/raid1/www/Hosts/bankrupt/TCR_Public/160515.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 15, 2016, Vol. 20, No. 136
Headlines
ALM VII: S&P Affirms 'B' Rating on Class E Notes
AMERICAN AIRLINES 2013-2: Fitch Affirms 'BB-' Cl. C Debt Rating
BEAR STEARNS 2004-PWR3: Fitch Hikes Class H Debt Rating to CCC
BEAR STEARNS 2007-PWR15: S&P Affirms 'B-' Rating on 2 Certs
CABELAS CREDIT: Fitch Affirms 'BB+sf' Rating on Class D Debt
CANYON CLO 2016-1: Moody's Assigns Ba3(sf) Rating to Class E Debt
CAPITAL AUTO 2015-2: Fitch Affirms 'BB-sf' Rating on Class E Debt
CAPITAL ONE: Fitch Affirms 'BBsf' Rating on Class 2002-1D Debt
CCRESG 2016-HEAT: S&P Gives Prelim B- Rating on Class F Certs
CITIGROUP COMMERCIAL 2004-C1: S&P Hikes Cl. L Debt Rating to B+
CRESS 2008-1: Moody's Withdraws Ba3 (sf) Ratings on Cl. B Debt
DIVERSIFIED ASSET III: Moody’s Hikes Cl. A-3L Debt Rating to Caa1
DLJ COMMERCIAL 2000-CKP1: Moody's Affirms Caa3 Rating on Cl. S Debt
EIG GPFII: Fitch Cuts Class B-1 Debt Rating to 'CCsf'
FRANKLIN CLO V: S&P Affirms 'BB+' Rating on Class D Notes
FREDDIE MAC 2016-DNA2: S&P Assigns Prelim. B Rating on 2 Notes
FREMF 2014-K718: Moody's Affirms Ba2 Rating on Class C Debt
GRAMERCY REAL 2006-1: S&P Affirms CCC- Rating on 4 Tranches
GREEN TREE 1995-08: Moody's Raises Rating on Cl. B-1 Debt to Ba1
GREENWICH CAPITAL 2007-GG9: Fitch Affirms D Rating on Cl. E Certs
JP MORGAN 2005-LDP1: Moody's Hikes Cl. G Debt Rating to Ba3(sf)
JPMBB COMMERCIAL 2015-C29: Fitch Affirms B Rating on Cl. F Certs
JPMDB COMMERCIAL 2016-C2: Fitch to Rate Class F Debt 'B-sf'
LANDMARK VIII: Moody's Affirms Ba2 Rating on Class E Notes
LB COMMERCIAL 1999-C1: Moody's Hikes Cl. H Debt Rating to B3(sf)
LB-UBS COMMERCIAL 2000-C5: Moody's Affirms C Rating on Cl. G Debt
LBUBS COMMERCIAL 2005-C1: Moody's Cuts Rating on X-CL Debt to Caa3
LCM XIII: S&P Affirms BB Rating on Class E Notes
LEHMAN BROTHERS 1998-C1: Fitch Affirms 'Dsf' Rating on Class K Debt
MORGAN STANLEY 2000-F1: Fitch Hikes Class E Debt Rating to 'Bsf'
MSBAM 2013-C11: Fitch Affirms 'Bsf' Rating on Class G Certs
PUBLIC FINANCE: Moody's Assigns Caa2 Ratings to Revenue Bonds
REALT 2007-1: Moody's Affirms Ba3 Rating on 3 Tranches
REALT 2016-1: Fitch to Rate Class G Debt 'Bsf'
RED RIVER: Moody's Hikes Class E Notes Rating to Ba1(sf)
REVELSTOKE CDO I: DBRS Confirms Csf Rating on Class A-2 Notes
SANTANDER DRIVE 2016-2: Moody's Assigns Ba2 Ratings to Cl. E Notes
SDART 2016-2: Fitch Rates Class E Notes 'BBsf'
SHACKLETON I CLO: S&P Affirms BB Rating on Class E Notes
SHACKLETON II CLO: S&P Affirms BB Rating on Class E Notes
SIERRA TIMESHARE 2013-2: S&P Affirms BB Rating on Cl. C Notes
SOUND POINT XI: Moody's Assigns Prov. Ba3 Rating on Class E Notes
TRINITAS CLO IV: S&P Assigns Prelim. BB- Rating on Cl. E Notes
UBS-BARCLAYS 2012-C3: Moody's Affirms Ba2 Rating on Cl. E Debt
UBS-BARCLAYS COMMERCIAL 2012-C2: Fitch Affirms B Rating on G Debt
UPLAND CLO: Moody's Assigns Ba3 Rating on Class D Notes
WAMU COMMERCIAL 2007-SL2: Fitch Raises Rating on Cl. C Certs to B
WELLS FARGO 2005-AR5: Moody's Hikes Cl. II-A-2 Debt Rating to B2
WELLS FARGO 2016-C34: DBRS Assigns Prov. B Rating to Class G Debt
WELLS FARGO 2016-C34: Fitch Affirms 'B-sf' Rating on Class F Debt
ZOHAR II 2005-1: S&P Affirms B Rating on 3 Tranches
[*] DBRS Confirms Ratings on 92 Tranches From 22 U.S. ABS Deals
[*] DBRS Reviews 148 Classes From 20 U.S. RMBS Deals
[*] Fitch Puts 6 Tranches From 2006-2007 RMBS Deals on Watch Neg.
[*] Moody's Cuts Ratings on 176 Securities Wrapped by MBIA
[*] Moody's Hikes $176.4MM of Alt-A RMBS Issued 2004-2005
[*] Moody's Hikes Scratch and Dent RMBS Issued in 2006 and 2007
[*] Moody's Takes Action on $198.3MM of Scratch and Dent RMBS
[*] Moody's Takes Action on $266.9MM Alt-A RMBS Issued 2005-2007
[*] S&P Takes Actions on 156 Classes From 11 RMBS Re-REMIC Deals
[*] S&P Takes Ratings on 136 Classes From 8 US RMBS Re-Remic Deals
*********
ALM VII: S&P Affirms 'B' Rating on Class E Notes
------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A-1, A-2, B,
C, D, and E notes from ALM VII Ltd., a U.S. collateralized loan
obligation (CLO) transaction that closed in November 2012 and is
managed by Apollo Credit Management (CLO) LLC.
The rating actions follow S&P's review of the transaction's
performance using data from both the March 10, 2016, trustee report
and the payment date report on April 19, 2016.
The deal is currently in its reinvestment phase, which is scheduled
to end in October 2016.
All coverage test results are passing and are well above the
required levels. Based on the April 2016 trustee report, the
weighted average life of the portfolio is 4.48 years, down from
5.69 years per the March 2013 trustee report when the transaction
became effective. The decline in the weighted average life
decreased the transaction's scenario default rates (SDRs).
Although defaults have increased slightly -- $6.79 million of par
in default versus zero in March 2013 -- and the exposure to 'CCC'
rated assets has increased since the transaction's effective date,
the transaction's performance has been stable and the
overcollateralization (O/C) ratios have barely changed. For
instance, the class A and E O/C ratios were 133.56% and 105.17%,
respectively, up slightly from 133.39% and 105.03% in March 2013.
Because the transaction is still in its reinvestment period, S&P's
analysis included a scenario analysis to account for any potential
changes to the portfolio before the end of the reinvestment period.
The affirmations reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
Although the cash flow results indicated a lower rating for the
class E notes, S&P affirmed its rating to account for the class'
stable O/C level, collateral seasoning, and the relatively low
exposure to stressed industries.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
CASH FLOW AND SENSATIVITY ANALYSIS
ALM VII Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 4.06% AAA (sf)
A-2 AA (sf) AA+ (sf) 6.94% AA (sf)
B A (sf) A+ (sf) 1.89% A (sf)
C BBB (sf) BBB+ (sf) 0.93% BBB (sf)
D BB (sf) BB (sf) 0.50% BB (sf)
E B (sf) CCC+ (sf) 1.99% 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 SDR at the assigned rating for a given class
of rated notes using the actual spread, coupon, and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
B A+ (sf) A- (sf) A- (sf) A+ (sf) A (sf)
C BBB+ (sf) BB+ (sf) BBB- (sf) BBB+ (sf) BBB (sf)
D BB (sf) B+ (sf) BB- (sf) BB+ (sf) BB (sf)
E 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) AA+ (sf) AAA
A-2 AA+ (sf) AA+ (sf) A+ (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) CCC+ (sf) BB (sf)
E CCC+ (sf) CCC- (sf) CC (sf) B (sf)
RATINGS AFFIRMED
ALM VII Ltd.
Class Rating
A-1 AAA (sf)
A-2 AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
E B (sf)
AMERICAN AIRLINES 2013-2: Fitch Affirms 'BB-' Cl. C Debt Rating
---------------------------------------------------------------
Fitch Ratings has affirmed the ratings for American Airlines 2013-2
Series of enhanced equipment trust certificates (EETCs) as
follows:
-- Class A certificates due Jan. 2023 at 'BBB+';
-- Class B certificates due Jul. 2022 at 'BB+';
-- Class C certificates due Jan. 2017 at 'BB-'.
KEY RATING DRIVERS
The ratings are supported by a significant amount of
overcollateralization, a very large asset pool of 75 aircraft which
supports a high affirmation factor, and good quality collateral.
Fitch's review of the transaction was driven by new appraisal data
that showed weakening values for some of the collateral in this
pool, particularly for older vintage 737-800s and 777-200ERs.
However, despite some recent deterioration in appraised values, the
class A certificates continue to pass Fitch's 'BBB' level stress
test; therefore the ratings have been affirmed at 'BBB+'. The
subordinated tranche ratings are notched off of American Airline's
issuer Default Rating (IDR) based on the affirmation factor, which
Fitch considers to be high for this transaction, and on the
presence of an 18-month liquidity facility.
KEY ASSUMPTIONS
Key assumptions in Fitch's rating case include:
An American Airlines bankruptcy driven by a severe aviation
downturn, leading to a sale of the collateral aircraft to cover the
outstanding EETC debt.
RATING SENSITIVITIES
Senior tranche ratings are primarily based on a top-down analysis
based on the value of the collateral. Therefore, a negative rating
action could be driven by an unexpected decline in collateral
values. Senior tranche ratings could also be affected by a
perceived change in the affirmation factor or deterioration in the
underlying airline credit. Fitch does not expect to upgrade the
senior tranche ratings above 'BBB+'
Subordinated tranches are directly influenced by American Airlines'
IDR. Therefore, the certificate ratings could be upgraded or
downgraded depending on Fitch's rating actions for the airline.
BEAR STEARNS 2004-PWR3: Fitch Hikes Class H Debt Rating to CCC
--------------------------------------------------------------
Fitch Ratings has upgraded two classes, downgraded four below
investment grade classes and affirmed four classes of Bear Stearns
Commercial Mortgage Securities Trust's commercial mortgage
pass-through certificates series 2004-PWR3 (BSCMSI 2004-PWR3).
KEY RATING DRIVERS
The upgrades to classes E and F are the result of increasing credit
enhancement from loan disposals and continuing amortization as well
as support from defeased collateral (1.2%). The downgrades to
classes H, K, L and M reflect the pool's high concentration with
only nine loans and one real estate owned (REO) asset (51.4% of the
pool) remaining. Further, 70.8% of the pool consists of specially
serviced assets.
Fitch capped the ratings for class F and G based on the
transaction's concentration and substantial percentage of Fitch
Loans of Concern (75.3%), which include two specially serviced
assets.
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 94.2% to $64.4 million from
$1.1 billion at issuance. Fitch modeled losses of 38.7% of the
remaining pool; expected losses on the original pool balance total
3.6%, including $14.8 million (1.4% of the original pool balance)
in realized losses to date. Interest shortfalls are currently
affecting the distressed classes L through Q.
The largest contributor to expected losses is an REO, 504,746
square foot (sf) portion of a shopping center located in Clay, NY
(51.4% of the pool). The mall is anchored by Macy's, Sears, and
BJ's Wholesale Club, which are not part of the collateral. The loan
transferred back to special servicing on Nov. 6, 2014 due to
imminent default and has been REO since July 2015. The servicer
reported debt service coverage ratio (DSCR) and occupancy were
1.23x and 78%, respectively, as of year-end (YE) 2015. Per the
special servicer, the sale of the property will be considered after
further lease up is achieved.
The next largest contributor to expected losses is a
specially-serviced loan secured by a 370,120 sf community retail
strip center located in Natrona Heights, PA (19.4% of the pool).
The loan transferred to special servicing on Jan. 16, 2014 due to
the borrower's failure to pay the loan off at maturity on Jan. 1,
2014. A foreclosure judgement was granted in September 2015 but was
appealed by the borrower a month later. Foreclosure proceedings
remain ongoing. The servicer reported DSCR and occupancy were 1.32x
and 64%, respectively, as of year to date (YTD) Sept. 30, 2015.
The third largest contributor to expected losses is secured by a
21,071 sf retail property located in Lombard, IL (4.5% of the
pool). Occupancy has remained at 51% since 2013 after the largest
tenant (Pier 1; 50% of NRA) vacated upon its July 2013 lease
expiration. The property is currently occupied by Potbelly (24%;
lease expires Sept. 30, 2018) and Bitech Inc. (27%; lease expires
Sept. 30, 2020). The servicer reported DSCR was 0.91x, as of YTD
Sept. 30, 2015, compared to 2.16x at YE 2012. Fitch will continue
to monitor the loan for leasing updates.
RATING SENSITIVITIES
The Outlooks for classes E and F remain Stable as no rating changes
are expected at this time. The Negative Outlook for class G
reflects the uncertain resolution surrounding the specially
serviced loans and the possibility of increased losses. Further
upgrades should be limited due to the concentrated nature of the
pool. Downgrades are possible should pool performance decline or
further losses be realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following classes:
-- $200, 195 class E to 'AAAsf' from 'A+sf'; Outlook Stable;
-- $15.2 million class F to 'Asf' from 'A-sf'; Outlook Stable.
Fitch has downgraded the following classes:
-- $13.9 million class H to 'CCCsf' from 'Bsf'; RE 90%;
-- $5.5 million class K to 'CCsf' from 'CCCsf'; RE 0%;
-- $6.9 million class L to 'Csf' from 'CCsf'; RE 0%;
-- $5.5 million class M to 'Csf' from 'CCsf'; RE 0%.
Fitch has affirmed the following classes:
-- $11.1 million class G at 'BBB-sf'; Outlook Negative;
-- $2.8 million class J at 'CCCsf'; RE 0%;
-- $2.8 million class N at 'Csf'; RE 0%;
-- $455,196 class P at 'Dsf'; RE 0%.
Classes A-1, A-2, A-3, A-4, B, C and D have paid in full. Class Q
is not rated.
BEAR STEARNS 2007-PWR15: S&P Affirms 'B-' Rating on 2 Certs
-----------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2007-PWR15, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its ratings on three other classes from the same
transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-4, A-4FL, and A-1A to reflect
its expectation of the available credit enhancement for these
classes, which S&P believes is greater than its most recent
estimate of necessary credit enhancement for the respective rating
levels. The upgrades also follow S&P's views regarding the
collateral's current and future performance, the amount of defeased
loans in the transaction (14 loans, $221.0 million, 13.2%), as well
as the reduced trust balance.
The affirmations on classes A-M, A-MFL, and A-MFX reflect S&P's
expectation that the available credit enhancement for these classes
will be within its estimate of the necessary credit enhancement
required for the current ratings. The affirmations also reflect
S&P's views regarding the current and future performance of the
transaction’s collateral, the transaction's structure, and the
liquidity support available to the classes.
TRANSACTION SUMMARY
As of the April 11, 2016, trustee remittance report, the collateral
pool balance was $1.67 billion, which is 59.5% of the pool balance
at issuance. The pool currently includes 146 loans and two real
estate owned (REO) assets (reflecting crossed loans), down from 202
loans at issuance. Seven of these assets ($199.4 million, 11.9%)
are with the special servicer; 14 loans are defeased; and 50
($514.6 million, 30.8%) are on the master servicers' combined
watchlist. The master servicers, Wells Fargo Bank N.A. and
Prudential Asset Resources, reported financial information for
98.9% of the nondefeased loans in the pool, of which 75.9% was
partial- or year-end 2015 data, and the remainder was year-end 2014
data.
S&P calculated a 1.18x S&P Global Ratings' weighted average debt
service coverage (DSC) and a 109.4% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 7.96% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude three ($26.6 million,
1.6%) of the seven specially serviced assets and 14 defeased loans.
The top 10 nondefeased loans have an aggregate outstanding pool
trust balance of $561.2 million (33.6%). Using servicer-reported
numbers, S&P calculated a S&P Global Ratings' weighted average DSC
and LTV of 1.11x and 135.7%, respectively, for the top 10
nondefeased loans, including three that are currently with the
special servicer.
To date, the transaction has experienced $330.7 million in
principal losses, or 11.8% of the original pool trust balance. S&P
expects losses to reach approximately 12.7% 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
three ($26.6 million, 1.6%) 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 totaling $2.9 million are
in effect against two ($6.7 million, 0.4%) of the specially
serviced assets, while the Aiken Mall REO asset ($19.9 million,
1.2%) has been deemed nonrecoverable. Details of the three largest
specially serviced assets, all of which are top 10 nondefeased
loans, are:
-- The 777 Scudders Mill Road - Unit 3, 777 Scudders Mill Road
– Unit 2, and 100 Nassau Park boulevard loans (aggregating
$153.9 million, 9.2%) are the fourth-, sixth-, and eighth-
largest nondefeased loans in the pool and have a total
reported exposure of $154.6 million. Each loan, which has a
reported late, but less than one-month delinquent payment
status, is secured by an office property (aggregating
647,979 in total sq. ft.) in Plainsboro and West Windsor,
N.J. The loans, which have related sponsorship, were
transferred to the special servicer on March 14, 2016, due
to imminent monetary default. C-III indicated that the sole
tenant, E.R. Squibb & Sons, LLC is expected to vacate each
of the three properties in the first quarter of 2017. C-III
stated that it is evaluating various strategies, including a
potential loan modification with the borrowers. S&P's
analysis considered the potential workout of these three
loans, as well as market data and conditions when assessing
S&P's sustainable cash flows and valuations.
The four remaining assets with the special servicer each have
individual balances that account for less than 1.2% of the total
pool trust balance. S&P estimated losses for three of the seven
specially serviced assets, arriving at a weighted-average loss
severity of 92.3%. S&P expects the other four specially serviced
assets to be worked out and returned back to the master servicer.
RATINGS LIST
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15
Commercial mortgage pass through certificates series 2007-PWR15
Rating Rating
Class Identifier To From
A-4 07388RAE7 AA (sf) A (sf)
A-1A 07388RAF4 AA (sf) A (sf)
A-M 07388RAG2 B- (sf) B- (sf)
A-4FL 07388RBR7 AA (sf) A (sf)
A-MFL 07388RBS5 B- (sf) B- (sf)
A-MFX 07388RCC9 B- (sf) B- (sf)
CABELAS CREDIT: Fitch Affirms 'BB+sf' Rating on Class D Debt
------------------------------------------------------------
Fitch Ratings has affirmed the long-term ratings on Cabela's Credit
Card Master Note Trust notes. Fitch has also revised the Rating
Outlooks on the series 2014-I and 2014-II class C & D notes to
Negative from Stable.
KEY RATING DRIVERS
The affirmations are based on mixed trust performance in recent
months compared to Fitch's base case expectations for each rating
category of outstanding series of the trust. The Negative Outlook
on the series 2014-I and 2014-II class C & D notes reflects slight
deterioration of trust performance relative to Fitch's revised
steady state assumptions and current deal enhancement levels. As
part of its ongoing surveillance efforts, Fitch will continue to
monitor the monthly performance of the trust for changes to the
ongoing performance of Cabela's or the trust that could impact
Fitch's assumptions and stresses.
Gross Yield has remained stable since Fitch's last review. As of
the April 2016 reporting period, the 12-month average gross yield
was 20.06%, marginally higher from the 12-month average of 19.81%
at the April 2015 reporting period.
Monthly payment rate (MPR), which measures how quickly consumers
are paying off their credit card balance, has continuously
decreased for over a year. The current 12-month average is 37.89%,
down from 40.60% as of the April 2015 reporting period. Despite the
decline, Cabela's MPR is still well over the industry average due
to high concentration of prime borrowers and customer loyalty. The
Fitch Prime Credit Card Index MPR was 28.56% for the April 2016
reporting period. Fitch believes the MPR decline that has been
ongoing for over a year is due to an increase to the revolving rate
of all accounts that are carrying a balance month-to-month on their
outstanding accounts in the trust.
Gross chargeoffs have continued to remain within healthy ranges
over the past year. Current 12-month average is 2.16%, up from
1.92% at the April 2015 reporting period. Year over year, 60+ day
delinquencies remained low but have trended up slightly to 0.46% at
the current reporting period. Fitch expects chargeoff levels to
remain stable albeit slightly weaker in the near term given the
high quality of the credit card portfolio.
Fitch runs cash flow breakeven analysis by applying stress
scenarios to three-, six-, and 12-month performance averages to
evaluate the breakeven loss multiples at different rating levels.
The performance variables that Fitch stresses are the gross yield,
monthly payment rate, gross charge-off, and purchase rates. Fitch's
analysis included a comparison of observed performance trends over
the past few months as well as a full economic cycle to Fitch's
base case expectations for each outstanding rating category. For
further information, please see Fitch's U.S. Credit Card ABS Tear
Sheet, which is published on a monthly basis at
www.fitchratings.com.
RATING SENSITIVITIES
Fitch models three different scenarios when evaluating the rating
sensitivity compared to expected performance for credit card
asset-backed securities transactions: 1) increased defaults; 2) a
reduction in MPR, and 3) a combination stress of higher defaults
and lower MPR.
Increasing defaults alone has the least impact on rating migration
even in the most severe scenario of a 75% increase in defaults. The
rating sensitivity to a reduction in MPR is more pronounced with a
moderate stress, of a 25% reduction, leading to possible downgrades
across all classes. The harshest scenario assumes both stresses
occur simultaneously. Similarly, the ratings would only be
downgraded under the moderate stress of a 40% increase in defaults
and 20% reduction in MPR; however, the severe stress could lead to
more drastic downgrades to all classes.
“To date, the transactions have exhibited strong performance with
all performance metrics within Fitch's initial expectations. For
further discussion of our sensitivity analysis, please see the new
issue report related to one of the transactions listed below.”
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings and revised Outlooks as
indicated:
Cabela's Credit Card Master Note Trust Series 2011-II
-- Class A-1 at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class B at 'A+sf'; Outlook Stable;
-- Class C at 'BBB+sf'; Outlook Stable;
-- Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2011-IV
-- Class A-1 at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class B at 'A+sf'; Outlook Stable;
-- Class C at 'BBB+sf'; Outlook Stable;
-- Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2012-I
-- Class A-1 at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class B at 'A+sf'; Outlook Stable;
-- Class C at 'BBB+sf'; Outlook Stable;
-- Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2012-II
-- Class A-1 at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class B at 'A+sf'; Outlook Stable;
-- Class C at 'BBB+sf'; Outlook Stable;
-- Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2013-I
-- Class A at 'AAAsf'; Outlook Stable;
-- Class B at 'A+sf'; Outlook Stable;
-- Class C at 'BBB+sf'; Outlook Stable;
-- Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2013-II
-- Class A-1 at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class B at 'Asf'; Outlook Stable;
-- Class C at 'BBBsf'; Outlook Stable;
-- Class D at 'BBsf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2014-I
-- Class A at 'AAAsf'; Outlook Stable;
-- Class B at 'Asf'; Outlook Stable;
-- Class C at 'BBBsf'; Outlook revised to Negative from Stable;
-- Class D at 'BBsf'; Outlook revised to Negative from Stable.
Cabela's Credit Card Master Note Trust Series 2014-II
-- Class A at 'AAAsf'; Outlook Stable;
-- Class B at 'Asf'; Outlook Stable;
--Class C at 'BBBsf'; Outlook revised to Negative from Stable;
-- Class D at 'BBsf'; Outlook revised to Negative from Stable.
Cabela's Credit Card Master Note Trust Series 2015-I
-- Class A-1 at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class B at 'A+sf'; Outlook Stable;
-- Class C at 'BBB+sf'; Outlook Stable;
-- Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2015-II
-- Class A-1 at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class B at 'A+sf'; Outlook Stable;
-- Class C at 'BBB+sf'; Outlook Stable;
-- Class D at 'BB+sf'; Outlook Stable.
CANYON CLO 2016-1: Moody's Assigns Ba3(sf) Rating to Class E Debt
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Canyon CLO 2016-1, Ltd.
Moody's rating action is as follows:
US$247,500,000 Class A-1 Senior Secured Floating Rate Notes due
2028 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$45,000,000 Class A-2 Senior Secured Floating Rate Notes due 2028
(the "Class A-2 Notes"), Assigned Aaa (sf)
US$42,250,000 Class B-1 Senior Secured Floating Rate Notes due 2028
(the "Class B-1 Notes"), Assigned Aa2 (sf)
US$5,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2028
(the "Class B-2 Notes"), Assigned Aa2 (sf)
US$23,400,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class C Notes"), Assigned A2 (sf)
US$19,250,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-1 Notes"), Assigned Baa3 (sf)
US$6,450,000 Class D-2 Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-2 Notes"), Assigned Baa3 (sf)
US$23,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the
Class B-2 Notes, the Class C Notes, the Class D-1 Notes, the Class
D-2 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.
Canyon 2016-1 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, cash, and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 90% ramped as of the closing
date.
Canyon CLO Advisors 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.
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: $450,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.50%
Weighted Average Life (WAL): 8.0 years.
CAPITAL AUTO 2015-2: Fitch Affirms 'BB-sf' Rating on Class E Debt
-----------------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has affirmed
nine classes of Capital Auto Receivables Asset Trust (CARAT) 2015-2
as follows:
-- Class A-1a at 'AAAsf'; Outlook Stable;
-- Class A-1b at 'AAAsf'; Outlook Stable;
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class A-3 at 'AAAsf'; Outlook Stable;
-- Class A-4 at 'AAAsf'; Outlook Stable;
-- Class B at 'AAsf'; Outlook Stable;
-- Class C at 'Asf'; Outlook Stable;
-- Class D at 'BBBsf'; Outlook Stable;
-- Class E at 'BB-sf'; Outlook Stable.
KEY RATING DRIVERS
The rating actions are based on available credit enhancement (CE)
and loss performance to date. The collateral pool continues to
perform within Fitch's expectations. Under the current structure
and CE, the securities are able to withstand stress scenarios
consistent with the assigned ratings and make full payments to
investors in accordance with the terms of the documents.
The initial recommended loss proxy of 5.60% for 2015-2 incorporated
an additional stress considering the potential post-revolving
worst-case collateral pool. This approach took into consideration a
negative migration of the pool characteristics assuming the
collateral migrates to the maximum collateral concentration limits
during the revolving period.
To date, the additional collateral added to the pool in the
revolving period has been consistent when compared to the initial
pool. There have been minimal negative migrations with only one
month left before the revolving period ends, after which the
transaction will begin to amortize. As a result of the consistent
collateral, increased seasoning, and low loss performance, Fitch
revised its loss proxy down to 5.25%.
The revised proxy excludes the aforementioned additional stress
given that there is only one month left during the revolving
period, and Fitch expects the collateral to be very similar to the
original pool mix at the end of this period.
The ratings reflect the quality of Ally Financial Inc.'s (AFIN)
retail auto loan originations, the sound financial and legal
structure of the transaction, and the strength of the servicing
provided by Ally.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxies and impact available loss coverage
and multiples levels for the transactions. Lower loss coverage
could affect the ratings and Rating Outlooks depending on the
extent of the decline in coverage.
In Fitch's initial review of the transactions, the notes were found
to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's
base case loss expectations. To date, the transactions have
exhibited strong performance with losses well within Fitch's
initial expectations, with rising loss coverage and multiple
levels. As such, a material deterioration in performance would have
to occur within the asset pools to have potential negative impact
on the outstanding ratings.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
CAPITAL ONE: Fitch Affirms 'BBsf' Rating on Class 2002-1D Debt
--------------------------------------------------------------
Fitch Ratings has affirmed all classes and Rating Outlooks of
Capital One Multi-asset Execution Trust.
KEY RATING DRIVERS
The affirmations are based on continued positive trust performance.
The current 12-month average gross yield is 22.56% as of the April
2016 reporting period, slightly lower than the 12-month average of
22.91% the previous year.
Monthly payment rate (MPR), a measure of how quickly consumers are
paying off their credit card debts, has improved over the past
year. Currently, the 12-month average is 28.67%, higher than the
12-month average of 27.26% the previous year.
Gross charge-offs have experienced a slight decline over the past
year. As of the April 2016 reporting period the 12-month average is
3.64%, compared to 4.15% as of the April 2015 reporting period.
Twelve-month averages for 60+ day delinquencies also declined to
1.47% from 1.70% over the same period.
Fitch runs cash flow breakeven analysis by applying stress
scenarios to three-, six-, and 12-month performance averages to
evaluate the breakeven loss multiples at different rating levels.
The performance variables that Fitch stresses are the gross yield,
MPR, gross charge-off, and purchase rates. Fitch's analysis
included a comparison of observed performance trends over the past
few months to Fitch's base case expectations for each outstanding
rating category. As part of its ongoing surveillance efforts, Fitch
will continue to monitor the performance of these trusts. For
further information, please review the U.S. Credit Card ABS
Issuance updates published on a monthly basis, available at
www.fitchratings.com.
The affirmations are based on the performance of the trust, which
is line with expectations. The Stable Outlook indicates that Fitch
expects the ratings will remain stable for the next one to two
years.
RATING SENSITIVITIES
Fitch models three different scenarios when evaluating the rating
sensitivity compared to expected performance for credit card
asset-backed securities transactions: 1) increased defaults; 2) a
reduction in purchase rate, and 3) a combination stress of higher
defaults and lower MPR.
Increasing defaults alone has the least impact on rating migration
even in the most severe scenario of a 75% increase in defaults. The
rating sensitivity to a reduction in purchase rate also does not
result in any rating migration in the most severe scenario of a
100% decrease in purchase rate. The harshest scenario assumes both
stresses to defaults and MPR to occur simultaneously. The ratings
would only be downgraded under the severe stress of a 75% increase
in defaults and 35% reduction in MPR. To date, the transactions
have exhibited strong performance with all performance metrics
within Fitch's initial expectations.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- 2006-11A at 'AAAsf'; Outlook Stable;
-- 2007-1A at 'AAAsf'; Outlook Stable;
-- 2007-2A at 'AAAsf'; Outlook Stable;
-- 2007-5A at 'AAAsf'; Outlook Stable;
-- 2007-7A at 'AAAsf'; Outlook Stable;
-- 2013-3A at 'AAAsf'; Outlook Stable;
-- 2014-1A at 'AAAsf'; Outlook Stable;
-- 2014-2A at 'AAAsf'; Outlook Stable;
-- 2014-3A at 'AAAsf'; Outlook Stable;
-- 2014-4A at 'AAAsf'; Outlook Stable;
-- 2014-5A at 'AAAsf'; Outlook Stable;
-- 2015-A1 at 'AAAsf'; Outlook Stable;
-- 2015-A2 at 'AAAsf'; Outlook Stable;
-- 2015-A3 at 'AAAsf'; Outlook Stable;
-- 2015-A4 at 'AAAsf'; Outlook Stable;
-- 2015-A5 at 'AAAsf'; Outlook Stable;
-- 2015-A6 at 'AAAsf'; Outlook Stable;
-- 2015-A7 at 'AAAsf'; Outlook Stable;
-- 2015-A8 at 'AAAsf'; Outlook Stable
-- 2004-3B at 'Asf'; Outlook Stable;
-- 2005-3B at 'Asf'; Outlook Stable;
-- 2007-1B at 'Asf'; Outlook Stable
-- 2009-C (B) at 'Asf'; Outlook Stable;
-- 2007-1C at 'BBBsf'; Outlook Stable;
-- 2009-A (C) at 'BBBsf'; Outlook Stable;
-- 2002-1D at 'BBsf'; Outlook Stable.
CCRESG 2016-HEAT: S&P Gives Prelim B- Rating on Class F Certs
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CCRESG
Commercial Mortgage Trust 2016-HEAT's $160.0 million commercial
mortgage pass-through certificates series 2016-HEAT.
The issuance is a CMBS securitization backed by a five-year,
fixed-rate commercial mortgage loan totaling $160.0 million,
secured by a first-lien mortgage on the borrower's leasehold
interest in the Ritz-Carlton South Beach in Miami Beach, Fla. Since
the preliminary ratings were assigned, the special servicer was
changed to Talmage LLC from Midland Loan Services, a division of
PNC Bank N.A.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure. S&P determined that the loan has a beginning and ending
loan-to-value (LTV) ratio of 93.9% based on its value of the
property backing the transaction.
RATINGS ASSIGNED
CCRESG Commercial Mortgage Trust 2016-HEAT
Class Rating Amount ($)
A AAA (sf) 51,100,000
X BBB- (sf) 103,600,000 (i)
B AA- (sf) 19,300,000
C A- (sf) 14,300,000
D BBB- (sf) 18,900,000
E BB- (sf) 29,800,000
F B- (sf) 26,600,000
(i) Notional balance. The notional amount of the class X
certificates will be reduced by the aggregate amount of principal
distributions and realized losses allocated to the class A, class
B, class C, and class D certificates.
CITIGROUP COMMERCIAL 2004-C1: S&P Hikes Cl. L Debt Rating to B+
---------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from Citigroup
Commercial Mortgage Trust 2004-C1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. S&P raised its
ratings on classes L, M, and N to 'B+ (sf)', 'B (sf)', and 'CCC
(sf)', respectively, from 'D (sf)'.
S&P's upgrades follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction's
structure, and the liquidity available to the trust.
The upgrades reflect S&P's expectation of the available credit
enhancement for these classes, which S&P believes is greater than
its most recent estimate of necessary credit enhancement for the
respective rating levels. The upgrades also follow S&P's views
regarding the collateral's current and future performance,
available liquidity support, and reduction in the trust's balance.
Classes L, M, and N 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 class L, S&P's analysis also factored in the
class's interest shortfall history as well as a potential reduction
in liquidity support due to refinancing risk on the largest loan in
the pool, the Amboy Plaza Shopping Center loan ($11.6 million,
89.1%). The loan is scheduled to mature in May 2016; however it is
our understanding that the largest tenant, Great Atlantic & Pacific
Tea Co. (42,064 sq. ft.) vacated toward the end of last year
(further details below) even though its lease was supposed to
expire on March 31, 2026, according to the Sept. 30, 2015, rent
rolls.
TRANSACTION SUMMARY
As of the April 15, 2016, trustee remittance report, the collateral
pool balance was $13.0 million, which is 1.1% of the pool balance
at issuance. The pool currently includes two loans, down from 115
loans at issuance. One of these loans ($11.6 million, 89.1%) is on
the master servicer's watchlist. The master servicer, Wells Fargo
Bank N.A., reported partial- or year-end 2015 financial information
for all of the loans in the pool.
S&P calculated an S&P Global Ratings weighted average debt service
coverage (DSC) below 1.00x and an S&P Global Ratings weighted
average loan-to-value (LTV) ratio above 100% using a 7.42% S&P
Global Ratings weighted average capitalization rate for the
remaining two loans. Details of the largest loan are:
The Amboy Plaza Shopping Center loan, the larger of the two
remaining loans, is secured by four, two-story retail properties
totaling 74,950 sq. ft. in Staten Island, N.Y. The amortizing
balloon loan is scheduled to mature on May 11, 2016, and was placed
on Wells Fargo's watchlist because the largest tenant, Great
Atlantic & Pacific Tea Co., filed for bankruptcy and vacated late
last year. The reported DSC and occupancy as of the nine months
ended Sept. 30, 2015, were 1.35x and 100.0%, respectively. S&P's
cash flow analysis assumed the anchor space remains dark and no
cash flow is received from the vacated tenant. In addition,
according to the master servicer, the borrower is working on paying
off the loan.
To date, the transaction has experienced $22.7 million in principal
losses, or 1.9% of the original pool trust balance.
CRESS 2008-1: Moody's Withdraws Ba3 (sf) Ratings on Cl. B Debt
--------------------------------------------------------------
Moody's Investors Service has withdrawn the ratings on the
following notes issued by Cress 2008-1, Ltd.:
Class B Notes, Withdrawn (sf); previously on Mar 24, 2016 Upgraded
to Ba3 (sf)
Class C Notes, Withdrawn (sf); previously on Mar 24, 2016 Affirmed
Caa3 (sf)
Class D Notes, Withdrawn (sf); previously on Mar 24, 2016 Affirmed
Caa3 (sf)
Class E Notes, Withdrawn (sf); previously on Mar 24, 2016 Affirmed
Caa3 (sf)
DIVERSIFIED ASSET III: Moody’s Hikes Cl. A-3L Debt Rating to Caa1
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Diversified Asset Securitization Holdings III, L.P.:
U.S. $30,000,000 Class A-3L Floating Rate Notes Due July 2036
(current outstanding balance of $8,478,045.72), Upgraded to Caa1
(sf); previously on October 2, 2014 Upgraded to Caa3 (sf).
Diversified Asset Securitization Holdings III, L.P., issued in June
2001, is a collateralized debt obligation backed primarily by a
portfolio of RMBS, ABS and CMBS assets originated in 1999 to 2004.
RATINGS RATIONALE
“This rating action is due primarily to the deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratio since April 2015. The Class A-3L
notes have paid down by approximately 30%, or $3.6 million, since
that time. As a result, based on Moody's calculation, the OC ratio
for the Class A-3L is currently 146.69%. The deleveraging of the
Class A-3L notes is partially the result of interest proceeds that
have been diverted as the result of a failing coverage test and
partially the result of cash collections from certain assets
treated as defaulted by the trustee in amounts materially exceeding
expectations. Accordingly, we have assumed the deal will continue
to benefit from potential recoveries on defaulted securities.”
DLJ COMMERCIAL 2000-CKP1: Moody's Affirms Caa3 Rating on Cl. S Debt
-------------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
DLJ Commercial Mortgage Trust 2000-CKP1 as follows:
Cl. S, Affirmed Caa3 (sf); previously on May 7, 2015 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating of the IO class, Class S, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes The IO class is the only outstanding
Moody's-rated class in this transaction.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
DEAL PERFORMANCE
As of the April 11, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $9.1 million
from $1.29 Billion at securitization. The Certificates are
collateralized by three mortgage loans.
Fifty-five loans have been liquidated from the pool, resulting in
an aggregate realized loss of $76 million (37% loss severity on
average). Two loans, representing 89% of the pool, are currently in
special servicing. The largest specially serviced loan is the
Streetsboro Market Square Loan ($6.7 million -- 73.5%). The
collateral is a 139,000 SF retail strip center located in
Streetsboro, Ohio. Giant Eagle, the former anchor tenant, has been
dark for several years. The Loan was transferred to special
servicing in June 2014 due to imminent maturity default. Moody's
estimates a significant loss for this loan.
The other loan in special servicing is the Boston Square Shopping
Center Loan ($1.4 million -- 15.5% of the pool), which is secured
by 39,000 SF retail property located in Strongsville, Ohio. The
loan was previously in special servicing, but was modified in July
2013 and subsequently returned to the master servicer. The loan
modification included an interest rate reduction, maturity date
extension and amortization schedule acceleration. The Loan
transferred to Special Servicing for a second time in September
2015 due to imminent maturity default. The Special Servicer
indicated they will utilize a dual track approach to a potential
loan resolution.
The sole performing loan in the deal is the Colony Square
Apartments Loan ($1 million -- 11% of the pool), which is secured
by 184 unit apartment complex located in Shreveport, Louisiana. The
property was 94% leased as of December 2015. The loan is fully
amortizing and has amortized 58% since securitization. Moody's LTV
and stressed DSCR are 23% and >4.00X, respectively, compared to
27% and 3.55X at prior review. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
EIG GPFII: Fitch Cuts Class B-1 Debt Rating to 'CCsf'
-----------------------------------------------------
Fitch Ratings has taken the following rating actions on EIG's
Global Project Fund II (GPFII):
-- Class B-1 floating-rate notes downgraded to 'CCsf' from
'CCCsf;
-- Class B-2 fixed-rate notes downgraded to 'CCsf' from 'CCCsf';
-- Class C floating-rate notes downgraded to 'Csf' from 'CCsf';
-- Class D floating-rate notes affirmed at 'Csf'.
Following the full principal repayment of the class A2 notes during
2015, the class B notes became the senior-most class in the capital
structure and have since received approximately $9 million (12% of
previous outstanding balance). As of April 2016, the outstanding
balance of total notes is $102.27 million, composed of (i) class B1
notes at $53.7 million, (ii) class B2 notes at $12.3 million, (iii)
class C notes at $26.5 million, and (iv) class D notes at $9.7
million.
Fitch's rating actions on the classes B, C and D reflect the
following: (i) as the transaction is approaching its maturity date
(June 2016), these classes are exposed to a certain level of market
risk, as assets must be sold prior to their maturity; and (ii)
increasing obligor concentrations, as the portfolio continues to
consist of three performing and two defaulted assets (same credit
quality as last review).
GPF II is a securitization of project finance loans, mostly senior
secured obligations from originators in the energy and
infrastructure sector. As of April 2016, the portfolio consists of
three performing and two defaulted assets with principal balance of
$111.6 million, and only $49.4 million performing, located mainly
in Mexico and the U.S.
One of the performing assets, Corona Trading Corporation, is
expected to fully pay on April 30, 2016, which will reduce the
balance of the most senior notes by approximately $5.4 million.
KEY RATING DRIVERS
-- Increased Market Risk Exposure:
As the transaction is approaching legal maturity, the exposure to
assets maturing after 2016 has increased. As a result, classes B, C
and D are more dependent on the actual liquidation value and the
ability of the portfolio manager to sell the long-dated assets
prior to the maturity of the notes. At fair market prices (as of
December 15), and considering the sale of most assets prior to the
maturity of the notes, class B notes could be paid in full but will
depend on the execution price. On the other hand, if assets were to
be sold at current market prices prior to the maturity of the
notes, funds will not be enough to pay fully class C and class D
notes, therefore default is imminent.
-- Higher Obligor Concentration:
The underlying portfolio continues to have an increasing obligor
concentration as a result of assets amortizing and the notes
approaching legal maturity. The portfolio comprises only three
performing and two defaulted assets. The exposure to a small number
of assets carries the risk that portfolio performance may be
adversely impacted by a few assets that may underperform
expectations based on ratings and debt characteristics.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to recovery expectations
and the execution price on the sale of the long-dated assets prior
to the maturity date of the transaction.
FRANKLIN CLO V: S&P Affirms 'BB+' Rating on Class D Notes
---------------------------------------------------------
S&P Global Ratings raised its rating on the class C notes from
Franklin CLO V Ltd., a U.S. collateralized loan obligation (CLO).
In addition, S&P affirmed its ratings on the class B, D, and E
notes from the same transaction. S&P also removed its ratings on
the class C, D, and E notes from CreditWatch, where they were
placed with positive implications on April 1, 2016.
The rating actions follow S&P's review of the transaction's
performance using data from the April 7, 2016, trustee report.
The upgrade reflects a $100.55 million aggregate paydown to the
rated notes of the transaction since S&P's last rating action,
which was in December 2014. The paydown redeemed in full the class
A-1 and A-2 notes and has left the class B notes with 69.41% of the
original outstanding notional remaining, which has improved most of
the transaction's overcollateralization (O/C) ratios.
The credit quality of the collateral portfolio has also improved
since S&P's last rating actions. There has been a decrease in
assets with ratings in the 'CCC' category, with $4.91 million
reported as of the April 2016 trustee report compared with $13.47
million reported in the November 2014 trustee report, which S&P
used for its last rating actions. Over the same period, the par
amount of defaulted collateral has remained at zero, and the
seasoning of the underlying collateral has lowered the weighted
average life to 3.07 years from 4.05 years.
The transaction has significant exposure to long-dated assets
(assets maturing after the stated maturity of the CLO). According
to the April 2016 trustee report, the balance of collateral with a
maturity date after the stated maturity of the transaction totaled
$51.25 million (52.15% of the portfolio). S&P's analysis took into
account the potential market value risk and settlement-related risk
arising from the possible liquidation of the remaining securities
on the legal final maturity date of the transaction.
The ratings on the class C and D notes are constrained at 'AA+
(sf)' and 'BB+ (sf)', respectively, by the application of the
largest obligor default test, a supplemental stress test included
as part of our corporate CDO criteria.
On a stand-alone basis, the results of the cash flow analysis
pointed to a lower rating on the class E notes than the rating
action reflects. However, S&P believes that because the
transaction is current in its interest payment on the class E notes
and has sufficient collateral backing the note at this time, the
class E notes are not in immediate risk of default. In line with
this, S&P affirmed the rating to remain in line with its credit
stability framework and S&P's criteria for assigning 'CCC+', 'CCC',
'CCC-', and 'CC' ratings.
The affirmations reflect S&P's view that the credit support
available is commensurate with the current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Franklin CLO V Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
B AAA (sf) AAA (sf) 35.97% AAA (sf)
C A+ (sf)/Watch Pos AAA (sf) 27.13% AA+ (sf)
D BB+ (sf)/Watch Pos A+ (sf) 1.98% BB+ (sf)
E CCC+ (sf)/Watch Pos CC (sf) N/A CCC+ (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 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
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
D A+ (sf) BBB+ (sf) A (sf) A+ (sf) BB+ (sf)
E CC (sf) CC (sf) CC (sf) CC (sf) CCC+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
D A+ (sf) A+ (sf) BBB- (sf) BB+ (sf)
E CC (sf) CC (sf) CC (sf) CCC+ (sf)
RATING AND CREDITWATCH ACTIONS
Franklin CLO V Ltd.
Rating
Class To From
B AAA (sf) AAA (sf)
C AA+ (sf) A+ (sf)/Watch Pos
D BB+ (sf) BB+ (sf)/Watch Pos
E CCC+ (sf) CCC+ (sf)/Watch Pos
FREDDIE MAC 2016-DNA2: S&P Assigns Prelim. B Rating on 2 Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to Freddie Mac Structured Agency Credit Risk Debt Notes Series
2016-DNA2's $880 million notes.
The notes issued are unsecured general obligations of Freddie Mac
linked to the credit performace of a referance pool of fully
amortizing, first-lien, fixed-rate residential mortgage loans
secured by one- to four-family residences, planned unit
developments, condominiums, cooperatives, and manufactured housing
to mostly prime borrowers.
The preliminary ratings are based on information as of April 28,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided by the subordinated
reference tranches, as well as the associated structural
deal mechanics;
-- The credit quality of the collateral included in the
reference pool;
-- The notes as unsecured general obligations of Freddie Mac,
which will make monthly interest payments and periodic
principal payments based on the reference pool's credit
performance;
-- The issuer's aggregation experience and alignment of
interests between the issuer and noteholders in the deal's
performance, which, in S&P's view, enhances the notes'
strength; and
-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the
underlying representations and warranties framework.
RATINGS LIST
Freddie Mac Structured Agency Credit Risk Debt Notes Series
2016-DNA2
Preliminary
amount
Class Preliminary rating (mil. $)
A-H (i) NR 28,614.9
M-1 BBB (sf) 187.0
M-1H (i) NR 69.0
M-2 BBB- (sf) 198.0
M-2F (ii) BBB- (sf) 198.0
M-2I (ii) BBB- (sf) 198.0 (iii)
M-2H (i) NR 73.1
M-3 (ii) B (sf) 495.0
M-3A BB- (sf) 247.5
M-3AF (ii) BB- (sf) 247.5
M-3AI (ii) BB- (sf) 247.5 (iii)
M-3AH (i) NR 91.4
M-3B B (sf) 247.5
M-3BH (i) NR 91.4
B NR 36.0
B-H (i) NR 265.2
(i) Reference tranche only and will not have corresponding notes.
(ii) Exchangeable notes.
(iii) Notional amounts.
NR--Not rated.
FREMF 2014-K718: Moody's Affirms Ba2 Rating on Class C Debt
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
in FREMF 2014-K718 Mortgage Trust and three classes of Structured
Pass-Through Certificates (SPCs), Series K-718 issued by Freddie
Mac as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Baa1 (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Baa1 (sf)
Cl. C, Affirmed Ba2 (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Ba2 (sf)
Cl. X1, Affirmed Aaa (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Aaa (sf)*
Cl. X2-A, Affirmed Aaa (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Aaa (sf)*
SPCs Classes**
Cl. A-1, Affirmed Aaa (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Aaa (sf)
Cl. X1, Affirmed Aaa (sf); previously on Jun 1, 2015 Definitive
Rating Assigned Aaa (sf)*
* Class X1 and Class X2-A are interest-only classes.
** Each of the SPC Classes represents a pass-through interest in
its associated underlying CMBS Class. SPC Class A-1 represents a
pass-through interest in underlying CMBS Class A-1, SPC Class A-2
represents a pass-through interest in underlying CMBS A-2, and SPC
Class X1 represents a pass-through interest in underlying CMBS
Class X1.
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 ratings on the IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
GRAMERCY REAL 2006-1: S&P Affirms CCC- Rating on 4 Tranches
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class B, C, D, E, and F notes from Gramercy Real Estate CDO 2006-1
Ltd., a U.S. commercial real estate collateralized debt obligation
(CRE CDO) transaction.
The performing assets include both commercial mortgage-backed
securities and CRE loans.
The affirmations of the class B, C, D, E, and F ratings reflect
S&P's belief that the credit support available is commensurate with
the current rating levels. S&P's rating actions primarily
considered the credit quality of the assets that back the
tranches.
The rating actions follow S&P's review of the transaction's
performance using the data from the March 2016 trustee report.
Since S&P's February 2014 rating actions, the transaction had paid
off its class A-1 and A-2 notes and has commenced paying down the
class B notes. Following the Jan. 25, 2016, payment date, the
class B note balance declined to 46.25% of its original balance
(from 100% in February 2014). Though the lower balance of the
class B notes has increased the credit support, the transaction
currently has only 10 performing obligors, which has increased the
concentration risk.
S&P's review of the transaction also relied in part upon a criteria
interpretation with respect to "CDOs: Mapping A Third Party's
Internal Credit Scoring System To Standard & Poor's Global Rating
Scale," published May 8, 2014, which allows S&P to use a limited
number of public ratings from other NRSROs to assess the credit
quality of assets not rated by Standard & Poor's. The criteria
provide specific guidance for the treatment of corporate assets not
rated by Standard & Poor's, and the interpretation outlines the
treatment of securitized assets.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
RATINGS AFFIRMED
Gramercy Real Estate CDO 2006-1 Ltd.
Class Rating
B B+ (sf)
C CCC- (sf)
D CCC- (sf)
E CCC- (sf)
F CCC- (sf)
GREEN TREE 1995-08: Moody's Raises Rating on Cl. B-1 Debt to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 7 tranches in
7 transactions issued in 1995 and 1996. The collateral backing
these transactions consists primarily of manufactured housing
units.
Complete rating action:
Issuer: Green Tree Financial Corporation MH 1995-04
B-1, Upgraded to A1 (sf); previously on June 4, 2015, Upgraded
to A3 (sf)
Issuer: Green Tree Financial Corporation MH 1995-05
B-1, Upgraded to A2 (sf); previously on June 4, 2015, Upgraded
to Baa1 (sf)
Issuer: Green Tree Financial Corporation MH 1995-06
B-1, Upgraded to Baa1 (sf); previously on June 24, 2015,
Upgraded to Ba1 (sf)
Issuer: Green Tree Financial Corporation MH 1995-07
B-1, Upgraded to Baa1 (sf); previously on June 4, 2015, Upgraded
to Baa3 (sf)
Issuer: Green Tree Financial Corporation MH 1995-08
B-1, Upgraded to Ba1 (sf); previously on June 4, 2015, Upgraded
to Ba3 (sf)
Issuer: Green Tree Financial Corporation MH 1995-09
B-1, Upgraded to Baa1 (sf); previously on June 24, 2015,
Upgraded to Ba2 (sf)
Issuer: Green Tree Financial Corporation MH 1996-01
B-1, Upgraded to B2 (sf); previously on March 30, 2009,
Downgraded to Caa2 (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 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 ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in
March 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2016. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
GREENWICH CAPITAL 2007-GG9: Fitch Affirms D Rating on Cl. E Certs
-----------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 18 classes of
Greenwich Capital Commercial Funding Corp. (GCCFC) commercial
mortgage pass-through certificates series 2007-GG9.
KEY RATING DRIVERS
Fitch modeled losses of 7.8% of the remaining pool; expected losses
on the original pool balance total 12.8%, including $542.5 million
(8.3% of the original pool balance) in realized losses to date.
Fitch has designated 29 loans (25.4%) as Fitch Loans of Concern,
which includes nine specially serviced assets (7.1%).
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 41.1% to $3.88 billion from
$6.58 billion at issuance. Per the servicer reporting, 21 loans
(30.2% of the pool) are defeased. Interest shortfalls are
currently affecting classes D through S. The upgrades reflect
significant defeasance in excess of $1.1 billion since Fitch's last
review resulting in increased defeasance-adjusted credit
enhancement (CE) for the senior classes.
The largest contributor to expected losses is the
specially-serviced COPT Office Portfolio (3.4% of the pool). The
asset is real estate owned (REO) and originally consisted of nine
office properties, totaling 618,541 square feet (sf), located in
Linthicum, MD, and five office properties, totaling 400,441 sf, in
Colorado Springs, CO. Five of the properties have been sold, one
is under contract and the remaining eight properties are REO and
most are being marketed for sale.
The next largest contributor to expected losses is the TIAA RexCorp
Long Island Portfolio loan (6.1%), which is secured by five office
properties totaling 1.2 million sf, located in Nassau and Suffolk
counties on Long Island, NY. While occupancy has been fairly
stable, rental rates have eroded in the past few years due to weak
market conditions. As of YE 2015, occupancy had increased to 95%.
The YE 2015 net cash flow (NCF) DSCR was 1.37x, an increase from
1.16x at YE 2014.
The third largest contributor to expected losses is the Plaza
America Towers I and II loan (3.6%), which is secured by two office
buildings containing 509,430 sf of space located in Reston, VA.
The property cash flows have suffered due to the largest tenant
vacating the property at lease expiration in 2011. As of YE 2015,
the property was 87.9% occupied, a slight improvement from 84.2% at
YE 2014. While occupancy improved, DSCR declined to 0.86x compared
to 0.97x last year. DSCR is expected to improve in the coming year
as rent concessions burn off.
RATING SENSITIVITIES
Rating Outlooks on classes A-4 through A-MFX are Stable due to
increasing CE from continued defeasance and paydown. Ratings of
classes A-M and A-MFX are capped at 'A' as nearly 100% of the pool
matures in the next year, potential adverse selection, and possible
interest shortfalls should loans fail to pay off at maturity.
Further upgrades to classes A-M and A-MFX are possible if the
majority of the pool pays off at maturity and the larger specially
serviced loans are resolved. Further downgrades to the distressed
classes will occur as losses are realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades these classes:
-- $557.6 million class A-M to 'Asf' from 'BBBsf'; Outlook
Stable;
-- $100 million class A-MFX to 'Asf' from 'BBBsf'; Outlook
Stable.
Fitch affirms these classes as indicated:
-- $2.2 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $196 million class A-1A at 'AAAsf'; Outlook Stable;
-- $575.4 million class A-J at 'CCCsf'; RE 90%;
-- $32.9 million class B at 'CCsf'; RE 0%;
-- $98.6 million class C at 'Csf'; RE 0%;
-- $41.1 million class D at 'Csf'; RE 0%;
-- $25.5 million class E at 'Dsf'; RE 0%;
Fitch affirms classes F through Q, which have been reduced to zero
balance by realized losses, at 'Dsf'; RE 0%.
The class A-1, A-2, A-3 and A-AB certificates have paid in full.
Fitch does not rate the class S certificates. Fitch previously
withdrew the rating on class A-MFL and the interest-only class X
certificates.
JP MORGAN 2005-LDP1: Moody's Hikes Cl. G Debt Rating to Ba3(sf)
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on three classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage
Pass-Through Certificates, Series 2005-LDP1 as follows:
Cl. F, Upgraded to A3 (sf); previously on May 29, 2015 Upgraded to
Baa3 (sf)
Cl. G, Upgraded to Ba3 (sf); previously on May 29, 2015 Upgraded to
B3 (sf)
Cl. H, Affirmed Caa3 (sf); previously on May 29, 2015 Affirmed Caa3
(sf)
Cl. J, Affirmed C (sf); previously on May 29, 2015 Affirmed C (sf)
Cl. X-1, Affirmed Caa3 (sf); previously on May 29, 2015 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating on two P&I classes, classes F & G, 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 12% since
Moody's last review. In addition, loans constituting 8% of the pool
that have debt yields exceeding 12.0% are scheduled to mature
within the next 9 months.
The ratings on two P&I classes, classes H & 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 34.1% of the
current balance, compared to 30.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.0% of the original
pooled balance, the same as at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
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 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $84.2 million
from $2.9 billion at securitization. The certificates are
collateralized by 18 mortgage loans ranging in size from less than
1% to 16% of the pool, with the top ten loans constituting 87% of
the pool. There are no loans with an investment-grade structured
credit assessment and no loans have defeased.
Two loans, constituting 3.5% 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-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $87.5 million (for an average loss
severity of 44%). Five loans, constituting 45% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Indian River Office Building Loan ($10 million -- 11.9% of
the pool), which is secured by a 93,000 square foot (SF), two
building medical office complex in Vero Beach, Florida. The complex
is located in a major medical center in Indian River County. The
loan transferred to special servicing in January 2014 due to
imminent default became REO in May 2015. As per the February 2016
rent roll, the property was only 41% leased, compared to 52% leased
as of March 2015. The special servicer indicated that they are
currently marketing the property for sale.
The remaining 4 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $28.4 million loss
for the specially serviced loans (74% expected loss on average).
Moody's received full year 2014 operating results for 79% of the
pool and full or partial year 2015 operating results for 64% of the
pool. Moody's weighted average conduit LTV is 67.4%, compared to
71.4% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 14% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.53X and 1.61X,
respectively, compared to 1.51X and 1.52X 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 Golf Glen Mart Plaza Loan ($13.8 million --
16.4% of the pool), which is secured by a 235,000 square foot (SF)
retail center anchored by Meijer with a lease expiration of
December 2024. The property is located in Niles, Illinois which is
about 26 miles northwest of downtown Chicago. As per the December
2015 rent roll the property was 83% leased, compared to 87% leased
as of September 2014. The loan has amortized 12.3% since
securitization. Moody's LTV and stressed DSCR are 82.3% and 1.18X,
respectively, compared to 82.5% and 1.18X at the last review.
The second largest loan is the Chimney Hill Center Loan ($8.6
million -- 10.2% of the pool), which is secured by a 197,500 square
foot (SF) retail center anchored by Farm Fresh with a lease
expiration of January 2020. The property is located in Virginia
Beach, Virginia. As per the December 2015 rent roll the property
was 94% leased, compared to 88% leased as of March 2015. Moody's
LTV and stressed DSCR are 81.9% and 1.19X, respectively, compared
to 96.2% and 1.01X at the last review.
The third largest loan is the Crenshaw Plaza Loan ($6.0 million --
7.1% of the pool), which is secured by a retail center anchored by
Ralph's grocery store with a lease expiration in June 2024. The
property is located in Los Angeles, California. The loan's
collateral portion of the property was 85% leased as of March 2016,
compared to 92% leased as of March 2015. The loan is fully
amortizing and has amortized 27% since securitization. Moody's LTV
and stressed DSCR are 41.9% and 2.32X, respectively, compared to
42.6% and 2.28X at the last review.
JPMBB COMMERCIAL 2015-C29: Fitch Affirms B Rating on Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 19 classes of JPMBB Commercial Mortgage
Securities Trust, series 2015-C29.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral pool. There have been no delinquent or
specially serviced loans since issuance. The stable performance
reflects no material changes to pool metrics since issuance,
therefore the original rating analysis was considered in affirming
the transaction.
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 0.48% to $979.7 million from
$984.5 million at issuance. Fitch has designated one loan in the
pool as a Fitch Loan of Concern.
The Fitch Loan of Concern (6.1% of the pool) is secured by One City
Centre, a 602,122 sf office building located in Houston, TX. The
property has been affected by low oil prices and their impact on
energy businesses. The second largest tenant, Energy XXI Services
Ltd. (28.4% NRA) recently filed for chapter 11 bankruptcy
protection. The loan was structured with a $4 million upfront
reserve for leasing costs related to Energy XXI's lease as the
original term expires in December 2022; this reserve will help
support property cash flow as more clarity is gained with Energy
XXI's restructuring. As of December 2015, occupancy was 85%. Fitch
will continue to monitor the property's performance.
The largest loan in the pool (7.3%), 2025 M Street, located in
Washington, DC, is secured by a 191,248 sf office building, built
in 1971 and renovated in 1995. The property is located across the
street from the CBS News Bureau. It is on the western end of the
CBD and has good access to fiber-optic networks. Tenants in the
area are media related and include CBS, BBC, NHK, and Al Jazeera.
The property was 100% occupied as of December 2015. Two tenants,
including the largest (38%) have termination options, which may be
exercised in September; both tenants are paying below market
rents.
The ninth largest loan in the pool, Lenox Towers (2.8%), is
collateralized by a 378,838 sf office building located in Atlanta,
GA. The subject consists of two adjacent 17-story office towers
connected by an outdoor plaza and a parking garage. Per the
December 2015 rent roll, 59% of the net rentable area (NRA) rolls
in 2017. The loan is structured with ongoing annual rollover
reserves of $500,000, capped at $1.5 million. As of Dec. 2015,
occupancy was in line with issuance at 80%. Fitch will continue to
monitor the rollover over the next year.
RATING SENSITIVITIES
All classes maintain Stable Outlooks. Fitch does not foresee
positive or negative ratings migration until a material economic or
asset level event changes the transaction's portfolio-level
metrics.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes:
-- $44.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $213.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $60 million class A-3A1 at 'AAAsf'; Outlook Stable;
-- $75 million class A-3A2 at 'AAAsf'; Outlook Stable;
-- $223.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $69.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $64.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $54.1 million class B at 'AA-sf'; Outlook Stable;
-- $44.3 million class C at 'A-sf'; Outlook Stable;
-- $162.4 million class EC at 'A-sf'; Outlook Stable;
-- $52.9 million class D at 'BBB-sf'; Outlook Stable;
-- $20.9 million class E at 'BBsf'; Outlook Stable;
-- $11.1 million class F at 'Bsf'; Outlook Stable;
-- $747.9 million* class X-A at 'AAAsf'; Outlook Stable;
-- $54.1 million* class X-B at 'AA-sf'; Outlook Stable;
-- $44.3 million* class X-C at 'A-sf'; Outlook Stable;
-- $52.9 million* class X-D at 'BBB-sf'; Outlook Stable;
-- $20.9 million* class X-E at 'BBsf'; Outlook Stable;
-- $11.1 million* class X-F at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
Fitch does not rate the classes NR and X-NR certificate.
Class A-S, B and C certificates may be exchanged for class EC
certificates, and class EC certificates may be exchanged for class
A-S, B and C certificates.
JPMDB COMMERCIAL 2016-C2: Fitch to Rate Class F Debt 'B-sf'
-----------------------------------------------------------
Fitch Ratings has issued a presale report on JPMDB Commercial
Mortgage Securities Trust 2016-C2 commercial mortgage pass-through
certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $23,342,000 class A-1 'AAAsf'; Outlook Stable;
-- $160,394,000 class A-2 'AAAsf'; Outlook Stable;
-- $120,000,000 class A-3A 'AAAsf'; Outlook Stable;
-- $222,981,000 class A-4 'AAAsf'; Outlook Stable;
-- $48,243,000 class A-SB 'AAAsf'; Outlook Stable;
-- $700,848,000b class X-A 'AAAsf'; Outlook Stable;
-- $44,639,000b class X-B 'AA-sf'; Outlook Stable;
-- $75,888,000 class A-S 'AAAsf'; Outlook Stable;
-- $44,639,000 class B 'AA-sf'; Outlook Stable;
-- $36,828,000 class C 'A-sf'; Outlook Stable;
-- $50,000,000a class A-3B 'AAAsf'; Outlook Stable;
-- $80,352,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $43,524,000a class D 'BBB-'; Outlook Stable;
-- $17,856,000a class E 'BBsf'; Outlook Stable;
-- $12,276,000a class F 'B-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $36,828,383 class NR.
a)Privately placed pursuant to Rule 144A.
b)Notional amount and interest-only.
The expected ratings are based on information provided by the
issuer as of April 26, 2016.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 30 loans secured by 79
commercial properties having an aggregate principal balance of
$892,799,383 as of the cut-off date. The loans were contributed to
the trust by JP Morgan Chase Bank, National Association and German
American Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 86% of the properties by
balance and asset summary reviews and cash flow analysis of 92% of
the pool.
KEY RATING DRIVERS
Low Fitch Leverage: This transaction has lower leverage than other
Fitch-rated transactions. The Fitch debt service coverage ratio
(DSCR) for the trust is 1.26x, while the YTD 2016 and 2015 averages
are 1.17x and 1.18x, respectively. The Fitch loan-to-value (LTV)
for the trust is 99.9%, which is lower than both the respective YTD
2016 and 2015 averages of 107.9% and 109.3%. Excluding the
credit-opinion loans (10.1% of the pool), the Fitch DSCR and LTV
are 1.21x and 105.1%, respectively.
Concentrated Pool with Low Loan Count: The pool is more
concentrated than other recent Fitch-rated multiborrower
transactions. The top 10 loans comprise 59.5% of the pool, which is
above recent averages of 55.8% for YTD 2016 and above the 2015
average of 49.3%. Additionally, the loan concentration index (LCI)
and sponsor concentration index (SCI) are 481 and 653,
respectively, above 2015 averages of 367 and 410.
Investment-Grade Credit Opinion Loans: The transaction has two
credit opinion loans, totaling 10.1% of the pool. 787 Seventh Ave
(6.7% of the pool) is the third largest loan in the transaction and
has an investment-grade credit opinion of 'BBB+sf' on a stand-alone
basis. Palisades Center (3.4% of the pool) is the 14th largest loan
in the transaction and has an investment-grade credit opinion of
'AAsf' on a stand-alone basis. Excluding these loans, the conduit
has a Fitch stressed DSCR of 1.21x and LTV 105.1%, respectively.
The implied credit enhancement levels for the conduit portion of
the transaction rated 'AAAsf' and 'BBB-sf' are 23.875% and 8.375%,
respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15% below the
most recent year's net operating income (NOI; for properties for
which a full-year NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to JPMDB
2016-C2 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
LANDMARK VIII: Moody's Affirms Ba2 Rating on Class E Notes
----------------------------------------------------------
Moody's Investors Service has upgraded the rating on these notes
issued by Landmark VIII CLO Ltd.:
$26,000,000 Class D Secured Deferrable Floating Rate Notes Due
2020, Upgraded to A2 (sf); previously on Sept. 12, 2014,
Affirmed Baa1 (sf)
Moody's also affirmed the ratings on these notes:
$317,875,000 Class A-1 Senior Secured Floating Rate Notes Due
2020 (current outstanding balance of $103,363,295), Affirmed
Aaa (sf); previously on Sept. 12, 2014, Affirmed Aaa (sf)
$35,500,000 Class A-2 Senior Secured Floating Rate Notes Due
2020, Affirmed Aaa (sf); previously on Sept. 12, 2014, Affirmed
Aaa (sf)
$36,000,000 Class B Senior Secured Floating Rate Notes Due
2020, Affirmed Aaa (sf); previously on Sept. 12, 2014, Affirmed
Aaa (sf)
$ 34,000,000 Class C Secured Deferrable Floating Rate Notes Due
2020, Affirmed Aaa (sf); previously on Sept. 12, 2014, Upgraded
to Aaa (sf)
$20,000,000 Class E Secured Deferrable Floating Rate Notes Due
2020, Affirmed Ba2 (sf); previously on Sept. 12, 2014, Affirmed
Ba2 (sf)
Landmark VIII CLO Ltd. issued in October 2006, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
October 2012.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an improvement in the credit quality of the
portfolio. The Class A-1 notes have been paid down by
approximately 11% or $12.8 million since May 2015. Based on the
trustee's April 2016 report, the weighted average rating factor
(WARF) is currently 2319 compared to 2371 in May 2015.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and/or collateral sales
by the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
6) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal can reinvest certain proceeds after
the end of the reinvestment period, and as such the manager
has the ability to erode some of the collateral quality
metrics to the covenant levels. Such reinvestment could
affect the transaction either positively or negatively. In
particular, Moody's tested for a possible extension of the
actual weighted average life in its analysis given that the
post-reinvestment period reinvesting criteria has loose
restrictions on the weighted average life of the portfolio.
7) Weighted average life: The notes' ratings are sensitive to
the weighted average life assumption of the portfolio, which
could lengthen owing to the manager's decision to reinvest
into new issue loans or loans with longer maturities, or
participate in amend-to-extend offerings. Moody's tested for
a possible extension of the actual weighted average life in
its analysis. Life extension can increase the default risk
horizon and assumed cumulative default probability of CLO
collateral.
8) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around $14.9
million of par, Moody's ran a sensitivity case defaulting
those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (1993)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D: +3
Class E: +1
Moody's Adjusted WARF + 20% (2990)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $271.4 million, defaulted par
of $16.1 million, a weighted average default probability of 12.45%
(implying a WARF of 2492), a weighted average recovery rate upon
default of 50.85%, a diversity score of 42 and a weighted average
spread of 3.15% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
LB COMMERCIAL 1999-C1: Moody's Hikes Cl. H Debt Rating to B3(sf)
----------------------------------------------------------------
Moody's Investors Service upgraded two classes and affirmed two
classes of LB Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 1999-C1 as follows:
G, Upgraded to Aa1 (sf); previously on May 29, 2015 Upgraded to Aa3
(sf)
H, Upgraded to B3 (sf); previously on May 29, 2015 Upgraded to Caa2
(sf)
J, Affirmed C (sf); previously on May 29, 2015 Affirmed C (sf)
X, Affirmed Caa3 (sf); previously on May 29, 2015 Affirmed Caa3
(sf)
RATINGS RATIONALE
The ratings on the Class G and Class H were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 14% since Moody's
last review.
The rating on Class J was affirmed because the rating is consistent
with Moody's expected loss.
The rating on the IO Class, Class X, was affirmed based on the
credit performance of its reference classes.
Moody's rating action reflects a base expected loss of 7.1% of the
current balance, compared to 12.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.8% of the original
pooled balance, compared to 2.9% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
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 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $20.2 million
from $1.58 billion at securitization. The certificates are
collateralized by 18 mortgage loans. Five loans, constituting 27%
of the pool, have defeased and are secured by US government
securities and the pool contains 11 CTL loans, constituing 44% of
the pool.
Thirty-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $42.3 million (for an average loss
severity of 37%). There are currently no loans on the master
servicer's watchlist or in special servicing.
Only two conduit loans remain which represent 35% of the pool
balance. The largest conduit loan is the Kohl's Shopping Center
Loan ($4.3 million -- 21.5% of the pool balance), which is secured
by a 102,000 square foot (SF) retail center located in suburban
Knoxville, Tennessee. The property was 98% leased as of December
2015. Kohl's Department Store leases 86% of the net rentable area
(NRA) through February 2019. The Moody's LTV and stressed DSCR are
75% and 1.37X, respectively, compared to 81% and 1.26X at last
review.
The other conduit loan is the Spalding Shopping Center ($1.4
million -- 7.0% of the pool balance), which is secured by a 59,000
SF retail center located 25 miles from Atlanta's CBD. The property
was 88% leased as of September 2015. Major tenants include Gold's
Gym and Jump Jump, featuiring leases through December 2019 and
January 2020, respectively. The Moody's LTV and stressed DSCR are
56% and 2.02X, respectively, the same as at last review.
The CTL component consists of 11 loans, constituting 44% of the
pool, secured by properties leased to four tenants. The largest
exposures are Rite-Aid Corp. ($3.7 million -- 19% of the pool
balance) and Bed, Bath & Beyond ($2.5 million -- 12% of the pool).
The bottom-dollar weighted average rating factor (WARF) for this
pool is 2794, compared to 3123 at the last review. WARF is a
measure of the overall quality of a pool of diverse credits. The
bottom-dollar WARF is a measure of default probability.
LB-UBS COMMERCIAL 2000-C5: Moody's Affirms C Rating on Cl. G Debt
-----------------------------------------------------------------
Moody's Investors Service affirmed two classes of LB-UBS Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2000-C5 as follows:
Cl. G, Affirmed C (sf); previously on May 29, 2015 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on May 29, 2015 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating on the P&I Class G was affirmed because the rating is
consistent with Moody's expected loss. Class G has experienced a
25% realized loss as result of previously liquidated loans.
The rating on the IO Class X was affirmed because the credit
performance of the referenced class.
Moody's rating action reflects a base expected loss of 42.7% of the
current balance, compared to 40.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.5% of the original
pooled balance, compared to 7.6% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
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 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $5.9 million
from $997 million at securitization. The certificates are
collateralized by four remaining mortgage loans. One loan,
constituting 4.7% of the pool, has defeased and is secured by US
government securities.
Two loans, constituting 88% 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-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $72.3 million (for an average loss
severity of 46%). No loans are currently in special servicing.
Moody's has assumed a high default probability for one troubled
loan, constituting 81% of the pool. The largest loan is the Express
Scripts Building Loan ($4.8 million -- 81.4% of the pool balance).
The loan is secured by a mixed used (office / flex warehouse)
property located in Albuquerque, New Mexico. The loan previously
transferred to special servicing in September 2010 for imminent
default due to the single tenant (Express Scripts) downsizing its
space to 37% of the NRA. The loan returned to the master servicer
in October 2012 and has passed its anticipated repayment date (ARD)
in October 2010. As of December 2015, the property remains 37%
leased and is on the watchlist due to low occupancy and DSCR.
Moody's has identified this as a troubled loan.
The second largest loan is the Whispering Hills Apartment Loan
($434,308 --7.3% of the pool). The fully amortizing loan is secured
by a 48-unit multifamily complex located in Oak Grove, Kentucky.
The property was built in 1998. As of December 2015, the property
was 92% leased. Moody's LTV and stressed DSCR are 25% and greater
than 4.00X, respectively, compared to 29% and 3.58X at last
review.
The third largest loan is the Rite Aid-St Johnsbury ($395,919 --
6.7% of the pool). The loan is secured by a 11,200 SF retail center
located in St. Johnsbury, Vermont. As of December 2015, the
property was 100% leased to Rite Aid through August 2018. The loan
is fully amortizing. Moody's LTV and stressed DSCR are 23% and
greater than 4.00X, respectively, compared to 32% and 3.19X at last
review.
LBUBS COMMERCIAL 2005-C1: Moody's Cuts Rating on X-CL Debt to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class,
affirmed the ratings on five classes, and downgraded the rating on
one class in LB-UBS Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2005-C1 as follows:
Cl. F, Upgraded to Aaa (sf); previously on Jul 31, 2015 Upgraded to
Aa2 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Jul 31, 2015 Upgraded to
Ba1 (sf)
Cl. H, Affirmed Caa2 (sf); previously on Jul 31, 2015 Affirmed Caa2
(sf)
Cl. J, Affirmed C (sf); previously on Jul 31, 2015 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jul 31, 2015 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jul 31, 2015 Affirmed C (sf)
Cl. X-CL, Downgraded to Caa3 (sf); previously on Jul 31, 2015
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The rating on Class F was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization.
The deal has paid down 27% since Moody's last review.
The rating on Class G class was affirmed due to the transaction's
key metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The ratings on the remaining four P&I classes were affirmed because
the ratings are consistent with Moody's expected loss.
The 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 39% of the
current balance, compared to 28% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.9% of the original
pooled balance, compared to 4.1% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
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 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 95.5% to $68 million
from $1.5 billion at securitization. The certificates are
collateralized by twelve mortgage loans ranging in size from less
than 1% to 35% of the pool, with the top ten loans constituting 89%
of the pool. One loan, constituting 10% of the pool, has defeased
and is secured by US government securities.
Four loans, constituting 24% 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.
Eighteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $33 million (for an average loss
severity of 27%). Two loans, constituting 41% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Great Neck Roslyn Portfolio ($23.8 million -- 35% of the
pool), which is secured by four office buildings in Roslyn Heights,
New York, a community on Long Island. The portfolio was formerly
collateralized by a larger Long Island office portfolio, however
those properties were either defeased and released, or sold with
proceeds used to pay down outstanding advances. The loan
transferred to special servicing in January 2010 and the remaining
assets became REO in March 2013. The Roslyn Heights properties that
remain were 54% leased as of December 2015. Moody's anticipates a
significant loss on this loan.
The second largest specially serviced loan is the Hamilton Meadows
Loan ($4.0 million -- 6% of the pool), which is secured by a 45,562
square foot (SF) retail center in Hamilton, Ohio, approximately 30
miles north of downtown Cincinnati. The loan transferred to special
servicing for impending maturity default in December 2014. The
property was only 38% leased as of September 2015 compared to 43%
as of March 2015.
In addition to the specially serviced loans, Moody's has assumed a
high default probability for one poorly performing loan,
constituting 12% of the pool. Moody's estimates an aggregate $26.7
million loss for the specially serviced and troubled loans (75%
expected loss on average).
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 85% of
the pool. Moody's weighted average conduit LTV is 53%, compared to
61% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 8% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 2.07X and 2.18X,
respectively, compared to 1.93X and 1.86X 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 28% of the pool balance. The
largest loan is the Bellflower Loan ($7.8 million -- 11% of the
pool). The Loan is secured by a 154,000 square foot (SF) Kmart
anchored retail strip located in Bellflower, CA, 15 miles west of
Anaheim. The property was 97% leased as of December 2015. The loan
maturity date is November 2019. Moody's LTV and stressed DSCR are
68% and 1.52X, respectively, compared to 62% and 1.65X at last
review.
The second largest loan is the Allentown Towne Center Loan ($5.8
million -- 8.5% of the pool), which is secured by a 160,000 square
foot (SF) Kmart anchored retail strip located in Allentown, PA
approximately 60 miles north of Philadelphia. The property was 95%
leased as of December 2015. Moody's LTV and stressed DSCR are 35%
and 2.97X, respectively, compared to 33% and 3.08X at the last
review.
The third largest loan is the Clearview Palms Loan ($5.6 million --
8% of the pool), which is secured by a 56,000 square foot (SF)
unanchored retail strip located in Metairie, LA approximately 10
miles away from the New Orleans city center. The property was 86%
leased as of December 2015. Moody's LTV and stressed DSCR are 60%
and 1.90X, respectively, compared to 63% and 1.80X at last review.
LCM XIII: S&P Affirms BB Rating on Class E Notes
------------------------------------------------
S&P Global Ratings raised its rating on the class B notes from LCM
XIII L.P. and affirmed its ratings on the class A, C, D, E, and
combination notes. LCM XIII L.P. is a U.S. collateralized loan
obligation (CLO) transaction that closed in February 2013 and is
scheduled to reinvest until January 2017. The transaction is
managed by LCM Asset Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated April 11,
2016.
The upgrade reflects the portfolio's improved credit quality since
the transaction's effective date in March 2013. This, combined
with a decline in the weighted average maturity of the collateral
pool, has improved the transaction's credit risk profile.
Partially offsetting these improvements was a slight decline in
available credit support, as illustrated by lower
overcollateralization (O/C) ratios at all rating levels since the
March 2013 effective date:
-- The class A/B O/C ratio decreased to 132.58% from 133.33%.
-- The class C O/C ratio decreased to 118.38% from 119.05%.
-- The class D O/C ratio decreased to 112.36% from 113.00%.
-- The class E O/C ratio decreased to 107.21% from 107.82%.
The affirmed ratings reflect S&P's view that the credit support
available is commensurate with the current rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as S&P deems
necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
LCM XIII L.P.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 7.20% AAA (sf)
B AA (sf) AA+ (sf) 9.80% AA+ (sf)
C A (sf) A+ (sf) 1.61% A (sf)
D BBB (sf) BBB+ (sf) 1.72% BBB (sf)
E BB (sf) BB+ (sf) 0.01% BB (sf)
Combination A- (sf)(pNRi) A (sf)(pNRi) 0.80% A- (sf)(pNRi)
notes(iii)
(i)The cash flow implied rating considers the minimum spread,
coupon, and recovery of the underlying collateral.
(ii)The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
(iii)The combination notes' principal balance is composed of 60%
class C and 40% class D note principal. Each component of the
combination notes is included in (not in addition to) the
respective principal amount of the class C and D notes.
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.
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 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C A+ (sf) A- (sf) A- (sf) A+ (sf) A (sf)
D BBB+ (sf) BBB- (sf) BBB (sf) BBB+ (sf) BBB (sf)
E BB+ (sf) B+ (sf) BB (sf) BB+ (sf) BB (sf)
Combination A (sf) BBB+ (sf) A- (sf) A+ (sf) A- (sf)
notes (pNRi) (pNRi) (pNRi) (pNRi) (pNRi)
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) AAA (sf) AA+ (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
E BB+ (sf) BB- (sf) B- (sf) BB (sf)
Combination A (sf(pNRi) A-(sf)(pNRi) BBB+ (sf)(pNRi) A-
(sf)(pNRi) notes
RATING RAISED
LCM XIII L.P.
Rating
Class To From
B AA+ (sf) AA (sf)
RATINGS AFFIRMED
LCM XIII L.P.
Class Rating
A AAA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
Combination notes A- (sf)(pNRi)
LEHMAN BROTHERS 1998-C1: Fitch Affirms 'Dsf' Rating on Class K Debt
-------------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed two classes of
Lehman Brothers (LB) Commercial Mortgage Trust's commercial
mortgage pass-through certificates series 1998-C1.
KEY RATING DRIVERS
The upgrade to class J reflects the class's increasing credit
enhancement from loan payoffs and continuing amortization (64.1% of
the pool is fully amortizing); as well as the percentage of
defeased collateral (14.8%). The portfolio is concentrated with
only 16 loans remaining; the largest loan comprises 35.9% of the
collateral. There are limited near-term maturities (68.2% matures
between 2021 and 2023).
While the credit enhancement to class J is high relative to modeled
expected loss, Fitch capped the ratings based on the pool's
concentration. Fitch designated one Fitch Loan of Concern (19.5%).
There are no specially serviced loans. Interest shortfalls are
currently affecting the distressed classes K through M.
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 98.7% to $22 million from
$1.73 billion at issuance. Fitch modeled losses of 4.3% of the
remaining pool; expected losses on the original pool balance total
3.2%, including $53.4 million (3.1% of the original pool balance)
in realized losses to date.
The largest loan in the pool is a multifamily property located in
Largo, FL (35.9%). The property caters to residents 55 and over.
The most recent servicer reported Debt Service Coverage Ratio
(DSCR) and occupancy are 1.89x and 93.3%, respectively as of
year-end (YE) 2015. The second largest loan (19.5%) is also a
multifamily property, primarily student housing, located in
Greenville, NC. Fitch considers this a Loan of Concern as DSCR has
remained low at a reported 1.03x as of YE 2015.
RATING SENSITIVITIES
The Rating Outlook on class J remains Stable as no rating changes
are anticipated at this time. Further upgrades should be limited
due to the concentrated nature of the pool. Downgrades are possible
should pool performance decline or further losses be realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following class:
-- $10.6 million class J to 'Asf' from 'BBBsf'; Outlook Stable.
Fitch has affirmed the following classes:
-- $11.4 million class K at 'Dsf'; RE 35%;
-- $0 class L at 'Dsf'; RE 0%;
Classes A-1, A-2, A-3, B, C, D, E, F, G and H were paid in full.
MORGAN STANLEY 2000-F1: Fitch Hikes Class E Debt Rating to 'Bsf'
----------------------------------------------------------------
Fitch Ratings has taken the following rating actions on Morgan
Stanley Dean Witter Mortgage Capital Owner Trust, series 2000-F1:
-- Class C upgraded to 'Asf' from 'BBBsf''; Outlook Stable;
-- Class D upgraded to 'BBBsf' from 'BBB-sf'; Outlook Stable;
-- Class E upgraded to 'Bsf' from 'CCCsf'; assigned Outlook
Stable;
-- Class F upgraded to 'CCsf' from 'Csf'/RE 100%;
-- Class G affirmed at 'Csf'/RE 100%.
KEY RATING DRIVERS
The upgrade of class C and D reflects the level of credit
enhancement (CE) available to the classes as well as the
significant amount of defeased collateral. This collateral is
sufficient to pay these two classes in full with timely interest.
Fitch utilized its 'Global Rating Criteria for Single- and
Multi-Name Credit-Linked Notes', particularly its Three-Risk CLN
Matrix for the review of these classes. The matrix utilizes a cross
default probability of the credit defeasance providers to arrive at
a rating. Fitch's rating on class D reflects its subordinated
position in the priority of payments.
The class E upgrade to 'Bsf' and class F to 'CCsf' and the
affirmation of class G reflect the CE available to the notes. Class
E has a Stable Outlook, while classes F and G have 100% recovery
estimates (REs), reflecting the expectation of full repayment in a
benign economic environment. The ratings reflect the methodology
detailed below.
METHODOLGY
In reviewing the transactions, Fitch utilized its 'Bespoke
Assumptions: Surveillance Criteria for Franchise Loan ABS'. This
methodology took into account analytical considerations outlined in
Fitch's 'Global Structured Finance Rating Criteria', issued July
2015, including asset quality, credit enhancement, financial
structure, legal structure, and originator and servicer quality.
Fitch's analysis of the transaction focused on its analysis of the
obligor credit quality measured by their Fixed Charge Coverage
Ratio (FCCR). If the obligor had a FCCR below 1.0x, Fitch assumed
the obligor would default as they likely will not be able to
continue making debt obligations. Additionally, Fitch assumed
delinquent or specially serviced loans would default. Fitch then
modelled the transaction assuming these obligors would default in
month one and be liquidated in 24 months, with a recovery rate
consistent with historical observations based on loan type and real
estate usage. Expected payments are considered under this base
scenario to determine recovery estimates for distressed classes,
while expected losses are applied to arrive at an adjusted
structure before conduction the FCCR analysis.
Fitch then prospectively defaulted obligors based on their FCCRs
for the various rating classes. For example, the default of
obligors with an FCCR between 1.00x and 1.15x were considered
consistent with a 'BBsf' Stress. Any expected net losses from the
analysis would be applied as write downs to the most subordinate
note, in the adjusted note structure previously described. If a
class did not receive any write downs, it was considered to have
passed that respective stress.
Fitch also analysed any exposure to obligor concentrations. In this
analysis, Fitch derived a net exposure to the largest obligor(s)
based on assumed recovery rates and applied the losses to the
adjusted note structure. If a class did not receive a write down,
it was deemed to have passed.
RATING SENSITIVITIES
As the majority of the pool consists of collateral in defeasance,
the performance of the senior classes will be tied to the future
performance of the currently high credit quality collateral
providers. The performance of the subordinate notes is exposed to
the performance of the few large remaining obligors. However, as
the transaction continues to amortize, positive rating actions on
the subordinate tranches could be possible if credit enhancement
builds and relative exposure to larger obligor performance
declines.
DUE DILIGENCE USAGE
No third party due diligence was received for this rating action.
MSBAM 2013-C11: Fitch Affirms 'Bsf' Rating on Class G Certs
-----------------------------------------------------------
Fitch Ratings has affirmed all classes of Morgan Stanley Bank of
America Merrill Lynch Trust, commercial mortgage pass-through
certificates, series 2013-C11 (MSBAM 2013-C11).
KEY RATING DRIVERS
The affirmations are based on the generally stable performance of
the pool. The Negative Outlooks on classes D through G reflect the
deterioration in performance of the third largest loan in the pool,
Matrix Corporate Center.
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 2.8% to $832 million from
$856.3 million at issuance. The pool has one specially serviced
loan (9.8%) at present and one loan (0.4%) on the servicer watch
list.
There were three variances from criteria related to classes B, C,
and G, based on the surveillance criteria. The surveillance
criteria indicated that rating upgrades were possible for classes B
and C. However, Fitch has determined that rating upgrades are not
warranted at this time as there has been no material improvement to
the performance of the pool since issuance and no significant
increase in credit enhancement. Additionally, surveillance
criteria indicated that a downgrade was possible on class G.
However, Fitch determined that downgrades are not warranted at this
time in the cycle of the deal as seasoning is somewhat limited, and
due to the uncertainty surrounding the workout of the Matrix
Corporate Center loan.
The largest contributor to expected losses is Matrix Corporate
Center (9.8% of the pool) which is secured by a 1 million square
foot (sf) office property located in Danbury, CT. This loan
transferred to special servicing February 2016 as a result of
declining occupancy and the death of the loan's guarantor. At
issuance the property was 72.3% occupied. Since issuance, one of
its largest tenant's, Boehringer Ingelheim, exercised its right to
reduce its footprint in the space by 11.9% of net rentable area
(NRA). Occupancy as of year-end 2015 was 55.7% but would decline
to 36.8% by December 2016, when Praxair Corporation (19% of NRA)
vacates its space. Praxair Corporation has purchased a new
headquarters nearby and will not be renewing its lease. loan has
been noted as a Fitch Loan of Concern and will continue to be
monitored.
The largest loan, Westfield Countryside (12% of pool), is secured
by 464,836 sf of a 1.26 million sf regional mall located in
Clearwater, FL. The mall is anchored by Sears, Macy's, Dillard's,
and JCPenney, all of which are not part of the collateral. The
largest collateral tenants are Cobb Theatres, XXI Forever, LA
Fitness, and Victoria's Secret. As of the year-end 2015 rent roll,
collateral occupancy was 95% up from 90% as of 1Q2015. Total mall
occupancy was 98% as of year-end 2015. NOI was roughly flat between
2014 and 2015. Gap (2.6% of NRA) vacated its space upon its
January 2016 lease expiration.
The next largest loan, The Mall at Tuttle Crossing (11.3 %), is
secured by 385,057 sf of a 1.14 million sf regional mall located in
Dublin, OH. The mall is anchored by two Macy's stores, JCPenney,
and Sears, all of which are not part of the collateral. The largest
collateral tenants are The Finish Line, Shoe Dept. Encore,
Victoria's Secret, and H&M. Collateral occupancy was 88%,
unchanged year over year. The overall mall occupancy was 95% as of
year-end 2015. NOI was roughly flat between 2014 and 2015.
Additionally, Fitch has noted Hampton Inn - Katy, TX (0.4%) as a
Loan of Concern. The loan is secured by a 69-key hotel located in
Katy, TX. Third quarter 2015 DSCR was 1.15x, down from 2.50x as of
year-end 2014; however, it should be noted that the loan is
amortizing on a 15-year schedule. At issuance it was noted that
the property was exposed to corporate accounts related to the oil
industry. Per its December 2015 Smith Travel Research (STR)
report, the property reflected Revenue per available room (RevPAR)
of $93.62 compared with RevPAR of $70.64 generated by its
competitive set. Fitch will continue to monitor this loan.
RATING SENSITIVITIES
Fitch has revised the Ratings Outlook on classes D through G to
Negative as a result of the negative impact from stressed analysis
on Matrix Corporate Center. Sustained underperformance may warrant
downgrades; conversely, Ratings Outlooks may be revised to Stable
should asset level performance revert to levels seen at issuance.
Ratings Outlooks on A-1 through C remain Stable due to the
relatively stable performance of the pool. Downgrades are possible
with continued significant performance decline. Upgrades to senior
classes, while not likely in the near term, are possible with
increased credit enhancement and overall improved pool
performance.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms the ratings and revises the Outlook on these
classes:
-- $38.5 million class D at 'BBB-sf'; Outlook to Negative from
Stable.
-- $9.6 million class E at 'BBB-sf'; Outlook to Negative from
Stable;
-- $8.6 million class F at 'BB+sf'; Outlook to Negative from
Stable;
-- $20.3 million class G at 'Bsf'; Outlook to Negative from
Stable.
Fitch has affirmed these classes:
-- $28.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $142 million class A-2 at 'AAAsf'; Outlook Stable;
-- $73 million class A-AB at 'AAAsf'; Outlook Stable;
-- $125 million class A-3 at 'AAAsf'; Outlook Stable;
-- $206.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $49.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $61 million class B at 'AA-sf'; Outlook Stable;
-- $34.3 million class C at 'A-sf'; Outlook Stable;
-- $144.5 million class PST at 'A-sf'; Outlook Stable;
Fitch does not rate the class H, J, or X-B certificates. The class
A-S, B, and C certificates may be exchanged for class PST
certificates, and the class PST certificate may be exchanged for
the class A-S, B, and C certificates.
PUBLIC FINANCE: Moody's Assigns Caa2 Ratings to Revenue Bonds
-------------------------------------------------------------
Moody's Investors Service assigned a first time Caa2 rating to a
planned issuance of approximately $22 million of Public Finance
Authority taxable revenue bonds (Infrastructure Development
Cooperative -- Propane Supply and Distribution Project) Series
2016A. The outlook is stable.
Public Finance Authority (PFA), is a unit of government of the
State of Wisconsin, which is planning to issue the taxable revenue
bonds on behalf of the obligor, Infrastructure Development
Cooperative, LCA (IDC).
RATINGS RATIONALE
“The Caa2 rating assigned reflects the significant business and
financial risks present for IDC, which is a newly formed
member-owned limited cooperative association (LCA) with an initial
primary business objective to provide propane distribution services
to Native American Reservations (Reservations), Tribes and their
indigenous population that are not currently adequately served by
public utilities. These risks include IDC's very small size and
scope of its early stage start-up operations, limited assets and
financial resources, execution risks typical of a start-up
member-owned LCA seeking Master Propane Agreements (MPAs) to expand
its very limited start-up membership base, while also managing
exposures to the seasonal aspects of the propane distribution
business and price and volume risks associated with the primary
business objective established by IDC. The rating also incorporates
the generally weak economic base associated with the Reservations,
offset in part by tribal enrollment in federal programs that
provide energy subsidies for eligible customers, and potential
questions surrounding the legal enforcement of limited waivers of
sovereign immunity for each Tribe under the MPAs, which could pose
challenges for IDC to enforce its rights under operative
contractual agreements entered into with each member. The Caa2
rating further recognizes the funding strategy of IDC as we
understand that at financial close a portion of bond proceeds will
fund three years of interest expense (in the form of a capitalized
interest fund) plus one year of annual debt service (in the form of
a debt service reserve fund), lowering near-term default risk and
giving IDC some runway to implement its business strategy.”
“Although the IDC has identified significant tribal demand for
its project across as many as 37 Tribes through various regions in
the United States, there are 10 Tribes currently designated as
IDC's initial/launch clients. Moody's considers IDC's plans to
issue the estimated $22 million of taxable revenue bonds prior to
having the full complement of initial/launch clients under formal
MPAs to be a highly speculative strategy. Moreover, at this
juncture, only three Tribes have formally signed MPAs with IDC, two
of which are full service customers and one considered the
equivalent of a wholesale customer (e.g., not eligible for full
services beyond wholesale supply procurement). The remaining seven
initial/launch clients have signed non-binding letters of intent
(LOIs). Additionally, we understand that the MPAs have language
that allows customers to terminate their respective arrangement
with IDC to purchase propane. While we recognize that there may be
a compelling economic argument for customers to enter into and to
maintain an MPA with IDC, the ability of such customers to
terminate the arrangement is a credit vulnerability as it exposes
the issuer to many of the same market conditions as their
for-profit peers.”
“On a pro-forma basis, the project's base case assumes that all
ten initial launch customers will be under contract in the near
term, with six being full service clients and the remaining four
expected to be wholesale service customers. On the basis of this
assumption, IDC estimates annual propane usage by the members will
be around 9.5 million gallons, which would produce net revenues
available for debt service of approximately $4.5 million and about
1.4 times debt service coverage. Over an initial five-year period,
IDC's pro-forma projections further assume that 14 additional
tribal clients are added. At that juncture, IDC assumes it will
have 14 full service members and 10 wholesale service clients which
are expected to bring the aggregate annual propane consumption
volume to about 16.6 million gallons and allow debt service
coverage to increase to about 1.9 times. However, with only three
signed MPAs and no firm obligation on the part of the seven Tribes
that signed non-binding LOIs to enter into MPAs, our rating factors
in this early stage implementation risk as we believe that the
potential exists for significant shortfalls in net revenues
available for debt service if only some or, in a worst case, none
of the other Tribes sign MPAs. Although the terms of the bonds
provide for capitalizing interest during the first three years of
the project, require a maximum annual debt service reserve fund to
be maintained as defined, and principal amortization does not
commence until the fourth year, which should allow IDC to comply
with bond covenanted sum sufficient debt service coverage in the
early years, we view the assumptions incorporated into the base
case as being aggressive and representing a significant near-term
credit risk. According to pro-forma estimates, the annual propane
usage in aggregate for IDC's two full service customers and the one
wholesale service customer under contract is 5.1 million gallons.
To reach a break-even operation, annual propane usage would need to
increase by about 2.5 million gallons (e.g., about five additional
members based on IDCs studies of historical propane usage by the
initial/launch clients) to bring estimated annual propane usage to
around 7.6 million gallons. At this volume level, IDC's pro-forma
sensitivity analysis would expect to achieve a break even position
for sum sufficient debt service coverage of approximately $3.2
million of levelized annual debt service once principal begins to
amortize in 2019.”
“IDC has also gathered data which indicates a substantial number
of homes on the projected Tribal members' Reservations are eligible
for the Low Income Home Energy Assistance Program (LIHEAP),
administered by the U.S. Department of Health and Human Services.
The substantial number of homes eligible for LIHEAP grant money
reflects the generally weak economic base associated with the
Reservations. The LIHEAP assists low income households,
particularly those with the lowest incomes that pay a high
proportion of household income for home energy. The existence of
LIHEAP, which has been around since 1981 and is expected to remain
in place, and the familiarity that the Tribes have with how to
obtain such assistance should combine to provide some certainty of
IDC's revenue stream associated with services provided to the
neediest of homes on the Reservations. That said, we do believe
that challenges will surface for IDC concerning receivable credit
quality, which will impact working capital requirements, given the
economic profile of the customer base.”
To assist in meeting the propane supply needs of its members, IDC
has entered into a propane purchasing agreement with Town & Country
Supply Association (TCSA), an affiliate of CHS, Inc. Under the
agreement, IDC is authorized to purchase propane through TCSA from
authorized propane terminals throughout the U.S. and Canada. The
agreement also provides for IDC to obtain a national account and
have the right to buy propane at CHS posted prices. IDC plans to
make significant purchases on behalf of its clients during the
spring and summer months when prices are typically lowest to
achieve maximum economic benefits. The delivery of wholesale
propane will primarily be taken by IDC at the bulk storage tanks
installed on each Reservation and IDC will use its owned trucks to
deliver propane supplies to residential and other consumers on the
Reservations. Moody's also understands that CHS would provide for
additional storage services beyond the capacity of IDC storage
capability once the volumes are agreed upon and the price is
determined. This strategy should further advance IDC's objective to
maximize the economic benefits of purchasing propane during off
peak times when prices are lowest to be delivered throughout the
year, especially during peak demand periods. Nevertheless, the
seasonal nature of the propane distribution business and historical
volatility of the propane market represent elements of risk and
challenge for IDC to cope with, particularly from a working capital
perspective, as it undertakes its initial primary business
objective.
IDC is party to a consultant and management agreement with Highland
Park Management, LLC (an affiliate of Haynes Investments, LLC)
which will cover day-to-day operations. Included among Highland's
responsibilities are: maintaining the overall direction of the
Propane Project; coordination and oversight of the approved budget
and financing activities; guidance through the application process
to obtain LIHEAP funds; development of management; and the
coordination of construction.
The stable rating outlook reflects the flexibility that IDC has in
meeting its sum sufficient debt service coverage ratio in the early
stages of its development as interest is capitalized for the first
three years and principal does not begin to amortize until the
fourth year following initial closing of the financing.
The rating could experience upward pressure as additional tribes
complete the contractual process to become either full service or
wholesale customers of IDC and as the cooperative can demonstrate a
track record of being able to meet its business objectives,
including being able to manage the potential operating challenges
associated with the propane business, while retaining its existing
customer base and securing growth through new customer additions.
Downward rating pressure would result if IDC is not successful in
signing new members to at least achieve break-even volumes of
propane distribution, if operating issues or incremental expenses
surface as the cooperative grows its customer base, if access to
LIHEAP funds is materially delayed or reduced, or potential working
capital challenges become unwieldy causing a strain on liquidity.
Infrastructure Development Cooperative, LCA is a member owned
limited cooperative association formed under the laws of the
District of Columbia, which currently serves three clients. Its
principal address is C/O Highland Park Management 7515 Lemmon Ave.
Hangar R, Dallas, Texas 75209.
REALT 2007-1: Moody's Affirms Ba3 Rating on 3 Tranches
------------------------------------------------------
Moody's Investors Service has upgraded two classes and affirmed 13
classes in Real Estate Asset Liquidity Trust, Commercial Mortgage
Pass-Through Certificates, Series 2007-1 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 5, 2015 Affirmed Aaa
(sf)
Cl. B, Upgraded to Aaa (sf); previously on Jun 5, 2015 Affirmed Aa1
(sf)
Cl. C, Upgraded to Aa3 (sf); previously on Jun 5, 2015 Affirmed A1
(sf)
Cl. D-1, Affirmed Baa2 (sf); previously on Jun 5, 2015 Affirmed
Baa2 (sf)
Cl. D-2, Affirmed Baa2 (sf); previously on Jun 5, 2015 Affirmed
Baa2 (sf)
Cl. E-1, Affirmed Baa3 (sf); previously on Jun 5, 2015 Affirmed
Baa3 (sf)
Cl. E-2, Affirmed Baa3 (sf); previously on Jun 5, 2015 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Jun 5, 2015 Affirmed Ba1
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Jun 5, 2015 Affirmed Ba2
(sf)
Cl. H, Affirmed Ba3 (sf); previously on Jun 5, 2015 Affirmed Ba3
(sf)
Cl. J, Affirmed B1 (sf); previously on Jun 5, 2015 Affirmed B1
(sf)
Cl. K, Affirmed B3 (sf); previously on Jun 5, 2015 Affirmed B3
(sf)
Cl. L, Affirmed Caa2 (sf); previously on Jun 5, 2015 Affirmed Caa2
(sf)
Cl. XC-1, Affirmed Ba3 (sf); previously on Jun 5, 2015 Affirmed Ba3
(sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Jun 5, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on two 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 55% of the pool that have debt yields
exceeding 12.0% are scheduled to mature within the next 12 months.
The ratings on 10 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 one P&I class was affirmed because the
ratings are consistent with Moody's expected loss.
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 1.7% of the
current balance, compared to 2.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.2% of the original
pooled balance, compared to 1.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
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 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $317 million
from $514 million at securitization. The certificates are
collateralized by 53 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans constituting 63% of
the pool. Two loans, constituting 23% of the pool, have
investment-grade structured credit assessments. Three loans,
constituting 8% of the pool, have defeased and are secured by
Canadian government securities.
Seven loans, constituting 12% 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.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $827,174.
Moody's received full year 2014 operating results for 100% of the
pool. Moody's weighted average conduit LTV is 82%, compared to 79%
at Moody's last review. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13% 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 1.41X and 1.46X,
respectively, compared to 1.45X and 1.46X 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 first loan with a structured credit assessment is the Atrium
Pooled Interest Loan ($37.5 million -- 11.8% of the pool), which
represents a pari passu interest in a $112.5 million first mortgage
loan. The loan is secured by a 1.08 million square foot (SF)
mixed-use complex located in Toronto, Ontario. There is also a $74
million B note secured by the property that is held outside the
trust. H&R REIT acquired the subject property in June 2011. The
property was 96% leased as of March 2016, compared to 97% leased as
of January 2014. The other pari passu interests are held in REALT
2007-2 and Schooner Trust 2007-8. Moody's structured credit
assessment and stressed DSCR are aa1 (sca.pd) and 1.89X,
respectively.
The second loan with a structured credit assessment is the Langley
Power Centre Loan ($35.1 million -- 11.1% of the pool), which is
secured by a 228,000 SF anchored retail center located in Langley,
British Columbia. The property was 100% leased as of January 2016,
compared to 97% leased as of January 2015. The loan is 100%
recourse to RioCan Real Estate Investment Trust. Moody's structured
credit assessment and stressed DSCR are a3 (sca.pd) and 1.21X,
respectively.
The top three conduit loans represent 25% of the pool balance. The
largest loan is the non-defeased portion of the Conundrum Portfolio
Loan ($28.5 million -- 9.0% of the pool). The portfolio was
originally secured by a 15 property portfolio containing nine
industrial, five unanchored retail and one office property, all
located in Ontario. The Lender has consented partial defeasances of
five properties. Following the defeasances, the subject portfolio
loan now consists of 10 properties. Moody's LTV and stressed DSCR
are 94% and 1.10X, respectively, compared to 101% and 1.02X at the
last review.
The second largest loan is the Dundee Mississauga Office Loan
($26.8 million -- 8.4% of the pool), which is secured by two
office/flex properties, one office and one industrial property, all
located in Mississauga, Ontario. The portfolio was 100% leased as
of April 2015, compared to 95% leased as of April 2014. Moody's LTV
and stressed DSCR are 78% and 1.25X, respectively, compared to 82%
and 1.19X at the last review.
The third largest loan is the Sundance Pooled Interest Loan ($23.3
million -- 7.3% of the pool), which represents a pari passu
interest in a $46.6 million first mortgage loan. The loan is
secured by a 175,500 SF office property located in Calgary,
Alberta. As of April 2016, the property occupancy decreased to 34%,
as compared to 53% in April 2015 and 100% in March 2014. The other
pari passu interest is held in REALT 2007-2. Moody's LTV and
stressed DSCR are 127% and 0.74X, respectively, compared to 111%
and 0.86X at the last review.
REALT 2016-1: Fitch to Rate Class G Debt 'Bsf'
----------------------------------------------
Fitch Ratings has issued a presale report on Real Estate Asset
Liquidity Trust's (REAL-T) commercial mortgage pass-through
certificates series 2016-1.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $196,710,000 class A-1 'AAAsf'; Outlook Stable;
-- $150,114,000 class A-2 'AAAsf'; Outlook Stable;
-- $9,022,000 class B 'AAsf'; Outlook Stable;
-- $12,028,000 class C 'Asf'; Outlook Stable;
-- $11,026,000 class D 'BBBsf'; Outlook Stable;
-- $5,513,000 class E 'BBB-sf'; Outlook Stable;
-- $4,511,000 class F 'BBsf'; Outlook Stable;
-- $4,010,000 class G 'Bsf'; Outlook Stable.
All currencies are in Canadian dollars (CAD).
Fitch does not expect to rate the $400,953,248 (notional balance)
interest-only class X or the non-offered $8,019,248 class H
certificates.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 55 loans secured by 91 commercial
properties located in Canada having an aggregate principal balance
of approximately $401 million as of the cutoff date. The loans were
originated or acquired by Royal Bank of Canada.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 76.5% of the properties,
by balance, cash flow analysis on 100%, and asset summary reviews
on 100% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.12x, a Fitch stressed loan-to-value (LTV) of 110%, and
a Fitch debt yield of 8.43%. Fitch's aggregate net cash flow
represents a variance of 4.29% to issuer cash flows.
KEY RATING DRIVERS
High Fitch Leverage: The transaction has higher leverage than other
recent Fitch-rated Canadian multiborrower deals. The pool's Fitch
DSCR of 1.12x is below both the 2015 and 2014 averages of 1.18x and
1.13x, respectively. The pool's Fitch LTV of 110% is above both the
2015 average of 102.6% and the 2014 average of 104.8%.
Significant Amortization: The pool's weighted average remaining
amortization term is 27.0 years, which represents faster
amortization than U.S. conduit loans. There are no partial or full
interest-only loans. The pool's maturity balance represents a
paydown of 23.3% of the closing balance, which represents less
paydown than the 2015 Canadian average of 28.8% but significantly
more paydown than the 2015 U.S. multiborrower average of 11.7%.
Canadian Loan Attributes and Historical Performance: The ratings
reflect strong historical Canadian commercial real estate loan
performance, including a low delinquency rate and low historical
losses of less than 0.1%, as well as positive loan attributes, such
as short amortization schedules, recourse to the borrower and
additional guarantors. For more information on prior Canadian CMBS
securitizations, see Fitch's 'Canadian CMBS Default and Loss
Study,' (October 2013) at www.fitchratings.com.
Loans with Recourse: Of the pool, 82.3% of the loans feature full
or partial recourse to the borrowers and/or sponsors, which is
above the 63% from the recent IMSCI 2015-6 transaction and in line
with the 82.6% from the REAL-T 2015-1 transaction. In Fitch's
analysis, the probability of default is reduced for loans with
recourse.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 17.9% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). The following rating
sensitivities describe how the ratings would react to further NCF
declines below Fitch's NCF. The implied rating sensitivities are
only indicative of some of the potential outcomes and do not
consider other risk factors to which the transaction is exposed.
Stressing additional risk factors may result in different outcomes.
Furthermore, the implied ratings, after the further NCF stresses
are applied, are more akin to what the ratings would be at deal
issuance had those further stressed NCFs been in place at that
time.
Fitch evaluated the sensitivity of the ratings assigned to REAL-T
2016-1 certificates and found that the transaction displays average
sensitivity to further declines in NCF. In a scenario in which NCF
declined a further 20% from Fitch's NCF, a downgrade of the senior
'AAAsf' certificates to 'Asf' could result. In a more severe
scenario, in which NCF declined a further 30% from Fitch's NCF, a
downgrade of the senior 'AAAsf' certificates to 'BBBsf' could
result.
RED RIVER: Moody's Hikes Class E Notes Rating to Ba1(sf)
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Red River CLO Ltd.:
US$45,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2018, Upgraded to Aa1 (sf);
previously on January 11, 2016 Upgraded to A1 (sf)
US$31,500,000 Class E Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2018 (current outstanding balance of
$26,342,207), Upgraded to Ba1 (sf); previously on January 11, 2016
Affirmed Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
US$657,000,000 Class A Floating Rate Senior Secured Extendable
Notes Due 2018 (current outstanding balance of $626,266), Affirmed
Aaa (sf); previously on January 11, 2016 Affirmed Aaa (sf)
US$45,000,000 Class B Floating Rate Senior Secured Extendable Notes
Due 2018, Affirmed Aaa (sf); previously on January 11, 2016
Affirmed Aaa (sf)
US$40,500,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2018, Affirmed Aaa (sf); previously
on January 11, 2016 Affirmed Aaa (sf)
Red River CLO Ltd., issued in August 2006, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans with some exposure to CLO tranches. The transaction's
reinvestment period ended in August 2013.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since January 2016. The Class A
notes have been paid down by approximately 99% or $85.0 million
since that time. Based on Moody's calculation, the OC ratios for
the Class B, Class C, Class D and Class E notes are currently
395.12%, 209.32%, 137.48% and 114.48%, respectively, versus January
2016 levels of 201.71%, 153.98%, 121.93% and 108.68%,
respectively.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on the trustee's April 2016
report, securities that mature after the notes do currently make up
approximately $25.5 million or 9.1% of the portfolio compared to
$21.9 million or 7.0% of the portfolio in January 2016. These
investments could expose the notes to market risk in the event of
liquidation when the notes mature.
REVELSTOKE CDO I: DBRS Confirms Csf Rating on Class A-2 Notes
-------------------------------------------------------------
DBRS Limited confirmed the ratings of the Class A-1 Notes, Class
A-2 Notes and Class A-3 Notes issued by Revelstoke CDO I Limited
(Revelstoke or the Transaction) at CC (sf), C (sf) and C (sf),
respectively.
The Transaction is exposed to pools of U.S. non-prime residential
mortgages, as well as other collateralized debt obligations backed
by residential mortgages, among other assets. Since the last rating
confirmation, the credit quality of the portfolio has experienced
further deterioration. DBRS expects that the Class A-1 Notes will
suffer a partial loss of principal, and it is expected that holders
of both the Class A-2 Notes and Class A-3 Notes will not receive
any return of initial principal over the remaining term of the
Transaction.
SANTANDER DRIVE 2016-2: Moody's Assigns Ba2 Ratings to Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Santander Drive Auto Receivables Trust 2016-2
(SDART 2016-2). This is the second SDART transaction of the year
for Santander Consumer USA Inc. (SC).
The complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2016-2
$191,200,000, 0.75000%, Class A-1 Notes, Definitive Rating Assigned
P-1 (sf)
$267,000,000, 1.38%, Class A-2-A Notes, Definitive Rating Assigned
Aaa (sf)
$83,000,000, LIBOR + 0.65%, Class A-2-B Notes, Definitive Rating
Assigned Aaa (sf)
$161,920,000, 1.56%, Class A-3 Notes, Definitive Rating Assigned
Aaa (sf)
$163,150,000, 2.08%, Class B Notes, Definitive Rating Assigned Aa1
(sf)
$175,290,000, 2.66%, Class C Notes, Definitive Rating Assigned Aa3
(sf)
$104,500,000, 3.39%, Class D Notes, Definitive Rating Assigned Baa1
(sf)
$67,420,000, 4.38%, Class E Notes, Definitive Rating Assigned Ba2
(sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying auto loans
and their expected performance, the strength of the structure, the
availability of excess spread over the life of the transaction, and
the experience and expertise of SC (NR) as servicer.
The definitive ratings for the Class C notes, Aa3 (sf), the Class D
notes, Baa1 (sf), and the Class E notes, Ba2 (sf) are one notch
higher than their provisional ratings of , (P) A1 (sf) on the Class
C notes, (P) Baa2 (sf) on the class D notes, and (P) Ba3 on the
class E notes. This difference is a result of (1) the transaction
closing with a lower weighted average cost of funds (WAC) than
Moody's modeled when the provisional ratings were assigned and (2)
the percent of the Class A-2 notes that are floating rate, which
are subject to a stressed interest rate assumption, is lower than
Moody's modeled when the provisional ratings were assigned. The WAC
assumptions and the floating-rate percent of the Class A-2 notes,
as well as other structural features, were provided by the issuer.
Moody's median cumulative net loss expectation for the 2016-2 pool
is 17.0% and the Aaa level is 49.0%. The loss expectation was based
on an analysis of SC's portfolio vintage performance as well as
performance of past securitization pools, and current expectations
for future economic conditions.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the notes if levels of credit protection are
higher than necessary to protect investors against current
expectations of portfolio losses. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or appreciation in the value of the vehicles securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US job market and the market for used vehicles.
Other reasons for better-than-expected performance include changes
to servicing practices that enhance collections or refinancing
opportunities that result in prepayments.
Down
Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US job market and the market for used vehicles. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
Additionally, Moody's could downgrade the Class A-1 short-term
rating following a significant slowdown in principal collections
that could result from, among other things, high delinquencies or a
servicer disruption that impacts obligor's payments.
SDART 2016-2: Fitch Rates Class E Notes 'BBsf'
----------------------------------------------
Fitch Ratings expects to assign these ratings and Outlooks to the
Santander Drive Auto Receivables Trust 2016-2 (SDART 2016-2)
notes:
-- $191,200,000 class A-1 notes 'F1+sf';
-- $350,000,000 class A-2-A and A-2-B notes 'AAAsf'; Outlook
Stable;
-- $161,920,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $163,150,000 class B notes 'AAsf'; Outlook Stable;
-- $175,290,000 class C notes 'Asf'; Outlook Stable;
-- $104,500,000 class D notes 'BBBsf'; Outlook Stable;
-- $67,420,000 class E notes 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Improved Credit Quality: 2016-2 is backed by collateral consistent
with the 2014-2016 pools, with a WA FICO score of 600 and an
internal WA loss forecast score (LFS) of 555. The WA seasoning is
2.4 months, new vehicles total 34.4%, and the pool is
geographically diverse.
Increased Extended-Term Contracts: Despite the drop in 73-75 month
loans to 4.6%, 60+ month loans still account for 91.2% of the pool,
towards the higher end of the range historically for the platform.
Consistent with prior Fitch-rated transactions, an additional
stress was applied the loss proxy derivation for 73-75 month loans.
Although performance history is limited, loss severity observed
has been in excess of 61-72 loans thus far.
Weakening Performance: Although within range of the 2010-2012
performance, recent 2013-2015 portfolio and securitization losses
are tracking higher. Loss frequency has been driven by weaker
collateral underwriting while loss severity has increased due to
the slightly weaker wholesale market and early stage defaults on
extended term collateral. Fitch expects performance for the 2015
vintage to perform in line with 2013 and 2014, if not weaker.
Sufficient Credit Enhancement: The cash flow distribution is a
sequential pay structure. Initial hard credit enhancement (CE)
totals 49.85% for the class A notes consistent with 2016-1.
Anticipated WA excess spread has declined to 9.65% per annum as a
result of higher anticipated pricing for the notes and drop in WA
APR.
Stable Corporate Health: SC's recent financial results have been
weaker due to higher losses on the managed portfolio. However, the
company has been profitable since 2007 and Fitch currently rates
Santander, SC's majority owner, 'A-/F2'/Outlook Stable.
Consistent Origination/Underwriting/Servicing: SC demonstrates
adequate abilities as originator, underwriter, and servicer, as
evidenced by historical portfolio and securitization performance.
Fitch deems SC capable to service this series.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of SC would not impair the
timeliness of payments on the securities.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce loss levels higher
than the base case. This in turn could result in Fitch taking
negative rating actions on the notes.
Fitch evaluated the sensitivity of the ratings assigned to
Santander Drive Auto Receivables Trust 2016-2 to increased credit
losses over the life of the transaction. Fitch's analysis found
that the transaction displays some sensitivity to increased
defaults and credit losses. This shows a potential downgrade of
one or two categories under Fitch's moderate (1.5x base case loss)
scenario, especially for the subordinate bonds. The notes could
experience downgrades of three or more rating categories,
potentially leading to distressed ratings (below 'Bsf') or possibly
default, under Fitch's severe (2x base case loss) scenario.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Deloitte and Touche, LLP. The third-party due diligence focused on
comparing or recomputing certain information with respect to 150
loans from the statistical data file.
SHACKLETON I CLO: S&P Affirms BB Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-X, B-1, B-2, C, D, and E notes from Shackleton I CLO
Ltd., a U.S. collateralized loan obligation (CLO) that closed in
September 2012 and is managed by Alcentra NY LLC.
The rating actions follow S&P's review of the transaction's
performance, using data from the March 15, 2016 trustee report.
The transaction is scheduled to remain in its reinvestment period
until August 2016, and S&P anticipates that the manager will
continue to reinvest principal proceeds in line with the
transaction documents. The class A-X notes have paid down to
16.67% of their original balance, and should pay down in full over
the next two payment dates with interest proceeds.
The transaction has benefited from a seasoning of the collateral,
with the reported weighted average life of the portfolio decreasing
to 4.09 years from 4.91 years since the effective date. However,
this benefit has been offset by a slight deterioration in the
credit quality of the portfolio, with 'CCC' rated and defaulted
collateral going to 3.67% and 0.80% of the aggregate principal
balance, respectively, from 1.61% and 0%. In addition, the
weighted average spread of the portfolio has decreased to 4.22%
from 4.54%, which could hinder the transaction's ability to cover
potential future losses of collateral.
The cash flow analysis pointed to a one-notch upgrade for several
of the tranches; however, S&P considered a sensitivity run to allow
for volatility in the underlying portfolio given that the
transaction is still in its reinvestment period.
On a standalone basis, the results of the cash flow analysis point
to a lower rating for the class E notes. However, as the
transaction enters its amortization period in August 2016, S&P
believes that the tranche will benefit from the increased
overcollateralization due to senior note paydowns. In addition,
although distressed collateral is relatively higher than it was as
of the transaction's effective date, it still constitutes a very
small portion of the portfolio. In line with this rationale, S&P
affirmed the rating on the class E notes to remain in line with its
credit stability framework.
The affirmation of the ratings assigned to the other classes of
notes reflects S&P's belief that the credit support available is
commensurate with the current rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
Shackleton I CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating (i) cushion (ii) rating
A-1 AAA (sf) AAA (sf) 12.50% AAA (sf)
A-X AAA (sf) AAA (sf) 29.41% AAA (sf)
B-1 AA (sf) AA+ (sf) 9.43% AA (sf)
B-2 AA (sf) AA+ (sf) 9.43% AA (sf)
C A (sf) A+ (sf) 7.23% A (sf)
D BBB (sf) BBB+ (sf) 1.33% BBB (sf)
E BB (sf) BB- (sf) 0.32% BB (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated scenarios in
which it made negative adjustments of 10% to the current collateral
pool's recovery rates relative to each tranche's weighted average
recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions, assuming the
correlation scenarios outlined below.
Correlation
scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-X AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
C A+ (sf) A+ (sf) A+ (sf) AA (sf) A (sf)
D BBB+ (sf) BB+ (sf) BBB (sf) BBB+ (sf) BBB (sf)
E BB- (sf) B (sf) B+ (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-X AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) A+ (sf) AA (sf)
B-2 AA+ (sf) AA+ (sf) A+ (sf) AA (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB- (sf) B+ (sf) BBB (sf)
E BB- (sf) B+ (sf) CCC- (sf) BB (sf)
RATINGS AFFIRMED
Shackleton I CLO Ltd.
Class Rating
A-1 AAA (sf)
A-X AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
SHACKLETON II CLO: S&P Affirms BB Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-X, B-1, B-2, C, D, and E notes from Shackleton II CLO
Ltd., a U.S. collateralized loan obligation (CLO) that closed in
November 2012 and is managed by Jefferies LLC.
The deal is currently in its reinvestment phase, which is scheduled
to end in October 2016. Since the transaction's effective date,
the default asset balance has increased to $3.08 million as of the
March 2016 trustee report. Over the same period, the amount of
'CCC' rated assets has increased to $14.11 million from $3.38
million. The total par has slightly decreased, primarily as a
result of recent defaults. This has led to the minor decrease in
the overcollateralization (O/C) ratios. Per the March 2016 trustee
report, the weighted average life has decreased to 4.21 years from
5.33 years as of the effective date, which has led to lower
scenario default rates and an increase in the cash flow cushion for
each class.
Although the cash flow results show higher ratings for the class
B-1, B-2, C, D, and E notes, S&P considered the decline in credit
quality, the decrease in O/C ratios, and the decline in par when
performing S&P's analysis.
The March 2016 trustee report indicated these O/C changes when
compared to the March 2013 report:
-- The class A/B O/C ratio decreased to 132.41% from 133.18%.
-- The class C O/C ratio decreased to 122.42% from 123.13%.
-- The class D O/C ratio decreased to 115.17% from 115.84%.
-- The class E O/C ratio decreased to 108.44% from 109.06%.
S&P's affirmations of the ratings on the class A-1, A-X, B-1, B-2,
C, D, and E notes reflect the available credit support consistent
with the current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest 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, and S&P will take rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Shackleton II CLO Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A-1 AAA (sf) AAA (sf) 14.59 AAA (sf)
A-X AAA (sf) AAA (sf) 31.50 AAA (sf)
B-1 AA (sf) AA+ (sf) 13.03 AA (sf)
B-2 AA (sf) AA+ (sf) 13.03 AA (sf)
C A (sf) AA (sf) 0.46 A (sf)
D BBB (sf) BBB+ (sf) 8.13 BBB (sf)
E BB (sf) BB+ (sf) 4.57 BB (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined.
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-X 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 BBB+ (sf) BBB (sf) BBB+ (sf) A (sf) BBB (sf)
E 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-X 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 BBB+ (sf) BBB+ (sf) BB (sf) BBB (sf)
E BB+ (sf) BB- (sf) B- (sf) BB (sf)
RATINGS AFFIRMED
Shackleton II CLO Ltd.
Class Rating
A-1 AAA (sf)
A-X AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
SIERRA TIMESHARE 2013-2: S&P Affirms BB Rating on Cl. C Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A, B, and C notes from Sierra Timeshare 2013-2 Receivables
Funding LLC.
Sierra Timeshare 2013-2 Receivables Funding LLC is an asset-backed
securities transaction backed by timeshare loans originated by
Wyndham Vacation Resorts and Worldmark by Wyndham and its
affiliates.
As of the March 21, 2016, payment date, the class A note balance
was $51.5 million, the class B note balance was $14.1 million, and
the class C note balance was $8.3 million. All of the notes were
at 22.76% of their original balances. The collateral pool balance
was $77.3 million, or 23.3% of its original pool balance.
The affirmations reflect the notes' ability to withstand S&P's
stress tests at the current ratings, as well as credit enhancement
in the form of structural subordination, the reserve account, and
available excess spread. The ratings are also based on Wyndham
Consumer Finance's demonstrated servicing ability and experience in
the timeshare market.
According to the March 21, 2016, distribution report from the
servicer, no performance triggers were breached and the transaction
met the reserve account and overcollateralization requirements.
The reserve account is at its floor of $812,500 and the
overcollateralization remains at 5%.
S&P will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and will take rating actions as S&P deems necessary.
RATINGS AFFIRMED
Sierra Timeshare 2013-2 Receivables Funding LLC
Class Rating
A A (sf)
B BBB (sf)
C BB (sf)
SOUND POINT XI: Moody's Assigns Prov. Ba3 Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service, Inc. has assigned provisional ratings to
these classes of notes to be issued by Sound Point CLO XI, Ltd.
Moody's rating action is:
$322,500,000 Class A Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$27,500,000 Class B-1 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aa2 (sf)
$30,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2028,
Assigned (P)Aa2 (sf)
$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)A2 (sf)
$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Baa3 (sf)
$25,000,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Ba3 (sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes and the Class E Notes are referred
to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Sound Point CLO XI is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 90.0% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 10.0% of the portfolio may consist of second lien loans,
senior unsecured loans and first-lien last-out loans. The
portfolio is expected to be approximately 70% ramped as of the
closing date.
Sound Point Capital Management, LP (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 approximately 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 these base-case assumptions:
Par amount: $500,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2500
Weighted Average Spread (WAS): 3.90 %
Weighted Average Coupon (WAC): 4.00%
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 2500 to 2875)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2500 to 3250)
Rating Impact in Rating Notches
Class A Notes: -1
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
TRINITAS CLO IV: S&P Assigns Prelim. BB- Rating on Cl. E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to Trinitas CLO IV Ltd./Trinitas CLO IV LLC's $370.00 million
floating-rate notes.
The note issuance is backed by a revolving pool consisting
primarily of broadly syndicated senior secured loans.
The preliminary ratings are based on information as of April 28,
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 criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The asset manager's and designated successor manager's
experienced management teams.
-- 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%-12.8655%.
-- The transaction's overcollateralization (O/C) 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 interest diversion test, a failure of
which will lead to the reclassification of a certain amount
of excess interest proceeds available (before paying
deferred interest on the class F notes, uncapped
administrative expenses and fees, subordinated hedge
termination payments, subordinated management fees, asset
manager incentive fees, and subordinated note payments)
during the reinvestment period, at the collateral manager's
option, as principal proceeds to purchase additional
collateral assets or to pay principal on the notes according
to the note payment sequence.
PRELIMINARY RATINGS ASSIGNED
Trinitas CLO IV Ltd./Trinitas CLO IV LLC
Amount
Class Rating (mil. $)
X AAA (sf) 2.00
A AAA (sf) 258.00
B AA (sf) 42.00
C (deferrable) A (sf) 28.00
D-1 (deferrable) BBB (sf) 15.00
D-2 (deferrable) BBB (sf) 5.00
E (deferrable) BB- (sf) 20.00
Subordinated notes NR 36.64
NR--Not rated.
UBS-BARCLAYS 2012-C3: Moody's Affirms Ba2 Rating on Cl. E Debt
--------------------------------------------------------------
Moody's Investors Service has affirmed twelve classes in
UBS-Barclays Commercial Mortgage Trust 2012-C3 as:
Cl. A-1, Affirmed Aaa (sf); previously on May 6, 2015, Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on May 6, 2015, Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 6, 2015, Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 6, 2015, Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on May 6, 2015, Affirmed
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on May 6, 2015, Affirmed
Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on May 6, 2015, Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on May 6, 2015, Affirmed
Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on May 6, 2015, Affirmed
Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on May 6, 2015, Affirmed
B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on May 6, 2015, Affirmed
Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on May 6, 2015, Affirmed
Ba3 (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 ratings on the two IO classes, Class X-A and X-B, were affirmed
based on the credit performance the referenced classes.
Moody's rating action reflects a base expected loss of 3.0% of the
current balance compared to 3.2% at Moody's prior review. Moody's
base expected loss plus realized losses is now 2.8% of the original
pooled balance compared to 3.1% at the prior 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 28.
DEAL PERFORMANCE
As of the April 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $1.03 billion
from $1.08 billion at securitization. The Certificates are
collateralized by 85 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans (excluding
defeasance) representing 46% of the pool. One loan, representing
1% of the pool has defeased and is secured by US Government
securities.
Eight loans, representing 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of our
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
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 98% of the
pool and full or partial year 2015 operating results for 51% of the
pool. Moody's weighted average conduit LTV is 91% compared to 93%
at Moody's last review. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 10% 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 1.70X and 1.21X,
respectively, compared to 1.67X and 1.16X at the last review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and the
loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 25% of the pool
balance. The largest loan is the 1000 Harbor Boulevard Loan
($113.0 million -- 11.0% of the pool), which is secured by a
ten-story suburban office building located in Weehawken, New
Jersey. The loan represents a 94% pari-passu interest in a $120
million loan. As of December 2015, the property was 100% leased to
UBS Financial Services, Inc. (senior unsecured rating of A1, stable
outlook) through 2028. The property is part of Lincoln Harbor, a
master planned community set on 60 acres along the Hudson River,
directly across from Midtown Manhattan. The loan is structured
with an Anticipated Repayment Date ("ARD") in September 2022, after
which the loan will hyper-amortize and has a final maturity date in
December 2028. Moody's LTV reflects the loan amount
hyper-amortized through the post-ARD period less the loan amount
that would normally amortize on a 30-year amortization schedule
during the first 10 years of the loan term if amortization had been
present. Moody's LTV and stressed DSCR are 104% and 0.95X,
respectively, compared to 104% and 0.97X at the last review.
The second largest loan is the Apache Mall Loan ($93.8 million --
9.1% of the pool), which is secured by an enclosed single level
regional mall located in Rochester, Minnesota. The collateral
consists of 591,423 square foot (SF) of the total property which is
754,213 SF. Major anchor tenants include JC Penny, Herberger's and
Macy's (non-collateral). The Sears store closed in 2014 and was
replaced with Scheels in the Spring of 2015. Mall occupancy as of
December 2015 was 99%, the same as at December 2014. In-line
occupancy was 94% as of December 2015. Moody's LTV and stressed
DSCR are 93% and 1.05X, respectively, compared to 98% and 0.99X at
the last review.
The third largest loan is the Reisterstown Road Plaza Loan ($46.3
million -- 4.5% of the pool), which is secured by a 660,408 SF
mixed use and anchored retail center located in Baltimore.
Maryland. The anchor tenants include Giant Foods, Burlington Coat
Factory, Shoppers World, Big Lots and Marshalls. The main office
tenant is the Department of Public Safety which leases 16% of the
NRA through December 2021. The property was 94% leased as of
September 2015 compared to 93% leased as of December 2014. Moody's
LTV and stressed DSCR are 101% and 1.04X, respectively, compared to
89% and 1.18X at the last review.
UBS-BARCLAYS COMMERCIAL 2012-C2: Fitch Affirms B Rating on G Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of UBS-Barclays Commercial
Mortgage Trust 2012-C2 (UBSBB 2012-C2) commercial mortgage
pass-through certificates as a result of stable performance of the
underlying pool.
KEY RATING DRIVERS
The affirmations are based on the overall stable performance of the
underlying collateral pool. Although very little change has
occurred in credit enhancement since issuance, there were three
instances of variance from criteria related to classes D through F,
where Fitch's surveillance criteria would indicate that an upgrade
is possible. Fitch determined that upgrades are not warranted at
this time in the cycle of the deal as no material change to the
portfolio has occurred since issuance. As of the April 2016
distribution date, the pool's aggregate principal balance has been
reduced by only 6.1% through loan amortization. The current deal
balance is $1.14 billion compared to $1.22 billion at issuance.
Further, the pool is concentrated with only 54 loans; none paid off
in full since issuance, and only four loans (16.3% of the pool) are
scheduled to mature before 2022. There is further concentration by
asset type with loans secured by retail properties comprising 46%
of the portfolio; regional malls total 29% of the pool (including
five of the Top 15 loans).
Fitch has designated only two loans as Fitch Loans of Concern
(0.46%), and no loans are currently in special servicing. Per the
servicer reporting, three loans (1.2% of the pool) are defeased.
Interest shortfalls are currently affecting class H. The pool has
experienced no realized losses to date.
The largest loan in the pool is secured by 110 William Street
(12.1% of the pool), a 920,000 square foot (sf), 32-story office
building located in downtown Manhattan, at the intersection of
William Street and John Street. The property is located five blocks
north of the New York Stock Exchange and has direct access to the
recently constructed Fulton Street Transit Center. As of the
February 2016 rent roll, the property was 91.3% occupied with less
than 5% tenant roll over the next year. The largest tenants are New
York City Economic Development (28.4% of net rentable area [NRA])
and the NYS Superintendent of Insurance (12.6%). The year-end 2015
servicer reported debt service coverage ratio (DSCR) was 1.54x.
This loan is scheduled to mature in July 2017.
The next largest loan in the pool is secured by a 518,000 sf
portion of the Crystal Mall (8.1% of the pool), a two-story
enclosed regional mall located in Waterford, CT. Per the servicer,
the YTD September 2015 DSCR and collateral occupancy were 1.70x and
88.5%, respectively. There are four anchors at the property, two of
which, Macy's and Sear's, are not part of the collateral. The third
anchor, JC Penney (17% of the collateral NRA), renewed its lease
last year through 2019; and Bed Bath & Beyond/Christmas Tree Shops
(12.7%) has a lease through 2024. Approximately 18% of the
collateral square footage (12% of total mall sf) rolls over the
next year. Annualized in-line (less than 10,000 sf) comparable
sales for 2015 were reported at $357 psf, which is in line with the
2014 average.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the pool. Upgrades, while not likely in the
near term, are possible with increased credit enhancement and
sustained improvement to the pool's credit metrics. No loans are
scheduled to mature until July 2017 (12.1%); and only 16.3% of the
pool prior to 2022.Downgrades to the classes are possible should
overall performance decline.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms the following classes as indicated:
-- $5.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $174.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $116.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $479.7 million class A-4 at 'AAAsf'; Outlook Stable;
-- $94.2 million class A-S-EC at 'AAAsf'; Outlook Stable;
-- $63.8 million class B-EC at 'AAsf'; Outlook Stable;
-- $45.6 million class C-EC at 'Asf'; Outlook Stable;
-- $203.7 class EC at 'Asf'; Outlook Stable;
-- $24.3 million class D at 'BBB+sf'; Outlook Stable;
-- $47.1 million class E at 'BBB-sf'; Outlook Stable;
-- $22.8 million class F at 'BBsf'; Outlook Stable;
-- $24.3 million class G at 'Bsf'; Outlook Stable;
-- *Class X-A at 'AAAsf', Outlook Stable.
*Interest-Only class.
The class A-S-EC, class B-EC and class C-EC certificates may be
exchanged for class EC certificates, and class EC certificates may
be exchanged for class A-S-EC, class B-EC and class C-EC
certificates. As of the June 2013 remittance, all of the class
A-S-EC, class B-EC and class C-EC certificates had been exchanged
for class EC certificates.
Fitch does not rate the interest-only class X-B or class H
certificates.
UPLAND CLO: Moody's Assigns Ba3 Rating on Class D Notes
-------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Upland CLO, Limited.
Moody's rating action is:
$235,000,000 Class A-1A Senior Secured Floating Rate Notes due
2028, Definitive Rating Assigned Aaa (sf)
$25,000,000 Class A-1B Senior Secured Fixed Rate Notes due 2028,
Definitive Rating Assigned Aaa (sf)
$21,000,000 Class A-2A Senior Secured Floating Rate Notes due
2028, Definitive Rating Assigned Aa2 (sf)
$26,000,000 Class A-2B Senior Secured Fixed Rate Notes due 2028,
Definitive Rating Assigned Aa2 (sf)
$10,000,000 Class B-1 Deferrable Mezzanine Secured Floating Rate
Notes due 2028, Definitive Rating Assigned A2 (sf)
$8,500,000 Class B-2 Deferrable Mezzanine Secured Fixed Rate
Notes due 2028, Definitive Rating Assigned A2 (sf)
$26,000,000 Class C Deferrable Mezzanine Secured Floating Rate
Notes due 2028, Definitive Rating Assigned Baa3 (sf)
$16,500,000 Class D Deferrable Junior Secured Floating Rate
Notes due 2028, Definitive Rating Assigned Ba3 (sf)
The Class A-1A Notes, the Class A-1B Notes, the Class A-2A Notes,
the Class A-2B Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes and the Class D 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.
Upland CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 95.0% 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 87.5% ramped as of the closing date.
Invesco Senior Secured Management, Inc. 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 these base-case assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2675
Weighted Average Spread (WAS): 3.85%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 8.2 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 2675 to 3076)
Rating Impact in Rating Notches:
Class A-1A Notes: 0
Class A-1B Notes: 0
Class A-2A Notes: -2
Class A-2B Notes: -2
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 2675 to 3478)
Rating Impact in Rating Notches:
Class A-1A Notes: -1
Class A-1B Notes: -1
Class A-2A Notes: -3
Class A-2B Notes: -3
Class B-1 Notes: -4
Class B-2 Notes: -4
Class C Notes: -2
Class D Notes: -1
WAMU COMMERCIAL 2007-SL2: Fitch Raises Rating on Cl. C Certs to B
-----------------------------------------------------------------
Fitch Ratings has upgraded three classes and affirmed nine classes
of WaMu Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates series 2007-SL2.
KEY RATING DRIVERS
The upgrades reflect lower loss expectations and increasing credit
enhancement. The affirmations reflect overall low collateral
quality and concerns related to the historically high loss
severities for small balance loans. Furthermore, 76% of the loans
do not mature until 2036 leaving the pool susceptible to economic
volatility over a long time horizon. Fitch modeled losses of 10.1%
of the remaining pool; expected losses on the original pool balance
total 5.8%, including $28.5 million (3.4% of the original pool
balance) in realized losses to date. Fitch has designated 35 loans
(15.6%) as Fitch Loans of Concern, which includes four specially
serviced assets (1.9%).
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 75.5% to $206.2 million from
$842.1 million at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes G through N.
The largest contributor to expected losses is a real estate owned
(REO) asset (1.6% of the pool) that consists of a 26,872 square
foot (sf) mixed use property located in Lynbrook, NY. The loan had
transferred to the special servicer in June 2010 due to payment
default and became REO in October 2014. The property is being
repositioned with new tenants before being put on the market; an
asking price is still being determined. The occupancy was reported
to be 54% as of March 2016.
The next largest contributor to expected losses is secured by a
50-unit multi-family property (0.9% of the pool) located in
Marysville, CA, which is roughly 40 miles north of Sacramento.
Occupancy was reported to be 90% as of March 2015 and the debt
service coverage ratio (DSCR) was reported at 0.59x as of December
2014. The borrower hopes to improve cash flow at the property by
continuing to increase occupancy.
The third largest contributor to expected losses is secured by an
18-unit multi-family property (0.4%) located in Takoma Park, MD,
approximately 30 miles north of Washington, D.C. Despite high
occupancy, the property's DSCR has been below 1.0x for the past
several years. The year-end 2014 DSCR was 0.14x with occupancy at
89%. The loan remains current.
RATING SENSITIVITIES
The Rating Outlooks on classes A1A and B remain Stable due to their
seniority and expected continued paydown from the nearly 20% of the
pool maturing in the fourth quarter of 2016. Although credit
enhancement for these classes is high compared to other
multi-borrower transactions, further upgrades are not warranted at
this time due to the small balance nature of the loans, which have
higher loss severities than traditional loans.
A Stable Rating Outlook has been assigned to class C to reflect
sufficient credit enhancement. Further upgrades were limited to
this class based on the potential for additional loan defaults and
the thinness of the subordinate classes. Distressed classes (those
rated below 'Bsf') may be subject to further rating actions as
losses are realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these classes and assigned Rating Outlooks as
indicated:
-- $115.7 million class A1A to 'Asf' from 'BBB-sf'; Outlook
Stable;
-- $17.9 million class B to 'BBBsf' from 'BBsf'; Outlook
Stable;
-- $25.3 million class C to 'Bsf' from 'CCCsf'; Outlook Stable
Assigned.
Fitch has affirmed these classes:
-- $16.8 million class D at 'CCsf'; RE 100%;
-- $6.3 million class E at 'Csf'; RE 35%;
-- $7.4 million class F at 'Csf'; RE 0%;
-- $13.7 million class G at 'Csf'; RE 0%;
-- $3.2 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%.
The class A certificates have paid in full. Fitch does not rate
the class N certificates. Fitch previously withdrew the rating on
the interest-only class X certificates.
WELLS FARGO 2005-AR5: Moody's Hikes Cl. II-A-2 Debt Rating to B2
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of three tranches
from Wells Fargo Mortgage Backed Securities 2005-AR5 Trust.
Complete rating actions are as follows:
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR5 Trust
Cl. I-A-2, Upgraded to Caa1 (sf); previously on Jul 15, 2011
Downgraded to Caa3 (sf)
Cl. II-A-1, Upgraded to Baa3 (sf); previously on Jul 15, 2011
Downgraded to Ba3 (sf)
Cl. II-A-2, Upgraded to B2 (sf); previously on Jul 15, 2011
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating actions are mainly due to a correction to the cash-flow
waterfall modeled by Moody's to review this transaction since the
last rating action on July 15, 2011, and relate to the allocation
of principal between the senior and subordinate bonds after a
breach in performance triggers. In this transaction, the cumulative
loss trigger has been breached and the senior bonds are receiving
all of the principal prepayments. However, the cash-flow waterfall
did not capture the correct prepayment percentage and was
incorrectly allocating a portion of principal prepayments to
subordinate bonds. The error has been corrected, and today's rating
actions reflect the appropriate allocation of principal
prepayments. The actions also reflect the recent performance of the
underlying pools and Moody's updated loss expectations on the
pools
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in March
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
WELLS FARGO 2016-C34: DBRS Assigns Prov. B Rating to Class G Debt
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C34, to
be issued by Wells Fargo Commercial Mortgage Trust (WFCM) 2016-C34.
The trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3FL at AAA (sf)
-- Class A-3FX at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-E at AAA (sf)
-- Class X-FG at AAA (sf)
-- Class X-H at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
Classes X-E, X-FG, X-H, A-3FL, A-3FX, D, E, F and G will be
privately placed. The Class X-A, X-B, X-E, X-FG and X-H balances
are notional. DBRS ratings on interest-only (IO) certificates
address the likelihood of receiving interest based on the notional
amount outstanding. DBRS considers the IO certificates’ position
within the transaction payment waterfall when determining the
appropriate rating.
The collateral consists of 68 fixed-rate loans secured by 92
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. When the cut-off loan balances were measured
against the DBRS Stabilized net cash flow (NCF) and their
respective actual constants, 11 loans, representing 14.3% of the
total pool, had a DBRS Term debt service coverage ratio (DSCR)
below 1.15 times (x), a threshold indicative of a higher likelihood
of mid-term default. Additionally, to assess refinance risk given
the current low interest rate environment, DBRS applied its
refinance constants to the balloon amounts.
This resulted in 36 loans, representing 65.1% of the pool, having
Refinance (Refi) DSCRs below 1.00x. The loans’ probability of
default (POD) is based on the more constraining of the DBRS Term or
Refi DSCR. Only six loans, representing 6.6% of the pool, are
secured by properties that are either fully or primarily leased to
a single tenant. This is lower than some recent conduit
transactions that have shown single-tenant concentrations in excess
of 15.0% of the pool. Loans secured by properties occupied by
single tenants have been found to suffer from higher loss
severities in the event of default.
As such, DBRS modeled single-tenant properties with a higher POD
and cash flow volatility compared with multi-tenant properties.
None of the loans in the pool are secured by student or military
housing properties, which often exhibit higher cash flow volatility
than traditional multifamily properties. While no loans in the pool
are secured by properties exhibiting Above Average or Excellent
quality, only two loans, representing 1.6% of the pool, were deemed
to be Below Average property quality. The remaining loans were
considered Average property quality. The pool is relatively more
concentrated than recent WFCM transactions, with the top ten loans
accounting for 50.2% of the pool. The deal’s concentration
profile is equivalent to that of a pool of 27 equal-sized loans,
which is less than favorable. The transaction has a high
concentration of loans suffering from elevated refinance risk.
Thirty-six loans, accounting for 65.1% of the pool, have DBRS Refi
DSCRs less than 1.00x. Nine of these loans, representing 21.0% of
the pool, have DBRS Refi DSCRs less than 0.90x. Twenty-two loans,
representing 20.2% of the pool, are secured by properties located
in tertiary or rural markets, including two of the top ten loans.
The deal appears concentrated by property type, with 33 loans (nine
of the top 15 loans), representing 46.2% of the pool, secured by
retail properties. None of the retail properties are outlet or
regional malls.
The DBRS sample included 35 loans of the 68 loans in the pool. Site
inspections were performed on 40 of the 92 properties in the
portfolio (66.1% of the pool by allocated loan balance). DBRS
conducted meetings with the on-site property manager, leasing agent
or a representative of the borrowing entity for 52.6% of the pool.
The DBRS sample had an average NCF variance of -7.8%, ranging from
-2.6% to 1.7%. Ten loans, representing 30.4% of the pool, have
sponsorship and/or loan collateral associated with a voluntary
bankruptcy filing, a prior discounted payoff, loan default, limited
net worth and/or liquidity, a historical negative credit event
and/or inadequate commercial real estate experience. DBRS increased
the POD for the loans with identified sponsorship concerns. The
ratings assigned to the Certificates by DBRS are based exclusively
on the credit provided by the transaction structure and underlying
trust assets. All classes will be subject to ongoing surveillance,
which could result in upgrades or
A full text copy of the rating table is available free at:
http://is.gd/utfOiX
WELLS FARGO 2016-C34: Fitch Affirms 'B-sf' Rating on Class F Debt
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on the Wells Fargo
Commercial Mortgage Trust 2016-C34 Commercial Mortgage Pass-Through
Certificates. Fitch expects to rate the transaction and assign
Rating Outlooks as follows:
-- $33,179,000 class A-1 'AAAsf'; Outlook Stable;
-- $100,629,000 class A-2 'AAAsf'; Outlook Stable;
-- $115,000,000c class A-3 'AAAsf'; Outlook Stable;
-- $172,158,000 class A-4 'AAAsf'; Outlook Stable;
-- $45,985,000 class A-SB 'AAAsf'; Outlook Stable;
-- $35,139,000 class A-S 'AAAsf'; Outlook Stable;
-- $527,090,000b class X-A 'AAAsf'; Outlook Stable;
-- $36,018,000b class X-B 'AA-sf'; Outlook Stable;
-- $36,018,000 class B 'AA-sf'; Outlook Stable;
-- $36,896,000 class C 'A-sf'; Outlook Stable;
-- $20,205,000ab class X-E 'BB-sf'; Outlook Stable;
-- $25,000,000ac class A-3FL 'AAAsf'; Outlook Stable;
-- $0ac class A-3FX 'AAAsf'; Outlook Stable;
-- $41,289,000a class D 'BBB-sf'; Outlook Stable;
-- $20,205,000a class E 'BB-sf'; Outlook Stable;
-- $7,907,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) The aggregate initial balance of class A-3, A-3FL and A-3FX
certificates will be $140,000,000. Holders of the class A-3FL
certificates may exchange all or a portion of their certificates
for a like principal amount of class A-3FX certificates having the
same pass-through rate as the class A-3FX regular interest.
The expected ratings are based on information provided by the
issuer as of April 29, 2016. Fitch does not expect to rate the
$20,205,000ab class X-FG certificates, $12,298,000a class G
certificates, the $21,084,500a class H or the $21,084,500ab class
X-H certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 68 loans secured by 92
commercial properties having an aggregate principal balance of
approximately $702.8 million as of the cut-off date. The loans were
contributed to the trust by Wells Fargo Bank, National Association,
Natixis Real Estate Capital LLC, Rialto Mortgage Finance, LLC,
Silverpeak Real Estate Finance LLC, and Basis Real Estate Capital
II, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 74.5% of the properties by
balance, cash flow analysis of 79.9%, and asset summary reviews on
100% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool has higher leverage statistics than
other recent Fitch-rated, fixed-rate multiborrower transactions.
The pool's Fitch DSCR of 1.07x is below both the year-to-date (YTD)
2016 average of 1.17x and full-year 2015 average of 1.18x. The
pool's Fitch LTV of 112.9% is above both the YTD 2016 average of
107.9% and full-year 2015 average of 109.3%.
Additional Subordinate Financing: Three loans (20.4% of the pool)
have additional subordinate debt in place, including the two
largest loans, Regent Medical Office (9.96% of the pool) and
Congressional North Shopping Center & 121 Congressional Lane
(8.4%). The pool's Fitch total debt DSCR and LTV of 1.04x and
115.2%, respectively, are worse than the YTD 2016 averages of 1.11x
and 112%, respectively.
Retail Concentration: Thirty-one of the 68 loans in the transaction
are completely are partially secured by retail properties. Retail
properties represent 38.0% of the pool by balance, which is
significantly above the YTD 2016 and full-year 2015 averages of
24.8% and 26.7%, respectively. No other property type accounts for
more than 16.1% of the pool by balance.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 9.2% below
the most recent net operating income (NOI; for properties for which
a recent NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severities on defaulted loans and could result in potential rating
actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to WFCM
2015-C34 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the senior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB-sf'
could result. The presale report includes a detailed explanation of
additional stresses and sensitivities on pages 10-11.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence information
was provided on Form ABS Due Diligence-15E and focused on a
comparison and re-computation of certain characteristics with
respect to each of the 68 mortgage loans. Fitch considered this
information in its analysis and the findings did not have an impact
on the analysis.
ZOHAR II 2005-1: S&P Affirms B Rating on 3 Tranches
---------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-2, and A-3 notes from Zohar II 2005-1 Ltd., a
collateralized loan obligation (CLO) that closed in January 2005.
The affirmations on the class A-1, A-2, and A-3 notes reflect the
financial guarantee provided by MBIA Insurance Corp.
(B/Stable/--).
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.
RATINGS AFFIRMED
Zohar II 2005-1 Ltd.
Class Rating
A-1 B (sf)
A-2 B (sf)
A-3 B (sf)
[*] DBRS Confirms Ratings on 92 Tranches From 22 U.S. ABS Deals
---------------------------------------------------------------
DBRS, Inc. has conducted a review of 22 publicly rated U.S.
structured finance asset-backed securities transactions that are
currently outstanding. Of the 99 securities reviewed, 92 were
confirmed, four were upgraded and three were discontinued due to
repayment in full.
For the ratings that were confirmed, performance trends are such
that credit enhancement levels are sufficient to cover DBRS’s
expected losses at their current respective rating levels. For the
securities that were upgraded, performance trends are such that
credit enhancement levels are sufficient to cover DBRS's expected
losses at their new respective rating levels. The following public
transactions were reviewed:
-- Brazos Higher Education Authority, Inc. 2004A Trust
-- Bush Leasing Trust 2011-A, LLC
-- Exeter Automobile Receivables Trust 2015-2
-- First Investors Auto Owner Trust 2014-3
-- Foursight Capital Automobile Receivables Trust 2015-1
-- GCO Education Loan Funding Master Trust-II, Series 2006-2
-- GCO Education Loan Funding Master Trust-II, Series 2007-1
-- Global SC Finance II SRL Fixed Rate Asset Backed Notes, Series
2013-1
-- Global SC Finance II SRL Fixed Rate Asset Backed Notes, Series
2013-2
-- Global SC Finance II SRL Fixed Rate Asset Backed Notes, Series
2014-1
-- Global SC Finance SRL
-- GO Financial Auto Securitization Trust 2015-1
-- Goal Capital Funding Trust 2007-1
-- HFG Healthco-4 LLC, Healthcare Receivables-Backed Notes,
Series 2011-1
-- LEAF Receivables Funding 10, LLC - Equipment Contract Backed
Notes, Series 2015-1
-- Nations Equipment Finance Funding II, LLC
-- Navient Student Loan Trust 2014-8
-- Nelnet Student Loan Trust 2012-4
-- SLC Private Student Loan Trust 2010-B
-- SoFi Professional Loan Program 2013-A LLC
-- SoFi Professional Loan Program 2014-A LLC
-- Synchrony Credit Card Master Note Trust, Series 2015-VFN 1
A full text copy of the rating table is available free at:
http://is.gd/fcdsf5
[*] DBRS Reviews 148 Classes From 20 U.S. RMBS Deals
----------------------------------------------------
DBRS, Inc. (DBRS) reviewed 148 classes from 20 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 148 classes
reviewed, 33 classes were upgraded, 95 classes were confirmed and
20 classes were discontinued due to full principal repayment to the
bondholders.
The rating upgrades reflect positive performance trends and that
these classes have experienced increases in credit support
sufficient to withstand stresses at their new rating level. For
transactions where the rating has been confirmed, current asset
performance and credit support levels have been consistent with the
current rating.
The transactions consist of U.S. re-securitization of real estate
mortgage investment conduit (ReREMIC) transactions. The pools
backing these transactions consist of ReREMIC, Option Arm, Alt-A,
Prime and Subprime collateral.
A full text copy of the rating table is available free at:
http://is.gd/FZZ5gb
[*] Fitch Puts 6 Tranches From 2006-2007 RMBS Deals on Watch Neg.
-----------------------------------------------------------------
Fitch Ratings has placed the ratings of six classes from two jumbo
reverse mortgage transactions issued in 2006 and 2007 on Rating
Watch Negative due to a model correction.
KEY RATING DRIVERS
The required model correction was identified through a model
validation review of the U.S. reverse mortgage model. The
correction will affect the initial indexation of the property
values, the projected accrued interest, projected costs and the
projected liquidation timelines.
The model correction potentially affects ratings in two seasoned
jumbo reverse mortgage transactions issued in 2006 and 2007.
Ratings on the classes currently range from 'BBBsf' to 'Bsf.' The
Outlook for all of the current ratings was Negative prior to
today's placement on Negative Watch. After the model correction,
preliminary model-indicated ratings range from 'Bsf' to 'CCCsf.'
RATING SENSITIVITIES
For reverse mortgage transactions, Fitch's analysis includes rating
stress scenarios from 'CCCsf' to 'Asf'. The 'CCCsf' scenario is
intended to be the most-likely base-case scenario. Rating scenarios
above 'CCCsf' are increasingly more stressful and less likely to
occur. Although many variables are adjusted in the stress
scenarios, the primary driver of the loss scenarios is the home
price forecast assumption. In the 'Bsf' scenario, Fitch assumes
home prices decline 10% below their long-term sustainable level.
The home price decline assumption is increased by 5% at each higher
rating category up to a 25% decline in the 'Asf' scenario.
Classes currently rated below 'Bsf' are at-risk to default at some
point in the future. As default becomes more imminent, bonds
currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and
eventually 'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be
sensitive to future mortgage borrower behavior, which historically
has been strongly correlated with home price movements. Despite
recent positive trends, Fitch currently expects home prices to
decline in some regions before reaching a sustainable level. While
Fitch's ratings reflect this home price view, the ratings of
outstanding classes may be subject to revision to the extent actual
home price and mortgage performance trends differ from those
currently projected by Fitch.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
A list of the Affected Ratings is available at:
http://bit.ly/1QWWj4R
[*] Moody's Cuts Ratings on 176 Securities Wrapped by MBIA
----------------------------------------------------------
Moody's Investors Service has downgraded 176 and placed on review
for downgrade the ratings of 162 structured finance securities
wrapped by MBIA Insurance Corporation. The securities impacted
include certain RMBS, ABS, and CDOs.
Please click on the following link to access the full list of
affected credit ratings. This list is an integral part of this
press release and identifies each affected issuer:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF424556
RATINGS RATIONALE
This action is solely driven by Moody's announcement on January
19th, 2016 that it has downgraded and placed on review for
downgrade the Insurance Financial Strength (IFS) ratings of MBIA
Insurance Corporation (MBIA Corp.) to B3.
Moody's ratings on structured finance securities that are
guaranteed or "wrapped" by a financial guarantor are generally
maintained at a level equal to the higher of the following: a) the
rating of the guarantor; or b) the published or unpublished
underlying rating. Please see "Rating Transactions Based on the
Credit Substitution Approach: Letter of Credit-backed, Insured and
Guaranteed Debts" published in December 2015. The principal
methodology used in determining the underlying rating is the same
methodology for rating securities that do not have a financial
guaranty and are listed in the link noted above.
This action is driven solely by the rating action on MBIA and is
not a result of change in key assumptions, expected losses, cash
flows and stress scenarios on the underlying assets. Any future
changes to the ratings of MBIA Corp could have an impact on the
ratings of the affected securities.
[*] Moody's Hikes $176.4MM of Alt-A RMBS Issued 2004-2005
---------------------------------------------------------
Moody's Investors Service, on May 5, 2016, upgraded the rating of
eight tranches from two transactions, backed by Alt-A RMBS loans,
issued by Impac and Bear Stearns.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2004-11
Cl. I-A-1, Upgraded to Aa3 (sf); previously on Mar 14, 2011
Downgraded to A2 (sf)
Cl. I-A-2, Upgraded to A1 (sf); previously on Jun 6, 2012
Downgraded to Baa1 (sf)
Cl. I-M-1, Upgraded to B3 (sf); previously on Mar 14, 2011
Downgraded to Caa2 (sf)
Cl. II-A-5, Upgraded to Ba1 (sf); previously on Jun 6, 2012
Downgraded to Ba3 (sf)
Cl. II-A-6a, Upgraded to B3 (sf); previously on Jun 6, 2012
Downgraded to Caa1 (sf)
Issuer: Impac CMB Trust Series 2005-8
Cl. 1-A, Upgraded to Ba1 (sf); previously on Jun 24, 2015 Upgraded
to Ba3 (sf)
Cl. 1-AM, Upgraded to Caa2 (sf); previously on Aug 30, 2012
Confirmed at Ca (sf)
Cl. 1-M-1, Upgraded to Ca (sf); previously on Feb 20, 2009
Downgraded to 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
these pools. The rating upgrades are due to the stable or stronger
collateral performance of the underlying pools and the credit
enhancement available to the bonds.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in March
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Hikes Scratch and Dent RMBS Issued in 2006 and 2007
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 11 tranches
from five deals backed by "scratch and dent" RMBS loans.
Complete rating actions are as follows:
Issuer: RAAC Series 2006-SP1 Trust
Cl. A-3, Upgraded to Aa3 (sf); previously on Jun 24, 2015 Upgraded
to A2 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on Jun 24, 2015 Upgraded
to B3 (sf)
Issuer: RAAC Series 2006-SP4 Trust
Cl. A-3, Upgraded to A2 (sf); previously on Jul 6, 2015 Upgraded to
Baa2 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Jul 6, 2015 Upgraded
to B1 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Jul 6, 2015 Upgraded to
Caa2 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded
to C (sf)
Issuer: RAAC Series 2007-SP1 Trust
Cl. A-3, Upgraded to Baa1 (sf); previously on Jul 6, 2015 Upgraded
to Baa3 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Aug 14, 2014 Upgraded
to Caa1 (sf)
Issuer: RAAC Series 2007-SP3 Trust
Cl. A-1, Upgraded to Ba1 (sf); previously on May 19, 2011 Upgraded
to Ba3 (sf)
Cl. A-2, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded
to C (sf)
Issuer: Truman Capital Mortgage Loan Trust 2006-1
Cl. A, Upgraded to B1 (sf); previously on Mar 30, 2009 Downgraded
to B3 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are a result of increase in credit
enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013. 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 ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in March
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $198.3MM of Scratch and Dent RMBS
-------------------------------------------------------------
Moody's Investors Service, on May 4, 2016, took actions on the
ratings of 22 tranches issued from eight deals backed by "scratch
and dent" RMBS loans.
Complete rating actions are as follows:
Issuer: Bayview Financial Mortgage Pass-Through Certificates,
Series 2004-D
Cl. M-3, Upgraded to A1 (sf); previously on Jul 7, 2011 Downgraded
to A2 (sf)
Cl. M-4, Upgraded to A2 (sf); previously on Jul 6, 2015 Upgraded to
A3 (sf)
Issuer: Bayview Financial Mortgage Pass-Through Certificates,
Series 2005-B
Cl. B-1, Upgraded to Baa3 (sf); previously on Jul 7, 2011
Downgraded to Ba1 (sf)
Cl. M-2, Upgraded to Aa3 (sf); previously on Jul 7, 2011 Downgraded
to A1 (sf)
Cl. M-3, Upgraded to A1 (sf); previously on Jul 6, 2015 Upgraded to
A2 (sf)
Cl. M-4, Upgraded to A2 (sf); previously on Jul 6, 2015 Upgraded to
A3 (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-A
Cl. 1-A4, Upgraded to A1 (sf); previously on Jan 25, 2013
Downgraded to A2 (sf)
Cl. 1-A5, Upgraded to Aa2 (sf); previously on Jan 25, 2013
Downgraded to A1 (sf)
Cl. M-1, Upgraded to A2 (sf); previously on Jul 20, 2015 Upgraded
to Baa1 (sf)
Cl. M-2, Upgraded to Baa1 (sf); previously on Jul 20, 2015 Upgraded
to Baa3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Jul 20, 2015 Upgraded
to Caa1 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Jan 25, 2013 Affirmed
C (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-RP1
Cl. A-2, Upgraded to Aa2 (sf); previously on May 20, 2011 Confirmed
at Aa3 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-RP2
Cl. A-3, Upgraded to A3 (sf); previously on Jul 6, 2015 Upgraded to
Baa3 (sf)
Cl. A-4, Upgraded to Ba3 (sf); previously on Jul 6, 2015 Upgraded
to B2 (sf)
Issuer: CS Mortgage-Backed Pass-Through Certificates, Series
2006-CF2
Cl. M-3, Upgraded to B2 (sf); previously on Jul 6, 2015 Upgraded to
Caa2 (sf)
Issuer: CWABS Asset-Backed Notes Trust 2005-SD3
Cl. A-1, Upgraded to Aa2 (sf); previously on Jul 6, 2015 Upgraded
to A1 (sf)
Cl. A-1-C, Upgraded to Aa2 (sf); previously on Jul 6, 2015 Upgraded
to A1 (sf)
Issuer: SACO I Inc. Series 1999-3
1-B-1, Downgraded to B1 (sf); previously on Jan 28, 2013 Downgraded
to Ba3 (sf)
1-B-2, Downgraded to Caa3 (sf); previously on Jan 28, 2013
Downgraded to Caa2 (sf)
2-B-2, Downgraded to B3 (sf); previously on Jan 28, 2013 Downgraded
to B2 (sf)
A-WAC, Downgraded to Ca (sf); previously on Jul 3, 2013 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are a result of improving
performance of the related pools and/or an increase in credit
enhancement available to the bonds. The ratings downgraded are due
to worsening performance of the related pools, or depletion of
credit enhancement supporting the bonds.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in March
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $266.9MM Alt-A RMBS Issued 2005-2007
----------------------------------------------------------------
Moody's Investors Service, on April 29, 2016, upgraded the ratings
of nine tranches and downgraded the ratings of two tranches from
six transactions, backed by Alt-A RMBS loans, issued by multiple
issuers.
Complete rating actions are:
Issuer: GSAA Home Equity Trust 2005-3
Cl. B-1, Upgraded to Caa2 (sf); previously on July 28, 2015,
Upgraded to Caa3 (sf)
Issuer: GSAA Home Equity Trust 2005-MTR1
Cl. A-4, Upgraded to Baa1 (sf); previously on July 28, 2015,
Upgraded to Baa2 (sf)
Cl. A-5, Upgraded to Ba2 (sf); previously on July 28, 2015,
Upgraded to B2 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on May 11, 2010,
Downgraded to C (sf)
Issuer: GSAA Home Equity Trust 2007-7
Cl. 1A2, Upgraded to B1 (sf); previously on July 28, 2015,
Upgraded to Caa1 (sf)
Cl. 2A1, Upgraded to Ba3 (sf); previously on July 28, 2015,
Upgraded to B3 (sf)
Cl. A4, Upgraded to B1 (sf); previously on July 28, 2015,
Upgraded to Caa1 (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2007-A2
Cl. 1-2-A3, Upgraded to Ba3 (sf); previously on July 28, 2015,
Upgraded to B2 (sf)
Issuer: MASTR Asset Backed Securities Trust 2005-AB1
Cl. A-3A, Downgraded to B1 (sf); previously on Oct. 24, 2014,
Downgraded to Ba2 (sf)
Underlying Rating: Downgraded to B1 (sf); previously on Oct. 24,
2014, Downgraded to Ba2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
Cl. A-3B, Downgraded to B1 (sf); previously on Oct. 24, 2014,
Downgraded to Ba2 (sf)
Issuer: Terwin Mortgage Trust 2006-9HGA
Cl. A-2, Upgraded to B2 (sf); previously on Oct. 15, 2010,
Confirmed at Caa1 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pools and an increase in credit
enhancement available to the bonds. The rating downgrades are due
to the erosion of enhancement available to the bonds and the
interest shortfall incurred on the bonds 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.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] S&P Takes Actions on 156 Classes From 11 RMBS Re-REMIC Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services took various actions on 156
classes from 11 U.S. residential mortgage-backed securities (RMBS)
resecuritized real estate mortgage investment conduit (re-REMIC)
transactions. S&P raised 76 ratings, lowered 14 ratings, affirmed
36 ratings (two of which were removed from CreditWatch negative),
placed one rating on CreditWatch negative, and discontinued 29
ratings.
All of the transactions in this review were issued between 2004 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 76 classes as the projected credit
support for these classes is sufficient to cover S&P's projected
losses at these rating levels. The upgrades reflect these (among
other reasons):
-- Improved collateral performance trends in the underlying
transactions;
-- Expected short duration; and/or
-- Increased credit support to the class.
DOWNGRADES
S&P lowered its ratings on 14 classes due to deteriorated
collateral performance within the underlying transactions, erosion
of credit support, the application of our interest shortfall
criteria, and/or application of S&P's operational risk criteria
among other reasons.
Application Of Operational Risk Criteria
Of the 14 downgrades, the ratings on classes XI-A3 and XI-A9 from
BCAP LLC 2010-RR3 Trust reflect the application of S&P's
operational risk criteria. S&P lowered its ratings on classes
XI-A3 and XI-A9 to 'AA- (sf)' from 'AA+ (sf)' based on S&P's
assessment of the operational risk associated with the underlying
transaction's servicer and the transaction's asset type,
Alternative-A (Alt-A) mortgages. S&P ranked the servicer's
disruption risk as very high due to the lack of servicer
information on the underlying transaction, which reflects S&P's
view of the likelihood of a material disruption in its services.
S&P also ranked the severity and portability risks for this
transaction as moderate and low, respectively, given its Alt-A
mortgage collateral. Given these risk assessments, S&P's
operational risk criteria cap the ratings on this transaction at 'A
(sf)', but also allow for a two-notch increase to 'AA- (sf)'
because the transaction is seasoned and S&P views the trustee for
the underlying transaction as a qualified back-up key transaction
party.
Application Of Interest Shortfall Criteria
Of the downgrades, S&P lowered its ratings on four classes from two
transactions due to recent interest shortfalls that they
experienced.
CREDITWATCH PLACEMENT
The CreditWatch negative placement on class I-A3 from BCAP LLC
2010-RR2 Trust reflects the trustee's reports on the re-REMIC
class, which cited interest shortfalls. Such shortfalls could
negatively affect S&P's rating on this class. S&P is in
communication with the trustee and expect to resolve this
CreditWatch placement once S&P has confirmation around the nature
and timing of the shortfalls.
AFFIRMATIONS
S&P affirmed 27 ratings in the 'AAA' through 'B' categories. These
affirmations reflect S&P's opinion that our projected credit
support is sufficient to cover its projected losses in those rating
scenarios.
S&P also affirmed nine 'CCC (sf)' ratings. S&P believes that its
projected credit support will remain insufficient to cover S&P's
projected losses to these classes.
CREDITWATCH RESOLUTIONS
S&P removed from CreditWatch negative its ratings on classes IA-1
and IIA-1 from Citigroup Mortgage Loan Trust Inc. 2004-RR1. These
ratings were initially placed on CreditWatch on Nov. 25, 2015,
because the trustee's reports on the re-REMIC classes cited
interest shortfalls. S&P has determined the outstanding interest
shortfalls to be de minimis as defined by "Principles For Rating
Debt Issues Based On Imputed Promises," published Dec. 19, 2014,
and based on the application of "Structured Finance Temporary
Interest Shortfall Methodology," published Dec. 15, 2015.
DISCONTINUANCES
S&P discontinued its ratings on 29 classes because seven classes
have been paid in full and 22 classes have 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;
-- The inflation rate will be 1.8% in 2016; and
-- The 30-year fixed mortgage rate will average about 4.1% in
2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with Standard & Poor's downside
forecast, S&P believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:
-- Total unemployment will tick up to 5.1% 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://bit.ly/1O9XbZu
[*] S&P Takes Ratings on 136 Classes From 8 US RMBS Re-Remic Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services, on April 29, 2016, took various
actions on 136 classes from eight U.S. residential mortgage-backed
securities (RMBS) resecuritized real estate mortgage investment
conduit (re-REMIC) transactions. Of the 136 ratings, S&P raised 52
(and placed 18 of these upgraded ratings on CreditWatch with
positive implications), lowered two ratings, affirmed 60, withdrew
two, and discontinued two. The remaining ratings underwent various
CreditWatch actions.
Following this review, 22 ratings are on CreditWatch with positive
implications, 10 are on CreditWatch with negative implications, and
four are on CreditWatch with developing implications.
All of the transactions in this review were issued between 2005 and
2010, and are supported by underlying classes from RMBS
transactions backed by a mix of various mortgage loan collateral
types.
Subordination, overcollateralization (where available), excess
interest (as applicable), and bond insurance provide credit
enhancement for the re-REMIC transactions' underlying securities.
Where the bond insurer is rated lower than what S&P would rate the
respective class, we relied solely on the underlying collateral's
credit quality and the transaction structure to derive the rating.
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 52 classes and placed 18 of these on
CreditWatch with positive implications, as the projected credit
support for these classes is sufficient to cover S&P's projected
losses at the upgraded 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 two classes as a result of the
application of its interest shortfall criteria.
AFFIRMATIONS
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. In these circumstances, S&P affirmed, rather
than raised, its ratings on those classes to promote ratings
stability. In general, the bonds that were affected reflect one or
more of:
-- Delinquency trends;
-- Historical interest shortfalls;
-- Weighted average coupon deterioration due to loan
modifications;
-- A low priority of principal payments;
-- Low subordination or overcollateralization, or both.
S&P affirmed 29 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 these rating
scenarios.
S&P also affirmed 31 'CCC (sf)' or 'CC (sf)' ratings. S&P believes
that its projected credit support will remain insufficient to cover
its projected losses to these classes.
CREDITWATCH
The ratings on three of the classes in this review were placed on
CreditWatch with negative implications on Jan. 20, 2016, as S&P
further investigated the weighted average coupon deterioration in
the affected pools in accordance with S&P's loan modification
criteria to determine what effect such deterioration may have on
S&P's ratings for these classes. Of these three ratings, two had
their Watch implications changed to positive from negative, as
collateral performance has improved and S&P no longer believes that
the ratings will be lowered as a result of S&P's loan modification
criteria. The other rating remains on CreditWatch with negative
implications as S&P continues to investigate the weighted average
coupon deterioration.
Eighteen of the previously mentioned upgraded ratings were placed
on CreditWatch with positive implications to reflect improved
collateral performance, and two additional ratings were also placed
on CreditWatch with positive implications. However, S&P is still
investigating whether the application of its loan modification
criteria will result in an affirmation of the current rating for
each of these 20 classes. Nine ratings were placed on CreditWatch
with negative implications as S&P further investigate the impact of
loan modifications on the ratings. Lastly, S&P placed four ratings
on CreditWatch with developing implications. While each of these
four classes has experienced enough improved collateral performance
to merit a possible upgrade, it is possible that the completion of
S&P's loan modification analysis could result in an affirmation or
downgrade.
WITHDRAWALS AND DISCONTINUANCES
S&P withdrew its ratings on two classes due to the application of
its interest-only (IO) criteria, which state that S&P will maintain
the rating on an IO class until the ratings on all of the classes
that the IO security references, in the determination of its
notional balance, are either lowered below 'AA-' or have been
retired.
S&P discontinued its ratings on two classes because these classes
have been paid in full.
ECONOMIC OUTLOOK
When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
its view of how the loans will behave under various economic
conditions. Standard & Poor's baseline macroeconomic outlook
assumptions for variables that it believes could affect residential
mortgage performance are:
-- An overall unemployment rate of 4.8% in 2016;
-- Real GDP growth of 2.3% 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, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with Standard & Poor's downside
forecast, S&P believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:
-- Total unemployment will tick up to 5.1% 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://bit.ly/1TNGmCK
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
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liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
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available at your local bookstore or through Amazon.com. Go to
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Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
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