable;
-- $197,937,000 class A-X-4 notional certificates 'AAAsf';
Outlook Stable;
-- $65,979,000 class A-X-5 notional certificates 'AAAsf';
Outlook Stable;
-- $20,418,000 class A-X-6 notional certificates 'AAAsf';
Outlook Stable;
-- $7,009,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $5,333,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $3,962,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $1,676,000 class B-4 certificates 'BBsf'; Outlook Stable.
Exchangeable Certificates:
-- $284,334,000 class A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $284,334,000 class A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $263,916,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $263,916,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $197,937,000 class A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $65,979,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $20,418,000 class A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $284,334,000 class A-X-2 exchangeable notional certificates
'AAAsf'; Outlook Stable;
-- $263,916,000 class A-X-3 exchangeable notional certificates
'AAAsf'; Outlook Stable.
The $2,438,767 class B-5 certificates and $304,752,767 class A-IO-S
notional certificates will not be rated.
KEY RATING DRIVERS
High Quality Mortgage Pool: The collateral pool consists of very
high-quality fixed-rate, fully amortizing loans to borrowers with
strong credit profiles, low leverage and liquid reserves. All
loans have a 30-year original term to maturity. The pool has a
weighted average (WA) FICO score of 772 and an original combined
loan-to-value (CLTV) ratio of 67.5%. While the average amount of
liquid reserves is slightly lower for this pool relative to other
recent Agate Bay transactions with comparable profiles, but more
than 28% of the borrowers still have reserves in excess of 30% of
their mortgage amount.
Geographic Concentration Risk: The pool's primary concentration
risk is in California, where 49.5% of the properties are located.
In addition, the metropolitan areas encompassing San Francisco, Los
Angeles, San Jose and San Diego combine for 40% of the collateral
balance and represent four of the top 10 regions. While this is a
slight improvement over prior Agate Bay transactions, the regional
concentration resulted in an additional penalty to the pool's
lifetime probability of default (PD) of roughly 3%.
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 a life-of-loan representation and warranty (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 2016-1 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's
purchase criteria and were reviewed by a third-party due diligence
firm to TH TRS's 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
three of the top five originators which account for approximately
30.5% 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 7.8% 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%, 30% and 48% 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
Holdings 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.
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.
AMAC CDO I: Fitch Raises Rating Class D-1 Notes to 'CCCsf'
----------------------------------------------------------
Fitch Ratings has affirmed five classes and upgraded two distressed
classes of AMAC CDO Funding I (AMAC CDO).
KEY RATING DRIVERS
Fitch's rating actions reflect the continued risk of insufficient
interest and principal proceeds being available to pay the
obligation due under the swaps and timely interest due on the
senior classes. The CDO maintains a significant swap liability,
which is senior in priority to the notes. Interest and principal
generated by the CDO assets have been inadequate to cover the
timely interest obligations on class A-2 and B, and an affiliate of
the collateral asset manager, C-III Asset Management LLC, has been
making interest advances, as required under the transaction
documents.
Since the last rating action, the class A-1 notes have paid in full
while class A-2 has received $41 million in pay down from the full
payoff of four loans as well as scheduled amortization. As of the
March 2016 trustee report, the balance of class A-2 is now only
$8.9 million. All performing loans (96% of the pool) are scheduled
to mature by January 2017.
The CDO remains under-collateralized by approximately $30 million;
class F and below have negative credit enhancement. The highly
concentrated CDO has only 13 loans remaining. Over 40% of the
portfolio is considered either defaulted or a Fitch Loan of
Concern; several loans are secured by properties that have upcoming
roll and/or are leased to single tenants.
The asset manager reported that one loan ($2.5 million, 3% of the
pool) paid off post the last trustee report and that two additional
loans are expected to repay over the subsequent two payment
periods. As such, Fitch expects principal to be available to cover
the swap payment and timely interest as well as cover repayment of
outstanding advances and some additional pay down to the senior
classes over the next several months.
The affirmations at 'Bsf' and Stable Outlooks for classes A-2 and B
reflect the underlying credit quality of the assets as well as
Fitch's expectation that loans will repay in the next several
months with principal available to cover the shortfalls. Should
the loans default or extend beyond their scheduled maturities,
Fitch expects that the advancing agent will continue to make
interest advances for class A-2 and B while they remain
outstanding. The 'CCCsf' ratings of classes C through D reflect
the subordinate nature of the classes and lack of required
advancing to these classes, which will require timely interest
payment should they become the senior most class.
Fitch's base case loss expectation is 27.1%. Under Fitch's
methodology, approximately 97.6% of the portfolio is modeled to
default in the base case stress scenario, defined as the 'B'
stress. Modeled recoveries are 72.2% reflecting the senior
position of the majority of the debt (96.3% whole loans/A-notes).
The largest component of Fitch's base case loss is a whole loan
(23%) secured by a 203,300 square foot (sf) office property located
in Bethpage, NY. After a dip in occupancy to 60% early last year,
the property has been released to 72%, as of year-end 2015.
However, actual cash flow is expected to decrease significantly as
the GSA will no longer be paying the above market amortized portion
of the tenant improvement work in its monthly rent payment for
2017. The loan is scheduled to mature in May 2016. A potential
loan extension is reportedly under discussion. Fitch modeled a
substantial loss on this overleveraged loan in its base case
scenario.
The next largest component of Fitch's base case loss expectation is
a mezzanine loan (3.7%) backed by an interest in a 256,000 sf
anchored retail center located in Monmouth Junction, NJ. The
largest tenant is Home Depot. The loan transferred to special
servicing after the grocery anchor vacated at lease expiration in
July 2014. No recovery is expected on this subordinate interest.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs', which applies stresses to property
cash flows and debt service coverage ratio (DSCR) tests to project
future default levels for the underlying portfolio. Recoveries for
the loan assets are based on stressed cash flows and Fitch's
long-term capitalization rates. Cash flow modeling was not
performed, as no material impact from the analysis was anticipated.
The ratings for classes E through F are based on a deterministic
analysis that considers Fitch's base case loss expectation for the
pool and the current percentage of defaulted assets and Fitch Loans
of Concern factoring in anticipated recoveries relative to each
classes credit enhancement.
RATING SENSITIVITIES
Classes A-2 and B could be downgraded to 'Dsf' should they miss an
interest payment. After the remaining swap obligations terminate
in September 2016, classes A-2 through E, if still outstanding,
could be subject to upgrade given that the risk of interest payment
default will be lower. However, upgrades may be limited due to
increasing pool concentration.
Distressed classes could be downgraded further should additional
losses be realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these classes:
-- $15.1 million class D-1 notes to 'CCCsf' from 'CCsf'; RE:
75%;
-- $5.2 million class D-2 notes to 'CCCsf' from 'CCsf'; RE:
75%;
Fitch has affirmed these classes and revised outlooks as
indicated:
-- $8.9 million Class A-2 notes at 'Bsf'; Outlook Stable;
-- $20 million class B notes at 'Bsf'; Outlook to Stable from
Negative;
-- $15.1 million class C notes at 'CCCsf'; RE: 100%;
-- $5.2 million class E notes at 'CCsf'; RE: 0%;
-- $22.4 million class F notes at 'Csf'; RE: 0%.
Class A-1 has paid in full. Fitch does not rate the preferred
shares.
AMERICAN CREDIT 2016-2: S&P Assigns BB Rating on Cl. D Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to American
Credit Acceptance Receivables Trust 2016-2's $220.33 million
asset-backed notes series 2016-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 57.0%, 47.5%, 39.6%, and
35.2% of credit support for the class A, B, C, and D notes,
respectively, based on break-even stressed cash flow
scenarios (including excess spread), which provide coverage
of more than 2.15x, 1.75x, 1.40x, and 1.25x S&P's 25.50%-
26.50% expected net loss range for the class A, B, C, and D
notes, respectively.
-- The timely interest and principal payments made to the rated
notes by the assumed legal final maturity dates under S&P's
stressed cash flow modeling scenarios that S&P believes is
appropriate for the assigned ratings. The expectation that
under a moderate ('BBB') stress scenario, the ratings on the
class A and B notes would remain within one rating category
of S&P's 'AA (sf)' and 'A (sf)' ratings, and the ratings on
the class C and D notes would remain within two rating
categories of S&P's 'BBB (sf)' and 'BB (sf)' ratings. These
potential rating movements are consistent with S&P's credit
stability criteria, which outline the outer bound of credit
deterioration equal to a one-rating category downgrade
within the first year for 'AA' rated securities and a two-
rating category downgrade within the first year for 'A'-
through 'BB'-rated securities under moderate stress
conditions.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The backup servicing arrangement with Wells Fargo Bank N.A..
-- The transaction's payment and credit enhancement structures,
which include performance triggers.
-- The transaction's legal structure.
RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2016-2
Class Rating Type Interest Amount
rate (mil. $)
A AA (sf) Senior Fixed 128.85
B A (sf) Subordinate Fixed 39.94
C BBB (sf) Subordinate Fixed 34.79
D BB (sf) Subordinate Fixed 16.75
AMMC CLO 18: Moody's Assigns (P)Ba3 Rating to Class E Notes
-----------------------------------------------------------
Moody's Investors Service assigned provisional ratings to eight
classes of notes to be issued by AMMC CLO 18, Limited.
Moody's rating action is as follows:
US$58,000,000 Class AL1 Senior Secured Floating Rate Notes due 2028
(the "Class AL1 Notes"), Assigned (P)Aaa (sf)
US$155,000,000 Class AL2 Senior Secured Floating Rate Notes due
2028 (the "Class AL2 Notes"), Assigned (P)Aaa (sf)
US$30,000,000 Class AF Senior Secured Fixed Rate Notes due 2028
(the "Class AF Notes"), Assigned (P)Aaa (sf)
US$59,000,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$24,000,000 Class C Secured Deferrable Floating Rate Notes due
2028 (the "Class C Notes"), Assigned (P)A2 (sf)
US$22,000,000 Class D Secured Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$12,000,000 Class E1 Secured Deferrable Floating Rate Notes due
2028 (the "Class E1 Notes"), Assigned (P)Ba3 (sf)
US$8,000,000 Class E2 Secured Deferrable Floating Rate Notes due
2028 (the "Class E2 Notes"), Assigned (P)Ba3 (sf)
The Class AL1 Notes, the Class AL2 Notes, the Class AF Notes, the
Class B Notes, the Class C Notes, the Class D Notes, the Class E1
Notes and the Class E2 Notes are referred to herein, collectively,
as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
AMMC 18 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 95% of the portfolio must consist
of senior secured loans, cash, and eligible investments, and up to
5% of the portfolio may consist of second lien loans, first lien
last out loans and unsecured loans. We expect the portfolio to be
approximately 75% ramped as of the closing date.
American Money Management Corporation (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 will issue 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: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2675
Weighted Average Spread (WAS): 3.95%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 45.0%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action:
The prinicpal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015. Please see the Ratings Methodologies page on
www.moodys.com for a copy of this methodology.
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 2675 to 3076)
Rating Impact in Rating Notches
Class AL1 Notes: 0
Class AL2 Notes: 0
Class AF Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E1 Notes: -1
Class E2 Notes: -1
Percentage Change in WARF -- increase of 30% (from 2675 to 3478)
Rating Impact in Rating Notches
Class AL1 Notes: -1
Class AL2 Notes: -1
Class AF Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E1 Notes: -2
Class E2 Notes: -2
ANTHRACITE CDO III: Moody's Hikes Cl. D-FL Debt Rating to B3(sf)
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Anthracite CDO III, Ltd.:
Cl. C-FL, Upgraded to Aaa (sf); previously on Jul 23, 2015 Upgraded
to Aa2 (sf)
Cl. C-FX, Upgraded to Aaa (sf); previously on Jul 23, 2015 Upgraded
to Aa2 (sf)
Cl. D-FL, Upgraded to B3 (sf); previously on Jul 23, 2015 Affirmed
Caa3 (sf)
Cl. D-FX, Upgraded to B3 (sf); previously on Jul 23, 2015 Affirmed
Caa3 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. E-FL, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C
(sf)
Cl. E-FX, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C
(sf)
RATINGS RATIONALE
Moody's has upgraded the ratings on the notes due to a material
increase in defeasance of certain CMBS certificates and
improvements in the credit profile of the remaining collateral
assets as evidenced by WARF and WARR. Moody's affirmed the ratings
on the transaction because its key transaction metrics are
commensurate with existing ratings. The affirmation is the result
of Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO & Re-REMIC) transactions.
Anthracite CDO III, Ltd. is a static cash transaction wholly backed
by a portfolio of i) commercial mortgage-backed securities (CMBS)
(81.0% of the collateral pool balance) and ii) a single credit
tenant lease asset (CTL) (19.0%). As of the trustee's 21 March,
2016 report, the aggregate note balance of the transaction,
including preferred shares, is $201.7 million, compared to $435.3
million at issuance.
The pool contains 11 assets totaling $32.7 million (51.0% of the
collateral pool balance) that are listed as defaulted securities as
of the trustee's 21 March, 2016 report. Eleven of these assets
(100% of the defaulted balance) are CMBS. While there have been
limited realized losses on the underlying collateral to date,
Moody's does expect moderate/high losses to occur on the defaulted
securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 3222,
compared to 3469 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (61.8%, compared to 51.5% at last
review); A1-A3 (5.6%, compared to 0.0% at last review); Baa1-Baa3
(0.0%, compared to 13.9% at last review); Ba1-Ba3 (0.0%, the same
as at last review); B1-B3 (0.6%, compared to 0.0% at last review);
Caa1-Ca/C (31.9%, compared to 34.6% at last review).
Moody's modeled a WAL of 3.9 years, compared to 4.0 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral and look-through extension assumptions on the
loans backing the underlying CMBS collateral.
Moody's modeled a fixed WARR of 15.2%, compared to 14.7% at last
review.
Moody's modeled a MAC of 1.8%, compared to 2.1% at last review.
ASCENTIUM EQUIPMENT 2016-1: Moody's Rates Class E Debt Ba2
----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes to be issued by Ascentium Equipment Receivables 2016-1 Trust
(ACER 2016-1), sponsored by Ascentium Capital LLC. The transaction
is a securitization of contracts backed by small ticket equipment
used for commercial purposes in physician offices, gas stations,
hotels and restaurants, among others.
The complete rating actions are as follows:
Issuer: Ascentium Equipment Receivables 2016-1 Trust
$86,000,000 Class A-2 Notes, Definitive Rating Assigned Aaa (sf)
$50,291,000 Class A-3 Notes, Definitive Rating Assigned Aaa (sf)
$26,679,000 Class B Notes, Definitive Rating Assigned Aa2 (sf)
$9,882,000 Class C Notes, Definitive Rating Assigned A2 (sf)
$4,941,000 Class D Notes, Definitive Rating Assigned Baa2 (sf)
$6,423,000 Class E Notes, Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
Moody's said the ratings are based on the quality of the underlying
equipment contracts and their strong historical and expected
performance, the transaction's full-turbo sequential structure, the
experience and expertise of Ascentium Capital LLC (unrated), as the
originator and servicer, and the back-up servicing arrangement with
U.S. Bank National Association (Aa1/P-1; stable).
Moody's cumulative net loss expectation is 2.25% for the ACER
2016-1 pool. Moody's net loss expectation for the ACER 2016-1
transaction is based on an analysis of the credit quality of the
underlying collateral, comparable issuer historical performance
trends, the ability of Ascentium Capital LLC to perform the
servicing functions, and current expectations for future economic
conditions. There is initially 24.5% hard credit enhancement behind
the Class A notes consisting of overcollateralization, a
non-declining reserve account, and subordination.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in December 2015.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the notes if levels of credit protection are
greater than necessary to protect investors against current
expectations of portfolio loss. Losses could be lower than Moody's
original expectations as a result of lower frequency of default by
the underlying obligors or slower depreciation of the value of the
equipment that secure the obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and the
performance of various sectors where the lessees operate.
Down
Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
a deterioration in the value of the equipment that secure the
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and the performance of various
sectors where the lessees operate.
BANC OF AMERICA 2006-4: Moody's Hikes Cl. B Debt Rating to Ba2(sf)
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes,
downgraded the rating on one class, and affirmed the ratings on
eight classes in Banc of America Commercial Mortgage Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2006-4 as
follows:
Cl. A-1A, Affirmed Aaa (sf); previously on May 8, 2015 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 8, 2015 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on May 8, 2015 Upgraded to
Aaa (sf)
Cl. A-J, Upgraded to Baa2 (sf); previously on May 8, 2015 Affirmed
Ba1 (sf)
Cl. B, Upgraded to Ba2 (sf); previously on May 8, 2015 Affirmed Ba3
(sf)
Cl. C, Affirmed B3 (sf); previously on May 8, 2015 Affirmed B3
(sf)
Cl. D, Affirmed Caa1 (sf); previously on May 8, 2015 Affirmed Caa1
(sf)
Cl. E, Affirmed Caa3 (sf); previously on May 8, 2015 Affirmed Caa3
(sf)
Cl. F, Affirmed C (sf); previously on May 8, 2015 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on May 8, 2015 Affirmed C (sf)
Cl. XC, Downgraded to B2 (sf); previously on May 8, 2015 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes (A-J, B) 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 37% since
Moody's last review. In addition, loans constituting 57% of the
pool that have debt yields exceeding 10.0% are scheduled to mature
within the next six months.
The ratings on four P&I classes (A-1A, A-4, A-M, C) 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 four P&I classes (D, E, F, G) were affirmed because
the ratings are consistent with Moody's expected loss.
The rating on the IO Class (Class XC) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 8.1% of the
current balance, compared to 4.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 11.1% of the
original pooled balance, compared to 11.0% 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.
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 25, compared to 37 at Moody's last review.
DEAL PERFORMANCE
As of the April 11, 2015 distribution date, the transaction's
aggregate certificate balance has decreased by 60% to $1.1 billion
from $2.7 billion at securitization. The certificates are
collateralized by 84 mortgage loans ranging in size from less than
1% to 7.9% of the pool, with the top ten loans constituting 52% of
the pool. Twelve loans, constituting 8.8% of the pool, have
defeased and are secured by US government securities.
Forty-one loans, constituting 51% 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.
Thirty-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $213 million (for an average loss
severity of 47.4%). Six loans, constituting 16% of the pool, are
currently in special servicing. The largest specially serviced loan
is the BlueLinx Portfolio Loan ($80 million -- 7.2% of the pool),
which represents a 50% interest in a pari passu note. The loan is
secured by 51 industrial properties in 33 states. The properties
are master leased to BlueLinx, a North American residential and
commercial building products distributor. The loan transferred to
special servicing in 2011 and was subsequently modified. The loan
was modified a second time this past month; its maturity was
extended nearly three years. The loan continues to perform and as
of year-end 2015, all but five properties were 100% leased.
The remaining five specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $59 million loss for
the specially serviced loans (65% expected loss on average).
Moody's has assumed a high default probability for four poorly
performing loans, constituting 4.8% of the pool, and has estimated
an aggregate loss of $9.6 million (an 18% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2014 operating results for 97% of the
pool, and full or partial year 2015 operating results for 97%.
Moody's weighted average conduit LTV is 88%, compared to 90% at
Moody's last review. 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 12.9% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.0%.
Moody's actual and stressed conduit DSCRs are 1.51X and 1.21X,
respectively, compared to 1.47X and 1.18X 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 20% of the pool balance. The
largest loan is the Mesa Mall Loan ($87 million -- 7.9% of the
pool), which is secured by a 560,000 SF regional mall in Grand
Junction, CO. As of year-end 2015, the space was 96% leased
compared to 98% at Moody's prior review. Moody's LTV and stressed
DSCR are 102% and 0.99X, respectively, compared to 101% and 0.99X
at the last review.
The second largest loan is the Glendale Fashion Center Loan ($72
million -- 6.5% of the pool), which is secured by a neighborhood
anchored retail property in Glendale, CA. The property was 100%
leased as of year-end 2015, same as at Moody's prior review.
Moody's LTV and stressed DSCR are 103% and 0.87X, respectively,
compared to 107% and 0.84X at the last review.
The third largest loan is the Extra Space Portfolio Loan ($59
million -- 5.4% of the pool), which is secured by a portfolio
comprised of nine self-storage properties located across six states
(California, Florida, Georgia, New Jersey, New York, and
Washington). The properties were built between 1950 and 2002 and
based on their allocated loan amounts have a weighted average year
built of 1992. As of year-end 2015, the portfolio was 93% occupied
compared to 91% at Moody's prior review. Moody's LTV and stressed
DSCR are 71% and 1.37X, respectively, compared to 72% and 1.36X at
the last review.
BANC OF AMERICA 2007-3: S&P Raises Rating on Cl. A-J Certs to BB-
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on eight
classes of commercial mortgage pass-through certificates from Banc
of America Commercial Mortgage Trust 2007-3, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its ratings on five other classes from the same
transaction.
The rating 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 raised ratings on eight classes reflect S&P's expectation of
the available credit enhancement for these classes, which S&P
believes is greater than its most recent estimate of necessary
credit enhancement for the respective rating levels, S&P's views
regarding the current and future performance of the transaction's
collateral, as well as the reduced pool trust balance.
The affirmed ratings on classes C through G reflect S&P's
expectation that the available enhancement levels for these classes
will be within S&P's estimate of the necessary credit enhancement
required for the current ratings and S&P's views regarding the
current and future performance of the transaction's collateral.
S&P's analysis also considered the susceptibility of the
subordinate classes to reduced liquidity support from the specially
serviced assets (seven; $54.7 million, 2.6%) and loans on the
master servicer's watchlist (18; $312.1 million, 14.6%), as well as
the magnitude of performing loans maturing by 2017 (92; $2.1
billion, 96.0%).
TRANSACTION SUMMARY
As of the April 11, 2016, trustee remittance report, the collateral
pool balance was $2.14 billion, which is 60.8% of the pool balance
at issuance. The pool currently includes 97 loans and five real
estate-owned (REO) assets (reflecting cross-defaulted and
cross-collateralized loans), down from 150 loans at issuance.
Seven of these assets are with the special servicer, five loans
($18.1 million, 0.9%) are defeased, and 18 loans are on the master
servicer's watchlist. The master servicer, KeyBank Real Estate
Capital, reported financial information for 96.7% of the
nondefeased loans in the pool, of which 72.3% was partial- or
year-end 2015 data, and the remainder was year-end 2014 data.
Excluding the specially serviced assets and defeased loans, S&P
calculated a 1.39x Standard & Poor's weighted average debt service
coverage (DSC) and 95.4% Standard & Poor's weighted average
loan-to-value (LTV) ratio using a 7.46% Standard & Poor's weighted
average capitalization rate for the remaining pool balance. The
top 10 nondefeased loans have an aggregate outstanding pool trust
balance of approximately $1.3 billion (59.1%). Using
servicer-reported numbers, S&P calculated a Standard & Poor's
weighted average DSC and LTV of 1.43x and 98.1%, respectively, for
the top 10 nondefeased loans.
To date, the transaction has experienced $175.3 million in
principal losses, or 5.0% of the original pool trust balance. S&P
expects losses to reach approximately 5.9% 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 seven specially serviced assets.
CREDIT CONSIDERATIONS
As of the April 11, 2016, trustee remittance report, seven assets
in the pool were with the special servicer, C-III Asset Management
LLC (C-III). Appraisal reduction amounts (ARAs) totaling $12.9
million are in effect against five of these assets, while the North
Park Business Park Portfolio 3 REO asset has been nonrecoverable by
the master servicer. Details of the two largest specially serviced
assets are:
-- The North Park Business Park Portfolio 3 REO asset ($15.1
million, 0.7%) is the largest specially serviced asset in
the pool and has a total reported exposure of $22.2 million.
The asset is a suburban office property totaling 165,402-
sq.-ft. located in Omaha, Neb. The loan was transferred to
C-III on Oct. 10, 2012, because of delinquent payments, and
the property became REO on Oct. 23, 2013. C-III reported
that occupancy is currently at approximately 66.0% and
expects it to increase to approximately 86.0% in the near
term. The master servicer has deemed principal and interest
advances nonrecoverable effective Dec. 4, 2015, and S&P
expects a significant loss (60% or greater) upon its
eventual resolution. The Schneider Electric REO asset
($10.3 million, 0.5%) is the second-largest specially
serviced asset in the pool and has a total reported exposure
of $13.2 million. The asset is an industrial building
totaling 545,000-sq.-ft. in Loves Park, Ill. The loan was
transferred to C-III on May 24, 2012, because of maturity
default, and the property became REO on Feb. 28, 2014. C-
III indicated the asset is expected to be marketed for sale
in the near term; however, the timing of final resolution is
still to be determined. An ARA of $2.8 million is in effect
against this asset. S&P expects a significant loss upon
this asset's eventual resolution.
The five remaining assets with the special servicer each have
individual balances that represent less than 0.4% of the total pool
trust balance. S&P estimated losses for the seven specially
serviced assets, arriving at a weighted-average loss severity of
61.5%.
RATINGS RAISED
Banc of America Commercial Mortgage Trust 2007-3
Commercial mortgage pass-through certificates
Rating
Class To From
A-4 AAA (sf) A (sf)
A-5 AAA (sf) A (sf)
A-1A AAA (sf) A (sf)
A-M A (sf) BB (sf)
A-MF A (sf) BB (sf)
A-MFL A (sf) BB (sf)
A-J BB- (sf) B- (sf)
B B+ (sf) B- (sf)
RATINGS AFFIRMED
Banc of America Commercial Mortgage Trust 2007-3
Commercial mortgage pass-through certificates
Class Rating
C B- (sf)
D B- (sf)
E CCC (sf)
F CCC- (sf)
G CCC- (sf)
BLADE ENGINE 2006-1: Moody's Lowers Rating on 2 Tranches to B3
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the Class
2006-1A-1, 2006-1A-2, and 2006-1B Notes (notes) issued by Blade
Engine Securitization Ltd. Series 2006-1.
The complete rating action is:
2006-1A-1, Downgraded to B3 (sf); previously on Feb. 17, 2016,
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
2006-1A-2, Downgraded to B3 (sf); previously on Feb. 17, 2016,
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
2006-1B, Downgraded to Caa3 (sf); previously on Feb. 17, 2016,
Downgraded to B2 (sf) and Placed Under Review for Possible
Downgrade
RATINGS RATIONALE
The rating actions on the notes reflect Moody's expectations about
the prospects for future income from the engine portfolio, which we
have reduced for several reasons. First, 9 of 37 engines in the
portfolio are currently off lease, and Blade discloses that it may
not be able to re-lease many of these engines for the foreseeable
future, nor many of the engines that are coming off lease in 2016.
Second, although engine appraised values, most recently received
for June 2015, continue to indicate that the Blade assets are worth
more than the Class A and Class B note combined outstanding
balances, engine sales at prices lower than appraised values over
the past two years indicate that the appraised values may not be
realized. Third, pursuant to recently-adopted IFRS guidelines,
Blade reported in April an impaired valuation of the Class B notes
on an accounting basis.
In its analysis, Moody's evaluated lease rates and remaining terms
as well as the revenues and expenses associated with the underlying
leases and aircraft engines, in order to evaluate likely interest
and principal payments to the rated notes. Moody's also examined
the reported re-leasing and remarketing activities for the deal's
engines.
Quarterly reports for the transaction have indicated that Blade may
not be able to re-lease many engines coming off lease in 2016 as
well as those currently off-lease, for the foreseeable future. Of
the engines that were off lease and subsequently re-leased during
the second half of 2015, most leases are short term and some are
less than one year. As of December 2015, 13 of the 40 engines in
the portfolio were off-lease. Three engines were subsequently sold
during first quarter 2016.
Based on the June 2015 appraisal values, the combined loan-to-value
ratio of the Class A and B notes is around 91% as of April 2016.
However, among the off-lease engines sold in the second half of
2015 and early 2016, most received sale prices considerably lower
than their most recent appraisal values.
Also starting in 2015, Blade adopted International Financial
Reporting Standards (IFRS) for its preparation of financial
statements. On transition to IFRS, Blade performed a review of
future estimated cash flows. In accordance with the priority of
payments as set out in the Indenture, it was determined that Series
B Note principal repayments are expected to be significantly
reduced. In accordance with International Accounting Standard 39,
Blade reported in its 2015 Annual Report to Noteholders that the
Series B Notes are reduced on an accounting basis to account for
reduced expected cash flows from underlying secured assets, based
on the order of priority of cash flow allocable to the Notes.
Therefore, Moody's expects the actual value of the engines may be
significantly lower than the appraisal values. Despite these
accounting write backs of the liabilities, Blade remains legally
obligated to repay all outstanding principal and interest in
accordance with the Indenture priority of payments to the extent of
available funds.
Current cash collections have not been sufficient to pay the
interest and principal on the Class B notes based on the priority
of payments, and Class B notes have been receiving its interest by
withdrawing from the Junior Cash Account. As a result, Junior Cash
Account balance has declined from the minimum balance of $4.05
million to $2.88 million as of April 2016. However, because sales
proceeds from dispositions of engines have a separate waterfall
from the waterfall that is applied to lease income, the Class B
notes have been receiving an allocable portion of the sale proceeds
as principal payments when engines are sold.
Primary sources of uncertainty include the global economic
environment, aircraft engine lease income generating ability,
engine maintenance and other expenses to the trust, and valuation
for the aircraft engines backing the transaction.
Factors that would lead to an upgrade or downgrade of the rating:
Changes to lease rates or aircraft engine values that differ from
historical trends; changes to portion of portfolio currently
off-lease or coming off lease in near future and their re-leasing
or sale prospects.
The principal methodology used in these ratings was "Moody's
Approach To Pooled Aircraft-Backed Securitization" published in
March 1999.
In applying the above methodology to Blade Engine Securitization
Ltd. Series 2006-1, Moody's assumed that engine values start
declining once production for their host aircraft winds down. This
is different from assumptions used in aircraft securitization where
aircraft values are assumed to start declining from their year of
manufacture. For aircraft engines, Moody's typically assumes that
the engine values decline to scrap value over the course of
approximately 20 years after host aircraft production ends.
BLADE ENGINE: Fitch Says Intent to Sell Engine Won't Impact Ratings
-------------------------------------------------------------------
Blade Engine Securitization LTD's (Blade) intent to sell an
aircraft engine is not likely to impact ABS ratings, according to
Fitch Ratings.
Fitch has been notified that Blade intends to sell a CFM56-5C4 out
of the trust to a third party. The engine is currently grounded.
Thus, its sale would provide cash flow to the trust from what would
otherwise be a non-earning asset. The proposed sale price of the
engine is below the note target price as defined by the transaction
documents. Fitch does not anticipate that the engine sale, in and
of itself, would adversely impact the ratings on the trust.
However, the notes currently have a Negative Rating Outlook,
indicating that downward rating movement is likely over a one- to
two-year period. As stated in Fitch's February 2016 press release,
the Negative Outlook reflects Fitch's concerns regarding the
engines' ability to generate sufficient collections and repay the
notes under certain stress rating scenarios.
Fitch currently rates the trust as follows:
Blade Engine Securitization LTD
-- Class A-1 notes 'BBBsf'; Outlook Negative;
-- Class A-2 notes 'BBBsf'; Outlook Negative;
-- Class B-1 notes 'Bsf'; Outlook Negative.
BUSINESS LOAN 2003-A: Moody's Confirms Ba3 Rating on Cl. A Debt
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one tranche,
downgraded the rating on another tranche, and confirmed ratings on
three tranches of four securitizations of small business loans
originated by BLX Capital LLC. The loans are secured primarily by
small commercial real estate properties.
Complete rating actions are:
Issuer: Business Loan Express Business Loan Trust 2003-A
Class A, Confirmed at Ba3 (sf); previously on Jan. 22, 2016,
Upgraded to Ba3 (sf) and Placed Under Review for Possible
Upgrade
Class B, Confirmed at B3 (sf); previously on Jan. 22, 2016,
Upgraded to B3 (sf) and Placed Under Review for Possible
Upgrade
Issuer: Business Loan Express Business Loan Trust 2005-A
Cl. B, Downgraded to B1 (sf); previously on Oct. 1, 2013,
Upgraded to Ba3 (sf)
Issuer: Business Loan Express Business Loan Trust 2007-A
Cl. A, Confirmed at B3 (sf); previously on Jan. 22, 2016,
Upgraded to B3 (sf) and Placed Under Review for Possible
Upgrade
Issuer: Business Loan Express SBA Loan Trust 2001-2
Class A, Upgraded to Ba3 (sf); previously on Jan. 22, 2016,
Upgraded to B1 (sf)
RATINGS RATIONALE
The upgrade action on the rating of Class B certificates in series
2001-2 transaction was prompted by an increase in credit
enhancement. The increase is driven by the spread account balance
growing to 32.4% as a percentage of the outstanding pool balance as
of the April 25 remittance date report from 27.1% as of the January
25 remittance date report. The share of loans delinquent by more
than 60 days past due decreased to 0% from 13.8% of the outstanding
pool balance between the two report dates.
The downgrade action on the rating of Class B certificates in the
2005-A transaction was primarily driven by the increased exposure
to large loans as the pool is amortizing with large prepayments.
The top 5 loans account for 33.9% of the outstanding balance as of
the April 25 remittance date report. The credit enhancement for
Class B comprising the spread account balance and the subordination
offered by Class C amounts to 24.3% of the outstanding pool balance
as of the April 25 remittance date report.
The rating confirmation of Class A and B in the 2003-A transaction
and Class A in the 2007-A transactions concludes the placement on
review for possible upgrade of these tranches in January 22, 2016.
Moody's determined that the benefit from potential recoveries on
charged-off loans are not sufficient to warrant an upgrade of these
ratings.
In addition, the rating actions as to series 2001-2, 2003-A and
2005-A transactions incorporate the correction of an error
affecting the recovery rate used to calculate the pool expected
loss in one particular stress scenario. The scenario consists of
defaulting the top 5 largest loans in the pool for deals with a
small number of loans as further described in the methodology
section below. The expected loss in this scenario was
underestimated in the last review of these transactions in January
2016. Since only a stress case is affected, Moody's deems the
impact of the error correction in the rating actions to be minor.
METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published
October 2015.
The methodology used in the rating action for deals with more than
50 loans remaining included an analysis of the loan collateral to
arrive at a projected remaining net loss. For the 2007-A
securitization, Moody's determined the expected remaining loss
using representative delinquency roll rates and an estimate of
market recoveries. Because of the hard charge-off policy by which
a loan must be charged off after being a certain number of days
past due, Moody's also considered potential benefit of future
recoveries on charged-off loans whose collateral has not yet been
sold.
For deals with 50 loans outstanding or less, including Series
2001-2, 2003-A, and 2005-A the methodology included a loan level
analysis to determine a range of expected net losses. Moody's
evaluated scenarios that take into account an updated or estimated
market value of each property in relation to the outstanding loan
amount, using the non-major market Moody's/RCA Commercial Property
Price Index (CPPI) from the date of the most recent appraised value
or broker's price opinion to today. Additionally, Moody's
evaluated stress scenarios, such as the top five loans defaulting
with a market recovery rate of 30%. Similar to the approach used
for deals with more than 50 loans outstanding, we considered
potential future recoveries on charged-off loans whose collateral
has not yet been sold. Moody's also considered the credit
enhancement relative to pool concentrations.
Moody's also considered the condition of the commercial property
market and the potential volatility associated with the small
number of loans in these securitizations to evaluate protection
against future collateral losses for a given rating.
For all securitizations, the projected net losses or range of
projected net losses were evaluated against the available credit
enhancement provided by subordination, the reserve account, excess
spread, and if available, overcollateralization. Sufficiency of
coverage was considered in light of the credit quality of the
collateral pools, industry, geographical and loan concentrations,
historical variability of losses experienced by the issuer, and
servicer quality.
Other methodologies and factors that Moody's may have considered in
the process of rating these transactions appear on Moody's
website.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline below Moody's expectations as
a result of a decrease in seriously delinquent loans and lower
severities than expected on liquidated loans.
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 expectations as a
result of an increase in seriously delinquent loans and higher
severities than expected on liquidated loans.
CARLYLE GLOBAL 2016-1: S&P Assigns BB- Rating on Cl. D Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Carlyle
Global Market Strategies CLO 2016-1 Ltd./ Carlyle Global Market
Strategies CLO 2016-1 LLC's $368.00 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 its cash flow structure,
which can withstand the default rate projected by Standard
& Poor's CDO Evaluator model.
-- 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 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
0.6206%-12.5332%.
-- 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.
-- The transaction's reinvestment interest diversion test, a
failure of which will lead to the reclassification of up to
50% of available excess interest proceeds as principal
proceeds, which will be available before paying uncapped
administrative expenses and fees, collateral manager
incentive fees, and subordinate note payments to principal
proceeds to purchase additional collateral obligations
during the reinvestment period.
RATINGS ASSIGNED
Carlyle Global Market Strategies CLO 2016-1 Ltd./Carlyle Global
Market Strategies CLO 2016-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 246.40
A-2 AA (sf) 56.80
B (deferrable) A (sf) 28.80
C (deferrable BBB- (sf) 17.60
D (deferrable) BB- (sf) 18.40
Subordinated notes NR 34.90
NR--Not rated.
CARLYLE GLOBAL 2016-2: Moody's Assigns Ba3 Rating on Cl. D-2 Notes
------------------------------------------------------------------
Moody's Investors Service, Inc. has assigned provisional ratings to
the following classes of notes to be issued by Carlyle Global
Market Strategies 2016-2, Ltd..
Moody's rating action is:
$310,000,000 Class A-1 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$70,000,000 Class A-2 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aa2 (sf)
$31,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)A2 (sf)
$28,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Baa3 (sf)
$8,000,000 Class D-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Ba3 (sf)
$13,000,000 Class D-2 Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D-1 Notes and the Class D-2 Notes are
referred to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
CGMS 2016-2 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. Subject to the cov-lite matrix, at least
92.5% of the portfolio must consist of senior secured loans and
eligible investments, and up to 7.5% of the portfolio may consist
of second lien loans and unsecured loans. Moody's expects the
portfolio to be approximately 80% ramped as of the closing date.
Carlyle GMS CLO Management L.L.C. 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 and a half 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 will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the Rated 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: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2650
Weighted Average Spread (WAS): 3.90%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.0 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 2650 to 3048)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D-1 Notes: 0
Class D-2 Notes: 0
Percentage Change in WARF -- increase of 30% (from 2650 to 3445)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D-1 Notes: -1
Class D-2 Notes: -1
CHILDREN'S TRUST: S&P Lowers Rating on 2 Term Bonds to BB
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two term
bonds from Children's Trust, a tobacco settlement fund
securitization, to 'BB (sf)' and placed them on CreditWatch with
negative implications following our review of the transaction. At
the same time, S&P placed its 'BB (sf)' rating on one other term
bond from the transaction on CreditWatch negative. The downgrades
and CreditWatch negative placements reflect S&P's view of potential
new risks presented to the rated bonds by the debt moratorium
legislation passed in Puerto Rico on April 6, 2016.
The debt moratorium legislation is intended to enable Governor
Alejandro Garcia Padilla to suspend debt service payments to
holders of central government and public corporation debt. The
governor has not yet announced when, or if, he will exercise these
powers, and if exercised, whether such authority would be exercised
selectively or more broadly to all instrumentalities of the
Commonwealth of Puerto Rico. The governor has until Jan. 31, 2017,
unless extended for two months, to declare a debt moratorium under
the new legislation.
The Children's Trust is a not-for-profit corporate entity created
by the Commonwealth of Puerto Rico pursuant to the Children's Trust
Law. The Children's Trust's bonds are secured by 100% of the
Children's Trust's right, title, and interest in its share of
tobacco settlement revenues (TSRs), which are payable to the
Commonwealth of Puerto Rico under the 1998 Master Settlement
Agreement (MSA) by participating cigarette manufacturers. Per the
transaction documents, title to the tobacco settlement revenues was
transferred from the commonwealth to the Children's Trust, and the
indenture trustee has a first-priority, perfected-security interest
in the assets of the Children's Trust.
Within the Commonwealth's debt moratorium bill, the Children's
Trust is included in the list of entities whose debt could
potentially be placed under the moratorium. In addition to the
payment moratorium, the legislation also prohibits the exercise of
any remedy to enforce contractual rights against any government
entity under a moratorium. While the enforceability of certain
provisions in the legislation is subject to interpretation, if the
governor were to exercise his powers under the legislation and
place the Children's Trust tobacco settlement asset bonds into the
moratorium, payments to the bondholders could potentially be
interrupted.
S&P lowered the ratings on the series 2033 and 2039 bonds to
'BB (sf)' to reflect the increased uncertainty to the transaction
presented by the legislation. However, S&P notes that in April
2016, the transaction received about $70 million from the tobacco
settlement payments that are being held in escrow towards payments
due on May 15, 2016, and Nov. 15, 2016. Additionally, the
transaction has a liquidity reserve of $83 million to cover
insufficient collections to make noteholder payments.
S&P intends to resolve the CreditWatch negative placements on all
three outstanding series of bonds after observing how the
developments in the situation evolve. S&P will continue to follow
further developments in Puerto Rico in light of how they would
impact the bond payments on the Children's Trust, including
confirmation that the May 15 payments occur as expected, as well as
any legal actions undertaken by investors, the indenture trustee,
or any other transaction parties; S&P will take actions as it deems
necessary.
RATINGS LOWERED AND PLACED ON WATCH NEGATIVE
Children's Trust
U.S. $1.171 billion tobacco settlement asset-backed bonds series
2002
Rating
Class To From
2033 BB (sf)/Watch Neg BBB (sf)
2039 BB (sf)/Watch Neg BBB- (sf)
RATING PLACED ON WATCH NEGATIVE
Children's Trust
U.S. $1.171 billion tobacco settlement asset-backed bonds series
2002
Rating
Class To From
2043 BB (sf)/Watch Neg BB (sf)
COMM 2007-C9: Moody's Hikes Class D Debt Rating to Ba1(sf)
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on nine classes
and affirmed the ratings on 11 classes in COMM 2007-C9 Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2007-C9 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on May 21, 2015 Affirmed Aaa
(sf)
Cl. A-1A, Affirmed Aaa (sf); previously on May 21, 2015 Affirmed
Aaa (sf)
Cl. AM, Affirmed Aa1 (sf); previously on May 21, 2015 Affirmed Aa1
(sf)
Cl. AM-FL, Affirmed Aa1 (sf); previously on May 21, 2015 Affirmed
Aa1 (sf)
Cl. A-J, Upgraded to A3 (sf); previously on May 21, 2015 Affirmed
Baa1 (sf)
Cl. AJ-FL, Upgraded to A3 (sf); previously on May 21, 2015 Affirmed
Baa1 (sf)
Cl. B, Upgraded to Baa1 (sf); previously on May 21, 2015 Affirmed
Baa2 (sf)
Cl. C, Upgraded to Baa2 (sf); previously on May 21, 2015 Affirmed
Baa3 (sf)
Cl. D, Upgraded to Ba1 (sf); previously on May 21, 2015 Upgraded to
Ba3 (sf)
Cl. E, Upgraded to Ba2 (sf); previously on May 21, 2015 Upgraded to
B1 (sf)
Cl. F, Upgraded to Ba3 (sf); previously on May 21, 2015 Upgraded to
B2 (sf)
Cl. G, Upgraded to B2 (sf); previously on May 21, 2015 Affirmed
Caa1 (sf))
Cl. H, Upgraded to Caa1 (sf); previously on May 21, 2015 Affirmed
Caa2 (sf)
Cl. J, Affirmed Caa3 (sf); previously on May 21, 2015 Affirmed Caa3
(sf)
Cl. K, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf)
Cl. O, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf)
Cl. XS, Affirmed Ba3 (sf); previously on May 21, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on nine 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 6% since Moody's last review. In
addition, loans constituting 47% of the pool that have debt yields
exceeding 10.0% are scheduled to mature within the next 24 months.
The ratings on four 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 ratings on six P&I classes were 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 or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 4.0% of the
current balance, compared to 5.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.4% of the original
pooled balance, compared to 6.6% 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 methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
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 18, compared to a Herf of 20 at Moody's last
review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these aggregated
proceeds for any pooling benefits associated with loan level
diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 11th, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 22% to $2.24 billion
from $2.89 billion at securitization. The certificates are
collateralized by 80 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans constituting 62% of
the pool. Four loans, constituting 4% of the pool, have defeased
and are secured by US government securities.
Twenty-nine loans, constituting 30% 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.
Fourteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $64.7 million (for an average loss
severity of 26%). Three loans, constituting 3% of the pool, are
currently in special servicing. The largest specially serviced
loans are the cross-collateralized and cross-defaulted
Congressional Village Loan and the Jefferson at Congressional Loan
(for a combined $65.5 million -- 2.9% of the pool), which are
secured by a retail property and a ground lease underlying a
mixed-use property located in Rockville, Maryland. Congressional
Village is an approximately 100,000 square foot (SF) retail
property that was 87% leased as of year-end 2014. Jefferson at
Congressional is a ground lease on an approximately 317,000 SF
mixed-use property sharing a parking lot with the Congressional
Village property. The loan transferred to special servicing in
September 2015 due to litigation involving the borrower's sponsor.
This loan has not been considered a troubled loan by Moody's.
The remaining specially serviced loan is secured by a hotel
property constituting less than 1% of the pool.
Moody's has assumed a high default probability for 12 poorly
performing loans, constituting 6% of the pool, and has estimated an
aggregate loss of $26.5 million (a 21% expected loss based on a 52%
probability default) from these troubled loans.
Moody's received full year 2014 operating results for 91% of the
pool and full or partial year 2015 operating results for 64% of the
pool. Moody's weighted average conduit LTV is 100%, compared to
103% 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 7% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.48X and 1.04X,
respectively, compared to 1.45X and 1.03X 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 90% of the pool balance. The
largest loan is the 60 Wall Street Loan ($285.0 million -- 12.7% of
the pool), which represents a pari passu interest in a $919.4
million loan. The loan is secured by a Class A office building with
1,625,500 SF of NRA which serves as Deutsche Bank's North American
headquarters. Deutsche Bank leases 100% of the property until June
2022. The pari passu loan pieces are in CSMC 2007-C5 and MSC
2007-IQ16. Moody's LTV and stressed DSCR are 112% and 0.79X,
respectively, the same as at the last review.
The second largest loan is the DDR Portfolio ($221.3 million --
9.9% of the pool), which represents a pari passu interest in an
$885 million loan. The loan is secured by 52 anchored retail
properties located across 10 states. Roughly 50% of the portfolio
by loan balance is in Florida and approximately 75% of the
properties are grocery anchored. The weighted average occupancy as
of September 2014 was 91%. The loan is pari passu with WBCMT
2007-C32 and CGCMT 2007-C6. Moody's LTV and stressed DSCR are 121%
and 0.76X, respectively, compared to 122% and 0.75X at the last
review.
The third largest loan is the Waterview Loan ($210.0 million --
9.4% of the pool), which is secured by a 24-story Class A office
building located in Rosslyn, Virginia. The largest tenant is the
Corporate Executive Board, which leases almost 99% of the NRA.
Moody's LTV and stressed DSCR are 91% and 1.01X, respectively,
compared to 95% and 0.97X at the last review.
CPS AUTO 2016-B: S&P Assigns BB- Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned ratings to CPS Auto
Receivables Trust 2016-B's $332.69 million asset-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 55.4%, 46.9%, 35.8%,
28.7%, and 24.4% of credit support for the class A, B, C, D,
and E notes, respectively, based on stressed cash flow
scenarios (including excess spread). These credit support
levels provide coverage of approximately 3.20x, 2.55x,
1.95x, 1.55x, and 1.27x our 17.00%-18.00% expected
cumulative net loss (CNL) range for the class A, B, C, D,
and E notes, respectively.
-- S&P's expectation that, under a moderate stress scenario of
1.60x its expected net loss level, the ratings on the class
A and B notes will not decline by more than one rating
category during the first year, and the ratings on the class
C through E notes will not decline by more than two rating
categories during the first year, all else being equal,
which is consistent with our credit stability criteria.
-- The rated notes' underlying credit enhancement in the form
of subordination, overcollateralization (O/C), a reserve
account, and excess spread for the class A, B, C, D, and E
notes.
-- The timely interest and principal payments made to the rated
notes under S&P's stressed cash flow modeling scenarios,
which S&P believes is appropriate for the assigned ratings.
-- The transaction's payment and credit enhancement structure,
which includes a noncurable performance trigger.
RATINGS ASSIGNED
CPS Auto Receivables Trust 2016-B
Class Rating Type Interest Amount
rate (mil. $)
A AAA (sf) Senior Fixed 162.86
B AA- (sf) Subordinate Fixed 53.72
C A- (sf) Subordinate Fixed 56.27
D BBB- (sf) Subordinate Fixed 35.02
E BB- (sf) Subordinate Fixed 24.82
CREDIT SUISSE 2007-C2: Moody's Affirms B2 Rating on Cl. A-J Debt
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on sixteen
classes in Credit Suisse Commercial Mortgage Trust Series 2007-C2,
Commercial Mortgage Pass-Through Certificates, Series 2007-C2 as
follows:
Cl. A-2, Affirmed Aaa (sf); previously on Apr 23, 2015 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Apr 23, 2015 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Apr 23, 2015 Affirmed Aaa
(sf)
Cl. A-1-A, Affirmed Aaa (sf); previously on Apr 23, 2015 Affirmed
Aaa (sf)
Cl. A-M, Affirmed A3 (sf); previously on Apr 23, 2015 Affirmed A3
(sf)
Cl. A-MFL, Affirmed A3 (sf); previously on Apr 23, 2015 Affirmed A3
(sf)
Cl. A-J, Affirmed B2 (sf); previously on Apr 23, 2015 Affirmed B2
(sf)
Cl. B, Affirmed Caa1 (sf); previously on Apr 23, 2015 Affirmed Caa1
(sf)
Cl. C, Affirmed Caa2 (sf); previously on Apr 23, 2015 Affirmed Caa2
(sf)
Cl. D, Affirmed Caa3 (sf); previously on Apr 23, 2015 Affirmed Caa3
(sf)
Cl. E, Affirmed Caa3 (sf); previously on Apr 23, 2015 Affirmed Caa3
(sf)
Cl. F, Affirmed Caa3 (sf); previously on Apr 23, 2015 Affirmed Caa3
(sf)
Cl. G, Affirmed C (sf); previously on Apr 23, 2015 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Apr 23, 2015 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Apr 23, 2015 Affirmed C (sf)
Cl. A-X, Affirmed Ba3 (sf); previously on Apr 23, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on six 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 ratings on nine P&I classes were 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 or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 10.4% of the
current balance, compared to 11.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 11.8% of the
original pooled balance, compared to 12.5% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the April 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 25% to $2.46 billion
from $3.3 billion at securitization. The certificates are
collateralized by 172 mortgage loans ranging in size from less than
1% to 16% of the pool, with the top ten loans constituting 46.6% of
the pool. Nineteen loans, constituting 10% of the pool, have
defeased and are secured by US government securities.
Thirty-eight loans, constituting 27% 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-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $131.6 million (for an average loss
severity of 40%). Thirteen loans, constituting 12% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Two North LaSalle Loan ($127.4 million -- 5.2% of the pool),
which is secured by a 26-story, 691,410 square foot (SF) Class A
office building in Chicago's downtown loop. The structure was built
in 1978 and renovated in 2001. The property was 72% leased as of
September 2015, compared to 71% at yearend 2014. The loan
transferred to special servicing in October 2015 due to imminent
default. Borrower submitted a hardship letter stating they were
unable to make up operating shortfalls or fund the necessary TI/LC
capital to re-tenant the vacant space. Most recently the borrower
has requested a loan modification as part of a recapitalization
plan with a new, unknown equity source. Borrower has come out of
pocket to cover shortfalls and the loan remains current.
The remaining 12 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $88.8 million loss
for the specially serviced loans (56% expected loss on average).
Moody's has assumed a high default probability for 18 poorly
performing loans, constituting 11% of the pool, and has estimated
an aggregate loss of $84.6 million (a 31% expected loss based on a
55% probability default) from these troubled loans.
Moody's received full year 2014 operating results for 94% of the
pool, and full year 2015 operating results for 75% of the pool.
Moody's weighted average conduit LTV is 110%, compared to 108% 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 11% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.0%.
Moody's actual and stressed conduit DSCRs are 1.57X and 0.93X,
respectively, compared to 1.56X and 0.93X 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.
Based on the most recent remittance statement, Classes AJ through S
have experienced cumulative interest shortfalls totaling $82
million compared to $66 million at last review. Moody's anticipates
that the pool will continue to experience interest shortfalls
because of the high exposure to specially serviced and troubled
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal subordinate
entitlement reductions (ASERs), extraordinary trust expenses, loan
modifications that include either an interest rate reduction or a
non-accruing note component, and non-recoverability determinations
made by the servicer that involve a clawback for previously made
advances.
The top three conduit loans represent 30% of the pool balance. The
largest loan is the Alliance Portfolio Loan ($393 million -- 16% of
the pool), which is secured by 32 multifamily properties located in
Texas, Florida, Tennessee, Georgia and Arizona. The loan underwent
a complex modification in September 2012. The original $475.0
million loan was bifurcated into a $423.0 million A-Note and $52.0
million B-Note. A $28.0 million C-Note was also created, which
increased the collateral's hard debt to $503.0 million. The C-Note
was primarily composed of capitalized accrued bankruptcy interest
and a portion of the difference between the contract interest rate
and the reduced modified interest rate. The borrower contributed
approximately $23.0 million of new equity to fund capital
improvements, replacement, leasing and other reserves as well as to
pay special servicing fees, modification fees and reimburse some
bankruptcy costs. The maturity date was extended to January 11,
2020. The A-Note rate was reduced from 5.365% to 3.0% in the first
year. The rate gradually increases and reverts back to the 5.365%
contract rate in year six. As of December 2015, the weighted
average occupancy of the portfolio was 97% compared to 94% at
yearend 2014. Moody's LTV and stressed DSCR are 100% and 0.97X,
respectively, compared to 100% and 0.92X at the last review.
The second largest loan is the 599 Lexington Avenue Loan ($300
million -- 12% of the pool), which is secured by a 50-story Class A
office building located in Midtown Manhattan. The loan represents a
40% pari-passu interest in a $750.0 million loan. The property was
99% leased as of September 2015, unchanged from yearend 2014 and
2013. Tenants include national law firms and financial service
companies. There was a decline in NOI due to an increase in
expenses, specifically real estate taxes and management fees.
Moody's LTV and stressed DSCR are 132% and 0.69X, respectively,
compared to 129% and 0.71X at the last review.
The third largest loan is the Latitudes Apartments Loan ($50.5
million -- 2.1% of the pool), which is secured by a 448-unit
multifamily property built in 1988 and renovated in 2005, located
in Virginia Beach. Property includes one, two and three bedroom
units, a pool, tennis courts, fitness center and easy access to
major highways and retail corridors. Property was 95% leased as of
December 2015, unchanged from yearend 2014. Moody's LTV and
stressed DSCR are 139% and 0.66X, respectively, unchanged from the
last review.
DBUBS 2011-LC1: Moody's Affirms Ba3(sf) Rating on Cl. X-B Debt
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on five classes
and affirmed the ratings on six classes in DBUBS 2011-LC1
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2011-LC1 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Oct 1, 2015 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Oct 1, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Oct 1, 2015 Affirmed Aaa
(sf)
Cl. B, Upgraded to Aaa (sf); previously on Oct 1, 2015 Affirmed Aa1
(sf)
Cl. C, Upgraded to Aa1 (sf); previously on Oct 1, 2015 Upgraded to
Aa3 (sf)
Cl. D, Upgraded to Aa3 (sf); previously on Oct 1, 2015 Upgraded to
A2 (sf)
Cl. E, Upgraded to Baa2 (sf); previously on Oct 1, 2015 Affirmed
Baa3 (sf)
Cl. F, Upgraded to Ba1 (sf); previously on Oct 1, 2015 Affirmed Ba2
(sf)
Cl. G, Affirmed B2 (sf); previously on Oct 1, 2015 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Oct 1, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Oct 1, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on five P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 35% since Moody's last
review.
The ratings on four 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 ratings on two IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 0.9% of the
current balance, compared to 2.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.5% of the original
pooled balance, compared to 2.2% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
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 10, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these aggregated
proceeds for any pooling benefits associated with loan level
diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 50% to $1.09 billion
from $2.18 billion at securitization. The certificates are
collateralized by 27 mortgage loans ranging in size from less than
1% to 20% of the pool, with the top ten loans constituting 81% of
the pool. One loan, constituting 20% of the pool, has an
investment-grade structured credit assessment. Two loans,
constituting 3% of the pool, have defeased and are secured by US
government securities.
Moody's received full year 2014 operating results for 96% of the
pool and full or partial year 2015 operating results for 100% of
the pool. Moody's weighted average conduit LTV is 87%, compared to
89% 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 12% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.40X and 1.17X,
respectively, compared to 1.39X 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 loan with a structured credit assessment is the Kenwood Towne
Centre Loan ($215.8 million -- 19.8% of the pool), which is secured
by a super-regional mall located in Cincinnati, Ohio. The mall
contains approximately 1.16 million square feet (SF) in the
aggregate, 756,412 SF of which is owned by the sponsor. Anchor
tenants include Macy's (non-collateral), Dillard's and Nordstrom
(non-collateral). As of December 2015, the mall was 99% leased,
essentially the same as at the last review. The loan is sponsored
by GGP and The Teachers' Retirement of the State of Illinois, and
has amortized 8% since securitization. Moody's structured credit
assessment and stressed DSCR are a2 (sca.pd) and 1.44X,
respectively, compared to baa2 (sca.pd) and 1.42X at the last
review.
The top three conduit loans represent 35% of the pool balance. The
largest loan is the 7 Hanover Square Loan ($136.5 million -- 12.6%
of the pool), which is secured by a Class A office building located
within the South Ferry Financial District submarket of New York
City. The property offers 26 stories of rentable space that contain
846,415 SF in the aggregate. Guardian Life Insurance Company of
America leases virtually the entire building through September 2019
and has occupied the building as its headquarters since 1998.
Moody's LTV and stressed DSCR are 92% and 1.12X, respectively,
compared to 93% and 1.11X at the last review.
The second largest loan is the 1200 K Street Loan ($128.5 million
-- 11.8% of the pool), which is secured by a 389,000 SF Class A
office building located within the East End submarket of
Washington, DC. The property offers twelve stories of rentable
space retrofitted for single tenant use. Pension Benefit Guaranty
Corporation leases over 97% of the NRA and has occupied the
building since its development. The property is 100% occupied as of
September 2015, the same as at last review. Moody's LTV and
stressed DSCR are 99% and 1.21X, respectively, compared to 99% and
1.22X at the last review.
The third largest loan is the 681 Fifth Avenue Loan ($119.9 million
-- 11.0% of the pool), which is secured by an 82,573 SF Class A
mixed-use office and retail building located in New York, New York.
The retail frontage along Fifth Avenue is occupied by Tommy
Hilfiger. The property benefits from a property tax exemption that
reduces real estate tax payments through 2022. The property was 91%
leased as of December 31, 2015. Moody's A Note LTV and stressed
DSCR are 81% and 1.09X, respectively, compared to 79% and 1.13X at
the last review.
EXETER AUTOMOBILE: S&P Affirms BB Rating on 4 Tranches
------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 10 classes
from Exeter Automobile Receivables Trust's (EART) series 2012-2,
2013-1, 2013-2, 2014-1, and 2014-2. In addition, S&P affirmed its
ratings on six classes from EART series 2013-1,
2013-2, 2014-1, and 2014-2.
The collateral pools for the EART transactions consist of auto
loans originated and serviced by Exeter Finance Corp.
The rating actions reflect S&P's analysis-driven view regarding
future collateral performance, as well as each transaction's
structure and credit enhancement level. In addition, S&P's
analysis incorporated secondary credit factors, such as credit
stability, payment priorities under various scenarios, and sector-
and issuer-specific analysis.
S&P revised its loss expectations in January 2016 for five series
issued before series 2014-2. Series 2012-1 was optionally redeemed
in full by Exeter as of the March 2016 distribution date. Series
2012-2 and 2013-1 are performing worse than S&P initially expected
while series 2013-2 and 2014-1 are performing within S&P's
expectations. At this time, S&P also revised its loss expectation
on series 2014-2. The transaction is performing in line with S&P's
initial expectations.
While losses are trending higher than S&P's initial expectations
for both series 2012-2 and 2013-1, a mitigating factor is growth in
credit support as a percent of the amortizing collateral balance,
which has been significant enough to warrant rating affirmations
and, in some cases, upgrades. In S&P's opinion, the total credit
support, as a percentage of the amortizing pool balance, compared
with S&P's revised expected remaining losses, is adequate for the
raised and affirmed ratings.
S&P is maintaining its initial loss expectations for series 2014-3,
2015-1, 2015-2, and 2015-3 pending further collateral performance,
given these transactions' short performance histories. However,
series 2014-3 appears to be performing in line with S&P's initial
expectation, while the 2015 vintages appear to be performing weaker
than S&P had expected. S&P will continue to monitor the
performance of these transactions.
Table 1
Collateral Performance (%)
(As of the April 2016 distribution date)
Pool Current 60+ day Current
Series Mo. factor CNL delinq. CRR
2012-2 43 16.46 17.54 14.09 43.32
2013-1 35 25.99 14.16 11.87 45.92
2013-2 31 31.67 12.32 9.88 45.80
2014-1 26 40.56 9.87 8.14 46.26
2014-2 22 47.13 9.72 7.77 44.88
2014-3 18 56.82 8.45 7.80 43.31
2015-1 13 65.73 5.81 6.84 41.02
2015-2 11 73.04 5.85 5.51 39.62
2015-3 6 85.34 3.01 4.92 31.50
CNL--Cumulative net loss.
CRR--Cumulative recovery rate.
Mo.--Month.
Table 2
CNL Expectations (%)
(As of the April 2016 distribution month)
Initial Revised
lifetime lifetime
Series CNL exp. CNL exp.
2012-2 14.50-15.50 19.25-19.75(i)
2013-1 17.00-18.00 18.25-18.75(i)
2013-2 17.00-18.00 17.50-18.00(i)
2014-1 17.00-18.00 17.50-18.00(i)
2014-2 17.25-18.25 17.75-18.25(ii)
2014-3 17.25-18.25 N/A
2015-1 17.50-18.50 N/A
2015-2 17.50-18.50 N/A
2015-3 17.50-18.50 N/A
(i) Represents January 2016 revisions.
(ii)Represents April 2016 revisions.
CNL exp.--Cumulative net loss expectations.
N/A–-Not applicable.
Each transaction was structured with credit enhancement consisting
of overcollateralization (O/C), a non-amortizing reserve account,
and subordination for the more senior tranches. The credit
enhancement for series 2012-1, 2013-1, 2013-2, 2014-1, 2014-3, and
2015-1 transactions are at their specified enhancement target
overcollateralization levels. For series 2015-2 and 2015-3, the
target overcollateralization has not been met yet; however, the
overcollateralization is growing as a percentage of the amortizing
pool balance.
In addition, the O/C for series 2014-1, 2014-2, 2015-1, 2015-2, and
2015-3 can step up to a higher target overcollateralization level
if certain cumulative net loss metrics are breached. O/C step-up
tests occur every three months. If breached, the triggers are
curable on the following test date after three calendar months if
the cumulative net loss rate is below the threshold.
Series 2015-2 is approaching its cumulative net loss trigger level.
Cumulative net losses are currently 5.85% and would have to
increase next month, the measurement date, by 110 basis points to
breach the cumulative net loss trigger level of 6.95%. S&P notes
that the breaching of a cumulative net loss trigger does not, in
and of itself, necessarily lead to a rating action. S&P's rating
actions reflect its analysis-driven view regarding future
collateral performance, as well as each transaction's structure and
credit enhancement level.
Table 3
Hard Credit Support (%)
(As of the April 2016 distribution month)
Total hard Current total hard
credit support credit support
Series Class at issuance(i) (% of current)(i)
2012-2 C 9.88 54.88
2012-2 D 4.00 19.15
2013-1 B 25.25 94.62
2013-1 C 13.00 47.48
2013-1 D 5.00 16.70
2013-2 B 28.00 87.78
2013-2 C 18.75 58.57
2013-2 D 6.00 18.31
2014-1 A 41.00 103.23
2014-1 B 28.00 71.18
2014-1 C 18.75 48.37
2014-1 D 6.00 16.93
2014-2 A 41.00 90.51
2014-2 B 27.00 60.81
2014-2 C 16.75 39.05
2014-2 D 6.00 16.24
2014-3 A 40.75 78.13
2014-3 B 26.00 52.17
2014-3 C 14.25 31.49
2014-3 D 6.00 16.97
2015-1 A 40.50 68.01
2015-1 B 27.00 47.48
2015-1 C 15.80 30.44
2015-1 D 6.50 16.29
2015-2 A 39.00 59.38
2015-2 B 25.80 41.31
2015-2 C 15.55 27.28
2015-2 D 6.00 14.20
2015-3 A 39.75 50.70
2015-3 B 26.50 35.17
2015-3 C 16.50 23.45
2015-3 D 5.50 10.56
(i)Calculated as a percent of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination.
S&P's review of the transactions incorporated cash flow analysis,
which included current and historical performance to estimate
future performance. S&P's various cash flow scenarios included
forward-looking assumptions on recoveries, timing of losses, and
voluntary absolute prepayment speeds that S&P believes is
appropriate given each transaction's performance to date. The
results demonstrated, in S&P's view, that all of the classes from
these transactions have adequate credit enhancement at their raised
and affirmed rating levels.
Aside from S&P's break-even cash flow analysis, S&P also conducted
a sensitivity analysis on series 2012-2, 2013-1, 2013-2, 2014-1,
and 2014-2 to determine the impact that a moderate ('BBB') stress
scenario would have on S&P's ratings if losses were to begin
trending higher than its revised base-case loss expectation. S&P's
results show that the raised and affirmed ratings are consistent
with our rating stability criteria, which outline the outer bound
of credit deterioration for any given security under specific
hypothetical stress scenarios.
S&P will continue to monitor the performance of all of the
outstanding transactions to ensure that the credit enhancement
remains sufficient, in S&P's view, to cover its revised cumulative
net loss expectations under S&P's stress scenarios for each of the
rated classes.
RATINGS RAISED
Exeter Automobile Receivables Trust
Rating Rating
Series Class To From
2012-2 C AA (sf) BBB (sf)
2012-2 D BBB+ (sf) BB (sf)
2013-1 B AA (sf) A (sf)
2013-1 C AA- (sf) BBB (sf)
2013-2 B AA (sf) A (sf)
2013-2 C AA- (sf) BBB (sf)
2014-1 B AA- (sf) A (sf)
2014-1 C A+ (sf) BBB (sf)
2014-2 B AA- (sf) A (sf)
2014-2 C A+ (sf) BBB (sf)
RATINGS AFFIRMED
Exeter Automobile Receivables Trust
Series Class Rating
2013-1 D BB (sf)
2013-2 D BB (sf)
2014-1 A AA (sf)
2014-1 D BB (sf)
2014-2 A AA (sf)
2014-2 D BB (sf)
FANNIE MAE 2016-C03: Fitch Assigns BB+ Rating on Cl. 1M-2A Notes
----------------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to
Fannie Mae's risk transfer transaction, Connecticut Avenue
Securities, series 2016-C03:
-- $157,758,000 class 1M-1 notes 'BBB-sf'; Outlook Stable;
-- $56,342,000 class 1M-2A exchangeable notes 'BB+sf'; Outlook
Stable;
-- $123,953,000 class 1M-2B exchangeable notes 'B+'; Outlook
Stable;
-- $180,295,000 class 1M-2 notes 'B+sf'; Outlook Stable;
-- $56,342,000 class 1M-2F exchangeable notes 'BB+sf'; Outlook
Stable;
-- $56,342,000 class 1M-2I exchangeable notional notes 'BB+sf';
Outlook Stable;
-- $241,218,000 class 2M-1 notes 'BBB-sf'; Outlook Stable;
-- $156,792,000 class 2M-2A exchangeable notes 'BB+sf'; Outlook
Stable;
-- $325,645,000 class 2M-2B exchangeable notes 'B'; Outlook
Stable;
-- $482,437,000 class 2M-2 notes 'Bsf'; Outlook Stable;
-- $156,792,000 class 2M-2F exchangeable notes 'BB+sf'; Outlook
Stable;
-- $156,792,000 class 2M-2I exchangeable notional notes
'BB+sf'; Outlook Stable.
These classes will not be rated by Fitch:
-- $11,387,071,699 class 1A-H reference tranche;
-- $8,303,462 class 1M-1H reference tranche;
-- $2,965,665 class 1M-AH reference tranche;
-- $6,523,863 class 1M-BH reference tranche;
-- $45,000,000 class 1B notes;
-- $73,615,331 class 1B-H reference tranche;
-- $24,375,769,743 class 2A-H reference tranche;
-- $12,696,268 class 2M-1H reference tranche;
-- $8,252,274 class 2M-AH reference tranche;
-- $17,139,262 class 2M-BH reference tranche;
-- $45,000,000 class 2B notes;
-- $208,914,269 class 2B-H reference tranche.
The 'BBB-sf' rating for the 1M-1 note reflects the 2.60%
subordination provided by the 1.60% class 1M-2 note and the 1.00%
1B note, and their corresponding reference tranches. The 'BBB-sf'
rating for the 2M-1 note reflects the 3.00% subordination provided
by the 2.00% class 2M-2 note and the 1.00% 2B note, and their
corresponding reference tranches. The notes are general senior
unsecured obligations of Fannie Mae (rated 'AAA'/Stable Outlook)
subject to the credit and principal payment risk of a pool of
certain residential mortgage loans held in various Fannie
Mae-guaranteed MBS.
The reference pool of mortgages will be divided into two loan
groups. Group 1 will consist of mortgage loans with loan-to-values
(LTVs) greater than 60% and less than or equal to 80% while group 2
will consist of mortgage loans with LTVs greater than 80% and less
than or equal to 97%. While each loan group has its own issued
notes, each group's structure will be identical. There will be no
cross-collateralization.
Connecticut Avenue Securities, series 2016-C03 (CAS 2016-C03) is
Fannie Mae's 12th risk transfer transaction issued as part of the
Federal Housing Finance Agency's Conservatorship Strategic Plan for
2013 - 2017 for each of the government sponsored enterprises (GSEs)
to demonstrate the viability of multiple types of risk transfer
transactions involving single family mortgages.
The objective of the transaction is to transfer credit risk from
Fannie Mae to private investors with respect to a $37.25 billion
pool of mortgage loans currently held in previously issued MBS
guaranteed by Fannie Mae where principal repayment of the notes are
subject to the performance of a reference pool of mortgage loans.
As loans liquidate, are modified or other credit events occur, the
outstanding principal balance of the debt notes will be reduced by
the loan's actual loss severity percentage related to those credit
events.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS mezzanine and subordinate securities,
Fannie Mae will be responsible for making monthly payments of
interest and principal to investors. Because of the counterparty
dependence on Fannie Mae, Fitch's expected rating on the M-1 and
M-2 notes will be based on the lower of: the quality of the
mortgage loan reference pool and credit enhancement (CE) available
through subordination; and Fannie Mae's Issuer Default Rating. The
notes will be issued as uncapped LIBOR-based floaters and will
carry a 12.5-year legal final maturity.
In February 2016, Fitch released an exposure draft criteria report,
which incorporates several proposed enhancements to its 'U.S. RMBS
Loan Loss Model Criteria,' dated August 2015. The changes are
detailed in the report titled 'Exposure Draft: U.S. RMBS Loan Loss
Model Criteria' available on Fitch's website at
www.fitchratings.com. Although the credit risk profile of this
reference pool is consistent with the previous transaction, the
exposure draft model estimated modestly lower expected losses as a
result of the model updates for group 1 and modestly higher
expected losses for Group 2. The bonds for this transaction were
analyzed with both criteria approaches, with a greater weight on
the exposure draft model results. The difference in ratings for
this transaction using the two separate models is less than one
rating notch.
There was one variation from criteria related to an
outside-the-model amortization credit that was applied. Fitch
feels the credit is more consistent with historical observations as
well as with Fitch's loss timing curve. The amortization credit is
consistent with Fitch's mid-loaded loss-timing curve with benchmark
prepayments. The difference in ratings for this transaction is
less than one rating notch. While this credit was applied outside
of the model for this transaction, Fitch expects to incorporate the
amortization credit in its 'US RMBS Loan Loss Model Criteria' for
future transactions, subject to the review and approval by a
criteria review committee.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference mortgage loan
pools consist of high-quality mortgage loans that were acquired by
Fannie Mae from March through June 2015. The Group 1 reference
pool will consist of loans with LTVs greater than 60% and less than
or equal to 80%, and Group 2 will consist of loans with LTVs
greater than 80% and less than or equal to 97%. Overall, the
reference pool's collateral characteristics are similar to recent
CAS transactions and reflect the strong credit profile of
post-crisis mortgage originations.
Actual Loss Severities (Neutral): This will be Fannie Mae's fourth
actual loss risk transfer transaction in which losses borne by the
noteholders will not be based on a fixed loss severity (LS)
schedule. The notes in this transaction will experience losses
realized at the time of liquidation or modification, which will
include both lost principal and delinquent or reduced interest.
Mortgage Insurance Guaranteed by Fannie Mae (Positive): The
majority of the loans in Group 2 are covered either by borrower
paid mortgage insurance (BPMI) or lender paid MI (LPMI). Fannie
Mae will be guaranteeing the MI coverage amount, which will
typically be the MI coverage percentage multiplied by the sum of
the unpaid principal balance as of the date of the default, up to
36 months of delinquent interest, taxes and maintenance expenses.
While the Fannie Mae guarantee allows for credit to be given to MI,
Fitch applied a haircut to the amount of BPMI available due to the
automatic termination provision as required by the Homeowners
Protection Act when the loan balance is first scheduled to reach
78%.
12.5-Year Hard Maturity (Positive): The 1M-1, 1M-2, 1B, 2M-1, 2M-2
and 2B notes benefit from a 12.5-year legal final maturity. Thus,
any credit or modification events on the reference pool that occur
beyond year 12.5 are borne by Fannie Mae and do not affect the
transaction. In addition, credit or modification events that occur
prior to maturity with losses realized from liquidations or
modifications that occur after the final maturity date will not be
passed through to the noteholders. This feature more closely
aligns the risk of loss to that of the 10-year, fixed LS CAS deals
where losses were passed through at the time a credit event
occurred - i.e. loans became 180 days delinquent with no
consideration for liquidation timelines. Fitch accounted for the
12.5-year hard maturity in its default analysis and applied a
reduction to its lifetime default expectations.
Seller Insolvency Risk Addressed (Positive): An enhancement was
made with regards to insolvency risk. A loan will be removed from
the reference pool if a lender has declared bankruptcy or has been
put into receivership and, per the QC process, an eligibility
defect is identified that could otherwise have resulted in a
repurchase. In earlier CAS deals, if a lender declared bankruptcy
or was placed into receivership prior to a repurchase request made
by Fannie Mae for a breach of a rep and warranty, the loan would
not be removed from its related reference pool or treated as a
credit event reversal if it became 180 days past due. This
enhancement reduces the loss exposure arising from MI claim
rescissions due to underwriting breaches by insolvent sellers.
Limited Size/Scope of Third-Party Diligence (Neutral): This is the
first transaction in which Fitch received third party due diligence
on a loan production basis, as opposed to a transaction specific
review. Fitch believes that regular, periodic third-party reviews
(TPRs) conducted on a loan production basis are sufficient for
validating Fannie Mae's quality control processes. The sample
selection was limited to a population of 6,333 loans that were
previously reviewed as part Fannie Mae's post-purchase quality
control (QC) review and met the reference pool's eligibility
criteria. 1,998 loans of those loans were selected for a full
review (credit, property valuation and compliance) by a third-party
due diligence provider. Of the 1,998 loans, 608 were part of this
transaction's reference pool (230 in Group 1 and 378 in Group 2).
Fitch views the results of the due diligence review as consistent
with its opinion of Fannie Mae as an above average aggregator; as a
result no adjustments were made to Fitch's loss expectations based
on due diligence.
Advantageous Payment Priority (Positive): The payment priority of
M-1 notes will result in a shorter life and more stable CE than
mezzanine classes in private-label (PL) RMBS, providing a relative
credit advantage. Unlike PL mezzanine RMBS, which often do not
receive a full pro-rata share of the pool's unscheduled principal
payment until year 10, the M-1 notes can receive a full pro-rata
share of unscheduled principal immediately, as long as a minimum CE
level is maintained and the delinquency test is satisfied.
Additionally, unlike PL mezzanine classes, which lose subordination
over time due to scheduled principal payments to more junior
classes, the M-2 and B classes in each group will not receive any
scheduled or unscheduled allocations until their M-1 classes are
paid in full. The B classes will not receive any scheduled or
unscheduled principal allocations until the M-2 classes are paid in
full.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes that it benefits from a solid alignment of interests.
Fannie Mae will be retaining credit risk in the transaction by
holding the A-H senior reference tranches, which have an initial
loss protection of 4.00% in Group 1 and 4.00% in Group 2, as well
as the first loss B-H reference tranches, sized at 100 basis points
(bps) for each group. Fannie Mae is also retaining an
approximately 5% vertical slice/interest in the M-1 and M-2
tranches for Group 1 and 2, respectively.
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.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MDVs of 10%, 20%, and 30%, in addition to the
model-projected 23% at the 'BBB-sf' level and 16.7% at the 'B+sf'
level for Group 1 and 22.1% at the 'BBB-sf' level and 14.2% at the
'Bsf' level for Group 2. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted defined rating sensitivities 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 12%, 12% and 32% would potentially reduce the
Group 1 'BBB-sf' rated class down one rating category, to
non-investment grade, and to 'CCCsf', respectively. And additional
MVDs of 11%, 11% and 33% would potentially reduce the Group 2
'BBB-sf' rated class down one rating category, to non-investment
grade, and to 'CCCsf', respectively.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Adfitech,
Inc. The due diligence focused on credit and compliance reviews,
desktop valuation reviews and data integrity. Adfitech examined
selected loan files with respect to the presence or absence of
relevant documents. Fitch received certifications indicating that
the loan-level due diligence was conducted in accordance with
Fitch's published standards. The certifications also stated that
the company performed its work in accordance with the independence
standards, per Fitch's criteria, and that the due diligence
analysts performing the review met Fitch's criteria of minimum
years of experience. Fitch considered this information in its
analysis and the findings did not have an impact on the analysis.
The offering documents for CAS 2016-C03 do not disclose any
representations, warranties, or enforcement mechanisms (RW&Es) that
are available to investors and which relate to the underlying asset
pools.
FLAGSHIP CREDIT 2016-2: S&P Gives Prelim BB- Rating on Cl. D Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to Flagship Credit Auto Trust 2016-2's $350 million auto
receivables-backed notes series 2016-2.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of April 21,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 37.85%, 29.87%, 22.45%,
and 17.84% credit support (including excess spread) for the
class A, B, C, and D notes, respectively, based on stressed
cash flow scenarios. These credit support levels provide
coverage of approximately 3.10x, 2.40x, 1.75x, and 1.40x
S&P's 11.50%-12.00% expected cumulative net loss (CNL) range
for the class A, B, C, and D notes, respectively.
-- The timely interest and principal payments made under
stressed cash flow modeling scenarios that are appropriate
to the assigned preliminary ratings.
-- The expectation that under a moderate ('BBB') stress
scenario, all else being equal, S&P's ratings on the class A
and B notes would remain within one rating category of S&P's
preliminary 'AA (sf)' and 'A (sf)' ratings within the first
year and S&P's ratings on the class C and D notes would
remain within two rating categories of S&P's preliminary
'BBB (sf)' and 'BB- (sf)' ratings, respectively, within the
first year. This is within the one category rating
tolerance for S&P's 'AA' and two-category rating tolerance
for S&P's 'A', 'BBB', and 'BB' rated securities, as outlined
in S&P's credit stability criteria.
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The characteristics of the collateral pool being
securitized. The pool includes receivables originated.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
Flagship Credit Auto Trust 2016-2
Class Rating Type Interest Amount
rate(i) (mil. $)
A-1 AA (sf) Senior Fixed 182.00
A-2 AA (sf) Senior Fixed 77.82
B A (sf) Subordinate Fixed 33.93
C BBB (sf) Subordinate Fixed 33.93
D BB- (sf) Subordinate Fixed 22.32
(i) The actual coupons of these tranches will be determined on the
pricing date.
FULTON STREET: S&P Affirms B Rating on Class A-1A Notes
-------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'B (sf)' rating on
the class A-1A notes from Fulton Street CDO Ltd., a collateralized
debt obligation that closed in March 2002.
The affirmation on the class A-1A notes reflects the financial
guarantee provided by MBIA Insurance Corp. ('B/Stable/--').
Standard & Poor's will continue to review whether, in its view, the
rating assigned to the notes remains consistent with the credit
enhancement available to support it and take rating actions as it
deems necessary.
GE BUSINESS 2005-1: Moody's Lowers Rating on Cl. A-3 Debt to Ba1
----------------------------------------------------------------
Moody's Investors Service has downgraded ratings on three tranches
from the 2005-1 series of the GE Business Loan Trust
securitizations. This securitization is secured by small-balance
commercial real estate loans.
The complete rating actions are:
Issuer: GE Business Loan Trust 2005-1
Cl. A-3, Downgraded to Ba1 (sf); previously on Oct. 15, 2015,
Downgraded to Baa3 (sf)
Cl. C, Downgraded to B2 (sf); previously on Oct. 15, 2015,
Confirmed at B1 (sf)
Cl. D, Downgraded to Caa2 (sf); previously on Oct. 15, 2015,
Confirmed at B3 (sf)
RATINGS RATIONALE
The downgrade actions on the 2005-1 transaction were prompted by an
expectation of increased charge-offs and losses to the trust at the
next payment date. One loan with a balance of $4.4 mil.is expected
to be charged off, and a loan with a $10.0 mil. balance will incur
a loss of $6.2 mil. following its liquidation in early April 2016.
In total, Moody's expects net charge-offs of $10.6 mil. at the next
reporting date, which will be partially covered by the $4.3 mil.
spread account balance. The charge-offs and losses will reduce the
spread account to zero, and will cause the Class B, C and D
certificates to become under-collateralized. The charge-offs will
also create principal carryforward amounts due to the Class A, B, C
and D certificates. Following the charge-offs, the Class B, C, and
D certificates will cease to receive principal payments until
recoveries and excess spread repay carryforward principal amounts
due to the certificates senior to each respective class.
Recoveries and excess spread are likely to protect the Class C
certificates from ultimately taking losses so long as future pool
losses are low, whereas the Class D certificates are more likely to
take losses.
Since October 2015 three loans totaling $10.2 mil. have already
been charged off, with only one of these loans receiving recoveries
to date. However, the percent of the pool in delinquency is
expected to drop significantly following the charge-offs and losses
on the May 2016 servicer report, as only one other loan, with a
balance of $0.4 mil., was 30 or more days past due per the April
2016 servicer report.
Moody's will continue to monitor the repayment trends of balloon
loans in this transaction. All of the defaulted loans noted
previously were balloon loans. Following the charge-offs and
losses, balloon loans will account for 45% of the outstanding pool
balance for the 2005-1 transaction. The final payment dates for
balloon loans will be heavily concentrated in 2020, when balloon
loans with a current balance of around $42.6 mil. reach their
maturity date. Balloon loans maturing in 2020 will account for 90%
of total remaining balloon loans and 41% of the total collateral
pool following the charge offs.
METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published
October 2015.
To determine the expected loss from balloon loans, Moody's assumes
a default rate similar to that of regular amortizing loans until
balloon maturity date. At balloon maturity, we project each loan's
LTV based on future amortization of the loan and forecasted
property prices, and predict whether each loan would achieve
refinancing and, if not, what degree of loss it would experience.
In estimating the values for the properties, Moody's applies the
change in the non-major market Moody's/RCA Commercial Property
Price Index (CPPI) from the date of the most recent appraised value
or broker's price opinion to the current remittance date, and
typically models that property prices remain fairly flat or
slightly lower than current levels going forward. At balloon loan
maturity, Moody's generally models that balloon loans with less
than 25% expected LTV will be able to refinance and pay in full,
and that a portion of balloon loans with higher LTVs will default
with severities corresponding to the expected LTVs at balloon
maturity.
The projected net losses or range of projected net losses are
evaluated against the available credit enhancement provided by
subordination, the reserve account, excess spread, and if
available, overcollateralization.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline below Moody's expectations as
a result of lower severities than expected on liquidated loans or
fewer defaults than expected.
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 expectations as a
result of an increase in seriously delinquent loans and higher
severities than expected on liquidated loans.
GMAC COMMERCIAL 2004-C1: Fitch Raises Rating on Cl. F Certs to BB
-----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed eight classes of
GMAC Commercial Mortgage Securities, Inc. commercial mortgage
pass-through certificates series 2004-C1 (GMACC 2004-C1).
KEY RATING DRIVERS
The upgrade to class F reflects sufficient credit enhancement, due
to a sizable subordinate class, and the stable performance of the
one remaining loan, which is collateralized by a single tenant
retail property. The upgrade also reflects the property's location
in a strong retail corridor despite the non-investment grade tenant
(Bon-Ton Stores, Inc.). The affirmations of the remaining classes
reflect realized losses. To date, $46.3 million (6.4% of the
original pool balance) in realized losses have been experienced.
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 98.9% to $8.2 million from
$721.4 million at issuance. Interest shortfalls are currently
affecting classes G through P.
The one remaining loan is secured by a 230,000 square foot (sf)
retail property located in Lombard, IL, which is approximately 20
miles west of Chicago. The subject is 100% leased to Carson Pirie
Scott (The Bon-Ton Stores, Inc.) through January 2024, co-terminus
with the loan's maturity. The store is part of the Yorktown Center
Mall, which is a 1.5 million sf enclosed regional shopping mall
that is also anchored by Von Maur and JC Penney. As of year-end
(YE) 2014, the servicer reported debt service coverage ratio (DSCR)
was 1.37x. The loan is fully amortizing.
RATING SENSITIVITIES
The Rating Outlook on class F remains Stable. Although the credit
enhancement will increase with continued paydown, Fitch has
concerns with a single event risk. Therefore, a rating cap of
'BBsf' is considered appropriate for this concentrated pool. Fitch
does not foresee negative rating migration unless there is material
economic change to the remaining loan.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades this class:
-- $1.3 million class F to 'BBsf' from 'Bsf'; Outlook Stable.
Fitch affirms these classes and revises REs as indicated:
-- $6.9 million class G at 'Dsf'; RE 90%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-1A, B, C, D and E certificates have
paid in full. Fitch does not rate the class P certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
GRAMERCY REAL 2005-1: Moody's Cuts Cl. J Debt Rating to Ca(sf)
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Gramercy Real Estate CDO 2005-1, Ltd.:
Cl. B, Upgraded to Aaa (sf); previously on Jun 18, 2015 Affirmed
Aa2 (sf)
Cl. C, Upgraded to A2 (sf); previously on Jun 18, 2015 Affirmed
Baa1 (sf)
Moody's has downgraded the ratings on the following notes:
Cl. J, Downgraded to Ca (sf); previously on Jun 18, 2015 Affirmed
Caa3 (sf)
Cl. K, Downgraded to C (sf); previously on Jun 18, 2015 Affirmed
Caa3 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. D, Affirmed Ba1 (sf); previously on Jun 18, 2015 Affirmed Ba1
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Jun 18, 2015 Affirmed Ba2
(sf)
Cl. F, Affirmed B1 (sf); previously on Jun 18, 2015 Affirmed B1
(sf)
Cl. G, Affirmed B3 (sf); previously on Jun 18, 2015 Affirmed B3
(sf)
Cl. H, Affirmed Caa2 (sf); previously on Jun 18, 2015 Affirmed Caa2
(sf)
RATINGS RATIONALE
Moody's has upgraded the ratings of two classes of notes due to
rapid amortization of the underlying collateral and higher than
anticipated recoveries on high credit risk collateral resulting in
material amortization of senior classes of notes while other key
credit parameters of the collateral pool are improved or remain
stable as evidenced by weighted average rating factor (WARF).
Moody's has downgraded the ratings of two classes of notes due to
an additional $67.8 million in implied losses since last review
reducing the enhancement of the mezzanine classes. Moody's has also
affirmed the ratings of five classes because key transaction
metrics are commensurate with the existing ratings. The rating
action is the result of Moody's on-going surveillance of commercial
real estate collateralized debt obligation and collateralized loan
obligation (CRE CDO CLO) transactions.
Gramercy Real Estate CDO 2005-1, Ltd. is a currently static cash
transaction (reinvestment period ended in July 2010) backed by a
portfolio of: i) whole loans and senior participations (40.0% of
collateral pool balance); ii) commercial mortgage backed securities
(CMBS) (38.3%); and iii) b-note debt (21.7%). As of the March 31,
2016 trustee report, the aggregate note balance of the transaction,
including income notes, has decreased to $378.6 million from $1.0
billion at issuance, with previous partial junior notes
cancellation to the class E, class F, class G, and class H notes
and principal pay-down directed to the senior most outstanding
class of notes resulting in full amortization of the classes A-1
and A-2. The pay-down was the result of a combination of regular
amortization, resolution and sales of defaulted collateral, and the
failing of certain par value tests. Currently, the transaction has
implied under-collateralization of $105.9 million, compared to
$38.1 million at last review, primarily due to implied losses on
the collateral.
In general, holding all key parameters static, junior note
cancellations results in slightly higher expected losses and longer
weighted average lives on the senior notes, while producing
slightly lower expected losses on the mezzanine and junior notes.
However, this does not cause, in and of itself, a downgrade or
upgrade of any outstanding classes of notes.
The pool contains two assets totaling $105.0 million (40.8% of the
collateral pool balance) that are listed as defaulted securities as
of the trustee's March 31, 2016 report. One of these assets (25.4%
of the defaulted balance) is CMBS and one asset is a whole loan
(74.6%). While there have been moderate realized losses on the
underlying collateral to date, Moody's does expect moderate/high
losses to occur on the defaulted securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: WARF, the weighted average
life (WAL), the weighted average recovery rate (WARR), and Moody's
asset correlation (MAC). Moody's typically models these as actual
parameters for static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 5229,
compared to 5830 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 and 6.6% compared to 9.3% at last
review; A1-A3 and 11.3 compared to 7.2% at last review; Baa1-Baa3
and 2.1%, the same as last review; Ba1-Ba3 and 4.9% compared to
3.2% at last review; B1-B3 and 1.8% compared to 8.6% at last
review; and Caa1-Ca/C and 73.3% compared to 69.6% at last review.
Moody's modeled a WAL of 1.0 years, compared to 1.6 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral collateral and look-through extension
assumptions on the loans backing the underlying CMBS collateral.
Moody's modeled a fixed WARR of 17.7%, compared to 19.2% at last
review.
Moody's modeled a MAC of 27.1%, compared to 13.2% at last review.
The increase in MAC is due to a higher concentration of asset
names.
GREEN TREE MH 1994-05: Moody's Cuts Class B-2 Debt Rating to C
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches and upgraded the ratings of three tranches in six
transactions issued between 1993 and 1996. The collateral backing
these transactions consists primarily of manufactured housing
units.
Complete rating action follows:
Issuer: Green Tree Financial Corporation MH 1993-04
A-5, Upgraded to A3 (sf); previously on Dec 16, 2011 Downgraded to
Baa3 (sf)
Issuer: Green Tree Financial Corporation MH 1994-01
A-5, Upgraded to A3 (sf); previously on Nov 22, 2011 Downgraded to
Baa3 (sf)
Issuer: Green Tree Financial Corporation MH 1994-02
B-2, Downgraded to C (sf); previously on Dec 29, 2003 Downgraded to
Ca (sf)
Issuer: Green Tree Financial Corporation MH 1994-05
B-2, Downgraded to C (sf); previously on Dec 29, 2003 Downgraded to
Ca (sf)
Issuer: Green Tree Financial Corporation MH 1995-10
B-1, Upgraded to Baa1 (sf); previously on May 28, 2015 Upgraded to
Baa3 (sf)
Issuer: Green Tree Financial Corporation MH 1996-02
M-1, Downgraded to Caa2 (sf); previously on Nov 22, 2011 Downgraded
to Caa1 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of manufactured
housing loans backed pools and reflect Moody's updated loss
expectations on the pools. The tranches upgraded are primarily due
to the build-up in credit enhancement. The tranches downgraded are
due to the depletion of available credit enhancement. Green Tree
Financial Corporation MH 1994-02 and 1994-05 B-2 tranches are not
expected to receive their full principal payments primarily due to
the outstanding interest shortfalls.
GS MORTGAGE 2011-GC5: Moody's Affirms B2 Rating on Class F Certs
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two classes
and affirmed the ratings of nine classes of GS Mortgage Securities
Trust 2011-GC5, Commercial Mortgage Pass-Through Certificates,
Series 2011-GC5 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on May 15, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 15, 2015 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 15, 2015 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on May 15, 2015 Affirmed Aaa
(sf)
Cl. B, Upgraded to Aa2 (sf); previously on May 15, 2015 Affirmed
Aa3 (sf)
Cl. C, Upgraded to A2 (sf); previously on May 15, 2015 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on May 15, 2015 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba3 (sf); previously on May 15, 2015 Affirmed Ba3
(sf)
Cl. F, Affirmed B2 (sf); previously on May 15, 2015 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on May 15, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on May 15, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on two P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 23% since Moody's last
review.
The ratings on seven 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 ratings on the IO Classes, Classes X-A and X-B, were affirmed
based on the credit performance of the 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 1.9% of the original
pooled balance, compared to 2.3% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014,
and"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
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 15, compared to a Herf of 20 at Moody's last
review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these aggregated
proceeds for any pooling benefits associated with loan level
diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 26% to $1.28 billion
from $1.75 billion at securitization. The certificates are
collateralized by 58 mortgage loans ranging in size from less than
1% to 14% of the pool, with the top ten loans constituting 56% of
the pool. Two loans, constituting 5% of the pool, have
investment-grade structured credit assessments. Six loans,
constituting 10% of the pool, have defeased and are secured by US
government securities.
Seventeen loans, constituting 16% 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.
There are no loans that have been liquidated from the pool.
Currently one loan, The Hills Loan ($14.5 million -- 1.1% of the
pool), is in special servicing. This loan was secured by a complex
of office/flex buildings located in North Richland Hills, Texas.
The loan transferred to special servicing on April 2013 due to
imminent default. The subjects largest tenant, ATI Enterprises (44%
of the GLA), defaulted and vacated the site without notice in
February of 2013. The property became REO in July 2013. As of
December 2015, the property was 54% leased, compared to 52% leased
at the last review. The special servicer is working on leasing up
the property.
Moody's has assumed a high default probability for two poorly
performing loans, constituting 2% of the pool, and has estimated an
aggregate loss of $4.2 million (a 15% expected loss) for these
troubled loans.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 100% of
the pool. Moody's weighted average conduit LTV is 80%, compared to
82% 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 12.9% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.71X and 1.28X,
respectively, compared to 1.71X and 1.27X 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 loan with a structured credit assessment is the Museum
Square Loan ($58.4 million -- 4.5% of the pool), which is secured
by a 553,000 square foot (SF) class B+ office located in the
Miracle Mile submarket of Los Angeles, California. As of January
2016, the property was 93% leased, compared to 87% at last review.
Moody's structured credit assessment and stressed DSCR are a1
(sca.pd) and 1.75X, respectively.
The other loan with a structured credit assessment is the Alhambra
Renaissance Center Loan ($9.8 million -- 0.8% of the pool), which
is secured by a Regal Cinema anchored center located in Alhambra,
CA (10 miles northeast of Los Angeles). As of December 2015, the
property was 100% leased, the same as at last review. Moody's
structured credit assessment and stressed DSCR are a2 (sca.pd) and
1.77X, respectively.
The top three conduit loans represent 35% of the pool balance. The
largest conduit loan is the Park Place Mall Loan ($185.3 million --
14.4% of the pool), which is secured by the borrower's interest in
a 1.06 million SF dominant super-regional mall in Tucson, Arizona.
Sears, Dillard's and Macy's anchor the mall and own their own
spaces. The largest collateral tenant is an 18-screen movie
theatre. As of December 2015, total mall and in-line occupancy were
98% and 94%, respectively, compared to 97% and 93% in September
2014. In-line sales for the trailing twelve months (TTM) ending
December 2015 were $449 PSF compared to $442 PSF for TTM December
2014. Moody's LTV and stressed DSCR are 86% and 1.07X,
respectively, compared to 85% and 1.08X at last review.
The second largest conduit loan is the 1551 Broadway Loan ($180.0
million -- 14.0% of the pool), which is secured by a 26,000 SF
single tenant retail property and a 15,000 SF LED sign located in
the Bow Tie area of Manhattan's Times Square district. The property
and LED sign are leased to AE Outfitters, Inc. a fully owned
subsidiary of American Eagle Outfitters, Inc. through February
2024. Moody's LTV and stressed DSCR are 88% and 0.95X,
respectively, the same as at last review.
The third largest conduit loan is the Parkdale Mall and Crossing
Loan ($85.1 million -- 6.6% of the pool), which is secured by a
743,175 SF interest in a 1.41 million SF dominant super-regional
mall in Beaumont, Texas. Sears, Dillard's, JC Penney's and Macy's
anchor the mall and own their own spaces. As of September 2015,
total mall collateral occupancy was 96.7% compared to 96.9% as of
December 2014. Moody's LTV and stressed DSCR are 71% and 1.46X,
respectively, compared to 72% and 1.42X at last review.
GS MORTGAGE 2013-GCJ12: S&P Affirms BB- Rating on Class F Certs
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 13
classes of commercial mortgage pass-through certificates from GS
Mortgage Securities Trust 2013-GCJ12, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The ratings 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 loans in the pool, the transaction's
structure, and the liquidity available to the trust.
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. The affirmations
also reflect S&P's views regarding the current and future
performance of the transaction's collateral, the transaction's
structure, and liquidity support available to the classes.
S&P affirmed its 'AAA (sf)' rating on the class X-A and S&P's 'A-
(sf)' rating on the class X-B interest-only (IO) certificates based
on S&P's criteria for rating IO securities, which states that 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-AB, and A-S, and the
notional balance on class X-B references classes B and C.
TRANSACTION SUMMARY
As of the April 12, 2016, trustee remittance report, the collateral
pool balance was $1.15 billion, which is 96.1% of the pool balance
at issuance. The pool currently includes 78 loans. One loan ($8.8
million, 0.8%) is with the special servicer, six loans (152.4,
13.2%) are reported on the master servicer watchlist, and no loans
are reported as defeased. The master servicer, Wells Fargo Bank
N.A., reported financial information for 100.0% of the loans in the
pool, of which 64.0% was year-end 2015 data, 25.2% was partial
year-end 2015 data, and 10.8% was year-end 2014 data.
S&P calculated a 1.47x Standard & Poor's weighted average debt
service coverage (DSC) and 85.3% Standard & Poor's weighted average
loan-to-value (LTV) ratio using a 7.86% Standard & Poor's weighted
average capitalization rate. The top 10 loans have an aggregate
outstanding pool trust balance of $515.5 million (44.3%). Using
servicer-reported numbers, we calculated a Standard & Poor's
weighted average DSC and LTV of 1.46x and 88.6%, respectively, for
the top 10 loans. The sole specially serviced loan is discussed
below.
To date, the transaction has not experienced principal loss.
CREDIT CONSIDERATIONS
As of the April 12, 2016, trustee remittance report, one loan ($8.8
million, 0.8%) in the pool is with the special servicer, Rialto
Capital Advisors LLC. The Sethi Hotel Portfolio loan ($8.8
million, 0.8%) has a total reported exposure of $8.9 million. The
collateral is two lodging properties comprising 155 rooms located
in Grenada, Miss. and Scott, La. The loan was transferred to
Rialto in May 2015 because of payment default. The loan has been
triggered for full cash management, and the lockbox will remain
hard until all defaults are settled. Rialto stated that the
borrowers appear close to accepting final terms for a forbearance
agreement. The reported DSC and occupancy as of year-end 2014 were
1.72x and 69.1%, respectively. S&P expects this loan to be
returned to the master servicer shortly.
The Eagle Ridge Loan ($59.4 million, 5.2%) is the third-largest
loan in the pool. The loan appears on the master servicer's
watchlist due to occupancy declining to 55.3% as of September 2015
from 93% at issuance. According to the master servicer, the steep
decline is due to a number of factors, including roughly 700
additional apartment units coming online in 2014. While S&P's
analysis of this loan accounts for the performance deterioration
experienced to date, S&P will continue to monitor this loan for any
further material developments.
RATINGS LIST
GS Mortgage Securities Trust 2013-GCJ12
Commercial mortgage-backed securities
Class Identifier To From
A-1 36197XAG9 AAA (sf) AAA (sf)
A-2 36197XAH7 AAA (sf) AAA (sf)
A-3 36197XAJ3 AAA (sf) AAA (sf)
A-4 36197XAK0 AAA (sf) AAA (sf)
A-AB 36197XAL8 AAA (sf) AAA (sf)
X-A 36197XAM6 AAA (sf) AAA (sf)
X-B 36197XAN4 A- (sf) A- (sf)
A-S 36197XAP9 AAA (sf) AAA (sf)
B 36197XAQ7 AA- (sf) AA- (sf)
C 36197XAR5 A- (sf) A- (sf)
D 36197XAB0 BBB- (sf) BBB- (sf)
E 36197XAC8 BB (sf) BB (sf)
F 36197XAD6 BB- (sf) BB- (sf)
HPS LOAN 9-2016: Moody's Assigns Ba3 Rating on Cl. D-2 Notes
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by HPS Loan Management 9-2016, Ltd..
Moody's rating action is:
$310,000,000 Class A-1 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$65,000,000 Class A-2 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aa2 (sf)
$30,000,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)A2 (sf)
$29,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Baa3 (sf)
$12,000,000 Class D-1 Junior Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Ba3 (sf)
$14,000,000 Class D-2 Junior Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Ba3 (sf)
The Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes,
Class D-1 Notes and Class D-2 Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
HPS Loan Management 9-2016 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 96% of the portfolio
must be invested in senior secured loans or eligible investments
and up to 4% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is expected to be approximately 90%
ramped as of the closing date.
Highbridge Principal Strategies, 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 and one-half
year reinvestment period. Thereafter, the Manager may reinvest
collateral principal collections constituting (i) unscheduled
principal payments and (ii) the sale proceeds of credit risk
obligations in additional collateral debt obligations, subject to
certain restrictions.
In addition to the Rated Notes, the Issuer will issue 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: $500,000,000
Diversity Score: 58
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.9%
Weighted Average Coupon (WAC): 7.5%
Weighted Average Recovery Rate (WARR): 47%
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 rating 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 A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D-1 Notes: -1
Class D-2 Notes: -1
Percentage Change in WARF -- increase of 30% (from 2775 to 3608)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D-1 Notes: -1
Class D-2 Notes: -1
ICE GLOBAL: S&P Lowers Rating on Class D Notes to BB+
-----------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the class
D and E notes from ICE Global Credit CLO Ltd., a cash flow emerging
market collateralized debt obligation (CDO) managed by ICE Canyon
LLC. S&P also removed the ratings from CreditWatch negative, where
it placed them on Jan 25, 2016. In addition, S&P affirmed its
ratings on the class A, B, and C notes to reflect adequate credit
support to maintain their current respective rating levels.
The rating actions follow S&P's review of the transaction's
performance using data from the March 21, 2016, trustee report.
Since January 2016, when S&P placed the class D and E note ratings
on CreditWatch with negative implications, the class E principal
coverage test and the interest diversion test values dropped below
their trigger points, according to the February 2016 trustee
report, and then increased in March after a significant level of
trading activity. The new assets in the portfolio resulted in an
improvement in portfolio credit quality leading to a smaller 'CCC'
haircut amount to the coverage tests. As of the March 2016 trustee
report, both the class E principal coverage and the interest
diversion tests were passing ahead of the April 2016 payment date,
which also marked the end of the reinvestment period.
Despite the recent improvements to the portfolio, relative to the
transaction's effective date, the par balance of the collateral
portfolio has declined and the amount of 'CCC'-rated and defaulted
assets have increased. Comparing the March 2016 trustee report to
the October 2012 report that was used in S&P's effective date
analysis, the balance of 'CCC'-rated assets has increased to $74.26
million from $31.21 million, while the balance of defaulted assets
has increased to $32.13 million from $0. The overcollateralization
(O/C) and interest coverage ratio tests have also declined for all
classes since the effective date with the class E O/C test
declining to 117.51% from 120.41% during the same time period.
Additionally, S&P also notes the industry and obligor concentration
within this portfolio, with the three largest industry
concentrations being in oil and gas, metal and minerals, and
retailers industries. Together, exposures to issuers within these
three industries are worth over 30% of the portfolio. Given the
global pressures facing commodities-related issuers, many of these
obligors held within this portfolio have a Standard and Poor's
rating with a negative outlook and are currently trading at
distressed prices. Two of the top five obligors, worth 6.0% and
2.5% of the portfolio, respectively, are both oil and gas issuers
and currently rated 'CCC' with negative outlooks.
Although cash flow results indicate a higher rating for the class B
and C notes, S&P affirmed its ratings on these notes given the
portfolio's exposure to obligors with a negative rating outlook and
the low market prices of some of the largest obligors held within
the portfolio. For the same reasons, S&P lowered its ratings on
the class D and E notes each by two notches to maintain rating
cushion. The ratings on the class D and E notes would not pass at
their current levels if the largest obligor either defaults or is
sold at its current market price. S&P will continue to monitor
this transaction and will take rating actions, including
CreditWatch placements, as it deems appropriate.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
ICE Global Credit CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 4.26% AAA (sf)
B AA (sf) AA+ (sf) 7.15% AA (sf)
C A (sf) A+ (sf) 5.37% A (sf)
D BBB (sf)/Watch Neg BBB+ (sf) 0.10% BB+ (sf)
E BB (sf)/Watch Neg BB (sf) 0.01% B+ (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate 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 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) AAA (sf)
B AA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C A (sf) AA- (sf) A+ (sf) AA- (sf) A (sf)
D BBB (sf) BBB+ (sf) BBB- (sf) BBB+ (sf) BB+ (sf)
E BB (sf) BB+ (sf) BB- (sf) BB+ (sf) B+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AA- (sf) AA- (sf) AAA (sf)
B AA+ (sf) AA- (sf) A+ (sf) AA (sf)
C A+ (sf) A- (sf) BBB- (sf) A (sf)
D BBB (sf) BB+ (sf) B+ (sf) BB+ (sf)
E BB (sf) B+ (sf) CCC (sf) B+ (sf)
RATINGS LOWERED AND REMOVED FROM CREDITWATCH
ICE Global Credit CLO Ltd.
Rating
Class To From
D BB+ (sf) BBB (sf)/Watch Neg
E B+ (sf) BB (sf)/Watch Neg
RATINGS AFFIRMED
ICE Global Credit CLO Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
JC PENNEY: S&P Raises Rating on 8 Cert. Classes to 'CCC+'
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on eight
classes of certificates linked to J.C. Penney Co. Inc. debentures
to 'CCC+' from 'CCC-' and removed them from CreditWatch, where S&P
had placed it with positive implications on March 24, 2016. The
upgraded certificates are from five J.C. Penney Co. Inc.-related
transactions.
S&P's ratings on the eight classes are dependent on its rating on
the underlying security, J.C. Penny Co. Inc.'s 7.625% debentures
due March 1, 2097 ('CCC+').
The rating actions reflect the March 30, 2016, raising of S&P's
rating on the underlying security to 'CCC+' from 'CCC-' and its
subsequent removal from CreditWatch with positive implications.
S&P may take additional rating actions on these transactions due to
subsequent changes in its rating assigned to the underlying
security.
RATINGS RAISED AND REMOVED FROM WATCH POSITIVE
CABCO Trust for JC Penney Debentures
U.S. $52.65 million ser: trust certificates due 03/01/2097
Rating
Class To From
Certs CCC+ CCC-/Watch Pos
CorTS Trust For J.C. Penney Debentures
U.S. $100 million corporate-backed trust securities (CorTS)
certificates
Rating
Class To From
Certs CCC+ CCC-/Watch Pos
Corporate Backed Callable Trust Certificates J C Penney
Debenture-Backed
Series 2006-1
U.S. $27.5 million
Rating
Class To From
A-1 CCC+ CCC-/Watch Pos
A-2 CCC+ CCC-/Watch Pos
Corporate Backed Callable Trust Certificates J.C. Penney Debenture
Backed
Series 2007-1 Trust
U.S. $55 million corporate backed callable trust certificates J.C.
Penney
debentures-backed series 2007-1
Rating
Class To From
A-1 CCC+ CCC-/Watch Pos
A-2 CCC+ CCC-/Watch Pos
Structured Asset Trust Unit Repackaging (SATURNS) J.C. Penny
Company
U.S. $54.5 million units series 2007-1
Rating
Class To From
A CCC+ CCC-/Watch Pos
B CCC+ CCC-/Watch Pos
JP MORGAN 2002-CIBC5: Fitch Affirms 'Bsf' Rating on Class L Certs
-----------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed four classes of JP
Morgan Chase Commercial Mortgage Securities Corporation (JPMC)
commercial mortgage pass-through certificates, series 2002-CIBC5.
KEY RATING DRIVERS
The upgrades are the result of increasing credit enhancement from
continued paydown, stable performance of the underlying collateral
and high percentage of loans structured with full amortization
(75.9%). While the credit enhancement of classes J, K and L are
high, Fitch capped the ratings based on the concentrated nature of
the pool with only 11 loans left and significant exposure to single
tenant properties (five loans representing 37% of the pool), which
carry binary risk that may grow as pool concentration increases.
As of the April 2015 distribution date, the pool's aggregate
principal balance has been reduced by 96.1% to $39.2 million, from
$1,004.3 million at issuance. Interest shortfalls are currently
affecting classes M and NR.
Of the original 118 loans, there are 11 loans remaining in the
pool, three of which (38.4%) are defeased. Currently there are no
specially serviced or delinquent loans. Fitch has designated four
loans (26%) as Fitch Loans of Concern.
The largest Fitch loan of concern (LOC) (16%) is secured by a
118,298 sf retail property in Bedford, TX. It is anchored by Tom
Thumb Grocery, which occupies 41% of the property with lease
expiring in August 2017. The loan matures in June 2017. Although
occupancy has remained stable since issuance, property performance
has suffered for several years due to rent concessions. In the
event that Tom Thumb Grocery does not renew its lease at
expiration, the loan could face difficulty refinancing. As of
third quarter (3Q) YE 2015, the property was 92.5% occupied,
compared to 90% at issuance. The servicer-reported 3Q15 debt
service coverage (DSCR) was 1.14, compared to 1.06x at YE14, 0.88x
at YE13 and 1.34x at issuance.
The second largest Fitch LOC is secured by a 95,148 sf retail
property located in Duncanville, TX. The property is anchored by
Tom Thumb Grocery, which occupies 55% of the property with lease
expiring January 2017. The loan matures in July 2017. The
property occupancy has remained stable since issuance. Should the
anchor tenant fail to renew its lease, the loan could have trouble
refinancing at maturity. As of YE 2015, the property was 90.1%
occupied, compared to 85% at issuance. The servicer-reported YE
2015 DSCR was 1.49X, compared to 1.35x at issuance.
RATING SENSITIVITIES
Further upgrades are unlikely as the potential for future
performance volatility of the concentrated pool and exposure to
single tenant properties warrants a cap on ratings of the remaining
classes. Downgrades to class L are possible if pool performance
declines significantly.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these ratings and revised Outlooks as
indicated:
-- $12.6 million class J to 'Asf' from 'BBBsf'; Outlook Stable;
-- $5 million class K to 'BBBsf' from 'BBsf'; Outlook to Stable
from Negative.
Fitch has affirmed these ratings and revised Outlooks as
indicated:
-- $11.3 million class H at 'AAAsf'; Outlook Stable;
-- $5 million class L at 'Bsf'; Outlook to Stable from
Negative;
-- $5.4 million class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The classes A-1, A-2, B, C, D, E, F, G and the interest only X-2
certificates have paid in full. Fitch does not rate the class NR
certificates. Fitch previously withdrew the rating on the
interest-only class X-1 certificates.
JP MORGAN 2004-C2: Fitch Affirms 'Bsf' Rating on Class J Certs
--------------------------------------------------------------
Fitch Ratings has upgraded three and affirmed seven classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp., commercial
mortgage pass-through certificates, series 2004-C2.
KEY RATING DRIVERS
The upgrades and affirmations are based on the stable performance
of the underlying collateral pool, high credit enhancement, and
continued expected amortization. As the pool is concentrated with
only 14 loans remaining, Fitch used a deterministic stress scenario
in its analysis.
As of the March 2016 remittance report, the transaction has paid
down 93.7% to $65.1 million from $1.035 billion at issuance. Fitch
modeled losses are 27.73% of the remaining pool; expected losses of
the original pool are 2.84% including losses already incurred to
date (1.14%). There are three Fitch loans of concern, all of which
are specially serviced loans.
Of the original 134 loans, 14 remain, three of which (23.9%) are in
special servicing. One loan (2.20%) is fully defeased. The
remaining non-defeased loans consist of fully amortizing (18.3%),
balloon maturities (55.1%), and ARD loans (25.4%). The loans'
final maturity dates are in 2018 (4.3%), 2019 (51.8%), 2020 (2.5%),
2022 (2.2%), and 2024 (16.7%).
The largest contributor to losses is the real estate owned (REO)
135,004 square foot (sf) retail center, Tower Plaza Retail Center
(16.6% of the pool balance and the third largest in the pool),
located in Temacula, CA. The property experienced cash flow issues
due to occupancy declines in 2009 when the grocery anchor vacated
the property. The asset was transferred to the special servicer in
February 2012 for payment default and the special servicer
completed the foreclosure process in March 2014. Property
underwent a significant capital improvement plan in 2015 with the
property repainted and the parking lot resealed. Additionally, the
property manager is in negotiations with a number of tenants to
significantly raise occupancy at the subject. The special servicer
is monitoring the progress of negotiations before determining the
disposition strategy.
The second largest contributor to losses is the specially serviced
loan collateralized by a 16,004 sf unanchored retail property
located in Westminster, CO. The loan was modified in early 2014
after a maturity default occurred from environmental issues that
prevented the sponsor from securing takeout financing. The
modification terms extended the loan maturity to May 2015 to
facilitate site remediation of a previous dry cleaning tenant. Per
the servicer, the remediation process is still on-going and the
sponsor is trying to secure another loan extension to complete the
process.
The third largest contributor to modeled losses, Hillside MHP
Portfolio, is collateralized by three communities comprising
144-pad sites located west of Buffalo, NY. The loan was
transferred to the special servicer in April 2014 for imminent
payment default after the sponsor was unable to secure lender
commitment to refinance the loan. Two separate discounted pay-off
proposals were rejected by the special servicer in 2015 and a
foreclosure complaint was filed in September 2015. Legal
proceedings are ongoing with the special servicer anticipating a
ruling during the second quarter of 2016.
RATING SENSITIVITIES
Fitch analysis employed a deterministic scenario to reflect the
pool's exposure to single event risk associated with the largest
loan in the pool as well as significant concentration with only 14
loans remaining. Although credit enhancement is high, the Outlook
on class H remains Stable as additional upgrades are not expected
due to the concentrated nature of the pool and lack of projected
near-term paydown to these classes. Upgrades to classes H and J
could be possible with significant unanticipated paydown or
defeasance. Downgrades to the non-investment grades are possible
if additional loans transfer to special servicing and/or expected
losses increase significantly.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades these classes:
-- $11.6 million class F to 'AAAsf' from 'Asf'; Outlook Stable;
-- $7.8 million class G to 'AAAsf' from 'Asf'; Outlook Stable;
-- $11.6 million class H to 'BBBsf' from 'BBB-sf'; Outlook
Stable.
Fitch also affirms these classes:
-- $8.7 million class E at 'AAAsf'; Outlook Stable;
-- $6.5 million class J at 'Bsf'; Outlook Stable;
-- $5.2 million class K at 'CCCsf'; RE 100%;
-- $2.6 million class L at 'CCsf'; RE 50%;
-- $3.9 million class M at 'Csf'; RE 0%;
-- $2.6 million class N at 'Csf'; RE 0%;
-- $2.6 million class P at 'Csf'; RE0%.
The class A-1, A-2, A-3, A-1A, B, C, D, RP-1, RP-2, RP-3, RP-4, and
the RP-5 certificates have paid in full. Fitch does not rate the
class NR certificate. Fitch previously withdrew the rating on the
interest-only class X certificate.
JP MORGAN 2013-LC11: Moody's Affirms B2(sf) Rating on Cl. F Debt
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fourteen
classes of CMBS securities, issued by J. P. Morgan Chase Commercial
Mortgage Securities Trust 2013-LC11 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. A-5, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Apr 24, 2015 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Apr 24, 2015 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Apr 24, 2015 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Apr 24, 2015 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Apr 24, 2015 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed A2 (sf); previously on Apr 24, 2015 Affirmed A2
(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 rating on the IO classes, Class X-A and X-B, were affirmed
because the credit performance (or the weighted average rating
factor or WARF) of the referenced classes are consistent with
Moody's expectations.
Moody's rating action reflects a base expected loss of 2.7% of the
current balance, compared to 3.2% at 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.
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. Please see the Ratings Methodologies page on www.moodys.com
for a copy of this methodology.
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 22, the same as at Moody's last review.
DEAL PERFORMANCE
As of the April 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $1.29 billion
from $1.30 billion at securitization. The certificates are
collateralized by 52 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten loans constituting 59% of
the pool.
Two loans, constituting 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool, and no loans are
currently in special servicing.
Moody's received full year 2014 operating results for 93% of the
pool, and full or partial year 2015 operating results for 79% of
the pool. Moody's weighted average conduit LTV is 98%, compared to
96% 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 11% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.70X and 1.05X,
respectively, compared to 1.74X and 1.08X 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 25% of the pool balance. The
largest loan is the Grand Prairie Premium Outlets Loan ($120
million -- 9.3% of the pool), which is secured by a 417,000 SF
outlet center located in Grand Prairie, Texas, 20 miles south of
Dallas. The property opened in August 2012. The Property was 98%
leased as of June 2015. The property is sponsored by Simon Property
Group. Moody's LTV and stressed DSCR are 90% and 1.05X,
respectively, the same as at last review.
The second largest loan is the World Trade Center I & II Loan
($114.4 million -- 8.9% of the pool), which is secured by two
adjacent 28-story and 29-story Class A office buildings located in
the CBD of Denver, CO totaling 770,000 SF. The property is also
encumbered with $17.6 million of additional mezzanine financing
held outside of the trust. The property was 81% occupied as of
December 2015, compared to 91% at last review and securitization.
Moody's LTV and stressed DSCR are 103% and 0.94X, respectively,
compared to 101% and 0.97X at last review.
The third largest loan is the Pecanland Mall Loan ($88 million --
6.8% of the pool), which is secured by a 433,200 SF component of a
965,238 SF super-regional mall in Monroe, LA. Five tenants anchor
the subject including Dillard's (165,930 SF), J.C. Penney (138,426
SF), Sears (122,032 SF), Belk (105,650 SF) and Burlington Coat
Factory (63,436 SF). As of September 2015 the property was 95%
occupied, compared to 99% at last review. Moody's LTV and stressed
DSCR are 105% and 0.98X, respectively, compared to 104% and 0.99X
at last review.
JPMBB COMMERCIAL 2013-C12: S&P Affirms B+ Rating on Cl. F Certs
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 13
classes of commercial mortgage pass-through certificates from JPMBB
Commercial Mortgage Securities Trust 2013-C12, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
"Our affirmations on the principal- and interest-paying
certificates follow our analysis of the transaction, primarily
using our 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 further reflect our expectation that the available
credit enhancement for these classes will be within our estimate of
the necessary credit enhancement required for the current ratings
and our views regarding the current and future performance of the
transaction's collateral. Our analysis also qualitatively
considered the reported decline in occupancy and the potential for
further performance deterioration from the IDS Center ($88.6
million, 6.9%) and Steelyard Commons Shopping Center ($38.7
million, 3.0%) loans," S&P said.
S&P affirmed its 'AAA (sf)' rating on the class X-A 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.
TRANSACTION SUMMARY
As of the April 15, 2016, trustee remittance report, the collateral
pooled trust balance was $1.29 billion, which is 96.3% of the
pooled trust balance at issuance. The pool currently includes 76
loans (reflecting cross-collateralized and cross-defaulted loans),
the same as at the time of issuance. One of these loans ($45.2
million, 3.5%) is with the special servicer, one ($9.0 million,
0.7%) is defeased, and nine ($91.3 million, 7.1%)are on the master
servicer's watchlist. The master servicer, Midland Loan Services,
reported financial information for 97.0% of the loans in the pool,
of which 51.8% was partial- or year-end 2015 data and the remainder
was year-end 2014 data.
Excluding the defeased loan, S&P calculated a 1.65x Standard &
Poor's weighted average debt service coverage (DSC) and 81.1%
Standard & Poor's weighted average loan-to-value (LTV) ratio using
a 7.90% Standard & Poor's weighted average capitalization rate for
the remaining pool balance. The top 10 loans have an aggregate
outstanding pool trust balance of $584.4 million (45.2%). Using
servicer-reported numbers, S&P calculated a Standard & Poor's
weighted average DSC and LTV of 1.73x and 78.8%, respectively, for
the top 10 loans. To date, the transaction has not experienced any
principal losses.
CREDIT CONSIDERATIONS
As of the April 15, 2016, trustee remittance report, one loan in
the pool was with the special servicer, LNR Partners LLC (LNR).
Details of this loan are.
The Colony Hills Portfolio loan - Yester Oaks Apartments ($23.1
million, 1.8%) and Windsor Place and Pathways Apartments ($22.1
million, 1.7%) loan consists of two cross-collateralized and
cross-defaulted loans and is the fifth-largest nondefeased loan in
the pool. The loan, which has a current payment status, has a
$45.3 million reported total exposure and is secured by two
multifamily apartment complexes totalling 1,215 units in Mobile,
Ala. The loan was transferred to the special servicer on Sept. 9,
2015, because of nonmonetary default. The reported DSC and
occupancy for the nine months ended Sept. 30, 2015, were 2.05x and
93.5%, respectively, for the Yester Oaks Apartments property and
0.64x and 89.3%, respectively, for the Windsor Place and Pathways
Apartments property.
RATINGS LIST
JPMBB Commercial Mortgage Securities Trust 2013-C12
US$1.341 bil commercial mortgage pass through certificates series
2013-C12
Rating Rating
Class Identifier To From
A-1 46639NAL5 AAA (sf) AAA (sf)
A-2 46639NAM3 AAA (sf) AAA (sf)
A-3 46639NAN1 AAA (sf) AAA (sf)
A-4 46639NAP6 AAA (sf) AAA (sf)
A-5 46639NAQ4 AAA (sf) AAA (sf)
A-SB 46639NAR2 AAA (sf) AAA (sf)
X-A 46639NAS0 AAA (sf) AAA (sf)
A-S 46639NAU5 AAA (sf) AAA (sf)
B 46639NAV3 AA- (sf) AA- (sf)
C 46639NAW1 A- (sf) A- (sf)
D 46639NAX9 BBB- (sf) BBB- (sf)
E 46639NAC5 BB (sf) BB (sf)
F 46639NAE1 B+ (sf) B+ (sf)
LB-UBS 2006-C3: Moody's Affirms B1 Rating on Cl. C Debt
-------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes, upgraded the ratings on two classes and downgraded the
ratings on three classes in LB-UBS Commercial Mortgage Trust
2006-C3, Commercial Pass-Through Certificates, Series 2006-C3 as:
Cl. A-J, Upgraded to A3 (sf); previously on May 15, 2015,
Upgraded to Baa2 (sf)
Cl. B, Upgraded to Ba1 (sf); previously on May 15, 2015,
Affirmed Ba2 (sf)
Cl. C, Affirmed B1 (sf); previously on May 15, 2015, Affirmed
B1 (sf)
Cl. D, Affirmed Caa1 (sf); previously on May 15, 2015, Affirmed
Caa1 (sf)
Cl. E, Downgraded to Caa3 (sf); previously on May 15, 2015,
Affirmed Caa2 (sf)
Cl. F, Downgraded to C (sf); previously on May 15, 2015,
Affirmed Caa3 (sf)
Cl. G, Affirmed C (sf); previously on May 15, 2015, Affirmed
C (sf)
Cl. X-CL, Downgraded to Caa2 (sf); previously on May 15, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 85% since Moody's last
review.
The ratings on three P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The ratings on two P&I classes were downgraded due to realized and
anticipated losses from specially serviced and troubled loans.
The rating on the IO Class (Class X-CL) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 24.4% of the
current balance, compared to 4.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 10.5% of the
original pooled balance, compared to 11.1% 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 21 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 15, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $160 million
from $1.7 billion at securitization. The certificates are
collateralized by thirteen mortgage loans ranging in size from less
than 1% to 33% of the pool, with the top ten loans constituting 98%
of the pool.
Four loans, constituting 38% 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-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $138 million (for an average loss
severity of 34%). Seven loans, constituting 59% of the pool, are
currently in special servicing. The largest specially serviced
loan is the 1 Allen Bradley Drive Loan ($52.7 million -- 33% of the
pool), which is secured by a 462,000 square foot (SF) office
property in Mayfield Heights, Ohio. The property is 100% leased to
Rockwell Automation, Inc. through November 2020. The loan has been
interest-only throughout its entire term and was set to mature in
March 2016. This loan transferred to special servicing in March
2016 due to maturity default as the borrower has been unable to
secure refinancing and a strategy is still being formed. Due to the
single tenant nature of this loan, Moody's incorporated a
"lit/dark" analysis. The loan is paid through April 2016.
The second largest specially serviced loan is the 950 Herndon
Parkway Loan ($17.2 million -- 11% of the pool), which is secured
by a four story office property located in Herndon, Virginia. The
property was 81% leased as of December 2015. This loan transferred
to special servicing in January 2016 due to maturity default as the
borrower has been unable to secure refinancing. An updated
appraisal has been ordered and a strategy is still being formed.
The third largest specially serviced loan is the Northborough Tower
Loan ($8.9 million -- 6% of the pool), which is secured by a
206,553 SF Class B office building in the West Beltway/Greenspoint
submarket of Houston, Texas. The property was 99% leased as of
September 2015. The building is solely leased to Noble Energy,
Inc., an oil industry firm that has vacated the space but has
continued to fulfill its lease obligation which expires in April
2018. This loan transferred to special servicing in January 2016
due to maturity default. An updated appraisal has been ordered.
The loan is paid through March 2016.
The remaining four specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $24.5 million loss
for the specially serviced loans (29% expected loss on average).
Moody's has assumed a high default probability for two poorly
performing loans, constituting 30% of the pool, and has estimated
an aggregate loss of $14 million (a 28% expected loss based on a
71% probability of default) from these troubled loans.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 100% of
the pool. Moody's weighted average conduit LTV is 82%, compared to
89% 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 35% 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 1.86X and 1.35X,
respectively, compared to 1.47X and 1.16X 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 34% of the pool balance. The
largest loan is the 1010 Second Avenue Loan ($40.0 million -- 25%
of the pool), which is secured by an office property located in
downtown San Diego, California. The property consists of 67 units
within two 25-story buildings and is surrounded by high-rise office
buildings, retail and apartments. It has been indicated by the
special servicer that this loan recently transferred to special
servicing due to maturity default which will be reflected in next
month's remittance statement. The property was 81% leased as of
September 2015. Performance has continued to decline. The largest
tenant at the property is the City of San Diego which leases 44% of
the NRA. The loan is paid through March 2016. Moody's LTV and
stressed DSCR are 154% and 0.63X, respectively, compared to 134%
and 0.73X at the last review.
The second largest loan is the Glens Falls Hospital Building Loan
($9.7 million -- 6% of the pool), which is secured by an office
building in Glens Falls, New York approximately 20 miles north of
Saratoga Springs, New York near the Glens Falls Hospital which is a
410 bed not-for-profit community hospital serving the communities
in Warren, Washington, Hamilton, Essex and northern Saratoga and
Rensselaer counties. The largest tenant at the property is Glens
Falls Hospital which leases 97% of the NRA. This interest-only
loan had a maturity date of April 11th, 2016. The servicer has
contacted the borrower for their plan to satisfy the loan and
awaits response. The property was 100% leased as of December 2015
and has been paid through March 2016. Due to the single tenant
nature of this loan, Moody's incorporated a "lit/dark" analysis.
Moody's LTV and stressed DSCR are 59% and 1.61X, respectively,
compared to 55% and 1.71X at the last review.
The third largest loan is the CVS -- Nashville Loan ($3.8 million
-- 2% of the pool), which is secured by a CVS Health (Senior
Unsecured Rating of Baa1; Outlook Stable) in Nashville, Indiana
approximately 60 miles south of Indianapolis. This interest-only
loan had a maturity date of March 11, 2016. The servicer has
contacted the borrower for their plan to satisfy the loan and
awaits response. The loan is paid through February 2016. Due to
the single tenant nature of this loan, Moody's incorporated a
"lit/dark" analysis. Moody's LTV and stressed DSCR are 139% and
0.66X, respectively, compared to 121% and 0.76X at the last
review.
LCM XXI: S&P Assigns BB- Rating on Class E Notes
------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to LCM XXI
L.P./LCM XXI LLC's $344.70 million fixed- and 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 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%-12.8655%.
-- 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.
-- During the reinvestment period, the transaction will benefit
from an interest reinvestment test, a failure of which will
lead to the reclassification of up to 50% of the excess
interest proceeds that are available before paying uncapped
administrative expenses and fees, incentive management fees,
and L.P. certificate note payments as either, at the
collateral manager's option, principal proceeds to purchase
additional collateral obligations or proceeds to pay
principal on the notes according to the note payment
sequence.
RATINGS LIST
LCM XXI L.P./LCM XXI LLC
$381.06 million fixed- and floating-rate notes
Amount
Class Rating (mil. $)
A AAA (sf) 235.00
B-1 AA (sf) 34.80
B-2 AA (sf) 12.00
C A (sf) 28.00
D BBB (sf) 18.90
E BB- (sf) 16.00
L.P. certificate NR 36.36
NR--Not rated.
MERRILL LYNCH 2006-CANADA: Moody's Cuts Cl. XC Debt Rating to B3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on eight
classes and downgraded the rating on one class in Merrill Lynch
Financial Assets, Inc., Series 2006-Canada 18, Commercial Mortgage
Pass-Through Certificates, Series 2006-Canada 18 as follows:
Cl. D, Upgraded to Aaa (sf); previously on Oct 9, 2015 Upgraded to
Aa3 (sf)
Cl. E, Upgraded to Aaa (sf); previously on Oct 9, 2015 Upgraded to
A1 (sf)
Cl. F, Upgraded to Aaa (sf); previously on Oct 9, 2015 Upgraded to
Baa1 (sf)
Cl. G, Upgraded to Aa3 (sf); previously on Oct 9, 2015 Upgraded to
Ba1 (sf)
Cl. H, Upgraded to A2 (sf); previously on Oct 9, 2015 Affirmed Ba3
(sf)
Cl. J, Upgraded to Baa1 (sf); previously on Oct 9, 2015 Affirmed B1
(sf)
Cl. K, Upgraded to Ba1 (sf); previously on Oct 9, 2015 Affirmed B2
(sf)
Cl. L, Upgraded to B1 (sf); previously on Oct 9, 2015 Affirmed B3
(sf)
Cl. XC, Downgraded to B3 (sf); previously on Oct 9, 2015 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes, classes D through L, 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 90.8%
since Moody's last review. In addition, loans constituting 83% of
the pool that have debt yields exceeding 12.0% are scheduled to
mature within the next 3 months.
The rating on the IO Class, was downgraded due to the decline in
the credit performance of its reference classes resulting from
principal paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 0% of the
current balance, compared to 2.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 0% of the original
pooled balance, compared to 1.1% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
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. Please see the Ratings
Methodologies page on www.moodys.com for a copy of this
methodology.
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 19 at last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these aggregated
proceeds for any pooling benefits associated with loan level
diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 20, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 95.6% to $26.2
million from $590.2 million at securitization. The certificates are
collateralized by 8 mortgage loans ranging in size from 4.3% to
26.8% of the pool. One loan, constituting 26.8% of the pool, has
defeased and is secured by US government securities.
Six loans, constituting 56.2% 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, and there are
currently no loans in special servicing.
Moody's received full year 2013 operating results for 60% of the
pool and full or partial year 2014 operating results for 80% of the
pool. Moody's weighted average conduit LTV is 78.9%, compared to
68.5% 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 20.5% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.21X and 1.40X,
respectively, compared to 1.61X and 1.57X 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 49.6% of the pool balance.
The largest loan is the Calfrac Centre Loan ($5.9 million -- 22.6%
of the pool), which is secured by a four story building containing
45,000 square feet (SF) of office space. The property is located in
the downtown commercial core, in the southwest quadrant of Calgary.
The asset is 100% occupied by CalFrac Well Services Ltd. through
August 2020. Moody's value incorporates a Lit/Dark blend due to
single tenancy risk. The loan is a full recourse loan. Moody's LTV
and stressed DSCR are 92.1% and 1.11X, respectively, compared to
93.7% and 1.10X at the last review.
The second largest loan is the Cote Vertu Multifamily Loan ($4.4
million -- 17.0% of the pool), which is secured by a freestanding
multi-family building comprised of 97 units located approximately
30 minutes from downtown Montreal. The property contains 48
one-bedroom, 48 two-bedroom and one three-bedroom unit. Per the
January 2015 rent roll the property was 93.8%. The loan is a full
recourse loan. Moody's LTV and stressed DSCR are 98.5% and 0.93X,
respectively, compared to 94.5% and 0.97X at the last review.
The third largest loan is the Applefest Lodge Loan ($2.6 million --
9.9% of the pool), which is secured by a private pay retirement
home, located in Brighton, Ontario, 90 miles East of Toronto. The
property contains 51 rooms with 40 suites which feature electric
fireplaces, a fridge and microwave. As per the September 2015 rent
roll the property was 65% occupied. The loan is a full recourse
loan. Moody's LTV and stressed DSCR are 59.6% and 1.54X,
respectively, compared to 58.2% and 1.58X at the last review.
MERRILL LYNCH 2008-C1: Moody's Affirms Ba1 Rating on Class E Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 20 classes of
Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2008-C1 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. AM, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed Aaa
(sf)
Cl. AM-A, Affirmed Aaa (sf); previously on Apr 24, 2015 Affirmed
Aaa (sf)
Cl. AJ, Affirmed A2 (sf); previously on Apr 24, 2015 Affirmed A2
(sf)
Cl. AJ-A, Affirmed A2 (sf); previously on Apr 24, 2015 Affirmed A2
(sf)
Cl. AJ-AF, Affirmed A2 (sf); previously on Apr 24, 2015 Affirmed A2
(sf)
Cl. B, Affirmed A3 (sf); previously on Apr 24, 2015 Affirmed A3
(sf)
Cl. C, Affirmed Baa1 (sf); previously on Apr 24, 2015 Affirmed Baa1
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Apr 24, 2015 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba1 (sf); previously on Apr 24, 2015 Affirmed Ba1
(sf)
Cl. F, Affirmed Ba3 (sf); previously on Apr 24, 2015 Affirmed Ba3
(sf)
Cl. G, Affirmed B1 (sf); previously on Apr 24, 2015 Affirmed B1
(sf)
Cl. H, Affirmed B3 (sf); previously on Apr 24, 2015 Affirmed B3
(sf)
Cl. J, Affirmed Caa1 (sf); previously on Apr 24, 2015 Affirmed Caa1
(sf)
Cl. K, Affirmed Caa2 (sf); previously on Apr 24, 2015 Affirmed Caa2
(sf)
Cl. L, Affirmed Caa3 (sf); previously on Apr 24, 2015 Affirmed Caa3
(sf)
Cl. M, Affirmed C (sf); previously on Apr 24, 2015 Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on Apr 24, 2015 Affirmed C (sf)
Cl. X, Affirmed Ba3 (sf); previously on Apr 24, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on the ten investment grade 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 ratings on the nine below investment grade P&I classes were
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 or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 5.9% of the
current balance, compared to 7.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 6.3% of the original
pooled balance, compared to 7.0% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
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.
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 33, the same as at Moody's last review.
DEAL PERFORMANCE
As of the April 14, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 48% to $496.4
million from $948.8 million at securitization. The certificates are
collateralized by 74 mortgage loans ranging in size from less than
1% to 9.7% of the pool, with the top ten loans constituting 40% of
the pool. Three loans, constituting 2% of the pool, have defeased
and are secured by US government securities.
Sixteen loans, constituting 28% 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.
Ten loans have been liquidated from the pool, resulting in an
aggregate realized loss of $30.5 million (for an average loss
severity of 39%). Two loans, constituting 2% of the pool, are
currently in special servicing. The largest loan in special
servicing is the Strayer University Loan ($5.6 Million --1.1% of
the pool). The loan transferred to special servicing in February
2015 as the result of non-monetary default. The borrower failed to
open a lock box and cash management account that was required
within the loan documents as the result of a performance trigger.
The property was 74% leased as of September 2015. The second loan
in special servicing is the 2910 Miller Road Loan ($2.8
million—0.7% of the pool) which is secured by an office property
located in Decatur, Georgia. The loan is REO (real estate owned).
Moody's estimates a modest loss for this specially serviced loan.
Moody's has assumed a high default probability for 10 poorly
performing loans, constituting 13% of the pool, and has estimated
an aggregate loss of $10.6 million (16% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2014 operating results for 96% of the
pool, and full or partial year 2015 operating results for 96% of
the pool. Moody's weighted average conduit LTV is 102%, compared to
103% 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 12% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.31 and 1.11X,
respectively, compared to 1.26X and 1.08X 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 21% of the pool balance. The
largest loan is the Fort Office Portfolio Loan ($48.2 million --
9.7% of the pool), which is secured by three office properties
totaling 341,000 square feet (SF). The properties are located in
Phoenix, Arizona; Houston, Texas and Omaha, Nebraska. As of
December 2015, the portfolio was 83% leased to six tenants, with
40% of the net rentable area expiring prior to the loan maturity
date of August 2017. The loan is currently on the watchlist due to
low DSCR. Moody's LTV and stressed DSCR are 139% and 0.76X,
respectively, compared to 138% and 0.77X at last review.
The second largest loan is the Manpower Group Inc. Headquarters
Loan ($41.3 million -- 8.3% of the pool), which is secured by a
280,000 SF, Class A office building located in the Downtown West
submarket of Milwaukee, Wisconsin. The property is 100% leased to
ManpowerGroup Inc. through August 2024. Manpower Group Inc. is an
American multinational human resources consulting firm. Moody's
performed a lit/dark analysis given the single tenant occupancy.
Moody's LTV and stressed DSCR are 105% and 1.03X, respectively,
compared to 107% and 1.01X at the last review.
The third largest loan is the Landmark Towers Loan ($16.0 million
-- 3.2% of the pool), which is secured by the commercial/office
portion of a 25-story building and an adjacent parking structure.
The building includes a residential component on floors 21-25,
which is not part of the collateral. As of December 2015, the
property was 93% leased. The property performance has declined, and
the loan is currently on the watchlist. Moody's LTV and stressed
DSCR are 115% and 0.94X, respectively.
MIDOCEAN CREDIT I: S&P Affirms BB Rating on Class D Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-2, B, C, and D notes from MidOcean Credit CLO I, a
cash flow collateralized loan obligation (CLO) transaction.
The affirmations on the class A-1, A-2, B, C, and D notes reflect
adequate credit support at their current rating levels. Although
the cash flow results show higher ratings for the class A-2, B, and
C notes, S&P considered the facts that the transaction, while out
of its reinvestment period, is still able to reinvest unscheduled
principal proceeds and has not yet paid down any principal to the
rated notes. These reinvestments may change some of the portfolio
characteristics. In addition, 'CCC' rated assets increased to
$27.27 million according to the March 2016 trustee report from the
$0 reported in April 2013 trustee report that S&P used for its
effective date analysis, and defaulted assets increased to $1.84
million in March 2016 from $0 in April 2013. These are offset by
the seasoning of the underlying collateral pool since S&P's
effective date rating affirmations in May 2013.
According to the March 2016 trustee report that S&P used for this
review, the overcollateralization (O/C) ratios for each class have
decreased slightly since S&P's May 2013 rating affirmations:
-- The class A ratio was 132.59%, down from the 132.86%
reported in April 2013, which S&P referenced for its May
2013 rating actions.
-- The class B ratio was 119.70%, down from the 119.84%
reported in April 2013.
-- The class C ratio was 112.76%, up from the 113.00% reported
in April 2013.
-- The class D ratio was 107.90%, up from 108.12% reported in
April 2013.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches. The cash flow
analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions," S&P said.
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 appropriate.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
MidOcean Credit CLO I
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A-1 AAA (sf) AAA (sf) 15.53 AAA (sf)
A-2 AA (sf) AA+ (sf) 14.01 AA (sf)
B A (sf) A+ (sf) 7.26 A (sf)
C BBB (sf) BBB+ (sf) 3.16 BBB (sf)
D BB (sf) BB (sf) 0.43 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 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
B A+ (sf) A+ (sf) A+ (sf) AA (sf) A (sf)
C BBB+ (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) BBB (sf)
D BB (sf) BB (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-2 AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
B A+ (sf) A+ (sf) BBB+ (sf) A (sf)
C BBB+ (sf) BBB (sf) BB+ (sf) BBB (sf)
D BB (sf) B+ (sf) B- (sf) BB (sf)
RATINGS AFFIRMED
MidOcean Credit CLO I
Class Rating
A-1 AAA (sf)
A-2 AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
MILL CREEK CLO II: Moody's Assigns Ba3 Rating on Class E Debt
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Mill Creek CLO II, Ltd.:
US$196,500,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$25,500,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$15,600,000 Class C Secured Deferrable Floating Rate Notes due
2028 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$18,000,000 Class D Secured Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$12,300,000 Class E Secured Deferrable Floating Rate Notes due
2028 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
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.
Mill Creek CLO II, Ltd. is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 95% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 5% of the portfolio may consist of second lien loans and
unsecured loans. The documents require the portfolio to be
approximately 67% ramped as of the closing date.
CreekSource 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 reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions. 40|86 Advisors, Inc. will act as sub-advisor to the
Manager.
In addition to the Rated Notes, the Issuer will issue 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: $300,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2600
Weighted Average Spread (WAS): 3.38%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 48.25%
Weighted Average Life (WAL): 8.5 years
MILL CREEK II: Moody's Assigns Definitive Ba3 Rating on Cl. E Debt
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Mill Creek CLO II, Ltd.:
US$196,500,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$25,500,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$15,600,000 Class C Secured Deferrable Floating Rate Notes due
2028 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$18,000,000 Class D Secured Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$12,300,000 Class E Secured Deferrable Floating Rate Notes due
2028 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
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.
Mill Creek CLO II, Ltd. is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 95% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 5% of the portfolio may consist of second lien loans and
unsecured loans. The documents require the portfolio to be
approximately 67% ramped as of the closing date.
CreekSource 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 reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions. 40|86 Advisors, Inc. will act as sub-advisor to the
Manager.
In addition to the Rated Notes, the Issuer will issue 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: $300,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2600
Weighted Average Spread (WAS): 3.38%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 48.25%
Weighted Average Life (WAL): 8.5 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 2600 to 2990)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2600 to 3380)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
MORGAN STANLEY 2003-TOP11: Moody's Affirms B3 Rating on X-1 Debt
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on six classes in Morgan Stanley Capital I
Trust, Commercial Mortgage Pass-Through Certificates, Series
2003-TOP11 as follows:
Cl. C, Affirmed Aaa (sf); previously on Jun 5, 2015 Affirmed Aaa
(sf)
Cl. D, Affirmed Aaa (sf); previously on Jun 5, 2015 Affirmed Aaa
(sf)
Cl. E, Affirmed Aaa (sf); previously on Jun 5, 2015 Upgraded to Aaa
(sf)
Cl. F, Upgraded to Aaa (sf); previously on Jun 5, 2015 Upgraded to
Aa2 (sf)
Cl. G, Upgraded to A3 (sf); previously on Jun 5, 2015 Upgraded to
Ba1 (sf)
Cl. H, Affirmed Caa2 (sf); previously on Jun 5, 2015 Affirmed Caa2
(sf)
Cl. J, Affirmed C (sf); previously on Jun 5, 2015 Affirmed C (sf)
Cl. X-1, Affirmed B3 (sf); previously on Jun 5, 2015 Downgraded to
B3 (sf)
RATINGS RATIONALE
The ratings on classes F and G were upgraded based on an increase
in credit support resulting from loan paydowns and amortization.
The deal has paid down 11% since Moody's last review.
The ratings on classes C, D and E 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 classes H and J were affirmed because
the ratings are consistent with Moody's expected loss.
The rating on the IO Class (Class X-1) was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 2.1% of the
current balance, compared to 3.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.9% of the original
pooled balance, compared to 2.0% 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 methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015. Please see the Ratings
Methodologies page on www.moodys.com for a copy of these
methodologies.
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 12, the same as at last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these aggregated
proceeds for any pooling benefits associated with loan level
diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 13, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $73 million
from $1.19 billion at securitization. The certificates are
collateralized by 21 mortgage loans ranging in size from less than
1% to 5% of the pool, with the top ten loans constituting 24% of
the pool. Four loans, constituting 71% of the pool, have defeased
and are secured by US government securities.
Three loans, constituting 4% 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.
Fourteen loans have been liquidated from the pool, contributing to
an aggregate realized certificate loss of approximately $22.6
million. One loan, the 9200 Edmonston Road loan ($2.2 million --
3.1% of the pool) is currently in special servicing. The loan
initially transferred to special servicing in May 2013 due to
maturity default, and was modified to extend the maturity date
through May 2015, however, the loan transferred back to special
servicing in April 2015. The property recently sold at a
foreclosure sale in December 2015. The loan is secured by a 39,000
SF office building in Greenbelt, Maryland. The property is 100%
occupied by GSA with a lease expiration in July 2016. Moody's
assumes a high probability that the GSA does not renew.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 89% of
the pool. Moody's weighted average conduit LTV is 33%, compared to
34% 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 11% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.75X and 4.91X,
respectively, compared to 1.75X and 4.16X 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 largest conduit loan is the All Size Storage Loan ($3.7 million
-- 5.0% of the pool), which is secured by a self-storage property
with approximately 665 storage units located in San Clemente,
California. As of September 2015, the storage facility was 84%
occupied. The loan is benefiting from amortization and matures in
June 2018. Moody's LTV and stressed DSCR are 38% and 2.72X,
respectively, compared 39% and 2.65X at the last review.
The second largest conduit loan is the Golden Springs Business
Center Loan ($2.3 million -- 3.2% of the pool), which is secured by
an industrial property located in Santa Fe Springs, California. As
of April 2015, the property was 100% leased to 3 tenants, the same
as at prior review. The loan is fully amortizing and matures in
July 2018. Moody's LTV and stressed DSCR are 12% and 8.84X,
respectively, compared to 16% and 6.83X at the last review.
The third largest conduit loan is the Foothilll Junction Shopping
Center Loan ($1.9 million -- 2.6% of the pool), which is secured by
a retail property located in Roseville, California. As of September
2015, the property was 77% leased, up from 76% in December 2014.
The collateral is shadow anchored by a Save Mart supermarket. The
loan is fully amortizing and matures in May 2023. Moody's LTV and
stressed DSCR are 42% and 2.43X, respectively, compared to 38% and
2.69X at the last review.
OCEANVIEW CBO I: S&P Affirms B Rating on Class A-1A Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'B (sf)' rating on
the class A-1A notes from Oceanview CBO I Ltd., a collateralized
debt obligation (CDO) that closed in June 2002.
The transaction is currently in acceleration following an event of
default in 2010. The affirmation on the class A-1A notes reflects
the financial guarantee provided by MBIA Insurance Corp.
(B/Stable/--).
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.
ONDECK ASSET 2016-1: S&P Assigns Prelim. BB- Rating on Cl. B Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to OnDeck Asset Securitization Trust II LLC's $250 million
fixed-rate asset-backed notes series 2016-1.
The note issuance is an asset-backed securities transaction backed
by a revolving pool of term loans made to U.S. small businesses to
fund their working capital needs.
The preliminary ratings are based on information as of April 26,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The available credit enhancement in the form of
subordination (for the class A notes),
overcollateralization, a funded reserve account, and excess
spread;
-- The transaction's legal structure, which is intended to be
bankruptcy remote;
-- The credit quality of the initial and future collateral
portfolio, which consists of a revolving pool of fixed-rate
small business loans;
-- The issuer's ability to make timely interest and ultimate
principal payments on the notes;
-- The servicing capability of the servicer, OnDeck; and
-- The servicing capability of Portfolio Financial Servicing
Co. and its responsibility as a warm backup servicer on the
closing date.
PRELIMINARY RATINGS ASSIGNED
OnDeck Asset Securitization Trust II LLC (Series 2016-1)
Class Rating Amount
(mil. $)
A BBB+ (sf) 211.54
B BB- (sf) 38.46
PALMER SQUARE 2016-2: S&P Assigns Prelim. BB Rating on Cl. D Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to Palmer Square Loan Funding 2016-2 Ltd./Palmer Square Loan
Funding 2016-2 LLC's $185.00 million floating-rate notes.
The note issuance is backed by a static pool consisting primarily
of broadly syndicated senior secured loans.
The preliminary ratings are based on information as of April 25,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided to the preliminary 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 collateral servicer's experienced management team.
-- The transaction's ability to make timely interest and
ultimate principal payments on the preliminary rated notes,
which S&P assessed using its cash flow analysis and
assumptions commensurate with the assigned preliminary
ratings under various interest-rate scenarios, including
LIBOR ranging from 0.3439%-11.6654%.
-- 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.
PRELIMINARY RATINGS ASSIGNED
Palmer Square Loan Funding 2016-2 Ltd./Palmer Square Loan Funding
2016-2 LLC
Prelim. Prelim.
Class rating amount
(mil. $)
A-1 AAA (sf) 135.000
A-2 AA (sf) 18.400
B (deferrable) A (sf) 16.900
C (deferrable) BBB (sf) 7.650
D (deferrable) BB (sf) 7.050
Subordinated notes NR 15.475
NR--Not rated.
RASC TRUST 2004-KS10: Moody's Raises Rating on Cl. M-3 Debt to B3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 5 tranches,
from 2 transactions issued by RFC backed by Subprime mortgage
loans.
Complete rating actions are:
Issuer: RAMP Series 2002-RZ4 Trust
Cl. A, Upgraded to Aa2 (sf); previously on May 4, 2015, Upgraded
to A1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: RASC Series 2004-KS10 Trust
Cl. A-I-3, Upgraded to Aa2 (sf); previously on April 9, 2012,
Upgraded to Aa3 (sf)
Cl. M-1, Upgraded to Baa1 (sf); previously on May 11, 2015,
Upgraded to Ba1 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on May 11, 2015,
Upgraded to B3 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on May 11, 2015,
Upgraded to Ca (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 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.
RASC TRUST 2004-KS2: Moody's Raises Rating on Cl. M-I-1 Debt to B2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 2 tranches,
from one transaction issued by RASC 2004-KS2 backed by Subprime
mortgage loans.
Complete rating actions are:
Issuer: RASC Series 2004-KS2 Trust
Cl. M-I-1, Upgraded to B2 (sf); previously on April 9, 2012,
Downgraded to Caa2 (sf)
Cl. M-II-1, Upgraded to Ba3 (sf); previously on July 30, 2015,
Upgraded to B2 (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 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.
SHEFFIELD CDO: Moody's Affirms Caa2 Rating on Class C Notes
-----------------------------------------------------------
Moody's Investors Service has taken a variety of rating actions on
these notes issued by Sheffield CDO, Ltd.:
$43 mil. (Current Outstanding Balance USD31.5 mil.) Class B
Senior Secured Floating Rate Notes due 2046, Upgraded to
Aa2 (sf); previously on Sept. 25, 2015, Upgraded to A2 (sf)
$22 mil. Class C (Current Outstanding Balance USD25.4 mil.)
Deferrable Interest Secured Floating Rate Notes due 2046,
Affirmed Caa2 (sf); previously on Sept. 25, 2015, Upgraded to
Caa2 (sf)
$17.25 mil. (Current Outstanding Balance USD23.1 mil.) Class D
Deferrable Interest Secured Floating Rate Notes due 2046,
Affirmed Ca (sf); previously on Sept. 25, 2015, Affirmed
Ca (sf)
RATINGS RATIONALE
The rating actions on the notes are primarily a result of the
significant deleveraging of the Class B and the subsequent increase
in the senior overcollateralization ratios. Since the last rating
action in September 2015 Class A-2 has fully redeemed while Class B
has paid down by EUR11.4 mil. (26.5% of its original balance).
As a result, the senior OC ratio has materially increased in the
last 7 months and has benefited the class B. As per the latest
trustee report dated April 2016, the Senior OC ratio is reported at
156.43%, compared to 136.49% last September. Class C OC has only
marginally improved and remains materially below the trigger as per
the trustee calculations.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in July 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
In addition to the base-case analysis, Moody's conducted
sensitivity analyses on the key parameters for the rated notes:
(1) Defaulted all Caa Referenced Entities - To test the deal
sensitivity to the lowest rated entities of the portfolio,
all Caa exposures amounting to 19.7% of the reference pool,
were ran as defaulted. This run generated a result that was
lower by 2 notches than the one modeled under the base case.
(2) Pace of Asset Amortization - Moody's considered several
model runs where assets were assumed to redeem at different
maturities. The model outputs for these runs are consistent
with base run results.
This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of 1) uncertainty about credit conditions in the
general economy 2) divergence in the legal interpretation of CDO
documentation by different transactional parties due to or because
of embedded ambiguities.
Additional uncertainty about performance is due to:
Portfolio amortization: The main source of uncertainty in this
transaction is the pace of amortization of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortization could accelerate as a consequence of high
prepayment levels or collateral sales by the collateral manager.
Fast amortization would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's over-
collateralisation levels. Further, the timing of recoveries and
the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries
higher than Moody's expectations would have a positive impact on
the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modeled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input 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.
SHERIDAN SQUARE: S&P Affirms B Rating on Class F Notes
------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B-1, B-2, and C notes from Sheridan Square CLO Ltd., a U.S.
collateralized loan obligation (CLO) that closed in March 2013 and
is managed by GSO/Blackstone Debt Funds Management. At the same
time, S&P affirmed its ratings on the class A-1, A-2, D, E, E-1,
and F notes from the same transaction.
The deal is currently in its reinvestment phase, which is scheduled
to end in April 2017. Since the transaction's effective date, the
default asset balance has increased to $2.68 million as of the
March 2016 trustee report. Over the same period, the amount of
'CCC' rated assets has increased to $16.63 million from $1.00
million. The additional par in the portfolio, as well as the
overall credit seasoning, offsets the increase in defaults and
'CCC' rated assets. This is evident in the minimal changes of the
overcollateralization (O/C) ratios over time. The March 2016
trustee report indicated these O/C changes when compared to the May
2013 report:
-- The class A/B O/C remained unchanged at 132.27%.
-- The class C O/C ratio remained unchanged at 120.87%.
-- The class D O/C ratio marginally increased to 113.94% from
113.93%.
-- The class E O/C ratio remained unchanged at 108.51%.
S&P's affirmations of the ratings on the class A-1, A-2, D, E, and
E-1 notes reflect the available credit support consistent with the
current rating levels. Additionally, though S&P's cash flow
results indicated a lower rating, the class F notes were affirmed
at 'B (sf)' to account for the consistent O/C levels over time.
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
Sheridan Square CLO Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A-1 AAA (sf) AAA (sf) 10.69 AAA (sf)
A-2 AAA (sf) AAA (sf) 10.69 AAA (sf)
B-1 AA (sf) AA+ (sf) 10.80 AA+ (sf)
B-2 AA (sf) AA+ (sf) 10.80 AA+ (sf)
C A (sf) AA- (sf) 0.64 A+ (sf)
D BBB (sf) A- (sf) 0.79 BBB (sf)
E BB (sf) BB+ (sf) 6.26 BB (sf)
E-1 BB (sf) BB+ (sf) 6.26 BB (sf)
F B (sf) CCC+ (sf) 3.34 B (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate 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-1 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
D A- (sf) BBB+ (sf) BBB+ (sf) A+ (sf) BBB (sf)
E BB+ (sf) BB (sf) BB+ (sf) BBB- (sf) BB (sf)
E-1 BB+ (sf) BB (sf) BB+ (sf) BBB- (sf) BB (sf)
F CCC+ (sf) CCC+ (sf) CCC+ (sf) CCC+ (sf) B (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) AA (sf) AA+ (sf)
B-2 AA+ (sf) AA+ (sf) AA (sf) AA+ (sf)
C AA- (sf) A+ (sf) BBB+ (sf) A+ (sf)
D A- (sf) BBB+ (sf) BB+ (sf) BBB (sf)
E BB+ (sf) BB+ (sf) B+ (sf) BB (sf)
E-1 BB+ (sf) BB+ (sf) B+ (sf) BB (sf)
F CCC+ (sf) CCC+ (sf) CC (sf) B (sf)
RATINGS RAISED
Sheridan Square CLO Ltd.
Rating
Class To From
B-1 AA+ (sf) AA (sf)
B-2 AA+ (sf) AA (sf)
C A+ (sf) A (sf)
RATINGS AFFIRMED
Sheridan Square CLO Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
D BBB (sf)
E BB (sf)
E-1 BB (sf)
F B (sf)
SIERRA TIMESHARE 2013-2: Fitch Affirms BBsf Rating on Cl. C Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed the notes issued by various Sierra
Timeshare Receivables transactions.
KEY RATING DRIVERS
The rating affirmations reflect the ability of each transaction's
credit enhancement (CE) to provide loss coverage consistent with
the current ratings. To date, all transactions are tracking within
Fitch's initial base case cumulative gross default (CGD)
expectations. The Stable Outlook for all four transactions,
inclusive of the Outlook revision to Stable from Positive for the
2013-2 transaction, reflects Fitch's expectation that the notes
will remain sufficiently enhanced to cover stressed loss levels for
the next 12 to 18 months.
Fitch will continue to monitor economic conditions and their impact
on trust level performance variables and update the ratings
accordingly.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults could produce
cumulative gross default (CGD) levels higher than the base case and
would likely result in declines of credit enhancement and remaining
default coverage levels available to the notes. Additionally,
unanticipated increases in prepayment activity could also result in
a decline in coverage. Decreased default coverage may make certain
note ratings susceptible to potential negative rating actions,
depending on the extent of the decline in coverage.
At the time of initial rating, Fitch conducted sensitivity analysis
stressing each of the transaction's initial base case CGD and
prepayment assumptions by 1.5x and 2.0x and examining the rating
implications on all classes of issued notes. The 1.5x and 2.0x
increases of each transaction's base case CGD and prepayment
assumptions represent moderate and severe stresses, respectively,
and are intended to provide an indication of the rating sensitivity
of notes to unexpected deterioration of a trust's performance.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
Sierra Timeshare 2012-2 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable.
Sierra Timeshare 2013-2 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook revised to Stable from
Positive;
-- Class B notes at 'BBBsf'; Outlook revised to Stable from
Positive;
-- Class C notes at 'BBsf'; Outlook revised to Stable from
Positive.
Sierra Timeshare 2014-2 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable.
Sierra Timeshare 2015-2 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable.
WAMU ASSET 2005-C1: S&P Raises Rating on Cl. M Certs to B
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of commercial mortgage pass-through certificates from
Washington Mutual Asset Securities Corp. 2005-C1, a U.S. commercial
mortgage-backed securities (CMBS) 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.
S&P raised its ratings on classes J, K, L, and M 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 and available liquidity support. The
upgrades further reflect the continued paydown of the collateral
pool, better-than-expected recoveries on liquidated loans, and the
high quality of the underlying loan portfolio, which currently has
no loans with the special servicer.
The ratings on classes L and M were previously lowered to 'D (sf)'
due to accumulated interest shortfalls that S&P expected to remain
outstanding for a prolonged period of time. S&P raised its ratings
on these classes from 'D (sf)'because the interest shortfalls have
been resolved in full and S&P do not believe, at this time, a
further default of any of these certificate classes is virtually
certain.
While available credit enhancement levels suggest further positive
rating movement on classes L and M, S&P's analysis also factored in
these classes' interest shortfall history, as well as the
concentration within the loan portfolio--the top loan (discussed
below) constitutes about 44% of the total portfolio balance-- the
near-term maturities of the loans, and the liquidity support
available to the classes.
TRANSACTION SUMMARY
As of the March 25, 2016, trustee remittance report, the collateral
pool balance was $6.87 million, which is 1.06% of the pool balance
at issuance. The pool currently includes 20 loans, down from 211
loans at issuance. Four loans ($0.68 million, 9.9%) are on the
master servicer's watchlist. The master servicer, KeyBank N.A.,
reported financial information for 98.0% of the loans in the pool,
of which 41.9% was year-end 2015 data and the remaining 58.1% was
year-end 2014 data.
S&P calculated a 1.81x Standard & Poor's weighted average debt
service coverage (DSC) and 21.0% loan-to-value (LTV) ratio using a
21.0% Standard & Poor's weighted average capitalization rate. To
date, the transaction has experienced $970,000 in principal losses,
or 0.2% of the original pool trust balance.
The Federal Express Building A ($2.96 million, 43%), an amortizing
balloon loan, and Federal Express Building B ($0.05 million, 1%), a
fully amortizing loan, are together the largest nondefeased loan in
the pool and have a total reported exposure of $3.01 million.
Federal Express Building B is a B-note and is subordinate to
Federal Express Building A. This is a cross-collateralized and
cross-defaulted loan secured by a single-story industrial building
totaling 91,474 sq. ft. in Hamilton, N.J. This loan is scheduled
to mature on July 1, 2016. The property is fully occupied by FedEx
Corp. with a lease end date of Feb. 28, 2023. The reported whole
loan DSC and occupancy as of year-end 2014 were 1.21x and 100.0%,
respectively.
RATINGS LIST
Washington Mutual Asset Securities Corp.
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class Identifier To From
J 93934DCF2 AA+ (sf) A+ (sf)
K 93934DCG0 AA+ (sf) BB+ (sf)
L 93934DCH8 BBB (sf) D (sf)
M 93934DCJ4 B (sf) D (sf)
WELLFLEET CLO 2016-1: Moody's Assigns Ba3(sf) Rating to Cl. E Debt
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to one class of
loans and six classes of notes issued by Wellfleet CLO 2016-1, Ltd.
(the "Issuer" or "Wellfleet CLO 2016-1").:
Moody's rating action is as follows:
US$97,500,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Assigned Aaa (sf)
US$130,000,000 Class A Loans due 2028 (the "Class A Loans"),
Assigned Aaa (sf)
US$38,500,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Assigned Aa2 (sf)
US$21,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Assigned A2 (sf)
US$17,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D Notes"), Assigned Baa3 (sf)
US$17,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Assigned Ba3 (sf)
US$2,000,000 Class X Senior Secured Floating Rate Notes due 2028
(the "Class X Notes"), Assigned Aaa (sf)
The Class X Notes, the Class A Notes, the Class A Loans, the Class
B Notes, the Class C Notes, the Class D Notes and the Class E Notes
are referred to herein, collectively, as the "Rated 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.
Wellfleet CLO 2016-1 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 95.0% of the
portfolio must consist of senior secured loans and eligible
investments, and up to 5.0% of the portfolio may consist of second
lien loans, senior unsecured loans and first-lien last out loans.
The portfolio is approximately 75% ramped as of the closing date.
Wellfleet Credit Partners, 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 Debt, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes and loans in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $350,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2625
Weighted Average Spread (WAS): 4.0%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 8.2 years
WELLS FARGO BANK 2012-C8: Fitch Affirms 'Bsf' Rating on Cl. G Debt
------------------------------------------------------------------
Fitch Ratings has affirmed all 15 classes of Wells Fargo Bank,
National Association, WFRBS Commercial Mortgage Trust 2012-C8
commercial mortgage pass-through certificates (WFRBS 2012-C8).
KEY RATING DRIVERS
The affirmations are based on the overall stable performance of the
pool's underlying collateral since issuance. As of the April 2016
distribution date, the pool's aggregate principal balance has been
reduced by 4.5% to $1.24 billion from $1.3 billion at issuance. Per
the servicer reporting, five loans (5.7% of the pool) are defeased.
Interest shortfalls are currently affecting class H.
Fitch modeled losses of 2.7% 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 three loans (4.2%)
as Fitch Loans of Concern, which includes one specially serviced
loan (0.2%). The deterministic stress scenario was used in Fitch's
analysis. In addition, there was a variance from criteria related
to classes B, C, D, and E, for which the model output suggested
that an upgrade was possible. Fitch determined, however, that an
upgrade was not warranted at this time as there have been no
material changes to the performance of the pool since issuance and
no significant increase in credit enhancement.
The largest Fitch Loan of Concern is the Plaza on Richmond loan
(3.5%), which is secured by a 193,636 square foot (sf) retail
center located in Houston, TX. The subject is anchored by 24 Hour
Fitness (19.08% of net rentable area) through a lease that expires
in October 2024. Other tenants include TJ Maxx (15%, expiry January
2023), and Golf Galaxy (8%, expiry May 2020). Per servicer
reporting, the net operating income (NOI) debt service coverage
ratio (DSCR) dropped to 1.32x as of year-end (YE) 2015 from 1.39x
as o, as the interest-only period of the loan burned off in 2014.
The subject was 89% occupied as of the December 2015 rent roll.
The next largest contributor to modeled losses is a loan (0.6%)
secured by a 96-room, extended-stay hotel located in San Angelo,
TX. The subject has experienced a drastic decline in occupancy due
to a surplus of hotel rooms available and decreased demand for
lodging from oil and gas sector employees, the subject's primary
client base. Full-year occupancy declined to 53% in 2015 from 74%
in 2014. The NOI DSCR was 0.89x as of December 2015. The loan has
been added as a Fitch Loan of Concern and will continue to be
monitored for further deterioration in performance.
The third largest contributor to modeled losses is a specially
serviced loan (0.1%) secured by a 463-unit self-storage facility
located in Houston, TX. The loan transferred to the special
servicer in April 2015 due to the bankruptcy filing of a guarantor.
The special servicer indicates it has filed a Proof of Claim
against the guarantor to which the guarantor has filed an
Objection. The most recent rent roll and financials provided by the
servicer were as of September 2014 and showed the subject as 89%
occupied with a year-to-date NOI DSCR of 1.65x. The loan remains
current, but will continue to be monitored for a resolution between
the guarantor and the lender.
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 the following classes:
-- $38.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $187.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $414.1 million class A-3 at 'AAAsf'; Outlook Stable;
-- $96.9 million class A-SB at 'AAAsf'; Outlook Stable;
-- $115 million class A-FL at 'AAAsf'; Outlook Stable;
-- $0 class A-FX at 'AAAsf'; Outlook Stable;
-- $966.2 million* class X-A at 'AAAsf'; Outlook Stable;
-- $113.8 million class A-S at 'AAAsf'; Outlook Stable;
-- $66.7 million class B at 'AAsf'; Outlook Stable;
-- $66.7 million class X-B at 'AAsf'; Outlook Stable;
-- $43.9 million class C at 'Asf'; Outlook Stable;
-- $26 million class D at 'BBB+sf'; Outlook Stable;
-- $45.5 million class E at 'BBB-sf'; Outlook Stable;
-- $22.8 million class F at 'BBsf'; Outlook Stable;
-- $26 million class G at 'Bsf'; Outlook Stable.
WHITEHORSE VI: S&P Affirms 'B' Rating on Class B-3L Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1L, A-2L, A-3L, B-1L, B-2L, and B-3L notes from WhiteHorse
VI Ltd., a cash flow collateralized loan obligation (CLO)
transaction.
The affirmations on the notes reflect adequate credit support at
their current rating levels. Although the cash flow results show
higher ratings for the class A-2L, A-3L, B-1L, and B-2L notes, S&P
considered the fact that the transaction is still in its
reinvestment period and has not yet paid down any principal to the
rated notes. In addition, the amount of 'CCC'-rated assets
increased to $36.91 million, according to the March 2016 trustee
report, from the $5.89 million reported in the March 2013 trustee
report that S&P used for its effective date analysis, and defaulted
assets also increased to $4.98 million in March 2016 from $0 in
March 2013. These factors are offset by the seasoning of the
underlying collateral pool since our effective date in May 2013.
The transaction also exhibits moderate exposure to the energy
sector with over 7% of the collateral pool comprising assets from
the depressed oil and gas industry.
According to the March 2016 trustee report, the
overcollateralization (O/C) ratios for each class have decreased
slightly since S&P's May 2013 affirmations:
-- The class A ratio was 119.42%, down from 119.75%.
-- The class B-1L ratio was 113.16%, down from 113.47%.
-- The class B-2L ratio was 107.82%, down from 108.11%.
-- The class B-3L ratio was 105.26%, down from 105.55%.
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 or
ultimate principal, or both, to each of the rated tranches. 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 these rating
actions.
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, S&P will take rating actions as it deems
necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
WhiteHorse VI Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(%)(ii) rating
A-1L AAA (sf) AAA (sf) 8.23 AAA (sf)
A-2L AA (sf) AA+ (sf) 14.35 AA (sf)
A-3L A (sf) A+ (sf) 7.41 A (sf)
B-1L BBB (sf) BBB+ (sf) 7.18 BBB (sf)
B-2L BB- (sf) BB+ (sf) 1.99 BB- (sf)
B-3L B (sf) B- (sf) 0.92 B (sf)
(i)The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii)The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
scenario Within industry (%) Between industries
(%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1L AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2L AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
A-3L A+ (sf) A+ (sf) A+ (sf) AA (sf) A (sf)
B-1L BBB+ (sf) BBB (sf) BBB+ (sf) A- (sf) BBB (sf)
B-2L BB+ (sf) B+ (sf) BB+ (sf) BB+ (sf) BB- (sf)
B-3L B- (sf) CCC (sf) B- (sf) B- (sf) B (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1L AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-2L AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
A-3L A+ (sf) A+ (sf) BBB+ (sf) A (sf)
B-1L BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
B-2L BB+ (sf) BB- (sf) B (sf) BB- (sf)
B-3L B- (sf) CCC- (sf) CC (sf) B (sf)
RATINGS AFFIRMED
WhiteHorse VI Ltd.
Class Rating
A-1L AAA (sf)
A-2L AA (sf)
A-3L A (sf)
B-1L BBB (sf)
B-2L BB- (sf)
B-3L B (sf)
[*] Fitch Takes Various Actions on 12 Trust Preferred CDOs
----------------------------------------------------------
Fitch Ratings, on April 21, 2016, affirmed 42, upgraded three,
downgraded two, and revised Rating Outlooks on six tranches from 12
collateralized debt obligations (CDOs) backed primarily by Trust
Preferred (TruPS) securities issued by banks.
KEY RATING DRIVERS
Credit Quality of Collateral: In nine transactions, the credit
quality of the collateral portfolios, as measured by a combination
of Fitch's bank scores and ratings, remained stable or improved. As
reported in the rating action report, the remaining three
transactions experienced deterioration in credit quality. Two
transactions reported new deferrals or defaults since last review.
Collateral Redemptions: Seven CDOs received various levels of
redemptions that paid down the senior-most notes and increased
credit enhancement (CE) levels for rated liabilities. The
magnitude of redemptions for each CDO is reported in the
accompanying rating action report. Potential upgrades were weighed
against the risk of adverse selection in the remaining portfolios,
especially those concentrated in fewer performing issuers, and
considered in the context of the likely time horizon for the notes'
paydown.
Resolution and Recovery of Defaults and Deferrals: The number of
cures continued to outpace deferrals and defaults, as Fitch reports
in its monthly Fitch Bank TruPS CDO Default and Deferral Index
report. Fitch assesses the likelihood of a cure for a current
deferral based on the score history of a deferring issuer since
deferral.
Fitch assumes that 15% of recent cures, defined as curing within
the last year, re-defer and are considered weak deferrals to
account for observed re-deferrals by some issuers. The percentage
of cures since last review for each CDO is reported in the
accompanying rating action report.
CDO Structure: Excess spread continued to contribute to
deleveraging of seven CDOs from either Optimal Principal
Distribution Amount (OPDA) or failing coverage tests. The uplift
from the excess spread ranged from none to four notches. For
non-deferrable notes, Fitch performs analysis of the notes'
interest sensitivity to additional defaults and deferrals. Ratings
for non-deferrable notes are capped at the rating stress level
corresponding to the magnitude of additional defaults and deferrals
that could trigger a missed interest payment.
Performing CE Cap: The ratings on 12 classes of notes in seven
transactions have been capped at their current rating level due to
the application of performing CE cap as described in 'Surveillance
Criteria for TruPS CDOs,' dated April 5, 2016.
The rating on the class A-2 note in Regional Diversified Funding
2005-1 Ltd./Corp. has been downgraded to 'Bsf' from 'BBsf' as its
performing CE is below a minimum threshold defined by the criteria
for 'BBsf' rating category.
The current hedge counterparty in TPref Funding III, Ltd./Corp.,
AIG Financial Products does not meet Fitch's 'Counterparty Criteria
for Structured Finance and Covered Bonds' (May 14, 2014), because
the parent company, American International Group does not have a
current short-term Issuer Default Rating. Fitch performed scenario
analysis in which the counterparty defaults and based on the
analysis concluded that the current ratings will not be impacted.
RATING SENSITIVITIES
Changes in the rating drivers could lead to rating changes in the
TruPS CDO notes. To address potential risks of adverse selection
and increased portfolio concentration Fitch applied a sensitivity
scenario, as described in the criteria.
DUE DILIGENCE USAGE
No third party due diligence was reviewed in relation to this
rating action.
[*] Moody's Hikes $1-Bil. of Subprime RMBS Issued 2005-2006
-----------------------------------------------------------
Moody's Investors Service, on April 21, 2016, upgraded the ratings
of 38 tranches from 15 deals issued by various issuers, backed by
Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB2
Cl. M-2, Upgraded to B1 (sf); previously on Jun 25, 2015 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Jun 25, 2015 Upgraded
to Caa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB6
Cl. A-3, Upgraded to A3 (sf); previously on Jun 25, 2015 Upgraded
to Baa3 (sf)
Cl. A-4, Upgraded to A2 (sf); previously on Jun 25, 2015 Upgraded
to Baa2 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Jun 25, 2015 Upgraded
to B3 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB8
Cl. AF-2, Upgraded to Ba3 (sf); previously on Aug 14, 2012
Downgraded to B3 (sf)
Cl. AF-3, Upgraded to B2 (sf); previously on Jun 25, 2015 Upgraded
to Caa2 (sf)
Cl. AF-4, Upgraded to B2 (sf); previously on Jun 25, 2015 Upgraded
to Caa2 (sf)
Cl. AF-5, Upgraded to B1 (sf); previously on Jun 25, 2015 Upgraded
to Caa1 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-CB6
Cl. A-I, Upgraded to Baa3 (sf); previously on Jun 25, 2015 Upgraded
to B1 (sf)
Cl. A-II-3, Upgraded to B2 (sf); previously on Jun 25, 2015
Upgraded to Caa1 (sf)
Cl. A-II-4, Upgraded to B3 (sf); previously on Jun 25, 2015
Upgraded to Caa2 (sf)
Issuer: Centex Home Equity Loan Trust 2005-C
Cl. M-2, Upgraded to Ba1 (sf); previously on Jun 30, 2015 Upgraded
to Ba2 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on Jun 30, 2015 Upgraded
to Caa1 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Jun 30, 2015 Upgraded
to Caa3 (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to C (sf)
Issuer: Centex Home Equity Loan Trust 2006-A
Cl. AV-3, Upgraded to A1 (sf); previously on Jun 30, 2015 Upgraded
to A3 (sf)
Cl. AV-4, Upgraded to A2 (sf); previously on Jun 30, 2015 Upgraded
to Baa2 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on Jun 30, 2015 Upgraded
to B2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 30, 2015 Upgraded
to Ca (sf)
Issuer: New Century Home Equity Loan Trust, Series 2005-D
Cl. A-1, Upgraded to Baa1 (sf); previously on Jun 30, 2015 Upgraded
to Ba1 (sf)
Cl. A-2c, Upgraded to A1 (sf); previously on Jun 30, 2015 Upgraded
to Baa1 (sf)
Cl. A-2d, Upgraded to Baa1 (sf); previously on Jun 30, 2015
Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Jun 30, 2015 Upgraded
to B3 (sf)
Issuer: Newcastle Mortgage Securities Trust 2006-1
Cl. A-4, Upgraded to A1 (sf); previously on Jun 22, 2015 Upgraded
to Baa2 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on Jun 22, 2015 Upgraded
to B2 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Jun 22, 2015 Upgraded
to Caa3 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCW2
Cl. M-3, Upgraded to Caa3 (sf); previously on Sep 10, 2014 Upgraded
to Ca (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-3
Cl. AV-1A, Upgraded to A1 (sf); previously on Jun 25, 2015 Upgraded
to Baa1 (sf)
Cl. AV-1B, Upgraded to Baa3 (sf); previously on Jun 25, 2015
Upgraded to Ba1 (sf)
Cl. AV-2, Upgraded to A1 (sf); previously on Jun 25, 2015 Upgraded
to Baa1 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-5
Cl. AF-6, Upgraded to Baa1 (sf); previously on Jun 25, 2015
Upgraded to Ba2 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-B
Cl. M-5, Upgraded to B3 (sf); previously on Jun 25, 2015 Upgraded
to Caa2 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2006-A
Cl. A-4, Upgraded to Aa2 (sf); previously on Jun 25, 2015 Upgraded
to A1 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2006-D
Cl. A-2, Upgraded to Aa3 (sf); previously on Jun 25, 2015 Upgraded
to A3 (sf)
Cl. A-3, Upgraded to Baa1 (sf); previously on Jun 25, 2015 Upgraded
to Ba1 (sf)
Issuer: Centex Home Equity Loan Trust 2005-D
Cl. M-4, Upgraded to B1 (sf); previously on Jun 30, 2015 Upgraded
to B2 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on Jun 30, 2015 Upgraded
to Caa3 (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 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.
[*] Moody's Takes Action on $301.6MM Housing Securities
-------------------------------------------------------
Moody's Investors Service, on April 20, 2016, downgraded the
ratings of five tranches and upgraded the ratings of 12 tranches by
nine transactions issued between 1995 and 2001. The collateral
backing these transactions consists primarily of manufactured
housing units.
Complete rating action follows:
Issuer: Access Financial MH Contract Trust 1995-1
Cl. B-1, Downgraded to Ca (sf); previously on Mar 30, 2009
Downgraded to Caa2 (sf)
Issuer: Access Financial MH Contract Trust 1996-1
Cl. A-6, Downgraded to Ca (sf); previously on Aug 14, 2014
Downgraded to Caa2 (sf)
Issuer: BankAmerica MH Contract 1998-2
Cl. B-1, Downgraded to C (sf); previously on Oct 10, 2013
Downgraded to Caa3 (sf)
Issuer: Bombardier Capital Mortgage Securitization Corp 2001-A
Cl. A, Upgraded to A3 (sf); previously on Jul 28, 2004 Downgraded
to Baa3 (sf)
Issuer: Conseco Finance Securitizations Corp. Series 1999-6
Cl. A-1, Downgraded to Ca (sf); previously on Aug 2, 2006
Downgraded to Caa2 (sf)
Issuer: Deutsche Financial Capital Securitization LLC, Series
1997-I
Cl. M, Upgraded to Ba2 (sf); previously on Sep 10, 2013 Upgraded to
B1 (sf)
Issuer: Greenwich Capital Acpt MH 1995-BA1
Cl. B-2, Downgraded to C (sf); previously on Oct 18, 2004
Downgraded to Ca (sf)
Issuer: IndyMac MH Contract 1998-1
Cl. A-3, Upgraded to B3 (sf); previously on Oct 25, 2012 Upgraded
to Caa3 (sf)
Cl. A-4, Upgraded to B3 (sf); previously on Oct 25, 2012 Upgraded
to Caa3 (sf)
Cl. A-5, Upgraded to B3 (sf); previously on Oct 25, 2012 Upgraded
to Caa3 (sf)
Issuer: Lehman ABS Manufactured Housing Contract Trust 2001-B
Cl. A-1, Upgraded to A2 (sf); previously on Dec 15, 2011 Downgraded
to Baa1 (sf)
Cl. A-2, Upgraded to A2 (sf); previously on Dec 15, 2011 Downgraded
to Baa1 (sf)
Cl. A-3, Upgraded to A2 (sf); previously on Dec 15, 2011 Downgraded
to Baa1 (sf)
Cl. A-4, Upgraded to A2 (sf); previously on Dec 15, 2011 Downgraded
to Baa1 (sf)
Cl. A-5, Upgraded to A2 (sf); previously on Dec 15, 2011 Downgraded
to Baa1 (sf)
Cl. A-6, Upgraded to A2 (sf); previously on Dec 15, 2011 Downgraded
to Baa1 (sf)
Cl. A-7, Upgraded to A2 (sf); previously on Dec 15, 2011 Downgraded
to Baa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
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. The tranches downgraded are due
to the depletion of available credit enhancement.
[*] Moody's Takes Action on $87MM Subprime RMBS Issued 2001-2004
----------------------------------------------------------------
Moody's Investors Service has taken action on the ratings of 15
tranches from 5 deals issued by various issuers, backed by Subprime
mortgage loans.
Complete rating actions are:
Issuer: Accredited Mortgage Loan Trust 2002-2
Cl. A-1, Upgraded to B1 (sf); previously on June 1, 2015,
Upgraded to B2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-2, Upgraded to Ba1 (sf); previously on June 1, 2015,
Upgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Ace Securities Corp. Home Equity Loan Trust. Series
2001-HE1
Cl. M-3, Downgraded to B2 (sf); previously on June 24, 2014,
Upgraded to B1 (sf)
Issuer: Chase Funding Loan Acquisition Trust 2004-AQ1
Cl. M-2, Upgraded to B3 (sf); previously on June 11, 2015,
Upgraded to Caa1 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-6
Cl. B, Upgraded to Ca (sf); previously on April 16, 2012,
Downgraded to C (sf)
Cl. M-3, Upgraded to B1 (sf); previously on July 2, 2014,
Upgraded to B3 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on June 2, 2015,
Upgraded to Caa1 (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on April 16, 2012,
Downgraded to C (sf)
Cl. M-6, Upgraded to Ca (sf); previously on April 16, 2012,
Downgraded to C (sf)
Cl. M-7, Upgraded to Ca (sf); previously on April 16, 2012,
Downgraded to C (sf)
Cl. M-8, Upgraded to Ca (sf); previously on April 16, 2012,
Downgraded to C (sf)
Issuer: Equifirst Mortgage Loan Trust 2004-3
Cl. M-5, Upgraded to Ba2 (sf); previously on June 1, 2015,
Upgraded to Ba3 (sf)
Cl. M-6, Upgraded to Ba3 (sf); previously on June 1, 2015,
Upgraded to B1 (sf)
Cl. M-7, Upgraded to B2 (sf); previously on June 1, 2015,
Upgraded to Caa1 (sf)
Cl. M-8, Upgraded to Ca (sf); previously on March 5, 2013,
Affirmed C (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/or an increase in credit
enhancement available to the bonds. The downgrade action on Ace
Securities Corp. Home Equity Loan Trust. Series 2001-HE1 Class M-3
is primarily the result of recent interest shortfalls that are
unlikely to be recouped.
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.
F inally, 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 $98.7MM Prime Jumbo RMBS Issued 2003-20
-------------------------------------------------------------------
Moody's Investors Service, on April 21, 2016, downgraded the
ratings of two tranches and upgraded the ratings of twelve tranches
backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers.
Complete rating actions are as follows:
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-AR18
Cl. I-A-1, Upgraded to Baa1 (sf); previously on May 24, 2012
Confirmed at Baa2 (sf)
Cl. II-A-1, Upgraded to Baa1 (sf); previously on May 24, 2012
Confirmed at Baa2 (sf)
Cl. II-A-2, Upgraded to Baa1 (sf); previously on May 24, 2012
Confirmed at Baa2 (sf)
Cl. II-A-3, Upgraded to Baa1 (sf); previously on May 24, 2012
Confirmed at Baa2 (sf)
Cl. II-A-4, Upgraded to Baa2 (sf); previously on Sep 12, 2014
Upgraded to Baa3 (sf)
Cl. III-A-1, Upgraded to Baa1 (sf); previously on May 24, 2012
Confirmed at Baa2 (sf)
Cl. C-B-1, Upgraded to Ba1 (sf); previously on Sep 12, 2014
Upgraded to Ba2 (sf)
Issuer: Sequoia Mortgage Trust 2003-8
Cl. B-1, Downgraded to B3 (sf); previously on Apr 30, 2012
Downgraded to B1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-DD Trust
Cl. I-A-1, Upgraded to B1 (sf); previously on Apr 10, 2012
Downgraded to B2 (sf)
Cl. II-A-6, Upgraded to Ba2 (sf); previously on Apr 10, 2012
Downgraded to Ba3 (sf)
Cl. II-A-7, Upgraded to Ba1 (sf); previously on Apr 10, 2012
Downgraded to Ba2 (sf)
Cl. II-A-8, Upgraded to B3 (sf); previously on Apr 10, 2012
Downgraded to Caa1 (sf)
Cl. B-1, Upgraded to Ca (sf); previously on Apr 10, 2012 Downgraded
to C (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-F Trust
Cl. A-11, Downgraded to B2 (sf); previously on Jul 24, 2013
Downgraded to Ba3 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings downgraded are due to the weaker performance
of the underlying collateral and, or the erosion of enhancement
available to the bonds. The ratings upgraded are a result of
improving performance of the related pools and an increase in
credit enhancement available to the bonds.
[*] Moody's Takes Actions on Subprime RMBS Issued 2005-2007
-----------------------------------------------------------
Moody's Investors Service, on April 20, 2016, upgraded the ratings
of 29 tranches from 16 transactions and downgraded the rating of
one tranche from one transaction, backed by Subprime loans, issued
by multiple issuers.
Complete rating actions are as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2005-AB2
Cl. 2-A-3, Upgraded to Baa3 (sf); previously on Jun 12, 2015
Upgraded to B1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-3
Cl. 1-A, Upgraded to Baa1 (sf); previously on Jun 12, 2015 Upgraded
to Ba1 (sf)
Cl. 2-A-2, Upgraded to Ba1 (sf); previously on Sep 8, 2014 Upgraded
to B1 (sf)
Cl. 2-A-3, Upgraded to B3 (sf); previously on Sep 8, 2014 Upgraded
to Caa3 (sf)
Cl. 3-A-2, Upgraded to Ba3 (sf); previously on Jun 12, 2015
Upgraded to Caa1 (sf)
Issuer: FBR Securitization Trust 2005-2
Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 14, 2014 Upgraded
to Caa3 (sf)
Issuer: FBR Securitization Trust 2005-4, Mortgage-Backed Notes,
Series 2005-4
Cl. AV1, Upgraded to Aa2 (sf); previously on Jun 30, 2015 Upgraded
to A1 (sf)
Cl. AV2-4, Upgraded to A3 (sf); previously on Jun 30, 2015 Upgraded
to Baa2 (sf)
Issuer: First NLC Trust 2005-2
Cl. M-1, Upgraded to Aa3 (sf); previously on Jun 22, 2015 Upgraded
to A2 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Jun 22, 2015 Upgraded
to B1 (sf)
Issuer: First NLC Trust 2005-4
Cl. A-3, Upgraded to A3 (sf); previously on Jun 22, 2015 Upgraded
to Ba1 (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2005-B
Cl. M-5, Upgraded to Caa1 (sf); previously on Jun 25, 2015 Upgraded
to Caa2 (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2005-C
Cl. A-I-1, Upgraded to Aa3 (sf); previously on Jun 25, 2015
Upgraded to A1 (sf)
Cl. A-II-3, Upgraded to Aa3 (sf); previously on Jun 25, 2015
Upgraded to A1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 25, 2015 Upgraded
to Caa2 (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2006-B
Cl. 1A-1, Upgraded to B1 (sf); previously on Jun 25, 2015 Upgraded
to Caa1 (sf)
Cl. 1A-2, Upgraded to B1 (sf); previously on Jun 25, 2015 Upgraded
to Caa1 (sf)
Cl. 2A-3, Upgraded to Caa3 (sf); previously on Sep 15, 2010
Downgraded to Ca (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH4,
Asset-Backed Pass-Through Certificates, Series 2007-CH4
Cl. A3, Upgraded to Baa3 (sf); previously on Jun 5, 2015 Upgraded
to Ba3 (sf)
Cl. A4, Upgraded to B3 (sf); previously on Nov 4, 2013 Upgraded to
Caa1 (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-3
Cl. II-A3, Upgraded to Ba1 (sf); previously on Jun 25, 2015
Upgraded to B1 (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-WL2
Cl. M-3, Upgraded to Ca (sf); previously on Apr 30, 2010 Downgraded
to C (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-WL3
Cl. I-A4, Upgraded to Aa3 (sf); previously on Jun 25, 2015 Upgraded
to A1 (sf)
Underlying Rating: Upgraded to Aa3 (sf); previously on Jun 25, 2015
Upgraded to A1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Placed on Review for Possible Downgrade on Jan 19, 2016)
Cl. M-1, Upgraded to Ba2 (sf); previously on Jun 25, 2015 Upgraded
to B1 (sf)
Issuer: Saxon Asset Securities Trust 2005-4
Cl. A-1B, Upgraded to Aa2 (sf); previously on Jul 16, 2010
Downgraded to Aa3 (sf)
Cl. A-2D, Upgraded to Aa2 (sf); previously on Jun 22, 2015 Upgraded
to Aa3 (sf)
Cl. M-1, Downgraded to B1 (sf); previously on Jul 16, 2010
Downgraded to Ba2 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2005-FR2
Cl. M-3, Upgraded to Ca (sf); previously on Jul 12, 2010 Downgraded
to C (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2005-OP2
Cl. M-2, Upgraded to Ba3 (sf); previously on Jun 25, 2015 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on Jul 15, 2011
Downgraded to C (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 Saxon Asset
Securities Trust 2005-4 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.
[*] S&P Lowers Ratings on 58 Classes From 41 RMBS Transactions to D
-------------------------------------------------------------------
Standard & Poor's Ratings Services, on April 22, 2016, lowered its
ratings on 58 classes of mortgage pass-through certificates from 41
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2002 and 2007 to 'D (sf)'.
The downgrades reflect S&P's assessment of the principal
write-downs' impact on the affected classes during recent
remittance periods. All of the classes whose ratings were lowered
to 'D (sf)' were rated either 'CCC (sf)' or 'CC (sf)' before the
rating action.
The 58 defaulted classes consist of:
-- 33 from prime jumbo transactions (56.90%);
-- 11 from Alternative-A transactions (18.97%);
-- 10 from subprime transactions (17.24%);
-- Three from negative amortization transactions; and
-- One from a Federal Housing Administration/Veterans
Administration transaction.
All of the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization (where applicable).
S&P will continue to monitor its ratings on securities that
experience principal write-downs, and S&P will further adjust its
ratings as S&P considers appropriate according to its criteria.
A list of the Affected Ratings is available at:
http://bit.ly/1WuAhgO
[*] S&P Takes Actions on 50 Tranches From 11 RMBS Deals
-------------------------------------------------------
Standard & Poor's Ratings Services, on April 26, 2016, took various
actions on 50 classes from 11 U.S. residential mortgage-backed
securities (RMBS) resecuritized real estate mortgage investment
conduit (re-REMIC) transactions. S&P raised 17 ratings, lowered
four ratings, affirmed 21 ratings, and discontinued two ratings.
Six of the ratings remain on CreditWatch with negative
implications.
All of the transactions in this review were issued between 2006 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 17 classes, as the projected credit
support for these classes is sufficient to cover our projected
losses at the higher rating levels. Among other factors, the
upgrades reflect improved collateral performance trends in the
underlying transactions and/or increased credit support to the
class.
DOWNGRADES
S&P lowered its ratings on four classes as a result of deteriorated
collateral performance within the underlying transactions,
principal write-downs, and/or the application of S&P's interest
shortfall criteria, among other reasons.
AFFIRMATIONS
S&P affirmed 13 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 eight 'CCC (sf)' ratings. S&P believes that its
projected credit support will remain insufficient to cover its
projected losses to these classes.
RATINGS REMAINING ON CREDITWATCH NEGATIVE
S&P's ratings on six classes from two transactions will remain 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 two classes because one class has
been paid in full and one class has been called.
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 2.3% for 2016;
-- An inflation rate of 1.8% in 2016; and
-- An average 30-year fixed mortgage rate of about 4.1% 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 5.1% 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 remains a low 3.7% 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://www.standardandpoors.com/en_US/web/guest/article/-/view/type/HTML/id/1623539
*********
Monday's edition of the TCR delivers a list of indicative prices
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then-ending.
*********
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