/raid1/www/Hosts/bankrupt/TCR_Public/160522.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 22, 2016, Vol. 20, No. 143
Headlines
ALAMO RE LIMITED: Fitch Affirms 'B+sf' Rating on Class A Notes
ALESCO PREFERRED XII: Moody's Raises Rating on Cl. B Notes to Ba2
BEAR STEARNS 2003-PWR2: S&P Raises Rating on Cl. M Certs to B-
BEAR STEARNS 2003-TOP12: Moody's Raises Rating on Cl. M Debt to B1
BEAR STEARNS 2006-PWR11: Fitch Affirms BB/sf Rating on Cl. A-J Debt
CARLYLE GLOBAL 2012-3: S&P Affirms BB Rating on Class D Notes
CEDAR FUNDING V: S&P Assigns Prelim. BB- Rating on Class E Notes
CHASE COMMERCIAL 1998-1: Moody's Hikes Cl. H Debt Rating From Ba3
CITIGROUP 2012-GC8: Moody's Affirms Ba2 Rating on Cl. E Debt
CITIGROUP COMMERCIAL 2004-C1: Moody's Ups Cl. N Debt Rating to Ba2
CMLBC 2001-CMLB1: Moody's Affirms Ba3 Rating on Class X Debt
COA SUMMIT: Moody's Affirms Ba2 Rating on Class D Notes
COMM 2010-C1: Fitch Affirms 'B-sf' Rating on Class G Certs
COMM 2014-CCRE17: Fitch Affirms BB- Rating on Class F Certificates
COMMERCIAL MORTGAGE 2007-GG11: S&P Hikes Cl. A-J Debt Rating to B
CPS AUTO 2013-C: S&P Raises Rating on Class D Notes to BB+
EVERGLADES RE II: S&P Affirms BB Rating on Series 2015-1 Notes
EXETER AUTOMOBILE 2016-2: DBRS Gives Prov. BB Rating on Cl. D Notes
EXETER AUTOMOBILE 2016-2: S&P Gives Prelim. BB Rating on Cl. D Debt
FINN SQUARE: S&P Affirms BB Rating on Class D Notes
FLAGSHIP CREDIT 2016-2: DBRS Finalizes BB Rating on Class D Debt
FLAGSHIP CREDIT 2016-2: S&P Assigns BB- Rating on Class D Notes
FREDDIE MAC 2016-DNA2: S&P Assigns B Rating on Cl. M-3B Notes
GREENWICH CAPITAL 2004-GG1: S&P Affirms B+ Rating on Cl. G Certs
GS MORTGAGE 2013-GCJ14: Moody's Affirms B3 Rating on Cl. G Debt
GUGGENHEIM PRIVATE: Fitch Affirms 'BBsf' Rating on Class C Debt
HEWETT'S ISLAND I-R: Moody's Lowers Rating on Cl. E Notes to B1
JAMESTOWN CLO II: S&P Affirms BB Rating on Cl. D Notes
JP MORGAN 2002-CIBC4: Hikes Class C Debt Rating From 'BBsf'
JP MORGAN 2003-LN1: Moody's Affirms B1(sf) Rating on Class J Debt
JP MORGAN 2004-CIBC10: Moody's Affirms B3 Rating on Class E Certs
JP MORGAN 2006-LDP9: Moody's Affirms Ba1 Rating on 2 Tranches
JP MORGAN 2007-CIBC18: S&P Lowers Rating on Cl. A-J Debt to CCC
JP MORGAN 2007-CIBC20: S&P Lowers Rating on Cl. B Notes to B
LB-UBS COMMERCIAL 2004-C2: Moody's Raises Cl. H Debt Rating to Ba1
LB-UBS COMMERCIAL 2005-C5: S&P Raises Rating on Cl. H Certs to B-
LB-UBS COMMERCIAL 2007-C6: Fitch Affirms 'Dsf' Rating on 7 Certs
LMRK ISSUER 2016-1: Fitch to Rate Class B Debt 'BB-sf'
LNR CDO 2003-1: Moody's Raises Rating on 2 Tranches to Ba1
LONG POINT III: Fitch Affirms 'BB-sf' Rating on Class A Notes
LSTAR COMMERCIAL 2014-2: DBRS Confirms BB Rating on Cl. F Debt
MAGNETITE VII: S&P Affirms BB Rating on Class D Notes
MERCER FIELD: S&P Affirms BB Rating on Class E Notes
MERRILL LYNCH 2004-MKB1: Moody's Raises Rating on Cl. M Debt to B3
MERRILL LYNCH 2007-CANADA: DBRS Confirms B Rating on Class J Debt
ML-CFC COMMERCIAL 2007-9: S&P Cuts Rating on 2 Cert. Classes to D
MORGAN STANLEY 2007-IQ15: S&P Affirms CCC Rating on Cl. B Certs
MORGAN STANLEY 2016-C29: DBRS Finalizes BB Rating on Class E Debt
MORGAN STANLEY 2016-C29: DBRS Puts Prov. BB Ratings to Cl. E Debt
MORGAN STANLEY 2016-C29: Fitch Rates Class X-E Certificates 'BB-'
MOUNTAIN HAWK I: S&P Lowers Rating on Class E Notes to BB-
NORTHWOODS CAPITAL IX: S&P Affirms BB- Rating on Class E Notes
OCTAGON INVESTMENT 26: Moody's Assigns Ba3 Rating to Cl. E Debt
PREFERRED TERM XIX: Moody's Lowers Rating on Cl. C Notes to Caa1
REALT 2016-1: DBRS Assigns B(sf) Rating to Class G Debt
SALOMON BROTHERS 2000-C1: Moody's Affirms C Rating on Cl. M Debt
SIERRA TIMESHARE 2013-2: Fitch Affirms BBsf Rating on Cl. C Notes
SOLOSO CDO 2005-1: Fitch Withdraws 'Dsf' Rating on 3 Note Classes
WACHOVIA BANK 2007-C33: Moody's Cuts Class IO Debt Rating to B1
WELLS FARGO 2015-NXS1: DBRS Confirms B Rating on Cl. F Debt
[*] DBRS Reviews 646 Classes From 72 US RMBS Deals
[*] Fitch Puts 9 Classes of 6 Canadian CMBS on CreditWatch Negative
[*] S&P Corrects Ratings on 4 Tranches From 3 RMBS Deals
[*] S&P Cuts Ratings on 11 Classes From 5 CMBS Transactions
[*] S&P Discontinues Ratings on 53 Classes From 23 CDO Transactions
[*] S&P Takes Actions on 112 Classes From 16 US RMBS Deals
[*] S&P Takes Rating Actions on 97 Classes From 41 RMBS Deals
*********
ALAMO RE LIMITED: Fitch Affirms 'B+sf' Rating on Class A Notes
--------------------------------------------------------------
Fitch Ratings affirms all principal at-risk variable rate notes
issued by Alamo Re Limited, a special purpose insurer vehicle in
Bermuda as follows:
-- $400,000,000 2014-1 class A principal at-risk variable rate
notes; scheduled maturity June 7, 2017 at 'B+sf'; Outlook
Stable;
-- $300,000,000 2015-1 class A principal at-risk variable rate
notes; scheduled maturity June 7, 2018 at 'B+sf'; Outlook
Stable;
-- $400,000,000 2015-1 class B principal at-risk variable rate
notes; scheduled maturity June 7, 2019 at 'BB-sf'; Outlook
Stable.
This affirmation is based on Fitch's annual surveillance review of
the notes and an updated evaluation of the natural catastrophe
risk, counterparty exposure, collateral assets and structural
performance.
KEY RATING DRIVERS
The series 2014-1 class A and series 2015-1 class A and B notes
provide multi-year protection for the Subject Business written by
the Texas Windstorm Insurance Association (TWIA) on an annual
aggregate basis using an indemnity trigger. The notes are exposed
to insured property losses due to 'named storms' within the covered
area, which solely covers the 14 first-tier, coastal counties of
Texas (and a small portion of Harris County).
To date, there have been no reported Covered Events that exceed the
respective Attachment Levels for any of the notes within the
current Annual Risk Period that extends from June 1, 2015 through
May 31, 2016.
On April 13, 2016, AIR Worldwide (AIR), acting as the Reset Agent,
completed Reset Reports for the 2014-1 and 2015-1 notes that
provided updated annual attachment probabilities for each class of
notes for the Annual Risk Period beginning July 1, 2016 using AIR's
escrowed software models and TWIA's updated Subject Business data.
At each reset date, TWIA may exercise an option to decrease (or
increase) the respective attachment levels on each of the classes
within an exceedance probability range of 4.40% to 1.00%.
2014-1 Class A Notes: Effective June 1, 2016, the Updated
Attachment Level increases slightly to about $3.245 billion (from
$3.2 billion for the current Risk Period which ends May 31, 2016)
and the Updated Exhaustion Level decreases to about $3.972 billion
(from $4.0 billion). The updated probability of attachment
decreases to 2.05% (from 2.09%). This corresponds to an implied
rating of 'B+' per the calibration table listed in Fitch's
"Insurance-Linked Securities Methodology". The Updated Risk
Interest Spread will be 5.20%.
2015-1 Class A Notes: Effective June 1, 2016, the Updated
Attachment Level increases to $2.70 billion (from $2.60 billion for
the current Risk Period which ends May 31, 2016) and the Updated
Exhaustion Level increases to about $3.245 billion (from $3.20
billion). The updated probability of attachment decreases to 2.58%
(from 2.74%) which corresponds to an implied rating of 'B+'. The
Updated Risk Interest Spread will be 5.78%.
2015-1 Class B Notes: Effective June 1, 2016, the Updated
Attachment Level increases to about $3.972 billion (from $4.0
billion for the current Risk Period that ends May 31, 2016) and the
Updated Exhaustion Level decreases to $4.7 billion (from $4.8
billion). The updated probability of attachment decreases slightly
to 1.60% (from 1.61%) which corresponds to an implied rating of
'BB-'. The Updated Risk Interest Spread will be 4.62%.
Hannover Ruck SE, a reinsurance company that acts as a transformer,
sits between TWIA and Alamo Re. Hannover's Issuer Default Rating
(IDR) is 'A+' with a Stable Outlook.
The collateral asset meets Fitch's criteria requirement for
'AAA'-rated U.S. money market funds.
Fitch believes the notes and indirect counterparties are performing
as required. There have been no reported early redemption notices
or events of default, and all agents remain in place.
RATING SENSITIVITIES
This rating is sensitive to the occurrence of a qualifying
event(s), TWIA's election to reset the applicable class within the
series 2015-1 notes' attachment levels, changes in the data quality
or purpose of TWIA, the counterparty rating of Hannover Ruck SE and
the rating on the assets held in the respective collateral
accounts.
If qualifying covered events occur that causes annual aggregate
losses to exceed the series 2014-1 class A, 2015-1 class A or class
B updated attachment levels, Fitch will downgrade the applicable
class of notes reflecting an effective default and issue a Recovery
Rating.
In the case of a future reset election by TWIA, the rating of the
series 2015-1 class A and class B notes (series 2014-1 class A has
reached its final reset date), movement from the respective updated
attachment probabilities closer to an attachment probability of
4.00% could lead to downgrades of the applicable class(es) to as
low as 'Bsf'. Conversely, if TWIA elected to move the Series 2015-1
class B attachment probability closer to 1.00%, the rating on the
notes would be unaffected, while a reset of the Series 2015-1 class
A attachment probability to as low as 1.00% could result in an
upgrade to as high as 'BB-sf'.
To a lesser extent, the series 2014-1 and series 2015-1 notes may
be downgraded if the money market funds should 'break the buck',
Hannover Ruck SE fails to make timely retrocession premium payments
or TWIA materially changes its mission or operations.
The catastrophe risk element is highly model-driven and actual
losses may differ from the results of the simulation analysis. The
AIR escrow models may not reflect future methodology enhancements
by AIR which may have an adverse or beneficial effect on the
implied rating of the notes were such future methodology
considered.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
ALESCO PREFERRED XII: Moody's Raises Rating on Cl. B Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Alesco Preferred Funding XII, Ltd.:
$10,000,000 Class X First Priority Senior Secured Floating Rate
Notes Due 2016 (current outstanding balance of $833,333.26),
Upgraded to Aa2 (sf); previously on May 15, 2015, Upgraded to
Aa3 (sf)
$370,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2037 (current outstanding balance of
$240,856,145.94), Upgraded to Aa2 (sf); previously on May 15,
2015, Upgraded to Aa3 (sf)
$87,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2037, Upgraded to A1 (sf); previously on May 15,
2015, Upgraded to A2 (sf)
$70,000,000 Class B Deferrable Third Priority Secured Floating
Rate Notes Due 2037, Upgraded to Ba2 (sf); previously on
May 15, 2015, Upgraded to B1 (sf)
$60,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2037, (current outstanding
balance of $61,019,760.59, including deferred interest),
Upgraded to Caa3 (sf); previously on July 25, 2014, Upgraded to
Ca (sf)
$10,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2037, (current
outstanding balance of $11,282,784.08, including deferred
interest), Upgraded to Caa3 (sf); previously on July 25, 2014
Upgraded to Ca (sf)
Alesco Preferred Funding XII Ltd. issued in October 2006, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
overcollateralization (OC) ratios, and resumption of interest
payments on previously deferring assets since the last rating
action in May 2015. The rating actions on Class C-1 and C-2 notes
also reflect the partial repayment of the notes' deferred interest
balance.
The Class A-1 notes have paid down by approximately 9.6% or $25.4
million since May 2015, using principal proceeds from the
redemption of the underlying assets. Based on Moody's
calculations, the Class A-1, Class A-2, Class B, and Class C OC
ratios have improved to 184.6%, 135.8%, 111.9%, and 94.8%, from
169.3%, 127.9%, 106.9%, and 90.3%, respectively, in May 2015.
Moody's gave full par credit in its analysis to two deferring
assets that meet certain criteria, totaling $9 million in par. The
Class A-1 notes will continue to benefit from the use of proceeds
from the redemptions of any assets in the collateral pool.
Based on the trustee's April 2016 report, the Class B OC ratio, at
110.77%, was passing the trigger of 106.69%, therefore excess
interest was used to pay $0.9 million of the Class C deferred
interest balance in April 2016. Since the last rating action in
May 2015, $5.9 million of Class C deferred interest was repaid.
Once the Class C notes' deferred interest balance is reduced to
zero, the Class A-1, A-2, B, and C notes will benefit from the
pro-rata diversion of excess interest as long as the Class C OC
test continues to fail.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par of $446.25
million, defaulted/deferring par of $32.30 million, a weighted
average default probability of 7.74% (implying a WARF of 731), and
a weighted average recovery rate upon default of 10%. In addition
to the quantitative factors Moody's explicitly models, qualitative
factors are part of rating committee considerations. Moody's
considers the structural protections in the transaction, the risk
of an event of default, recent deal performance under current
market conditions, the legal environment and specific documentation
features. All information available to rating committees,
including macroeconomic forecasts, inputs from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, can
influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in June 2014.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in
the general economy. Moody's has a stable outlook on the US
banking sector. Moody's maintains its stable outlook on the
US insurance sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit
performance weaker than Moody's current expectations could
have adverse consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds
and excess interest proceeds will continue and at what pace.
Note repayments that are faster than Moody's current
expectations could have a positive impact on the notes'
ratings, beginning with the notes with the highest payment
priority.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their
TruPS. The timing and amount of deferral cures could have
significant positive impact on the transaction's over-
collateralization ratios and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc or
credit estimates. Because these are not public ratings, they
are subject to additional uncertainties.
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge cash
flow model.
The portfolio of this CDO contains TruPS issued by small to medium
sized U.S. community banks and insurance companies that Moody's
does not rate publicly. To evaluate the credit quality of bank
TruPS that do not have public ratings, Moody's uses RiskCalc, an
econometric model developed by Moody's Analytics, to derive credit
scores. Moody's evaluation of the credit risk of most of the bank
obligors in the pool relies on the latest FDIC financial data. For
insurance TruPS that do not have public ratings, Moody's relies on
the assessment of its Insurance team, based on the credit analysis
of the underlying insurance firms' annual statutory financial
reports
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):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 505)
Class A-1: +1
Class A-2: +1
Class B: +2
Class C-1: +2
Class C-2: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1045)
Class A-1: -1
Class A-2: -1
Class B: -1
Class C-1: -2
Class C-2: -1
BEAR STEARNS 2003-PWR2: S&P Raises Rating on Cl. M Certs to B-
--------------------------------------------------------------
S&P Global Ratings raised its ratings on seven classes of
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2003-PWR2, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its rating on one other class from the same transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining loans in the pool, the
transaction's structure, and the liquidity available to the trust.
The raised ratings reflect S&P's expectation of the credit
enhancement for these classes, which S&P believes is greater than
its most recent estimate of necessary credit enhancement for the
respective rating levels, S&P's views regarding the current and
future performance of the transaction's collateral, and the reduced
pool trust balance. While the available credit enhancement levels
may suggest further positive rating movement on classes G through
M, S&P's rating actions also considered the bonds' susceptibility
to potential future interest shortfalls associated with the loan on
the master servicers' watchlist given the transaction's liquidity
structure.
The affirmed rating on class E reflects S&P's expectation that the
available enhancement levels for this class will be within its
estimate of the necessary credit enhancement for the current rating
and S&P's views regarding the current and future performance of the
transaction's collateral.
TRANSACTION SUMMARY
As of the April 11, 2016, trustee remittance report, the collateral
pool balance was $58.0 million, which is 5.4% of the pool balance
at issuance. The pool currently includes eight loans, down from
100 loans at issuance. One loan ($469,236, 0.8%) has been
defeased, and one loan ($1.4 million, 2.4%) is on the master
servicers' watchlist. The master servicers, Wells Fargo Bank N.A.
and Prudential Asset Resources, reported financial information for
100.0% of the nondefeased loans in the pool, of which 94.9% was
partial-year or year-end 2015 data, and the remainder was year-end
2014 data.
Excluding the defeased loan, S&P calculated a 1.90x S&P Global
Ratings weighted average debt service coverage ratio (DSCR) and a
16.8% S&P Global Ratings weighted average loan-to-value (LTV)
ratio. For our calculations, S&P used its 6.77% weighted average
capitalization rate for the remaining pool balance. The
nondefeased loans have an aggregate outstanding pool trust balance
of $57.5 million (99.2%).
To date, the transaction has experienced $12.4 million in principal
losses, or 1.2% of the original pool trust balance.
CREDIT CONSIDERATIONS
As of the April 11, 2016, trustee remittance report, none of the
loans in the pool were with the special servicer, CWCapital Asset
Management LLC.
The Ocean Springs Shopping Center loan ($1.4 million, 2.4%) is the
only loan on the master servicers' watchlist. The loan, which is
scheduled to mature on Sept. 1, 2018, is secured by a
115,418-sq.-ft. retail property in Melbourne, Fla. The property's
major tenant, Winn Dixie, represents 53.8% of the collateral, and
its lease is scheduled to expire on Sept. 7, 2018. This loan was
added to the watchlist on Oct. 6, 2014, due to a low DSCR reported.
As of Dec. 31, 2014, reported DSCR was 0.80x, and as of Sept. 30,
2015, reported occupancy was 85.84%. This loan was transferred to
special servicing on June 27, 2008, for monetary default and
failure to pay real estate taxes.
RATINGS RAISED
Bear Stearns Commercial Mortgage Securities Trust 2003-PWR2
Commercial mortgage pass-through certificates
Rating
Class To From
F AAA (sf) AA (sf)
G AA+ (sf) A (sf)
H AA- (sf) BBB (sf)
J A (sf) BB (sf)
K BBB (sf) B+ (sf)
L BB (sf) B- (sf)
M B- (sf) CCC+ (sf)
RATING AFFIRMED
Bear Stearns Commercial Mortgage Securities Trust 2003-PWR2
Commercial mortgage pass-through certificates
Class Rating
E AAA (sf)
BEAR STEARNS 2003-TOP12: Moody's Raises Rating on Cl. M Debt to B1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on seven classes
and affirmed the rating on one class in Bear Stearns Commercial
Mortgage Securities Trust, Commercial Mortgage Pass-Through
Certificates, Series 2003-TOP12 as:
Cl. G, Upgraded to Aaa (sf); previously on Oct. 2, 2015,
Upgraded to Aa2 (sf)
Cl. H, Upgraded to Aaa (sf); previously on Oct. 2, 2015,
Upgraded to Aa3 (sf)
Cl. J, Upgraded to Aa1 (sf); previously on Oct. 2, 2015,
Upgraded to A1 (sf)
Cl. K, Upgraded to A3 (sf); previously on Oct. 2, 2015, Upgraded
to Baa3 (sf)
Cl. L, Upgraded to Baa2 (sf); previously on Oct. 2, 2015,
Upgraded to Ba2 (sf)
Cl. M, Upgraded to B1 (sf); previously on Oct. 2, 2015, Upgraded
to B3 (sf)
Cl. N, Upgraded to Caa1 (sf); previously on Oct. 2, 2015,
Affirmed Caa3 (sf)
Cl. X-1, Affirmed B3 (sf); previously on Oct. 2, 2015,
Downgraded to B3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 33% since Moody's last
review.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor) of the
referenced classes.
Moody's rating action reflects a base expected loss of 1.2% of the
current balance, compared to 1.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.3% of the original
pooled balance, compared to 0.3% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 13, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $35.3 million
from $1.16 billion at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from less than
1% to 32.8% of the pool, with the top ten loans constituting 76% of
the pool. Four loans, constituting 20.3% of the pool, have
defeased and are secured by US government securities.
Two loans, constituting 9.1% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Ten loans have been liquidated from the pool with a loss, resulting
in an aggregate realized loss of $3.3 million (for an average loss
severity of 2.62%).
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 100% of
the pool. Moody's weighted average conduit LTV is 42%, compared to
45% 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 21% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.56X and 3.51X,
respectively, compared to 1.52X and 3.13X 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 53% of the pool balance. The
largest loan is the Eagle Plaza Shopping Center Loan ($11.5 million
-- 32.8% of the pool), which is secured by a retail property
located in Voorhees, New Jersey. As of February 2016, the property
was 89% leased, compared to 88% in June 2015. The loan has
amortized over 35% since securitization. Moody's LTV and stressed
DSCR are 55% and 1.97X, respectively, compared to 58% and 1.88X at
the last review.
The second largest loan is the Cokesbury Court Loan ($4.4 million
-- 12.6% of the pool), which is secured by a 200-unit
student-housing apartment property located in Oklahoma City,
Oklahoma. The property is located adjacent to Oklahoma City
University. As of September 2015, the property was 96% leased,
compared to 85% in June 2015. This loan has amortized almost 50%
since securitization. Moody's LTV and stressed DSCR are 44% and
2.26X, respectively, compared to 52% and 1.9X at the last review.
The third largest loan is the CalSafe Loan ($2.88 million -- 8.2%
of the pool), which is secured by a vacant retail property located
in Mountain View, California. The former occupant, Safeway,
vacated and relocated to a retail center across the street.
Safeway, however, holds a lease on the property through September
2016 and continues to pay rent on its space. Safeway is subleasing
the space out to a developer. The loan is scheduled to mature in
September 2016. Moody's views this loan as troubled.
BEAR STEARNS 2006-PWR11: Fitch Affirms BB/sf Rating on Cl. A-J Debt
-------------------------------------------------------------------
Fitch Ratings has affirmed all classes of commercial mortgage
pass-through certificates from Bear Stearns Commercial Mortgage
Securities Trust, series 2006-PWR11.
KEY RATING DRIVERS
The affirmations are the result of increasing credit enhancement as
a result of loan payoffs, but offset by an increase in adverse
selection for the remaining collateral. The transaction has become
highly concentrated with only 11 loans remaining, eight (80.4%) of
which are in special servicing. Inclusive of the specially serviced
loans, 98.8% of the remaining pool is considered as Fitch Loan of
Concern (FLOC).
As of the April 2016 distribution date, the principal balance has
been reduced by 83% to $317.3 million from $1.61 billion at
issuance. Total realized losses to date equal 3.5% of the original
pool balance. Interest shortfalls in the amount of $4.7 million are
affecting classes G, H, L, O and P.
The largest contributors to modeled losses are the Investcorp
Retail Portfolio 1 loan (30.3% of the remaining pool balance) and
the Investcorp Retail Portfolio 2 loan (27.8%). Both loans were
structured as interest-only at origination and are
cross-collateralized and cross-defaulted. The collateral consists
of eight retail properties totalling approximately 1.6 million
square feet (sf), seven of which are located in Ohio and one in
Indiana. Anchor tenants are Wal-Mart, Sam's Club, Kohl's, Hobby
Lobby and Best Buy.
These two loans were transferred to the special servicer in
November 2015 due to imminent default, as the borrower
pre-emptively indicated they would be unable to pay off the loans
at the February 2016 maturity. The borrower continues to pay debt
service and the loans remain current. Currently, the servicer
workout strategy is to foreclose upon the loans with a target
completion date of October 2016. The combined occupancy as of
year-end (YE) 2015 for Investcorp Retail Portfolio 1 was 89%,
unchanged YE2014. The YE2015 servicer reported debt service
coverage ratio (DSCR) was 1.04x, compared to 1.08x at YE2014 and
1.13x at YE2013. The combined occupancy for Investcorp Retail
Portfolio 2 was 92% at YE2015, increased from 88% at YE2014. The
YE2015 servicer reported DSCR was 1.22x, compared to 1.14x at
YE2014 and 1.17x at YE2013. The interest-only loans are sponsored
by Investcorp and Casto.
The second largest contributor to modeled losses (6.9%) is a
144,147 sf retail property in Athens, GA. The loan transferred to
special servicing in December 2013 due to payment default. The loan
became a REO asset in January 2015. As of the March 2016 rent roll,
the property was 57% occupied by six tenants, compared to 70.4% at
July 2014. The decline in occupancy was primarily due to Bed Bath &
Beyond's expected vacancy upon lease expiration of January 2016.
The current major tenants include Barnes & Noble (15.5% of net
rentable area [NRA] with lease extended six years until September
2020), Beall's Outlet (14.7% until January 2022), and Rugged
Warehouse (9.2% until March 2018).
In addition, Fitch remains concerned with the SBC - Hoffman Estates
loan (18.3%), which is collateralized by a 1.69 million sf office
campus located in Hoffman Estates, IL. The whole loan consists of
two pari passu A notes. Only the A-2 note is included in this
transaction. The property is 100% leased on a triple-net basis to
SBC Services, Inc. until Aug. 14, 2016 and the lease will not be
renewed. Since the loan was not paid off on its ARD date in
December 2010, excess cash has since been captured to pay down the
loan at an accelerated amortization rate. As of the April 2016
remittance date, the loan has been paid down by 40.8% of its
original balance.
RATING SENSITIVITIES
Upgrades are unlikely in the near term given the percentage of the
pool in special servicing, as there is potential for fluctuation in
asset value estimates. Fitch has conducted sensitivity analysis to
evaluate the impact on the outstanding ratings in the event of
default. Under various loan loss scenarios, credit enhancement for
class A-M passes the 'AAA' rating hurdle, hence the rating on class
A-M is expected to remain stable. The Negative Outlooks on class
A-J indicate that future downgrades are possible in the event the
SBC - Hoffman Estates loan has difficultly releasing the
significant space that will become available in August 2016; loans
expected to refinance in near term do not successfully pay off; or
realized losses on the specially serviced loans assets exceed
Fitch's expectations. The distressed classes (rated below 'B') 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 affirmed the following ratings:
-- $10 million class A-M at 'AAAsf'; Outlook Stable;
-- $146.4 million class A-J at 'BB/sf'; Outlook Negative;
-- $37.2 million class B at 'CCCsf'; RE 50%;
-- $23.2 million class C at 'CCsf'; RE 0%;
-- $27.9 million class D at 'CCsf'; RE0%;
-- $18.9 million class E at 'Csf''CCsf'; RE0%;
-- $20.9 million class F at 'Csf'; RE0%';
-- $18.9 million class G at 'Csf''; RE0%;
- -$14.3 million class H at 'Dsf'; RE0%.
Classes J through O have been depleted due to realized losses and
are affirmed at 'Dsf'; RE 0%. Class A-1, A-2, A-3, A-AB, A-4 and
A-1A have paid in full. Class P is not rated by Fitch. Fitch has
previously withdrawn the ratings of the interest-only class X.
CARLYLE GLOBAL 2012-3: S&P Affirms BB Rating on Class D Notes
-------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2, B, C, and
combination notes from Carlyle Global Market Strategies CLO 2012-3
Ltd. At the same time, S&P affirmed its ratings on the class A-1
and D notes from the same transaction. Carlyle Global Market
Strategies CLO 2012-3 Ltd. is a U.S. collateralized loan obligation
(CLO) transaction that closed in September 2012 and is managed by
Carlyle Investment Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the April 4, 2016, trustee report.
The upgrades reflect the transaction's approximately $6 million in
par gain since S&P's June 2013 effective date affirmations. This
par gain has improved the reported overcollateralization (O/C)
ratios since the January 2013 effective date report, which S&P used
for its June 2013 affirmations:
-- The class A O/C ratio improved to 137.03% from 135.65%.
-- The class B O/C ratio improved to 123.18% from 121.94%.
-- The class C O/C ratio improved to 116.24% from 115.07%.
-- The class D O/C ratio improved to 109.35% from 108.24%.
Carlyle has been able to build the portfolio's total par while
maintaining relatively stable credit quality. Assets with an S&P
Global Ratings' credit rating of 'CCC+' or lower totaled only 2.78%
of the aggregate principal balance. In addition, the transaction
only holds 0.63% of the portfolio as defaulted.
The transaction has also benefited from the collateral's seasoning,
as the reported weighted average life has decreased to 4.41 years
from 5.51 years in January 2013.
The transaction exits its reinvestment period in October 2016, and
additional sensitivities were run for any potential upgrades to
allow for volatility in the underlying portfolio until the notes
start to amortize.
The combination notes, which comprise portions of the class A-1 and
A-2 notes, were upgraded in line with the credit improvements of
the underlying components.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
Carlyle Global Market Strategies CLO 2012-3 Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A-1 AAA (sf) AAA (sf) 11.69 AAA (sf)
A-2 AA (sf) AAA (sf) 1.20 AA+ (sf)
B A (sf) AA- (sf) 2.65 A+ (sf)
C BBB (sf) A- (sf) 0.71 BBB+ (sf)
D BB (sf) BB (sf) 1.45 BB (sf)
Combo AA (sf) AAA (sf) 1.20 AA+ (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
B AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
C A- (sf) BBB+ (sf) BBB+ (sf) A+ (sf) BBB+ (sf)
D BB (sf) B+ (sf) BB (sf) BB+ (sf) BB (sf)
Combo AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (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 (sf)
A-2 AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf)
B AA- (sf) A+ (sf) BBB+ (sf) A+ (sf)
C A- (sf) BBB+ (sf) BB+ (sf) BBB+ (sf)
D BB (sf) BB- (sf) CCC+ (sf) BB (sf)
Combo AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf)
RATINGS RAISED
Carlyle Global Market Strategies CLO 2012-3 Ltd.
Rating
Class To From
A-2 AA+ (sf) AA (sf)
B A+ (sf) A (sf)
C BBB+ (sf) BBB (sf)
Combo AA+ (sf) AA (sf)
RATINGS AFFIRMED
Carlyle Global Market Strategies CLO 2012-3 Ltd.
Class Rating
A-1 AAA (sf)
D BB (sf)
CEDAR FUNDING V: S&P Assigns Prelim. BB- Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Cedar
Funding V CLO Ltd./Cedar Funding V CLO LLC's $368.50 million fixed-
and floating-rate notes.
The note issuance is a CLO securitization backed by a revolving
pool consisting primarily of broadly syndicated senior secured
loans.
The preliminary ratings are based on information as of May 5, 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
(excluding excess spread), and cash flow structure, which
can withstand the default rate projected by S&P Global
Ratings' CDO Evaluator model, as assessed by S&P using the
assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy-remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the 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% to 12.8133%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which would lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
PRELIMINARY RATINGS ASSIGNED
Cedar Funding V CLO Ltd./Cedar Funding V CLO LLC
Preliminary Preliminary
Class rating amount (Mil. $)
A-1 AAA (sf) 222.420
A-F AAA (sf) 31.580
B-1 AA (sf) 31.579
B-F AA (sf) 21.421
C (deferrable) A (sf) 25.000
D (deferrable) BBB- (sf) 21.000
E (deferrable) BB- (sf) 15.500
Subordinated notes NR 28.650
CHASE COMMERCIAL 1998-1: Moody's Hikes Cl. H Debt Rating From Ba3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on two classes in Chase Commercial
Mortgage Securities Corp., Commercial Mortgage Pass-Through
Certificates, Series 1998-1 as follows:
Cl. G, Affirmed Aaa (sf); previously on May 28, 2015 Affirmed Aaa
(sf)
Cl. H, Upgraded to Baa2 (sf); previously on May 28, 2015 Upgraded
to Ba3 (sf)
Cl. I, Upgraded to Caa1 (sf); previously on May 28, 2015 Upgraded
to Caa3 (sf)
Cl. X, Affirmed Caa1 (sf); previously on May 28, 2015 Affirmed Caa1
(sf)
RATINGS RATIONALE
The ratings on classes H and I were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down over 15% since Moody's last
review.
The rating on Class G was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor) of the
referenced classes.
Moody's rating action reflects a base expected loss of 6.1% of the
current balance, compared to 9.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.8% of the original
pooled balance, compared to 2.0% 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 18, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $23.3 million
from $817.8 million at securitization. The certificates are
collateralized by 8 mortgage loans ranging in size from less than
1% to 27% of the pool. The pool contains five loans, representing
87% of the pool, that are Credit Tenant Lease (CTL) loans.
Five loans, constituting 66% 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.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $13.5 million (for an average loss
severity of 77%).
The largest non-CTL loan is the Royal Palm Apartments Loan ($2.3
million -- 9.7% of the pool), which is secured by 288-unit
multifamily property located in Orlando, Florida. As of December
2015, the property was 98% leased, compared to 96% the prior year.
The loan is fully amortizing. Moody's LTV and stressed DSCR are 18%
and >4.00X, respectively, compared to 21% and >4.00X at the
last review. Moody's actual DSCR is based on Moody's NCF and the
loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stress rate the agency applied to the loan
balance.
The other two non-CTL loans are cross-collateralized and cross
defaulted. The Vista Plaza Shopping Center Loan ($0.6 million --
2.7% of the pool) and the Blockbuster & Frazee Paint Loan ($0.2
million -- 0.9% of the pool). The collateral consists of two retail
properties containing 78,000 square feet (SF) that are located in
Las Vegas, Nevada. Both loans are fully amortizing and mature in
March 2018. Both loans are on the servicer's watchlist due to
occupancy concerns. Vista Plaza is 90% leased as of November 2015,
but has a physical occupancy of only 26%. The grocer anchor space
is leased through June 2017, but the space has been dark since the
end of 2008. The other retail property is only 52% leased as of
March 2015, the same as at last review. Blockbuster previously
leased the remaining 48% of the collateral but vacated at lease
expiration in August 2012. Although both collateral properties
struggle with low occupancy, the loans have amortized over 83%
since securitization. Moody's LTV and stressed DSCR are 54% and
2.2X, respectively, compared to 77% and 1.54X at last review.
The CTL component consists of five loans, constituting 87% of the
pool, secured by properties leased to two tenants. The largest
exposure is Brinker International, Inc. ($14.5 million -- 62% of
the pool; senior unsecured rating: Baa3 -- stable outlook) and
Albertsons Companies LLC ($5.8 million -- 25% of the pool;
long-term corporate family rating: B1 -- stable outlook). The
bottom-dollar weighted average rating factor (WARF) for this pool
is 1068, compared to 1862 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.
CITIGROUP 2012-GC8: Moody's Affirms Ba2 Rating on Cl. E Debt
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 13 classes in
Citigroup Commercial Mortgage Trust, Series 2012-GC8 as:
Cl. A-1, Affirmed Aaa (sf); previously on May 21, 2015, Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on May 21, 2015, Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 21, 2015, Affirmed
Aaa (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on May 21, 2015,
Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 21, 2015, Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on May 21, 2015, Affirmed
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on May 21, 2015, Affirmed
Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on May 21, 2015, Affirmed
A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on May 21, 2015, Affirmed
Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on May 21, 2015, Affirmed
Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on May 21, 2015, Affirmed
B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on May 21, 2015, Affirmed
Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on May 21, 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 IO classes were affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes is consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 2.6% of the
current balance, unchanged from at Moody's last review. Moody's
base expected loss plus realized losses is now 2.4% of the original
pooled balance, compared to 2.5% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS " published on October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19, compared to 20 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 4% to $996 million
from $1.04 billion at securitization. The certificates are
collateralized by 57 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans (excluding
defeasance) constituting 60% of the pool. One loan, constituting
1% of the pool, has an investment-grade structured credit
assessment. Four loans, constituting 2% of the pool, have defeased
and are secured by US government securities.
Sixteen loans, constituting 31% 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.
Moody's has assumed a high default probability for one poorly
performing loan, constituting 1% of the pool, and has estimated a
modest loss for this loan.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 98% of
the pool. Moody's weighted average conduit LTV is 95%, compared to
97% 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 benefit of less than 1% 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 1.62X and 1.15X,
respectively, compared to 1.60X and 1.13X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the ARCT III
Portfolio Loan ($12 million -- 1% of the pool), which is secured by
27 single-tenant retail properties located across 12 states. The
highest state concentrations are Mississippi (5), Michigan (4), and
Missouri (4). Four of the properties are leased to automobile
related retailers, while the other 23 are leased to dollar store
retailers. Moody's structured credit assessment and stressed DSCR
are a3 (sca.pd) and 1.88X, respectively.
The top three conduit loans represent 30% of the pool balance. The
largest loan is the Miami Center Loan ($109 million -- 11% of the
pool), which is secured by a participation interest in a $163
million first mortgage loan. The collateral property is a
34-story, 787,000 square foot (SF) office tower located on South
Biscayne Boulevard in Miami, Florida. The property is located
adjacent to an Intercontinental Hotel and contains a 9-story
parking garage. The collateral was 74% leased as of year-end 2015,
compared to 86% leased as of March 2015. The loan is currently on
the watchlist for low DSCR, however, the servicer reports several
new leases that are expected to improve occupancy and financial
performance. The loan benefits from amortization. Moody's LTV and
stressed DSCR are 108% and 0.92X, respectively, compared to 110%
and 0.91X at prior review.
The second largest loan is the 222 Broadway Loan ($100 million --
10% of the pool) and represents a participation interest in a $135
million mortgage loan. The loan is secured by a 787,000 square
foot office property located in Manhattan's Financial District. The
property was 97% leased as of September 2015, up from 80% as
recently as December 2012. Moody's LTV and stressed DSCR are 101%
and 1.05X, respectively, unchanged from the last review.
The third largest loan is the 17 Battery Place South Loan ($90
million -- 9% of the pool). The loan is secured by the office
portion of a 31-story, mixed use tower located in lower Manhattan.
The collateral is also encumbered by a $14 million mezzanine loan.
The property was 85% leased as of September 2015, compared to 88%
leased as of year-end 2014. The loan benefits from amortization.
Moody's LTV and stressed DSCR are 113% and, 0.88X, respectively,
compared to 115% and 0.87X at the last review.
CITIGROUP COMMERCIAL 2004-C1: Moody's Ups Cl. N Debt Rating to Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on three classes
and affirmed the ratings on two classes in Citigroup Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2004-C1 as follows:
Cl. L, Upgraded to Aaa (sf); previously on Oct 23, 2015 Upgraded to
Aa2 (sf)
Cl. M, Upgraded to Baa1 (sf); previously on Oct 23, 2015 Upgraded
to Baa3 (sf)
Cl. N, Upgraded to Ba2 (sf); previously on Oct 23, 2015 Upgraded to
B1 (sf)
Cl. P, Affirmed C (sf); previously on Oct 23, 2015 Affirmed C (sf)
Cl. X-1, Affirmed Caa2 (sf); previously on Oct 23, 2015 Affirmed
Caa2 (sf)
RATINGS RATIONALE
The ratings on Classes L, M, and N were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 23% since Moody's last
review.
The rating on Class P was affirmed because the rating is consistent
with Moody's expected loss. Class P has already experienced a 79%
realized loss as result of previously liquidated loans.
The rating on the IO class, Class X-1, was affirmed based on the
credit performance (or the weighted average rating factor) of the
referenced classes.
Moody's base expected loss plus realized losses is now 1.9% of the
original pooled balance, compared to 2.0% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE 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 $13 million
from $1.18 billion at securitization. The certificates are
collateralized by two mortgage loans.
One loan, constituting 89% 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 with a loss from the pool,
resulting in an aggregate realized loss of $22.7 million (for an
average loss severity of 21%).
The largest loan is the Amboy Plaza Shopping Center Loan ($11.6
million -- 89.1% of the pool), which is secured by a grocery
anchored retail property located in Staten Island, New York. Great
Atlantic & Pacific Tea Company filed for bankruptcy protection in
2015 and has since vacated the property. The borrower is
anticipated to backfill the space with another grocer, Super Fresh.
Throughout the tenant transition, the loan has remained current and
has amortized over 21% since securitization. Moody's LTV and
stressed DSCR are 88% and 1.14X, respectively, compared to 89% and
1.12X at the last review. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stress rate the agency applied to the loan
balance.
The other remaining loan is the Stop & Shop-Beverly, MA Loan ($1.4
million -- 10.9% of the pool), which is secured by a single tenant
retail property located in Beverly, Massachusetts. Stop & Shop, the
sole tenant, lease expires in December 2019. The loan matures in
March 2019 and is fully amortizing. Due to the single tenant
exposure, Moody's utilized a lit/dark analysis. Moody's LTV and
stressed DSCR are 23% and 4.55X, respectively, compared to 26% and
3.89X at the last review.
CMLBC 2001-CMLB1: Moody's Affirms Ba3 Rating on Class X Debt
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
of Commercial Mortgage Leased-Backed Certificates 2000-CMLB1 (CMLBC
2001-CMLB1) as follows:
Cl. A-2, Affirmed Aaa (sf); previously on May 28, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 28, 2015 Affirmed Aaa
(sf)
Cl. X, Affirmed Ba3 (sf); previously on May 28, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on two P&I classes, classes A-2 & A-3, were affirmed
because the transaction's key metric, the weighted average rating
factor (WARF), is within acceptable ranges.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The ratings of Credit Tenant Lease (CTL) deals are primarily based
on the senior unsecured debt rating (or the corporate family
rating) of the tenants leasing the real estate collateral
supporting the bonds. Other factors that are also considered are
Moody's dark value of the collateral (value based on the property
being vacant or dark), which is used to determine a recovery rate
upon a loan's default and the rating of the residual insurance
provider, if applicable. Factors that may cause an upgrade of the
ratings include an upgrade in the rating of the corporate tenant or
significant loan paydowns or amortization which results in a higher
dark loan to value. Factors that may cause a downgrade of the
ratings include a downgrade in the rating of the corporate tenant
or the residual insurance provider.
DEAL PERFORMANCE
As of the April 21, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 58.6% to $197
million from $476.3 million at securitization. The Certificates are
collateralized by 109 mortgage loans ranging in size from less than
1% to 6.6% of the pool. Eighty-four of the loans are CTL loans
secured by properties leased to 20 corporate credits. Twenty-five
loans, representing 19.2% of the pool, have defeased and are
collateralized with U.S. Government securities.
Fourteen loans, constituting 7.3% 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 a realized
loss of $5.5 million (49% loss severity). Due to realized losses,
Class K has been eliminated entirely and Class J has experienced an
11% principal loss. There are currently no loans in special
servicing.
The CTL pool, excluding defeasance, consists of 84 loans secured by
properties leased to 20 tenants. The largest exposures are
SUPERVALU Inc. ($28.1 million -- 14.3% of the pool; senior
unsecured rating B3 -- stable outlook), Autozone, Inc. ($27.3
million -- 13.9% of the pool; senior unsecured rating: Baa1 -
stable outlook) and Walgreen Co. ($14.9 million -- 7.6% of the
pool; senior unsecured rating Baa2 - On review for possible
downgrade). Excluding defeased loans, approximately 78.2% of the
credits are publicly rated by Moody's and 47.1% of them have
investment grade ratings.
The bottom-dollar weighted average rating factor (WARF) for this
pool is 1488, compared to 1552 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.
COA SUMMIT: Moody's Affirms Ba2 Rating on Class D Notes
-------------------------------------------------------
Moody's Investors Service has upgraded the rating on these notes
issued by COA Summit CLO Ltd.:
$22,000,000 Class B Senior Secured Deferrable Floating Rate
Notes, Upgraded to Aa3 (sf); previously on March 23, 2015,
Upgraded to A1 (sf)
Moody's also affirmed the ratings on these notes:
$256,000,000 Class A-1 Senior Secured Floating Rate Notes
(current outstanding balance of $161,398,270.13), Affirmed Aaa
(sf); previously on March 23, 2015, Affirmed Aaa (sf)
$50,000,000 Class A-2 Senior Secured Floating Rate Notes,
Affirmed Aaa (sf); previously on March 23, 2015, Upgraded to
Aaa (sf)
$22,000,000 Class C Senior Secured Deferrable Floating Rate
Notes, Affirmed Baa2 (sf); previously on March 23, 2015,
Upgraded to Baa2 (sf)
$20,000,000 Class D Secured Deferrable Floating Rate Notes,
Affirmed Ba2 (sf); previously on March 23, 2015, Upgraded to
Ba2 (sf)
COA Summit CLO Ltd., issued in March 2014, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in April 2015.
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 for the Class A, Class B and
Class C notes since March 2015. The Class A-1 notes have been paid
down by approximately 40% or $94.6 million since that time. Based
on Moody's calculations, the OC ratios for the Class A, Class B and
Class C notes are calculated at 139.52%, 126.37% and 115.48%,
respectively, versus March 2015 levels of 130.90%, 122.12% and
114.44%, respectively, although the Class D OC ratio has
deteriorated slightly to 107.10% from 108.25%.
Nevertheless, the credit quality of the portfolio has deteriorated
since March 2015. Based on Moody's calculations, the weighted
average rating factor is currently 2961 compared to 2737 since that
time.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and/or collateral sales
by the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
6) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around
$13.1 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% (2369)
Class A-1: 0
Class A-2: 0
Class B: +3
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3553)
Class A-1: 0
Class A-2: -1
Class B: -2
Class C: -2
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $292.3 million, defaulted par
of $8.4 million, a weighted average default probability of 20.04%
(implying a WARF of 2961), a weighted average recovery rate upon
default of 48.87%, a diversity score of 57 and a weighted average
spread of 3.74%(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.
COMM 2010-C1: Fitch Affirms 'B-sf' Rating on Class G Certs
----------------------------------------------------------
Fitch Ratings has upgraded two and affirmed nine classes of
Deutsche Bank Securities COMM 2010-C1 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
The upgrades reflect an increase in credit enhancement (CE), the
expectation of future paydown through loan amortization, and the
stable performance of the underlying collateral pool. As the pool
is concentrated with only 17 loans remaining, Fitch used a
deterministic stress scenario in its analysis.
As of the April distribution, the pool's aggregate principal
balance has been paid down by 59.5% to $347.3 million from $856.6
million at issuance. Fitch's base case modeled losses were 2.5% of
the remaining pool and expected losses based on the original pool
balance are 1.0%, with no losses realized to date. The transaction
currently has two loans on the servicer watchlist (4.9%) but
neither is considered a Fitch Loan of Concern, as the leasing
issues at the properties appear to be resolved. The pool has
increasing loan concentrations with only 17 of the original 42
loans outstanding. Retail properties collateralize 79.1% of the
pool. The remaining loans consist of balloon maturities (100%)
with final maturity dates in 2017 (1.5%) and 2020 (98.5%). There
are no defeased loans.
The largest loan in the pool, Fashion Outlets of Niagara Falls
(32.7% of the pool), is secured by a 525,663 square foot (sf)
anchored retail center. The property is located approximately
three miles southwest of Niagara Falls International Airport. The
sponsor, Macerich, acquired the property in 2011. The property was
significantly upgraded when a 175,000 sf expansion wing was opened
in October 2014. The center has more than 200 different tenants
with major tenants Saks Fifth Avenue Off 5th (3.87% of the net
rentable area [NRA]) & Marshalls (5.14%) anchoring the collateral.
Occupancy at the subject was 89% as of September 2015 compared to
94% at issuance. Although sales productivity decreased by 11% for
the collateral portion of the center during 2014, the property's
net operating income (NOI) was 33% higher than at issuance and the
debt service coverage ratio (DSCR) was a strong 1.77x at year-end
(YE) 2014.
The second largest loan, The Harrison (11.5%), is secured by a
95,360 sf retail and garage condominium located in the Upper West
Side submarket of Manhattan. The condominium is located at the
base of a 132-unit, 16-story luxury residential development. The
sponsor, The Related Companies, developed, owns, and operates the
retail and residential portions of the building. The major retail
tenants, Pure Yoga and Equinox which combined represent 60.39% of
the retail NRA, are on long-term leases that do not expire until
2030 and 2024, respectively. The space has been fully occupied
since issuance with a stable DSCR of 1.58x as of YE 2015.
The third largest loan, Auburn Mall (11.2%), is secured by a
423,270 sf anchored retail center located in Auburn, MA
approximately 50 miles southwest of downtown Boston. The mall has
exhibited strong performance since issuance with occupancy
averaging 99% during the life of the loan. The property's NOI has
been consistent with the servicer-reported YE 2014 DSCR at 2.11x
compared to 2.16x at issuance. The sponsor, Simon Property Group,
recently received city approval to redevelop the former Macy's Home
Goods anchor space to build a 12-screen movie theatre and
restaurant in its place. Fitch will continue to monitor progress
of the redevelopment plan and upcoming construction.
RATING SENSITIVITIES
The upgrades reflect a deterministic scenario which incorporated
additional stress on the Fashion Outlets of Niagara Falls given the
loan's significant concentration, as well as the overall retail and
loan concentration. Although credit enhancement is high, the
Outlooks on classes D through G remain Stable, as additional
upgrades are not expected due to the concentrated nature of the
pool and lack of projected near-term paydown. Further upgrades
could be possible with significant unanticipated paydown or
defeasance. Downgrades to the non-investment grades are possible
if loans transfer to special servicing and/or expected losses
increase significantly.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these classes:
-- $28.9 million class C to 'AAAsf' from 'AAsf', Outlook
Stable;
-- $45 million class D to 'Asf' from 'BBBsf', Outlook Stable.
Additionally, Fitch has affirmed these classes:
-- $18.9 million class A-2 at 'AAAsf', Outlook Stable;
-- $179.5 million class A-3 at 'AAAsf', Outlook Stable;
-- $112.7 million class XP-A at 'AAAsf', Outlook Stable;
-- $197 million class XS-A at 'AAAsf', Outlook Stable;
-- $197 million class XW-A at 'AAAsf', Outlook Stable;
-- $24.6 million class B at 'AAAsf', Outlook Stable;
-- $7.5 million class E at 'BBB-sf', Outlook Stable;
-- $12.8 million class F at 'BBsf', Outlook Stable;
-- $12.9 million class G at 'B-sf', Outlook Stable.
Classes A-1 and A-1D have paid in full. Fitch does not rate the
interest-only class XW-B or the $17.1 million class H.
COMM 2014-CCRE17: Fitch Affirms BB- Rating on Class F Certificates
------------------------------------------------------------------
Fitch Ratings has affirmed Deutsche Bank Securities, Inc.'s (COMM)
commercial mortgage pass-through certificates series 2014-CCRE17.
KEY RATING DRIVERS
The affirmations are due to overall stable performance. The stable
performance reflects no material changes to pool metrics since
issuance; therefore the original rating analysis was considered in
affirming the transaction.
Fitch modeled losses of 3.6% of the remaining pool; expected losses
on the original pool balance total 3.6%. There are three loans on
the master servicer's watchlist, (3.1%), of which Fitch is
monitoring the performance of two (1.9%). There are no specially
serviced loans.
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 1.2% to $1.18 billion from
$1.19 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting class H.
The largest loan in the transaction is the Bronx Terminal Market
loan (11.9% of the pool), which is secured by a 912,333 square foot
(sf), multilevel retail power center located in Bronx, NY. The
property was developed by the sponsor, the Related Companies, L.P.
in 2009 and consists of two towers, which are connected via a
six-level parking garage. The largest tenants at the property are
Target (20.7%), BJs (14.3%), and Home Depot (13.7%); with lease
expirations in October 2033, August 2029, and February 2034,
respectively. The property's occupancy remains stable at 99.3% as
of December 2015. There is no upcoming rollover until 2019 when 5%
of the space rolls. The most recent servicer reported debt-service
coverage ratio (DSCR) is 1.75x as of year-end (YE) 2015, up from
1.64x YE 2014. Performance at the property remains in line with
Fitch's expectations at issuance.
Fitch is monitoring the performance recovery at the Northeast Ohio
Multifamily Portfolio loan (2.6%), which is secured by a portfolio
of three multifamily properties located in the Cleveland and Akron,
OH markets, totaling 702 units. The portfolio is 85% occupied as
of September 2015. The most recent servicer reported DSCR is 1.45x
as of September 2015, up from 0.97x at YE 2014. The decline in
portfolio performance was back in May 2014 was mostly attributed to
the Village at Wyoga Lake Apartments property which suffered
significant damage to 80 units as a result of heavy rains and
flooding. The units were placed back online between November and
February 2015.
Fitch is monitoring leasing updates at the 330 South Tryon Office
loan (1%), which is secured by a 65,570 sf office property located
in Charlotte, NC. The largest tenants are Charlotte Chamber of
Commerce (46%), BBVA Compass (18%), and Ai Design Group (14%), with
lease expirations in March 31, 2015, July 31, 2021, and
Feb. 28, 2025, respectively. Fitch confirmed the Charlotte Chamber
of Commerce is still at the property but was unable to confirm if
they have renewed their lease. The loan is currently on the master
servicer's watchlist for decline in base rents since issuance due
to high rental concessions at the property. Per the master
servicer, performance is improving, as the average rental rate has
increased to $20.13 sf from $18.78 sf and rental concessions are
beginning to diminish. As per REIS, as of first quarter 2016, the
Charlotte metro office vacancy rate is 15.8% with average asking
rent $23.10 sf.
RATING SENSITIVITIES
Rating Outlooks on classes A-1 through F remain Stable due to the
overall stable performance of the pool. Downgrades are possible
with significant performance decline. Upgrades, 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 has affirmed these ratings:
-- $34.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $149 million class A-2 at 'AAAsf'; Outlook Stable;
-- $12.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $69.9 million class A-SB at 'AAAsf'; Outlook Stable;
-- $220 million class A-4 at 'AAAsf'; Outlook Stable;
-- $333.7 million class A-5 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $65.6 million class A-M at 'AAAsf'; Outlook Stable;
-- $82 million class B at 'AA-sf'; Outlook Stable;
-- $199.7 million class PEZ at 'A-sf'; Outlook Stable;
-- $52.2 million class C at 'A-sf'; Outlook Stable;
-- Interest-only class X-B at 'BBB-sf''; Outlook Stable;
-- $50.7 million class D at 'BBB-sf'; Outlook Stable;
-- $14.9 million class E at 'BBB-sf'; Outlook Stable;
-- Interest-only class X-C at 'BB-sf'; Outlook Stable;
-- $29.8 million class F at 'BB-sf'; Outlook Stable.
Fitch does not rate the interest-only class X-D, class G and H
certificates. Class A-M, B, and C certificates may be exchanged
for class PEZ certificates, and class PEZ certificates may be
exchanged for class A-M, B, and C certificates.
COMMERCIAL MORTGAGE 2007-GG11: S&P Hikes Cl. A-J Debt Rating to B
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on six classes of commercial
mortgage pass-through certificates from Commercial Mortgage Trust
2007-GG11, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P affirmed its ratings on one class
from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings to reflect its expectation of the available
credit enhancement for these classes, which S&P believes is greater
than its most recent estimate of necessary credit enhancement for
the respective rating levels. The upgrades also follow S&P's views
regarding the current and future performance of the transaction's
collateral, available liquidity support, and the trust balance's
amortization to date.
The upgrades on classes A-4 and A-1A also considered the results of
S&P's cash flow analysis, which indicated that both classes should
receive full principal repayments because of time tranching, as
described in "U.S. CMBS 'AAA' Scenario Loss And Recovery
Application," published July 21, 2009.
The upgrade on class C further reflects the fact that the interest
shortfalls that were previously affected the bond have been
resolved in full, and S&P do not believe, at this time, that a
further default of the class is virtually certain.
S&P affirmed its 'AAA (sf)' rating on the class X-C interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the April 12, 2016, trustee remittance report, the collateral
pool balance was $1.56 billion, which is 58.0% of the pool balance
at issuance. The pool currently includes 82 loans (reflecting the
crossed subordinate B hope note), down from 122 loans at issuance.
One of these loans ($6.8 million, 0.4%) is with the special
servicer, 12 ($231.8 million, 14.9%) are defeased, and 21 ($870.2
million, 55.8%) are on the master servicer's watchlist. The master
servicer, Wells Fargo Bank N.A., reported financial information for
98.8% of the nondefeased loans in the pool, of which 5.8% was
year-end 2014 data, 85.0% was year-end 2015 year-end data, and the
remainder was partial- or year-end 2014 and 2015 data.
S&P calculated a 1.17x S&P Global Ratings weighted average debt
service coverage (DSC) and 88.2% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.29% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the one specially serviced
loan, 12 defeased loans, three loans secured by ground leases
($340.1 million, 21.8%) and one subordinate B hope note ($10.2
million, 0.7%). The top 10 nondefeased loans have an aggregate
outstanding pool trust balance of $887.0 million (56.9%). Using
servicer-reported numbers, S&P calculated S&P Global Ratings
weighted average DSC and LTV of 1.08x and 87.6%,respectively, for
the top 10 nondefeased loans. The DSC and LTV excludes the 885
Third Avenue and 292 Madison Avenue loans, both of which are
secured by ground leases.
To date, the transaction has experienced $238.6 million in
principal losses, or 8.9% of the original pool trust balance. S&P
expects losses to reach approximately 9.0% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the one specially serviced loan.
CREDIT CONSIDERATIONS
As of the April 12, 2016, trustee remittance report, one loan in
the pool was with the special servicer, C-III Asset Management LLC
(C-III). The Best Buy & Delphax Technologies loan ($6.8 million,
0.4%) has a $6.9 million total reported exposure. The loan is
secured by two industrial properties totaling 160,177 sq. ft. in
Bloomington, Minn. The loan was transferred to C-III on March 7,
2016 because of a leasing and transfer request. C-III stated that a
counsel has been engaged, and C-III is in the process of ordering
all third-party reports. The reported DSC and occupancy as of
year-end 2014 were 0.86x and 82.0%, respectively. S&P expects a
moderate loss upon this loan's eventual resolution, which S&P
considers to be between 26% and 59% of the loan's current balance.
RATINGS LIST
Commercial Mortgage Trust 2007-GG11
Commercial mortgage pass through certificates series 2007-GG11
Rating Rating
Class Identifier To From
A-4 20173VAE0 AAA (sf) AA- (sf)
A-1-A 20173VAF7 AAA (sf) AA- (sf)
A-M 20173VAG5 BBB+ (sf) BB (sf)
A-J 20173VAH3 B (sf) B- (sf)
B 20173VAJ9 B- (sf) CCC (sf)
C 20173VAK6 CCC (sf) D (sf)
XC 20173VBP4 AAA (sf) AAA (sf)
CPS AUTO 2013-C: S&P Raises Rating on Class D Notes to BB+
----------------------------------------------------------
S&P Global Ratings raised its ratings on 22 classes from seven CPS
Auto Receivables Trust asset-backed securities (ABS) transactions.
At the same time, S&P affirmed its ratings on 45 classes from 12
CPS Auto Receivables Trust ABS transactions. All are
securitizations of subprime auto loans backed predominantly by used
automobiles and light-duty trucks.
The rating actions reflect the transactions' collateral performance
to date, S&P's views regarding future collateral performance, S&P's
current economic forecast, the transactions' structures, and the
credit enhancement available. In addition, S&P incorporated
secondary credit factors into its analysis such as credit
stability, payment priorities under certain scenarios, and sector-
and issuer-specific analysis. Considering all these factors, S&P
believes the creditworthiness of the notes remains consistent with
the raised and affirmed ratings.
Since the transactions closed, the credit support for each series
has increased as a percentage of the amortizing pool balance. S&P
is raising or affirming the outstanding ratings because, in its
opinion, the total credit support, as a percentage of the
amortizing pool balance, compared with S&P's revised expected
remaining losses, is adequate for the raised and affirmed ratings.
In addition, in September 2015, S&P removed its cap on the ratings
for CPS transactions, and S&P is now able to raise its ratings to
'AAA' where applicable.
Table 1
Collateral Performance (%)
As of the April 2016 distribution date
Pool Current 60+ day
Series Mo. factor CNL delinq.
2011-C 52 9.97 14.53 11.46
2012-A 49 9.54 11.81 8.18
2012-B 46 16.03 16.14 9.18
2012-C 43 17.83 15.42 11.38
2012-D 40 20.63 14.01 10.83
2013-A 37 27.03 13.06 8.45
2013-B 34 30.32 12.58 6.99
2013-C 31 35.71 12.09 7.39
2013-D 28 39.86 10.57 7.67
2014-A 25 45.86 8.95 6.61
2014-B 22 53.39 7.78 6.49
2014-C 19 60.61 6.46 6.45
2015-B 10 83.18 2.01 4.72
2015-C 7 90.36 0.60 3.78
Mo.--Month.
CNL--Cumulative net loss.
Delinq.--Delinquencies.
For each transaction from 2011-C to 2014-A, S&P's revised losses as
of April 2016 are higher than its initial expected losses.
Table 2
CNL Expectations (%)
As of the April 2016 distribution month
Initial Former Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp. CNL exp.
2011-C 13.75-14.50 14.50-15.00 14.75-15.25
2012-A 11.75-12.25 12.00-12.50 12.00-12.50
2012-B 13.00-13.50 16.25-16.75 18.00-18.50(i)
2012-C 12.50-13.00 16.25-16.75 17.25-17.75
2012-D 12.50-13.00 16.25-16.75 17.25-17.75
2013-A 13.00-13.50 16.25-16.75 17.25-17.75
2013-B 13.00-13.50 16.25-16.75 17.25-17.75
2013-C 13.25-13.75 16.50-17.00 17.75-18.25
2013-D 13.65-14.15 16.25-16.75 17.75-18.25
2014-A 15.00-15.40 16.50-17.00 17.25-17.75
2014-B 14.80-15.20 N/A 17.25-17.75
2014-C 14.80-15.20 N/A 17.50-18.00
2015-B 16.00-16.50 N/A N/A
2015-C 16.00-16.50 N/A N/A
(i)The expected CNL for series 2012-B was further revised in May
2016.
CNL exp.--Cumulative net loss expectations.
N/A–-Not applicable.
The 2011, 2012, and 2013-A and 2013-B transactions have a pro rata
payment structure. With a pro rata structure, the subordinated
notes in some transactions are currently receiving principal, but
if performance deteriorates, the monthly available funds may not be
sufficient to make payments to the subordinated classes. Also, if
overcollateralization (O/C) were to fall below the requisite O/C
level for the respective class, all cash flow would be directed to
the senior classes, and the subordinated notes would stop receiving
payments. All other series have a sequential principal payment
structure in which the notes are paid principal in order of
seniority.
Each transaction is structured with credit enhancement consisting
of O/C, subordination, a nonamortizing reserve account, and excess
spread. The O/C is structured to build over time to its target (as
a percentage of the current pool balance), and the spread account
is nonamortizing at its initial amount. Once the O/C reaches its
target percentage, credit enhancement grows significantly, along
with the spread account, as a percent of the amortizing pool
balance. Since issuance, the credit enhancement for each
transaction has increased as a percentage of the amortizing pool
balances.
Each transaction also contains noncurable performance-related
triggers, which step up the credit enhancement level if breached.
None of the transactions have breached a trigger.
Table 3
Hard Credit Support (%)
As of the April 2016 distribution month
Total hard Current total hard
credit support credit support
Series Class at issuance(i) % of current)(i)
2011-C A 20.00 47.07
2011-C B 12.00 39.50
2011-C C 7.00 32.33
2011-C D 2.50 27.66
2012-A A 17.00 46.97
2012-A B 11.00 41.49
2012-A C 6.00 38.70
2012-A D 2.00 38.45
2012-B A 16.00 32.24
2012-B B 10.00 22.24
2012-B C 5.00 16.79
2012-B D 1.00 13.95
2012-C A 25.00 40.61
2012-C B 16.00 31.61
2012-C C 10.00 21.61
2012-C D 5.00 15.19
2012-C E 1.00 13.40
2012-D A 24.50 39.85
2012-D B 15.50 30.85
2012-D C 9.50 20.85
2012-D D 4.50 14.84
2013-A A 24.25 38.45
2013-A B 15.25 29.45
2013-A C 9.25 19.45
2013-A D 4.25 12.95
2013-A E 1.00 12.42
2013-B A 23.75 37.55
2013-B B 14.75 28.55
2013-B C 8.75 18.55
2013-B D 3.75 12.05
2013-B E 1.00 10.83
2013-C A 26.50 79.97
2013-C B 14.75 47.07
2013-C C 8.75 30.26
2013-C D 3.75 16.26
2013-C E 1.00 8.56
2013-D A 26.50 72.71
2013-D B 14.75 43.23
2013-D C 8.75 28.18
2013-D D 3.75 15.64
2013-D E 1.00 8.73
2014-A A 29.50 69.78
2014-A B 18.00 44.70
2014-A C 8.75 24.53
2014-A D 3.75 13.63
2014-A E 1.00 7.63
2014-B A 31.25 62.54
2014-B B 18.00 37.72
2014-B C 8.75 20.40
2014-B D 3.75 11.03
2014-B E 1.00 5.87
2014-C A 32.50 66.84
2014-C B 19.25 35.76
2014-C C 8.75 18.44
2014-C D 3.75 10.19
2014-C E 1.00 5.65
2015-B A 34.25 45.18
2015-B B 21.25 29.55
2015-B C 8.25 13.92
2015-B D 4.25 9.11
2015-B E 1.00 5.20
2015-C A 48.75 54.91
2015-C B 36.25 41.07
2015-C C 21.00 24.20
2015-C D 10.25 12.30
2015-C E 3.75 8.15
2015-C F 1.00 5.11
(i)Calculated as a percent of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination. Excess spread is excluded from
the hard credit support that can also provide additional
enhancement.
S&P's review of these transactions included its cash flow analysis,
which used current and historical performance to estimate future
performance. S&P's various cash flow scenarios included
forward-looking assumptions on recoveries, timing of losses, and
voluntary absolute prepayment speeds that S&P believes are
appropriate given each transaction's current performance. Various
scenarios were run to evaluate ratings in both pro rata and
sequential payment scenarios.
For transactions with pro rata structures, the hard credit
enhancement may imply stronger coverage of remaining losses than
the breakeven cash flow results, because subordinated notes may
receive principal payments in the breakeven cash flows, thereby
reducing the available credit enhancement for the senior classes.
S&P also conducted sensitivity analysis to determine the impact on
its ratings if losses were to trend higher that S&P's revised
base-case loss expectations. The results demonstrated, in S&P's
view, that all of the classes have adequate credit enhancement at
their respective affirmed or revised rating levels.
S&P will continue to monitor the performance of all the outstanding
transactions to ensure that the credit enhancement remains
sufficient, in S&P's view, to cover its revised cumulative net loss
expectations under its stress scenarios for each of the rated
classes.
RATINGS RAISED
CPS Auto Receivables Trust
Rating
Series Class To From
2011-C A AAA (sf) A+ (sf)
2011-C B AAA (sf) A (sf)
2011-C C AAA (sf) A- (sf)
2011-C D AAA (sf) BBB+ (sf)
2012-A A AAA (sf) AA (sf)
2012-A B AAA (sf) AA- (sf)
2012-A C AAA (sf) A+ (sf)
2012-A D AAA (sf) A (sf)
2013-C A AAA (sf) AA- (sf)
2013-C B AA (sf) A (sf)
2013-C C A- (sf) BBB (sf)
2013-C D BB+ (sf) BB (sf)
2013-D A AAA (sf) AA- (sf)
2013-D B AA- (sf) A (sf)
2013-D C BBB+ (sf) BBB (sf)
2014-A A AAA (sf) AA- (sf)
2014-A B AA- (sf) A (sf)
2014-A C BBB+ (sf) BBB (sf)
2014-B A AAA (sf) AA- (sf)
2014-B B AA- (sf) A (sf)
2014-C A AAA (sf) AA- (sf)
2014-C B A+ (sf) A (sf)
RATINGS AFFIRMED
CPS Auto Receivables Trust
Series Class Rating
2012-B A A (sf)
2012-B B BBB (sf)
2012-B C BB (sf)
2012-B D B+ (sf)
2012-C A AA- (sf)
2012-C B A (sf)
2012-C C BBB (sf)
2012-C D BB (sf)
2012-C E B+ (sf)
2012-D A AA- (sf)
2012-D B A (sf)
2012-D C BBB+ (sf)
2012-D D BB (sf)
2013-A A AA- (sf)
2013-A B A (sf)
2013-A C BBB (sf)
2013-A D BB (sf)
2013-A E BB- (sf)
2013-B A AA- (sf)
2013-B B A (sf)
2013-B C BBB (sf)
2013-B D BB (sf)
2013-B E BB- (sf)
2013-C E B+ (sf)
2013-D D BBB- (sf)
2013-D E BB- (sf)
2014-A D BB+ (sf)
2014-A E B+ (sf)
2014-B C BBB (sf)
2014-B D BB (sf)
2014-B E B+ (sf)
2014-C C BBB (sf)
2014-C D BB (sf)
2014-C E B+ (sf)
2015-B A AA- (sf)
2015-B B A (sf)
2015-B C BBB (sf)
2015-B D BB (sf)
2015-B E B (sf)
2015-C A AAA (sf)
2015-C B AA (sf)
2015-C C A (sf)
2015-C D BBB (sf)
2015-C E BB (sf)
2015-C F B (sf)
EVERGLADES RE II: S&P Affirms BB Rating on Series 2015-1 Notes
--------------------------------------------------------------
S&P Global Ratings said that it has affirmed its 'BB(sf)' issue
credit rating on the Series 2015-1 notes issued by Everglades Re II
Ltd. For the risk period beginning June 1, 2016, the probability of
attachment and expected loss increased slightly, and well within
the permitted range, from the initial risk period. The transaction
documents allow for a variable reset as long as the expected loss
ranges between 1.21% and 1.41%. S&P's analysis assumes the issuer
resets the expected loss to the highest permitted percentage. The
initial attachment probability and expected loss were 1.46% and
1.31%, respectively, and are 1.50% and 1.33% for the upcoming risk
period, respectively. As a result, the interest risk spread
increased to 5.23% from 5.15%.
The attachment and exhaustion levels decreased as well. The
initial attachment and exhaustion levels were $6.256 billion and
$7.050 billion and the updated levels are $4.270 billion and $5.030
billion, respectively. The insurance percentage, that is, the
portion between the attachment and exhaustion points covered by the
notes, rose from 37.7834% to 39.4737%.
The decreases in attachment and exhaustion levels are due to the
depopulation program whereby a significant amount of the
residential properties that until now were insured by Citizens
Property Insurance Corp. have been renewed into take-out companies
as well as commercial-residential exposures moving over to the
traditional insurance market.
RATINGS LIST
Ratings Affirmed
Everglades Re II Ltd.
Series 2015-1 Notes BB(sf)
EXETER AUTOMOBILE 2016-2: DBRS Gives Prov. BB Rating on Cl. D Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes
issued by Exeter Automobile Receivables Trust 2016-2:
-- Class A Notes rated AAA (sf)
-- Class B Notes rated A (sf)
-- Class C Notes rated BBB (sf)
-- Class D Notes rated BB (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement. The transaction
benefits from credit enhancement in the form of
overcollateralization, subordination, amounts held in the
reserve fund and excess spread. Credit enhancement levels are
sufficient to support DBRS-projected expected cumulative net
loss assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the rating
addresses the payment of timely interest on a monthly basis
and principal by the legal final maturity date.
-- Exeter's capabilities with regards to originations,
underwriting, servicing and ownership by the Blackstone Group,
Navigation Capital Partners, Inc. and Goldman Sachs Vintage
Fund.
-- DBRS has performed an operational review of Exeter Finance
Corp. (Exeter) and considers the entity to be an acceptable
originator and servicer of subprime automobile loan contracts
with an acceptable backup servicer.
-- Exeter senior management team has considerable experience and
a successful track record within the auto finance industry.
-- The credit quality of the collateral and performance of
Exeter's auto loan portfolio.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with Exeter and
that the trust has a valid first-priority security interest in
the assets and the consistency with the DBRS methodology,
"Legal Criteria for U.S. Structured Finance."
EXETER AUTOMOBILE 2016-2: S&P Gives Prelim. BB Rating on Cl. D Debt
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2016-2's $300.0 million automobile
receivables-backed notes series 2016-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of May 6, 2016.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 50.3%, 41.5%, 35.8%, and
26.6% credit support for the class A, B, C, and D notes,
respectively, based on stressed cash flow scenarios
(including excess spread), which provide coverage of more
than 2.55x, 2.10x, 1.77x, and 1.30x our 18.75%-19.75%
expected cumulative net loss.
-- The timely interest and principal payments that S&P believes
will be made to the preliminary rated notes by the assumed
legal final maturity dates under stressed cash flow modeling
scenarios that S&P believes is appropriate for the assigned
preliminary ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A
and B notes will remain within one rating category of S&P's
preliminary 'AA (sf)' and 'A (sf)' ratings, respectively,
during the first year and that our ratings on the class C
and D notes will remain within two rating categories of
S&P's preliminary 'BBB+ (sf)' and 'BB (sf)' ratings during
the first year. These potential rating movements are
consistent with S&P's credit stability criteria, which
outline the outer bound of credit deterioration as a one-
category downgrade within the first year for 'AA' rated
securities and a two-category downgrade within the first
year for 'A' through 'BB' rated securities under the
moderate stress conditions.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The transaction's payment, credit enhancement, and legal
structures.
PRELIMINARY RATINGS ASSIGNED
Exeter Automobile Receivables Trust 2016-2
Class Rating Type Interest Amount
rate (mil. $)
A AA (sf) Senior Fixed 188.62
B A (sf) Subordinate Fixed 46.34
C BBB+ (sf) Subordinate Fixed 23.58
D BB (sf) Subordinate Fixed 41.46
(i)The interest rates and actual sizes of these tranches will be
determined on the pricing date.
FINN SQUARE: S&P Affirms BB Rating on Class D Notes
---------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A-1, A-2, B-1,
B-2, C, and D notes from Finn Square CLO Ltd., a U.S.
collateralized loan obligation (CLO) that closed in December 2012
and is managed by GSO/Blackstone Debt Funds Management LLC.
The rating actions follow S&P's review of the transaction's
performance, using data from the April 6, 2016, trustee report. The
transaction is scheduled to remain in its reinvestment period until
December 2016, and S&P anticipates that the manager will continue
to reinvest principal proceeds in line with the transaction
documents.
The transaction has benefited from collateral seasoning with the
reported weighted average life of the portfolio decreasing to 4.49
years from 5.18 years since the March 2013 effective date. In
addition, the weighted average rating of the portfolio has
increased to 'B+' from 'B' in line with an increase in collateral
with an S&P Global Ratings credit rating of 'BB-' or higher. This
overall improvement in credit quality has seen a corresponding
decrease in reported weighted average spread to 3.95% from 4.72%
and increase in weighted average S&P Global Ratings recovery rate
reported at the 'AAA' level to 45.60% from 40.60%.
This seasoning and credit quality improvement has helped to offset
a slight par loss as reported overcollateralization (O/C) ratios
have decreased by approximately 0.50% at each test level.
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, failing by a small margin
at the current rating level. The decision to affirm rather than
lower S&P's 'BB (sf)' rating was based on the overall improvement
in credit quality, which S&P believes results in a tranche less
exposed to the risk of default.
The other affirmations reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
S&P's review of the transaction relied in part upon a criteria
interpretation with respect to S&P's May 2014 criteria "CDOs:
Mapping A Third Party's Internal Credit Scoring System To Standard
& Poor's Global Rating Scale," published May 8, 2014, which allows
S&P to use a limited number of public ratings from other Nationally
Recognized Statistical Rating Organizations for the purposes of
assessing the credit quality of assets not rated by S&P Global
Ratings. The criteria provide specific guidance for treatment of
corporate assets not rated by S&P Global Ratings, while the
interpretation outlines treatment of securitized assets.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
Finn Square CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 8.31% AAA (sf)
A-2 AA (sf) AA+ (sf) 9.81% AA (sf)
B-1 A (sf) A+ (sf) 5.68% A (sf)
B-2 A (sf) A+ (sf) 5.68% A (sf)
C BBB (sf) BBB+ (sf) 4.35% BBB (sf)
D BB (sf) BB- (sf) 2.02% 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.
Correlation
scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
B-1 A+ (sf) A (sf) A+ (sf) AA (sf) A (sf)
B-2 A+ (sf) A (sf) A+ (sf) AA (sf) A (sf)
C BBB+ (sf) BBB- (sf) BBB+ (sf) A- (sf) BBB (sf)
D BB- (sf) B+ (sf) BB- (sf) BB+ (sf) BB (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) AA- (sf) AA (sf)
B-1 A+ (sf) A+ (sf) BBB+ (sf) A (sf)
B-2 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)
RATINGS AFFIRMED
Finn Square CLO Ltd.
Class Rating
A-1 AAA (sf)
A-2 AA (sf)
B-1 A (sf)
B-2 A (sf)
C BBB (sf)
D BB (sf)
FLAGSHIP CREDIT 2016-2: DBRS Finalizes BB Rating on Class D Debt
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes issued by Flagship Credit Auto Trust 2016-2:
-- Series 2016-2, Class A-1 rated AAA (sf)
-- Series 2016-2, Class A-2 rated AA (high) (sf)
-- Series 2016-2, Class B rated A (high) (sf)
-- Series 2016-2, Class C rated BBB (sf)
-- Series 2016-2, Class D rated BB (high) (sf)
The ratings are based on DBRS’s review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund and excess
spread. Credit enhancement levels are sufficient to support
the DBRS-projected expected cumulative net loss assumption
under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the rating
addresses the payment of timely interest on a monthly basis
and the payment of principal by the legal final maturity date.
-- The strength of the combined organization after the merger of
Flagship Credit Acceptance LLC (Flagship or the Company) and
CarFinance Capital LLC.
-- DBRS views the merger of the two companies as providing
synergies that make the combined company more financially
stable and competitive.
-- The capabilities of Flagship with regard to originations,
underwriting and servicing.
-- DBRS has performed an operational review of Flagship and
considers the entity to be an acceptable originator and
servicer of subprime automobile loan contracts with an
acceptable backup servicer.
-- The Flagship senior management team has considerable
experience and a successful track record within the auto
finance industry.
-- DBRS used a proxy analysis in its development of an expected
loss.
-- A limited amount of performance data was available for the
Company’s current originations mix.
-- A combination of Company-provided performance data and
industry comparable data were used to determine an expected
loss.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with Flagship,
that the trust has a valid first-priority security interest in
the assets and the consistency with DBRS's "Legal Criteria for
U.S. Structured Finance" methodology.
FLAGSHIP CREDIT 2016-2: S&P Assigns BB- Rating on Class D Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Flagship Credit Auto
Trust 2016-2's $400 million auto receivables-backed notes series
2016-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 38.07%, 30.08%, 22.70%,
and 18.03% credit support (including excess spread) for the
class A, B, C, and D notes, respectively, based on stressed
cash flow scenarios. These credit support levels provide
coverage of approximately 3.10x, 2.40x, 1.75x, and 1.40x
S&P's 11.50%-12.00% expected cumulative net loss range for
the class A, B, C, and D notes, respectively.
-- The timely interest and principal payments made under
stressed cash flow modeling scenarios that are appropriate
to the assigned ratings.
-- The expectation that under a moderate ('BBB') stress
scenario, all else being equal, S&P's ratings on the class A
and B notes would remain within one rating category of S&P's
'AA (sf)' and 'A (sf)' ratings within the first year and
S&P's ratings on the class C and D notes would remain within
two rating categories of our 'BBB (sf)' and 'BB- (sf)'
ratings, respectively, within the first year. This is
within the one category rating tolerance for S&P's 'AA' and
two-category rating tolerance for S&P's 'A', 'BBB', and 'BB'
rated securities, as outlined in S&P's credit stability
criteria.
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The characteristics of the collateral pool being
securitized. The pool includes receivables originated.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
Flagship Credit Auto Trust 2016-2
Class Rating Type Interest Amount
rate (mil. $)
A-1 AA (sf) Senior Fixed 208.00
A-2 AA (sf) Senior Fixed 88.94
B A (sf) Subordinate Fixed 38.78
C BBB (sf) Subordinate Fixed 38.78
D BB- (sf) Subordinate Fixed 25.50
FREDDIE MAC 2016-DNA2: S&P Assigns B Rating on Cl. M-3B Notes
-------------------------------------------------------------
S&P Global Ratings assigned its 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 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 (STACR) Debt Notes Series 2016-DNA2
Amount
Class 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.
GREENWICH CAPITAL 2004-GG1: S&P Affirms B+ Rating on Cl. G Certs
----------------------------------------------------------------
S&P Global Ratings raised its rating on one class of commercial
mortgage pass-through certificates from Greenwich Capital
Commercial Funding Corp.'s series 2004-GG1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on two other classes from the same
transaction.
S&P's rating actions reflect 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 rating on class E to reflect its expectation of the
available credit enhancement for this class, which S&P believes is
greater than its most recent estimate of necessary credit
enhancement for the rating level. The upgrade also follows S&P's
views regarding the current and future performance of the
transaction's collateral and available liquidity support. While
the available credit enhancement level may suggest a further
positive rating movement, S&P's rating action also considered the
bonds' interest shortfall history.
The affirmations on classes F and G reflect S&P views regarding the
current and future performance of the transaction's collateral, the
transaction structure, and liquidity support available to the
classes. While available credit enhancement levels may suggest
positive rating movement on the classes, S&P's rating actions also
considered the bonds' susceptibility to interest shortfalls because
of the two specially serviced assets ($48.7 million, 31.5%).
According to the April 12, 2016, trustee remittance report, the
current monthly interest shortfalls totaled $508,110 and resulted
primarily from:
-- Shortfalls due to rate modification of the Aegon Center A/B
loan totaling $287,018;
-- Appraisal subordinate entitlement reduction amounts totaling
$151,805; and
-- Interest not advanced due to nonrecoverability
determinations totaling $56,311.
The current interest shortfalls affected classes subordinate to and
including class G.
S&P affirmed its 'B+ (sf)' rating on class G to further reflects
S&P's expectation that, starting in September 2016 and in
accordance with its loan modification terms, the A note portion of
the Aegon Center A/B loan will resume paying interest at its
original coupon rate of 6.4%. Based on this expectation, class G
should see a repayment of its accumulated interest shortfalls over
time. S&P will continue to monitor the Aegon Center A/B loan and
this specific bond for any material developments that differ from
our expectations.
TRANSACTION SUMMARY
As of the April 12, 2016, trustee remittance report, the collateral
pool balance was $154.4 million, which is 5.9% of the pool balance
at issuance. The pool currently includes five loans and one real
estate-owned asset, down from 125 loans at issuance. Two of these
assets ($48.7 million, 31.5%) are with the special servicer, one
($736,379, 0.5%) is defeased, and one
($82.0 million, 53.1%) is on the master servicer's watchlist. The
master servicer, Wells Fargo Bank N.A., reported financial
information for 61.4% of the nondefeased loans in the pool, all of
which was partial or year-end 2015 data.
For the three nondefeased performing loans, and excluding the B
note portion of the modified Aegon Center A/B loan, S&P calculated
a 1.61x S&P Global Ratings weighted average debt service coverage
and 108.6% S&P Global Ratingsweighted average loan-to-value ratio
using a 7.51% S&P Global Ratings weighted average capitalization
rate.
To date, the transaction has experienced $49.8 million in principal
losses, or 1.9% of the original pool trust balance. S&P expects
losses to reach approximately 3.0% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
two ($48.7 million, 31.5%) specially serviced assets.
CREDIT CONSIDERATIONS
As of the April 12, 2016, trustee remittance report, two assets
($48.7 million, 31.5%) in the pool were with the special servicer,
CWCapital Asset Management LLC (CWC). Details of the two specially
serviced assets are:
The Severance Town Center loan ($38.2 million, 24.7%) is the
second-largest loan in the pool and has a total reported exposure
of $40.2 million. The loan is secured by single story retail
property totaling 644,501 sq. ft. in Cleveland Heights, Ohio. The
loan was transferred to CWC on Jan. 13, 2014 because of imminent
monetary default. CWC stated that the lender foreclosed upon the
asset on Nov. 16, 2015, and that the asset is expected to be
liquidated by the end of the second quarter of 2016. The reported
occupancy as of February 2016 was 78%, but physical occupancy was
57% due to the dark Walmart space. A $24.9 million appraisal
reduction amount (ARA) is in effect against this loan. S&P expects
a significant loss upon this loan's eventual resolution.
The 510 Glenwood Ave. loan ($10.5 million, 6.8%) has a total
reported exposure of $13.0 million. The loan is secured by a
67,369-sq.-ft. office building with first floor retail located in
Raleigh, N.C. The loan was transferred to CWC on Oct. 5, 2011, for
monetary default. CWC indicated that a court ordered mediation was
held and that the trust tentatively agreed to a $13.9 million
discounted payoff strategy and is waiting for the borrower to
accept the terms. If the borrower doesn't accept, the trust will
proceed with bankruptcy litigation. The reported occupancy as of
September 2015 was 57%. A $1.7 million ARA is in effect against
this loan. Given the current fact set, S&P expects a minimal loss
upon this loan's eventual resolution.
S&P estimated losses for the two specially serviced assets and
arrived at a weighted average loss severity of 57.1%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2004-GG1
Rating Rating
Class Identifier To From
E 396789FX2 AA+ (sf) A+ (sf)
F 396789FY0 BBB+ (sf) BBB+ (sf)
G 396789FZ7 B+ (sf) B+ (sf)
GS MORTGAGE 2013-GCJ14: Moody's Affirms B3 Rating on Cl. G Debt
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fifteen
classes in GS Mortgage Securities Trust, Commercial Mortgage
Pass-Through Certificates, Series 2013-GCJ14 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on May 20, 2015 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on May 20, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 20, 2015 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 20, 2015 Affirmed Aaa
(sf)
Cl. A-5, Affirmed Aaa (sf); previously on May 20, 2015 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on May 20, 2015 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on May 20, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on May 20, 2015 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on May 20, 2015 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on May 20, 2015 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on May 20, 2015 Affirmed Ba2
(sf)
Cl. F, Affirmed Ba3 (sf); previously on May 20, 2015 Affirmed Ba3
(sf)
Cl. G, Affirmed B3 (sf); previously on May 20, 2015 Affirmed B3
(sf)
Cl. PEZ, Affirmed A1 (sf); previously on May 20, 2015 Affirmed A1
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on May 20, 2015 Affirmed Aaa
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the exchangeable class (PEZ) was affirmed based on
the credit performance (or the weighted average rating factor or
WARF) of the referenced classes.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 2.2% of the
current balance, compared to 3.6% at Moody's last review. The deal
has not experienced any realized losses and Moody's base expected
loss plus realized losses is now 2.1% of the original pooled
balance, compared to 3.5% 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 12th, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 4% to $1.19 billion
from $1.24 billion at securitization. The certificates are
collateralized by 83 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans constituting 50% of
the pool. One loan, constituting 2% of the pool, has defeased and
is secured by US government securities.
Seventeen loans, constituting 26% 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 with no realized loss.
No loans are currently in special servicing.
Moody's received full year 2014 operating results for 93% of the
pool, and full or partial year 2015 operating results for 98% of
the pool. Moody's weighted average conduit LTV is 97.6%, compared
to 98.2% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 15% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.60X and 1.10X,
respectively, compared to 1.62X and 1.10X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 29% of the pool balance. The
largest loan is the 11 West 42nd Street Loan ($150.0 million --
12.6% of the pool), which represents a 50% pari-passu interest in a
$300.0 million interest-only mortgage. The loan is secured by a
33-story office building located in Grand Central submarket of
Manhattan, New York. Performance has been stable. As of September
2015, the property was 99.9% leased, essentially the same as at
Moody's last review. Moody's LTV and stressed DSCR are 96% and
0.95X, respectively, the same as the last review.
The second largest loan is the ELS Portfolio Loan ($105.5 million
-- 8.8% of the pool), which is secured by eleven manufactured
housing sites totaling 5,654 pads, developed between 1950 and 1985.
The properties are located in Florida, Texas, Arizona and Maine.
Portfolio occupancy reported as of December 2015 was 89%, compared
to 78% as of December 2014 and 81% as of December 2013. Moody's LTV
and stressed DSCR are 98% and 1.11X, respectively, compared to 99%
and 1.10X at the last review.
The third largest loan is the W Chicago City Center Hotel Loan
($87.3 million -- 7.3% of the pool), which is secured by a
403-room, full-service, luxury hotel located in the Loop in
Chicago, Illinois. Performance has been stable. As of the trailing
12 months (TTM) ending March 2016, the hotel was 77% occupied with
RevPar at $198, compared to 78% occupied with RevPar at $194 as of
the TTM ending March 2015. Moody's LTV and stressed DSCR are 91%
and 1.25X, respectively, compared to 93% and 1.22X at the last
review.
GUGGENHEIM PRIVATE: Fitch Affirms 'BBsf' Rating on Class C Debt
---------------------------------------------------------------
Fitch Ratings has affirmed 20 classes of notes issued by Guggenheim
Private Debt Fund Note Issuer, LLC (Guggenheim PDFNI).
KEY RATING DRIVERS
The rating affirmations are based on credit enhancement (CE) levels
and cushions available to the notes in Fitch's cash flow analysis.
As of the April 2016 trustee report, the transaction continues to
pass all coverage tests and collateral quality tests. Defaults
decreased marginally to 6.1% from 6.7% of the total portfolio par
balance (including cash) at last review. Since the transaction
close in July 2012, four energy issuers have defaulted. On a
combined basis realized and unrealized losses as a percentage of
the portfolio par balance (including cash) as of the fifth funding
date amount to approximately 11.6%. This was partially offset with
about 4.9% of excess spread reinvested since close.
The portfolio is composed of approximately $923.5 million of
private debt investments (PDIs) issued by 22 performing obligors,
$179.7 million of syndicated bank loans (SBLs) issued by 27
performing obligors, $77.4 million in notional of two defaulted
issuers, and approximately $85.2 million of principal cash. The
portfolio at last review was composed of approximately $1.17
billion of private debt investments (PDIs) issued by 27 performing
obligors, $88 million in notional of three defaulted issuers, and
approximately $62.5 million of principal cash. The current
portfolio remains within the parameters of the Fitch stressed
portfolio, which was constructed using the maximum collateral
limitations allowed by the transaction documents at the time of the
last funding in May 2014.
The weighted average rating of the performing portfolio (excluding
cash) has improved to 'B/B-' as compared to 'B-/CCC' at last
review. Approximately 64.1% of the performing portfolio is
considered to have strong recovery prospects or a Fitch-assigned
Recovery Rating of 'RR2' or higher, versus 50.7% at the last
review. The transaction generates a significant amount of excess
spread, with the weighted average spread (WAS) reported at 8.47%,
relative to the trigger level of 4.25%.
The Stable Outlooks reflect the expectation that the notes have a
sufficient level of credit protection to withstand potential
deterioration in the credit quality of the portfolio, based on the
results of the Fitch sensitivity analysis described below.
This review was conducted under the framework described in the
report 'Global Rating Criteria for CLOs and Corporate CDOs' using
the Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model under
various combinations of default timing and interest rate stress
scenarios, as described in the report. The cash flow model was
customized to reflect the transaction's structural features
Fitch's cash flow analysis indicates each class of notes continues
to pass all nine interest rate and default timing scenarios above
their current rating levels. However, since the transaction is
still in reinvestment period, Fitch is not upgrading the rated
notes at this review.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to asset defaults,
significant negative credit migration, and lower than historically
observed recoveries for defaulted assets. Fitch conducted rating
sensitivity analysis on the closing date of Guggenheim PDFNI,
incorporating increased levels of defaults and reduced levels of
recovery rates, among other sensitivities.
Guggenheim PDFNI (the issuer) is a collateralized loan obligation
(CLO) transaction that closed in July 2012 and is managed by
Guggenheim Partners Investment Management, LLC (GPIM). The
transaction had issued multiple series of notes on the first,
second, third, fourth and fifth funding dates in July 2012, October
2012, March 2013, April 2014 and May 2014, respectively. No funding
dates or commitments remain outstanding for the transaction. All
notes from each series are cross-collateralized by the portfolio of
PDIs and SBLs (when applicable). The transaction will exit its
reinvestment period in July 2016.
DUE DILIGENCE USAGE
No third-party due diligence was reviewed in relation to this
rating action.
Fitch has affirmed the following ratings:
-- $292,499,994 class A notes, series A-1, 'Asf', Outlook Stable;
-- $44,999,995 class A notes, series A-2, 'Asf', Outlook Stable;
-- $90,900,011 class A notes, series A-3, 'Asf', Outlook Stable;
-- $77,407,894 class A notes, series A-4, 'Asf', Outlook Stable;
-- $41,842,106 class A notes, series A-5, 'Asf', Outlook Stable;
-- $48,749,993 class B notes, series B-1, 'BBBsf', Outlook
Stable;
-- $7,499,995 class B notes, series B-2, 'BBBsf', Outlook Stable;
-- $15,150,012 class B notes, series B-3, 'BBBsf', Outlook
Stable;
-- $12,901,316 class B notes, series B-4, 'BBBsf', Outlook
Stable;
-- $6,973,684 class B notes, series B-5, 'BBBsf', Outlook Stable;
-- $60,124,994 class C notes, series C-1, 'BBsf', Outlook Stable;
-- $9,249,995 class C notes, series C-2, 'BBsf', Outlook Stable;
-- $18,685,011 class C notes, series C-3, 'BBsf', Outlook Stable;
-- $15,911,623 class C notes, series C-4, 'BBsf', Outlook Stable;
-- $8,600,877 class C notes, series C-5, 'BBsf', Outlook Stable;
-- $40,624,994 class D notes, series D-1, 'Bsf', Outlook Stable;
-- $6,249,996 class D notes, series D-2, 'Bsf', Outlook Stable;
-- $12,625,010 class D notes, series D-3, 'Bsf', Outlook Stable;
-- $10,751,096 class D notes, series D-4, 'Bsf', Outlook Stable;
-- $5,811,404 class D notes, series D-5, 'Bsf', Outlook Stable.
Fitch does not rate the class E1 notes (series E1-1, E1-2, E1-3,
E1-4, E1-5), E2 notes (series E2-1, E2-2, E2-3, E2-4, E2-5) and the
limited liability company (LLC) membership interests (series 1, 2,
3, 4, 5).
HEWETT'S ISLAND I-R: Moody's Lowers Rating on Cl. E Notes to B1
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on these notes
issued by Hewett's Island CLO I-R, Ltd.:
$11,250,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due 2019, Upgraded to Aa1 (sf); previously
on July 13, 2015, Upgraded to Aa2 (sf)
Moody's also downgraded the rating on these notes:
$10,300,000 Class E Fifth Priority Mezzanine Secured Deferrable
Floating Rate Notes Due 2019 (current outstanding balance of
$6,900,574), Downgraded to B1 (sf); previously on July 13,
2015, Affirmed Ba3 (sf)
In addition, Moody's also affirmed the ratings on these notes:
$195,850,000 Class A First Priority Senior Secured Floating Rate
Notes Due 2019 (current outstanding balance of $36,740,876),
Affirmed Aaa (sf); previously on July 13, 2015, Affirmed
Aaa (sf)
$15,700,000 Class B Second Priority Senior Secured Floating Rate
Notes Due 2019, Affirmed Aaa (sf); previously on July 13, 2015,
Affirmed Aaa (sf)
$9,900,000 Class D Fourth Priority Mezzanine Secured Deferrable
Floating Rate Notes Due 2019, Affirmed Baa2 (sf); previously on
July 13, 2015, Upgraded to Baa2 (sf)
Hewett's Island CLO I-R, Ltd., issued in November 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in November 2013.
RATINGS RATIONALE
The rating upgrade on the Class C Notes and rating affirmations on
the Class A and B notes are primarily a result of deleveraging of
the senior notes and an increase in Class A/B and Class C
over-collateralization (OC) ratios since July 2015.
Moody's notes that the Class A notes have been paid down by
approximately $38.8 million or 51.4% since that time. Based on the
trustee's April 2016 report, the OC ratios for the Class A/B and
Class C notes are reported at 159.2% and 131.1%, respectively,
versus July 2015 levels of 138.1% and 122.9%, respectively.
The rating downgrade on the Class E notes reflects a decrease in
the Class E OC ratio and deterioration in the credit quality of the
underlying collateral portfolio. Based on the trustee's April 2016
report, the Class E OC ratio is at 103.7%, versus July 2015 level
of 105.6%. Additionally, the Moody's calculated weighted average
rating factor (WARF) is currently 2795 compared to 2401 in July
2015. Furthermore,10.9% of the portfolio currently consists of
securities from obligors with Moody's weakest Speculative Grade
Liquidity (SGL) Rating of SGL-4.
The rating affirmation on the Class D Notes reflects the positive
impact of an increase in the Class D OC ratio, to 113.5% in April
2016, from 112.1% in July 2015, which is offset by the
deterioration in the credit quality of the collateral portfolio
noted above.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on Moody's calculation,
securities that mature after the notes do currently make up
approximately 7.17% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature.
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 Ratings:
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/commence 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) Long-dated assets: The presence of assets that mature after
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. This risk is borne first by investors
with the lowest priority in the capital structure. Moody's
assumes that the terminal value of an asset upon liquidation
at maturity will be equal to the lower of an assumed
liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) or the asset's
current market value.
7) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around
$5.2 million of par, Moody's ran a sensitivity case
defaulting those assets.
8) Lack of portfolio granularity: The performance of the
portfolio depends to a large extent on the credit conditions
of a few large obligors Moody's rates non-investment grade,
especially if they jump to default.
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% (2236)
Class A: 0
Class B: 0
Class C: +1
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3354)
Class A: 0
Class B: 0
Class C: -1
Class D: -1
Class E: -2
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 $83.8 million, defaulted par
of $5.2 million, a weighted average default probability of 14.58%
(implying a WARF of 2795), a diversity score of 22 and a weighted
average spread of 3.02% (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.
JAMESTOWN CLO II: S&P Affirms BB Rating on Cl. D Notes
------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A-1, A-2A,
A-2B, B, C, and D notes from Jamestown CLO II Ltd., a U.S.
collateralized loan obligation (CLO) managed by 3i Debt Management
US LLC.
The affirmations reflect adequate credit support at the current
rating levels. Although the cash flow results showed higher
ratings for the class A-2A, A-2B, B, C, and D notes, S&P took into
account that the transaction is still in its reinvestment phase,
which is scheduled to end in January 2017, and that it has not yet
paid down any principal to the rated notes. Future reinvestments
could change some of the portfolio characteristics. In addition,
defaulted assets have increased from $0 reported in the May 2013
trustee report, which S&P used for its June 2013 effective date
analysis, to $8.74 million according to the April 2016 trustee
report.
This increase is somewhat offset by the portfolio's overall credit
seasoning. However, according to the April 2016 trustee report,
the overcollateralization (O/C) ratios for each class have
decreased since our June 2013 rating affirmations:
-- Class A O/C decreased to 133.59% from 135.35%;
-- Class B O/C decreased to 119.85% from 121.40%;
-- Class C O/C decreased to 112.21% from 113.68%; and
-- Class D O/C decreased to 107.452% from 108.86%.
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 RESULTS AND SENSITIVITY ANALYSIS
Jamestown CLO II Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 18.58% AAA (sf)
A-2A AA (sf) AAA (sf) 0.90% AA (sf)
A-2B AA (sf) AAA (sf) 0.90% AA (sf)
B A (sf) AA- (sf) 2.39% A (sf)
C BBB (sf) BBB+ (sf) 7.47% BBB (sf)
D BB (sf) BB+ (sf) 5.49% 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-2A AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
A-2B AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
B AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf)
C BBB+ (sf) BBB+ (sf) BBB+ (sf) A (sf) BBB (sf)
D BB+ (sf) BB- (sf) BB+ (sf) BB+ (sf) BB (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2A AAA (sf) AA+ (sf) AA+ (sf) AA (sf)
A-2B AAA (sf) AA+ (sf) AA+ (sf) AA (sf)
B AA- (sf) A+ (sf) A- (sf) A (sf)
C BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
D BB+ (sf) BB (sf) B (sf) BB (sf)
RATINGS AFFIRMED
Jamestown CLO II Ltd.
Class Rating
A-1 AAA (sf)
A-2A AA (sf)
A-2B AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
JP MORGAN 2002-CIBC4: Hikes Class C Debt Rating From 'BBsf'
-----------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 14 classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp., commercial
mortgage pass-through certificates, series 2002-CIBC4.
KEY RATING DRIVERS
The upgrade is based on increased credit enhancement due to
continued amortization, better than expected recovery on the
liquidation of a real estate owned (REO) asset and overall stable
pool performance since Fitch's last rating action. While the credit
enhancement of class C is high relative to expected losses, Fitch
capped the rating based on high concentration of the pool, the
substantial Fitch Loans of Concern (FLOC; 19.8% of the pool) and
exposure to tenant rollover, some of which (40.5% of the pool)
involves larger tenants with leases expiring prior to loan
maturity. The capped rating is in line with Fitch's credit rating
of Kohl's Corporation ('BBB' as of April 15, 2016), the anchor
tenant of the property which secures the largest loan (26.5% of the
pool).
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 97% to $24.1 million, from
$798.9 million at issuance. Interest shortfalls are currently
affecting classes D and NR. Of the original 121 loans, only 13
remain in the pool, four of which (14.9%) are defeased.
The largest FLOC (12.1%) is secured by a 59,258 square foot (sf)
office property located in San Francisco, CA. The property was
fully occupied by two tenants at issuance, one of which (47% of
NRA) vacated in June 2014 upon lease expiration; during the first
quarter of 2015 (1Q15), two new tenants took over this space with a
two year lease term. The other space (53%) was leased to an
affiliate of the Prescott Hotel, which is adjacent to the property
on a 69 year term which was partially prepaid until August 2017.
The property cash flow will increase when this tenant begins paying
its monthly rent in September 2017. Property cash flow may
fluctuate as the two new replacement tenants signed in 2015 have
expiring leases in 2017. The servicer reported 3Q16 debt service
coverage ratio (DSCR) was 0.58x, compared to 1.37x at underwriting.
The loan is scheduled to mature in 2021.
The second largest FLOC (7.2%) is a 19,545 sf retail property in
Edwards, CO. The property became REO in October 2013. The special
servicer's workout strategy is to continue leasing up the property
before marketing it for sale. As of year-end (YE) 2015, the
property was 86.8% occupied, compared to 75.5% a year ago.
The largest loan in the pool (26.5%) is secured by a 173,602 sf
retail property located in Plainfield, IN. The largest tenants
include Kohl's, TJ Maxx, and Five Below. Kohl's, which leases 48.4%
of the property's net leasable area has a lease expiring in
February 2020, two years prior to the loan's maturity date of March
2022. The loan is performing. As of the February 2016 rent roll,
the property was 99.1% occupied, compared to 94.5% at issuance. The
servicer reported YE 2015 DSCR was 1.31x, compared to 1.28x at
issuance.
The second largest loan in the pool (17.4%) is secured by a 120
unit multifamily property located in Charlotte, NC. This loan is on
the servicer watchlist due to low DSCR. As of 3Q15, the property
was 95.8% occupied in line with issuance. The servicer reported
annualized 3Q15 DSCR was 1.15x, compared to 1.22x at issuance. The
decline in DSCR was primarily due to an increase in operating
expenses, more specifically the utility and payroll expenses.
RATING SENSITIVITIES
The Outlook on class C remains Stable as no rating changes are
anticipated. Further upgrades are not likely due to the
concentrated nature of the pool. Class D would be downgraded to 'D'
should 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 as indicated:
-- $12.6 million class C to 'BBBsf' from 'BBsf'; Outlook Stable.
Fitch has affirmed the following classes as indicated:
-- $10 million class D at 'Csf', RE 80%.
-- $1.5 million class E at 'Dsf', RE 0%;
-- $0 class F at 'Dsf', RE 0%;
-- $0 class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%.
The class A-1, A-2, A-3, B and the interest-only class X-2
certificates have paid in full. Fitch does not rate the class NR
certificates. Fitch previously withdrew the rating on the
interest-only class X-1 certificates.
JP MORGAN 2003-LN1: Moody's Affirms B1(sf) Rating on Class J Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
in J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Pass-Through Certificates, Series 2003-LN1 as follows:
Cl. H, Affirmed A2 (sf); previously on Jun 19, 2015 Upgraded to A2
(sf)
Cl. J, Affirmed B1 (sf); previously on Jun 19, 2015 Upgraded to B1
(sf)
Cl. K, Affirmed Ca (sf); previously on Jun 19, 2015 Affirmed Ca
(sf)
Cl. L, Affirmed C (sf); previously on Jun 19, 2015 Affirmed C (sf)
Cl. X-1, Affirmed Caa3 (sf); previously on Jun 19, 2015 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on class H was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The ratings on classes J, K, and L 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) of the
referenced classes.
Moody's rating action reflects a base expected loss of 34.0% of the
current balance, compared to 26.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.1% of the original
pooled balance, compared to 4.0% 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, 2015 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 98% to $28.5
million from $1.2 billion at securitization. The certificates are
collateralized by four mortgage loans. Two loans, constituting
10.0% of the pool, have defeased and are secured by US government
securities.
Twelve loans have been liquidated from the pool with a loss,
contributing to an aggregate certificate realized loss of $39.1
million (for an average loss severity of 52%). One loan, the Senate
Plaza Loan ($9.7 million -- 33.9% of the pool) is currently in
special servicing. The loan is secured by a 231,000 square foot
(SF) office property located in Camp Hill, Pennsylvania, near
downtown Harrisburg. The sole tenant, which had occupied 100% of
the property, vacated at its lease expiration in 2013 and the
property remains fully vacant. The loan initially transferred to
special servicing in July 2013 for maturity default and became REO
in in December 2013 via a deed-in-lieu of foreclosure. The special
servicer is currently marketing the asset for sale while trying to
lease-up the property.
The pool contains one performing non-defeased loan, representing
56% of the pool balance. The performing loan is the Piilani
Shopping Center Loan ($16.0 million), which is secured by 66,000 SF
retail center located in Kihei, Hawaii. As of December 2015, the
property was approximately 98% leased and has been over 95% leased
for the past four years. The two largest tenants in the collateral
are Kihei-Wailea Medical Center (10% of the NRA; expiration May
2022) and Outback Steakhouse (9% of the NRA; lease expiration
November 2020). The collateral is shadow anchored by a Safeway,
Inc. grocery store. Moody's LTV and stressed DSCR are 52% and
1.87X, respectively, compared to 55% and 1.75X at the last review.
JP MORGAN 2004-CIBC10: Moody's Affirms B3 Rating on Class E Certs
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on 12 classes in J.P. Morgan Chase Commercial
Mortgage Securities Corp., Commercial Pass-Through Certificates,
Series 2004-CIBC10 as follows:
Cl. A-J, Affirmed Aaa (sf); previously on Jul 17, 2015 Affirmed Aaa
(sf)
Cl. B, Upgraded to A3 (sf); previously on Jul 17, 2015 Affirmed
Baa2 (sf)
Cl. C, Affirmed Ba2 (sf); previously on Jul 17, 2015 Affirmed Ba2
(sf)
Cl. D, Affirmed B1 (sf); previously on Jul 17, 2015 Affirmed B1
(sf)
Cl. E, Affirmed B3 (sf); previously on Jul 17, 2015 Affirmed B3
(sf)
Cl. F, Affirmed Caa3 (sf); previously on Jul 17, 2015 Affirmed Caa3
(sf)
Cl. G, Affirmed C (sf); previously on Jul 17, 2015 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Jul 17, 2015 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jul 17, 2015 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jul 17, 2015 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jul 17, 2015 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Jul 17, 2015 Affirmed C (sf)
Cl. X-1, Affirmed Caa1 (sf); previously on Jul 17, 2015 Affirmed
Caa1 (sf)
RATINGS RATIONALE
The rating on Class B was upgraded based primarily due to an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 11% since Moody's last
review.
The ratings on Classes A-J, C, D and E were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the remaining seven P&I classes were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on one IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 35.1% of the
current balance, compared to 34.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.3% of the original
pooled balance, compared to 7.8% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE 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 87% to $263 million
from $1.96 billion at securitization. The certificates are
collateralized by 31 mortgage loans ranging in size from less than
1% to 33% of the pool, with the top ten loans constituting 79% of
the pool. Two loans, constituting 1% of the pool, have defeased and
are secured by US government securities.
Five loans, constituting 4% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-six loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $51.4 million (for an
average loss severity of 18%). Eight loans, constituting 54% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Continental Plaza Loan ($88.0 million -- 33.4%
of the pool), which is secured by three office buildings and a
single story retail center totaling 639,000 square feet (SF),
located in Hackensack, New Jersey. The loan transferred to special
servicing in April 2009 due to imminent default; was foreclosed
upon in August 2012 and the asset is now real estate owned (REO).
As of December 2015, the property was 70% leased. An August 2015
appraisal valued the property at $62.2 million.
The remaining seven specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $91.2 million
loss for the specially serviced loans (64% 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 97% of the
pool. Moody's weighted average conduit LTV is 58%, compared to 59%
at Moody's last review. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.36X and 1.86X,
respectively, compared to 1.62X and 1.81X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 20% of the pool balance. The
largest loan is The Greens at Hurricane Creek Apartments Loan
($19.8 million -- 7.5% of the pool), which is secured by a 576-unit
multifamily property located in Bryant, Arkansas. As of December
2015, the property was 97% occupied, unchanged from March 2014.
Performance has declined slightly due to an increase in operating
expenses. The loan benefits from amortization and Moody's LTV and
stressed DSCR are 67% and 1.38X, respectively, compared to 66% and
1.40X at the last review.
The second largest loan is the 65-75 Lower Welden Street Loan
($16.5 million -- 6.3% of the pool), which is secured by a 149,000
SF suburban office building located in St. Albans, Vermont
(approximately 18 miles from the Canadian border). As of December
2015, the property was 100% occupied by The Department of Homeland
Security, whose lease expires in January 2021. Due to the single
tenancy, Moody's analysis incorporated a lit/dark analysis. Moody's
LTV and stressed DSCR are 71% and 1.29X, respectively, compared to
74% and 1.25X at the last review.
The third largest loan is The Links at Oxford Apartments Loan
($15.7 million -- 6.0% of the pool), which is secured by a 492-unit
multifamily property located in Oxford, Mississippi. As of December
2015, the property was 100% occupied, unchanged from December 2013.
Performance has remained stable and the loan benefits from
amortization. Moody's LTV and stressed DSCR are 54% and 1.66X,
respectively, compared to 56% and 1.59X at the last review.
JP MORGAN 2006-LDP9: Moody's Affirms Ba1 Rating on 2 Tranches
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on four classes,
affirmed the ratings on six classes, and downgraded the ratings on
five classes in J.P. Morgan Chase Commercial Mortgage Securities
Trust, Commercial Pass-Through Certificates, Series 2006-LDP9 as:
Cl. A-1A Certificate, Upgraded to Aa1 (sf); previously on
May 29, 2015, Affirmed Aa3 (sf)
Cl. A-3 Certificate, Upgraded to Aa1 (sf); previously on May 29,
2015, Affirmed Aa3 (sf)
Cl. A-3SFL Certificate, Upgraded to Aa1 (sf); previously on
May 29, 2015, Affirmed Aa3 (sf)
Cl. A-3SFX Certificate, Upgraded to Aa1 (sf); previously on
May 29, 2015, Affirmed Aa3 (sf)
Cl. A-M Certificate, Affirmed Ba1 (sf); previously on May 29,
2015, Affirmed Ba1 (sf)
Cl. A-MS Certificate, Affirmed Ba1 (sf); previously on May 29,
2015, Affirmed Ba1 (sf)
Cl. A-J Certificate, Downgraded to Caa3 (sf); previously on
May 29, 2015, Affirmed Caa1 (sf)
Cl. A-JS Certificate, Downgraded to Caa3 (sf); previously on
May 29, 2015, Affirmed Caa1 (sf)
Cl. B Certificate, Downgraded to C (sf); previously on May 29,
2015, Affirmed Caa2 (sf)
Cl. B-S Certificate, Downgraded to C (sf); previously on May 29,
2015, Affirmed Caa2 (sf)
Cl. C Certificate, Affirmed C (sf); previously on May 29, 2015,
Downgraded to C (sf)
Cl. C-S Certificate, Affirmed C (sf); previously on May 29,
2015, Downgraded to C (sf)
Cl. D Certificate, Affirmed C (sf); previously on May 29, 2015,
Affirmed C (sf)
Cl. D-S Certificate, Affirmed C (sf); previously on May 29,
2015, Affirmed C (sf)
Cl. X Certificate, Downgraded to B3 (sf); previously on May 29,
2015, Downgraded to B2 (sf)
RATINGS RATIONALE
The ratings on four P&I classes, Class A-1A, Class A-3, A-3SFL, and
A-3SFX, 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 7% since Moody's last review. In addition,
loans constituting 38% of the pool that have debt yields exceeding
12.0% are scheduled to mature within the next 12 months.
Additionally, there was a significant increase in defeasance, to
17% of the current pool balance from 5% at the last review.
The ratings on four P&I classes, Class A-J, A-JS, B, and B-S were
downgraded due to anticipated losses from troubled loans and loans
in special servicing as well as an increase in realized losses from
previously liquidated loans.
The ratings on two P&I classes, Class A-M and A-MS, were affirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges. The ratings on four P&I classes, Class
C, C-S, D and D-S, were affirmed because the ratings are consistent
with Moody's expected loss.
The rating on the IO Class, Class X, was downgraded due to a
decline in the credit performance (or the weighted average rating
factor or WARF) of its referenced classes.
Moody's rating action reflects a base expected loss of 12.9% of the
current balance, compared to 15.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 15.7% of the
original pooled balance, compared to 16.9% 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.
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, compared to 32 at the last review.
DEAL PERFORMANCE
As of the April 15, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 41% to $2.9 billion
from $4.9 billion at securitization. The certificates are
collateralized by 183 mortgage loans ranging in size from less than
1% to 8% of the pool, with the top ten loans constituting 41% of
the pool. One loan, constituting 6% of the pool, has an
investment-grade credit assessment. Twenty-seven loans,
constituting 17% of the pool, have defeased and are secured by US
government securities.
Thirty-nine loans, constituting 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Fifty-two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $392 million (for an average loss
severity of 35%). Twenty-five loans, constituting 22% of the pool,
are currently in special servicing. The largest specially serviced
loan is the 131 South Dearborn Loan ($236 million -- 8.3% of the
pool), which represents a 50% pari passu interest in a $472 million
senior mortgage loan. The loan is secured by the 37-story "Citadel
Center", a 1.5 million square foot (SF) office tower in the Central
Loop submarket of Chicago, Illinois. The property is also
encumbered by $50 million of mezzanine debt. The property
transferred to special servicing in May 2014. The property was 95%
occupied as of April 2016, compared to 98% occupied as of December
2013. The largest tenant, Citadel (38% of net rentable area), has
a lease expiration in 2017 and has previously subleased a portion
of this space. Additionally, the second largest tenant, which
occupies 20% of the net rentable area (NRA), is executing an early
termination option to move out in 2017. Moody's value is stressed
given upcoming rollover risk.
The remaining 24 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $234 million loss
for the specially serviced loans (37% expected loss on average).
Moody's has assumed a high default probability for 25 poorly
performing loans, constituting 16% of the pool, and has estimated
an aggregate loss of $89 million (a 20% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 70%.
Moody's weighted average conduit LTV is 102%, compared to 107% at
Moody's last review. Moody's conduit component excludes loans with
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a
weighted average haircut of 11.4% 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 1.52X and 1.15X,
respectively, compared to 1.39X and 1.02X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with Moody's structured credit assessment is the
Merchandise Mart Loan ($175.0 million -- 6.1% of the pool), which
represents a 50% pari passu interest in a $350 million first
mortgage loan. The property is also encumbered by a $300 million
mezzanine loan. The loan is secured by a 3.45 million SF office
and design showroom building located in downtown Chicago, Illinois.
The sponsor is Vornado Realty, L.P. The property was 99% leased
as of December 2015, compared to 96% at last review. Google's
Motorola Mobility leased 608,000 SF with a lease commencement in
September 2013, and moved its headquarters from Libertyville to the
property in February 2014. In March 2015, Motorola Mobility's rent
abatement ended and the tenant is now paying rent, which has led to
improved performance Moody's current structured credit assessment
and stressed DSCR are a1 (sca.pd) and 1.83X, respectively.
The top three conduit loans represent 13% of the pool balance. The
largest loan is the Americold Portfolio Loan ($194 million -- 6.8%
of the pool), which is secured by four cross-collateralized and
cross-defaulted cold storage properties located in four states
(Missouri, Texas, Mississippi, and Kansas). The loan has been on
the watchlist since April 2008 due to low occupancy and the
portfolio revenue remains significantly lower than at
securitization. The Mississippi property ceased physical
operations in 2010 due to minimal occupancy, however, the borrower
still continues to maintain the warehouse despite the property
being vacant. The loan is on the watchlist due to low portfolio
occupancy and Moody's has identified this as a troubled loan.
The second largest loan is the Discover Mills Loan ($118 million
-- 4.1% of the pool), which is secured by a 1.2 million SF
regional mall in Lawrenceville, Georgia. The loan is also
encumbered by a $23.7 million B note. The mall is anchored by a
Bass Pro Shops, AMC Theaters and Burlington Coat Factory. Other
major tenants include Books-A-Million, Woodward Skate Park, Last
Call Neiman Marcus, Off 5th Saks Fifth Avenue, Off Broadway Shoes,
Ross and Sears Outlet. The property was 87% leased as of December
2015, compared to 86% a year prior. The loan was previously
modified in 2013 with the maturity date extended through December
2018. Moody's A-Note LTV and stressed DSCR are 75% and 1.33X,
respectively, compared to 82% and 1.23X at the last review.
The third largest loan is the City Center West Loan ($64 million
-- 2.3% of the pool), which is secured by a 380,000 office park
in Madison, Wisconsin. As of December 2015, the property was 91%
leased, compared to 92% a year prior. The property's largest
tenant, TDS Telecom (54% of NRA), has a lease expiration in October
2016, one month prior to the loan's maturity date in November 2016.
Moody's analysis factored in the upcoming rollover risk. Moody's
LTV and stressed DSCR are 133% and 0.77X, respectively, compared to
101% and 1.01X at the last review.
JP MORGAN 2007-CIBC18: S&P Lowers Rating on Cl. A-J Debt to CCC
---------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from JPMorgan Chase Commercial
Mortgage Securities Trust 2007-CIBC18, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
lowered its rating on class A-J and affirmed its ratings on four
other classes from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-4 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 and available liquidity support.
The downgrade on class A-J reflects S&P's opinion on anticipated
reduction of liquidity support and the potential for interest
shortfalls based on a loan modification to the 131 South Dearborn
loan ($236.0 million, 7.8%), the largest loan in the pool.
According to the April 12, 2016, trustee remittance report, the
current monthly interest shortfalls totaled $661,915 and resulted
primarily from:
-- Interest adjustments totaling $192,635;
-- Interest not advanced totaling $149,107;
-- Interest shortfall due to interest rate modification
totaling $138,009;
-- Special servicing fee totaling $86,228; and
-- Appraisal subordinate entitlement reduction amounts totaling
$58,849.
The current interest shortfalls affected classes subordinate to and
including class B.
The affirmations on the principal- and interest-paying certificates
reflect S&P's expectation that the available credit enhancement for
these classes will be within its estimate of the necessary credit
enhancement required for the current ratings. The affirmations
also reflect S&P's views regarding the collateral's current and
future performance, the transaction structure, and liquidity
support available to the classes.
S&P affirmed its 'AAA (sf)' ratings on the class X interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the April 12, 2016, trustee remittance report, the collateral
pool balance was $3.02 billion, which is 77.2% of the pool balance
at issuance. The pool currently includes 173 loans and five real
estate owned (REO) assets (reflecting crossed loans), down from 225
loans at issuance. Fifteen of these assets ($434.3 million, 14.4%)
are with the special servicer, 18 ($229.5 million, 7.6%) are
defeased, and 49 ($716.5 million, 23.8%) are on the master
servicer's watchlist. The master servicer, Berkadia Commercial
Mortgage LLC, reported financial information for 87.8% of the
nondefeased loans in the pool, of which 85.5% was partial- or
year-end 2015 data, and the remainder was year-end 2014 data.
S&P calculated a 1.30x S&P Global Ratings weighted average debt
service coverage (DSC) and 94.6% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.70% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the specially serviced
assets, defeased loans, and two subordinate B notes that were
created as the result of loan modifications ($31.0 million, 1.0%).
The top 10 nondefeased loans have an aggregate outstanding pool
trust balance of $1.1 billion (36.5%). Using servicer-reported
numbers, S&P calculated a S&P Global Ratings weighted average DSC
and LTV of 1.28x and 106.8%, respectively, for the top 10
nondefeased loans.
To date, the transaction has experienced $246.1 million in
principal losses, or 6.3% of the original pool trust balance. S&P
expects losses to reach approximately 9.3% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
14 of the 15 specially serviced assets.
CREDIT CONSIDERATIONS
As of the April 12, 2016, trustee remittance report, 15 assets in
the pool were with the special servicers, C-III Asset Management
LLC (C-III) and CWCapital Asset Management LLC (for the 131 South
Dearborn loan). Details of the three largest specially serviced
assets, one of which is a top 10 nondefeased loan, are:
-- The 131 South Dearborn loan ($236.0 million, 7.8%), the
largest loan in the pool, has a total reported exposure of
$236.0 million. A pari passu position of $236.0 million is
held in the J.P. Morgan Chase Commercial Mortgage Securities
Trust 2006-LDP9 transaction. The loan is secured by a 1.5
million-sq.-ft. office property located in Chicago. The
loan was transferred to the special servicer on May 27,
2014, because the borrower requested a loan modification
discussion stemming from complex lease negotiations with the
primary tenant, which had occupied about 623,000 sq. ft. of
space (40%). Based on the February 2016 rent roll, the
tenant currently occupies about 256,000 sq. ft. at the
property, with the lease expiring on Dec. 31, 2023. The
vacated space, however, has been subleased at rents lower
than that previously paid by the primary tenant. CWCapital
Asset Management LLC indicated that the loan is expected to
be modified. The reported DSC as of June 30, 2015, was
1.60x, while the occupancy as of the February 2016 rent roll
was 95.2%. The loan is current in payment status.
-- Golden East Crossing A-Note and B-Note loans (aggregate
balance of $51.0 million, 1.7%) have a total reported
exposure of $52.2 million. The loan is secured by a
461,999-sq.-ft. retail property located in Rocky Mount, N.C.
The loan was transferred to the special servicer on July 17,
2015, due to imminent default. According to the special
servicer's comments, the borrower stated that cash flow at
the property is insufficient to pay debt service and is
requesting a loan modification. The loan was previously
modified into a $33.1 million A-Note and a $16.4 million
subordinate B-Note on Sept. 16, 2013, with a two-year
maturity date extension from Feb. 1, 2017, to Feb. 1, 2019.
The reported DSC and occupancy as of year-end 2014 were
0.82x and 85.3%, respectively. An appraisal reduction amount
of $8.0 million is in effect against the A-note. S&P
expects significant losses upon the loan's eventual
resolution.
-- Marriott - Oklahoma City is an REO asset ($29.9 million,
1.0%) with a total reported exposure of $38.2 million. The
asset is a 354-room full-service lodging property located in
Oklahoma City. The loan was transferred to the special
servicer on July 20, 2012, and the property became real
estate owned on Jan. 25, 2016. The master servicer has
deemed this asset nonrecoverable. The reported DSC and
occupancy as of year-end 2014 were -0.55x and 34.9%,
respectively. S&P expects significant losses upon this
loan's eventual resolution.
The 11 remaining assets with the special servicer have individual
balances that each represent less than 1.0% of the total pool trust
balance. S&P estimated losses for 14 of the 15 specially serviced
assets, arriving at a weighted average loss severity of 58.8%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18
Commercial mortgage pass-through certificates series 2007-CIBC18
Rating Rating
Class Identifier To From
A-4 46629YAC3 AA+ (sf) AA (sf)
A-1A 46629YAD1 AA+ (sf) AA (sf)
X 46629YAE9 AAA (sf) AAA (sf)
A-M 46629YAF6 BBB- (sf) BBB- (sf)
A-MFL 46629YAG4 BBB- (sf) BBB- (sf)
A-MFX 46629YBN8 BBB- (sf) BBB- (sf)
A-J 46629YAH2 CCC (sf) B- (sf)
JP MORGAN 2007-CIBC20: S&P Lowers Rating on Cl. B Notes to B
------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from JPMorgan Chase Commercial
Mortgage Securities Trust 2007-CIBC20, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
lowered its ratings on six classes from the same transaction and
affirmed its ratings on five others.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the
transaction’s structure, and the liquidity available to the
trust.
S&P raised its ratings on classes A-4 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 reflect S&P's views regarding the current and future
performance of the transaction's collateral and available liquidity
support as well as the trust balance’s amortization to date.
The downgrades of classes B, C, D, E, F, and G reflect
higher-than-expected historical losses on assets that were
liquidated as well as the credit support erosion that S&P
anticipates will occur upon the eventual resolution of the one
asset ($12.9 million, 0.7%) with the special servicer (discussed
below). In addition, S&P considered a reduction in the liquidity
support available to these classes due to ongoing interest
shortfalls. S&P lowered its rating on class G to 'D (sf)' because
it expects this bond's accumulated interest shortfalls to remain
outstanding for the foreseeable future.
According to the April 12, 2016, trustee remittance report, the
current monthly net interest shortfalls totaled $122,936 and
resulted primarily from:
-- Shortfalls due to rate modifications totaling $136,535; and
-- Special servicing fees totaling $12,862.
The current interest shortfalls affected classes subordinate to and
including class G.
The affirmations of the ratings on the principal- and
interest-paying certificates reflect S&P's expectation that the
available credit enhancement for these classes will be within S&P's
estimate of the necessary credit enhancement required for the
current ratings. The affirmations also reflect S&P's views
regarding the current and future performance of the transaction's
collateral, the transaction structure, and liquidity support
available to the classes. The affirmation of the class A-SB rating
also considered the results of S&P's cash flow analysis, which
indicated that it should receive its full principal repayment due
to time tranching, as described in "U.S. CMBS 'AAA' Scenario Loss
And Recovery Application," published July 21, 2009.
S&P affirmed its 'AAA (sf)' rating on the class X-1 interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the April 12, 2016, trustee remittance report, the collateral
pool balance was $1.72 billion, which is 67.5% of the pool balance
at issuance. The pool currently includes 91 loans (reflecting the
crossed subordinate B hope note) and one real estate owned (REO)
asset, down from 143 loans at issuance. One of these assets ($12.9
million, 0.8%) is with the special servicer, seven ($59.5 million,
3.5%) are defeased, and 35 ($367.1 million, 21.4%) are on the
master servicer's watchlist. The master servicer, Midland Loan
Services, reported financial information for 86.3% of the
nondefeased loans in the pool, of which 62.6% was year-end 2014
data, 11.3% was year-end 2015 data, and the remainder was
partial-or year-end 2015 data.
S&P calculated its 1.18x weighted average debt service coverage
(DSC) and 94.8% weighted average loan-to-value (LTV) ratio using
its 7.81% weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude one specially serviced
asset, seven defeased loans, and one subordinate B hope note ($17.0
million, 1.0%). The top 10 non-defeased loans have an aggregate
outstanding pool trust balance of $992.8 million (57.8%). Using
servicer-reported numbers, S&P calculated a S&P Global Ratings
weighted average DSC and LTV of 1.19x and 100.3%, respectively, for
the top 10 non-defeased loans.
To date, the transaction has experienced $181.7 million in
principal losses (7.1% of the original pool trust balance). S&P
expects losses to reach approximately 7.4% of the original pool
trust balance in the near term based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
specially serviced asset.
CREDIT CONSIDERATIONS
As of the April 12, 2016, trustee remittance report, one asset
($12.9 million, 0.8%) in the pool is with the special servicer:
C-III Asset Management LLC (C-III). Details of the specially
serviced asset is:
-- The Ganntown asset ($12.9 million, 0.8%) has a total
reported exposure of $15.5 million. The loan is secured by
a retail property totaling 107,587 sq. ft. in Turnersville,
N.J. The loan was transferred to the special servicer on
Sept. 5, 2013, due to imminent default and became REO on
Jan. 26, 2016. C-III is finding tenants for the vacant
space before trying to sell the property. A $5.8 million
asset reduction amount is in effect against this loan. S&P
estimates a moderate loss (52.7%) upon this loan's eventual
resolution.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20
Commercial mortgage pass-through certificates series 2007-CIBC20
Rating Rating
Class Identifier To From
A-4 46631QAD4 AA (sf) A+ (sf)
A-SB 46631QAE2 AAA (sf) AAA (sf)
A-1A 46631QAF9 AA (sf) A+ (sf)
A-M 46631QAH5 BBB- (sf) BBB- (sf)
A-MFX 46631QBX9 BBB- (sf) BBB- (sf)
A-J 46631QAJ1 BB- (sf) BB- (sf)
X-1 46631QAK8 AAA (sf) AAA (sf)
B 46631QAM4 B (sf) B+ (sf)
C 46631QAP7 B- (sf) B+ (sf)
D 46631QAR3 B- (sf) B (sf)
E 46631QAT9 B- (sf) B (sf)
F 46631QAV4 CCC (sf) B- (sf)
G 46631QAX0 D (sf) B- (sf)
LB-UBS COMMERCIAL 2004-C2: Moody's Raises Cl. H Debt Rating to Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on three classes
and affirmed the ratings on four classes in LB-UBS Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2004-C2 as:
Cl. G, Upgraded to Aa2 (sf); previously on May 14, 2015,
Affirmed Baa3 (sf)
Cl. H, Upgraded to Ba1 (sf); previously on May 14, 2015,
Affirmed B1 (sf)
Cl. J, Upgraded to Caa1 (sf); previously on May 14, 2015,
Affirmed Caa2 (sf)
Cl. K, Affirmed C (sf); previously on May 14, 2015, Affirmed
C (sf)
Cl. L, Affirmed C (sf); previously on May 14, 2015, Affirmed
C (sf)
Cl. M, Affirmed C (sf); previously on May 14, 2015, Affirmed
C (sf)
Cl. X-CL, Affirmed Caa2 (sf); previously on May 14, 2015,
Affirmed Caa2 (sf)
RATINGS RATIONALE
The ratings on three P&I classes were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 28% since Moody's last
review.
The ratings on three P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO Class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 19.3% of the
current balance, compared to 40.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.2% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in October 2015.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 34.1% of the pool is in
special servicing and performing conduit loans only represent 43.0%
of the pool. In this approach, Moody's determines a probability of
default for each specially serviced loan that it expects will
generate a loss and estimates a loss given default based on a
review of broker's opinions of value (if available), other
information from the special servicer, available market data and
Moody's internal data. The loss given default for each loan also
takes into consideration repayment of servicer advances to date,
estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced loans to the most junior class(es) and the recovery as a
pay down of principal to the most senior class(es).
DESCRIPTION OF MODELS USED
Moody's review used the excel-based Large Loan Model in formulating
a rating recommendation. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan-level
proceeds derived from Moody's loan-level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, property type and sponsorship. Moody's also further
adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and
correlations.
DEAL PERFORMANCE
As of the April 15, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 96.3% to $45.9
million from $1.23 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from less
than 1% to 43.0% of the pool. One loan, constituting 22.9% of the
pool, has defeased and is secured by US government securities.
Ten loans have been liquidated from the pool, resulting in an
aggregate realized loss of $30.6 million (for an average loss
severity of 31.0%). Five loans, constituting 34.1% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Warm Springs Loan ($8.7 million -- 19% of the pool),
which is secured by a two-story, Class B office building located
one mile south of McCarran Airport in Las Vegas, Nevada. The loan
transferred to special servicing in 2012 for imminent default and
became REO in September 2013. As of December 2015, the property
was 38% leased, compared to 41% in 2015 and 17% at yearend 2014.
To date, one new lease and one renewal have been entered into,
covering ~ 25,000 SF, or 37% GLA.
The second largest specially serviced loan is the McKinney Shopping
Center Loan ($2.6 million -- 5.8% of the pool), which is secured by
a 27,000 square foot (SF) Class B/C shopping center built in 1997
and located just north of Dallas in Mckinney, Texas. As of March
2016, the property was 80% leased, unchanged from 2015 and 46% at
yearend 2014. To date, there have been four renewals or new leases
at the property. The loan transferred to special servicing in 2012
due to payment default and became REO in April 2013.
The remaining three specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $8.85 million
loss for the specially serviced loans (56.6% expected loss on
average).
The one performing conduit loan is the Voice Road Shopping Center
Loan ($19.7 million -- 43.0% of the pool), which is secured by a
131,000 SF unanchored retail property located in Carle Place, New
York in Nassau County, Long Island. As of yearend 2014, the
property was 97%, compared to 100% at yearend 2013. The property
is less than a mile from Roosevelt Field Mall and accessible from
the Northern State and Meadowbrook Parkways. The loan has an
anticipated repayment date (ARD) of December 11, 2018 and a final
maturity date of Dec. 11, 2033. Moody's LTV and stressed DSCR are
99% and 1.07X, respectively, compared to 101% and 1.04X at the last
review.
LB-UBS COMMERCIAL 2005-C5: S&P Raises Rating on Cl. H Certs to B-
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on six classes of commercial
mortgage pass-through certificates from LB-UBS Commercial Mortgage
Trust 2005-C5, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes C through and including H to
reflect its expectation of the available credit enhancement for
these classes, which is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also reflect S&P's views regarding the collateral's
current and future performance, available liquidity support, and
the reduced trust balance. The upgrade on class H further reflects
the fact that the interest shortfalls previously affecting it have
been resolved in full, and S&P do not believe at this time a
further default of the class is virtually certain.
While available credit enhancement levels may suggest further
positive rating movements on classes D through and including H,
S&P's analysis also considered the classes' interest shortfall
histories and their susceptibility to reduced liquidity support
from the seven specially serviced assets ($36.6 million, 17.7%).
According to the April 15, 2016, trustee remittance report, the
current monthly interest shortfalls totaled $186,735 and resulted
primarily from:
-- Loan interest rate modification-related shortfalls totaling
$74,923;
-- Appraisal subordinate entitlement reduction (ASER) amounts
totaling $68,256; and
-- Special servicing fees totaling $28,066.
The current interest shortfalls affected classes subordinate to and
including class K.
TRANSACTION SUMMARY
As of the April 15, 2016, trustee remittance report, the collateral
pool balance was $207.1 million, which is 8.8% of the pool balance
at issuance. The pool currently includes 16 loans and three real
estate-owned (REO) assets (reflecting cross-collateralized and
cross-defaulted loans), down from 115 loans at issuance. Seven of
these assets ($36.6 million, 17.7%) are with the special servicer
and four ($72.4 million, 34.9%) are on the master servicer's
watchlist. The master servicer, Wells Fargo Bank N.A., reported
financial information for 89.6% of the loans in the pool, of which
76.3% was partial- or-year-end 2015 data, and the remainder 13.3%
was year-end 2014 data.
S&P calculated a 1.21x S&P Global Ratings weighted average debt
service coverage (DSC) and 87.1% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.18% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the seven specially
serviced assets and one subordinate B hope note that was created as
part of a loan modification. The top 10 assets have an aggregate
outstanding pool trust balance of $170.4 million (82.3%). Using
servicer-reported numbers, S&P calculated an S&P Global Ratings
weighted average DSC and LTV of 1.20x and 90.4%, respectively, for
nine of the top 10 loans, excluding one specially serviced asset
(discussed below) and one subordinate B hope note.
To date, the transaction has experienced $31.2 million in principal
losses, or 1.3% of the original pool trust balance. S&P expects
losses to reach approximately 2.2% of the original pool trust
balance in the near term, based on loss incurred to date and
additional losses S&P expects upon the eventual resolution of the
seven specially serviced assets.
CREDIT CONSIDERATIONS
As of the April 15, 2016, trustee remittance reports, seven assets
in the pool were with the special servicer, LNR Partners LLC.
Details of the three largest and the smallest specially serviced
assets, one of which is a top 10 asset and the smallest of which
the master servicer has deemed non recoverable, are:
-- The Centre at Lake in the Hills REO asset ($13.9 million,
6.7%) is the fourth-largest asset in the pool and has a
total exposure of $15.4 million. The asset is a 99,451-sq.-
ft. anchored retail property located in Lake in the Hills,
Ill. It was built in 1997 and 1998. The former largest
tenant at this property, Dominick's Food Store
(72,385 sq. ft.; 72.8% of the net rentable area) vacated
their space; however they will continue to pay rent until
their lease expiration on May 31, 2017. The asset was
transferred to the special servicer on May 18, 2011, and
became REO on March 14, 2013. The reported DSC and
occupancy as of Dec. 31, 2015 were 1.01x and 86.0%,
respectively. An appraisal reduction amount (ARA) of $10.9
million is in effect against this asset. S&P expects a
significant loss upon this asset's eventual resolution.
-- Lexington Commons loan ($5.1 million, 2.4%) has $5.4 million
in total exposure. It is secured by 22,001 sq. ft. of
unanchored retail property in Glen Allen, Va. It was built
in 1991. The loan was transferred to the special servicer
in July 2015 due to imminent default. The lender is
proceeding towards foreclosure. The reported DSC and
occupancy as of Dec. 31, 2015, were 0.55x and 79.0%,
respectively. An ARA of $3.0 million is in effect for this
loan. S&P expects a significant loss upon this loan's
eventual resolution.
-- Pine Tree Plaza Real Estate Owned (REO) asset ($4.8 million,
2.3%) has $5.2 million in total exposure. It is secured by
58,209 sq. ft. of anchored retail property in Sterling, Ill.
It was built in 1998. The property is anchored by Staples
(24,049 sq. ft.; 41.3% of the rentable area), whose lease
expired on Sept. 30, 2015. The loan was transferred to the
special servicer in August 2014 due to imminent default
caused by property performance and the borrower's refusal to
cooperate with the springing cash management. The asset
became REO on March 22, 2016. An ARA of $1.4 million is in
effect for this loan. S&P expects a moderate loss upon this
loan's eventual resolution.
-- The Tim Smith Portfolio REO asset ($2.1 million, 1.0%) has
$2.7 million in total exposure. It is secured by four
multifamily properties comprising 185 units in various
cities throughout Ohio. The properties were built between
1975 and 1977. The loan was transferred to the special
servicer in February 2012 for delinquent payments. All four
of the collateral properties were REO as of March 2016 and
the master service has deemed asset nonrecoverable. An ARA
of $2.2 million is in effect for this asset.
-- S&P expects a significant loss upon this asset's eventual
resolution.
The three remaining assets with the special servicer each have
individual balances that represent less than 2.2% of the total pool
trust balance. S&P estimated losses for the seven specially
serviced assets, arriving at a weighted-average loss severity of
52.83%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2005-C5
Commercial mortgage pass-through certificates series 2005-C5
Rating Rating
Class Identifier To From
C 52108H7B4 AAA (sf) BBB (sf)
D 52108H7C2 AA+ (sf) BB+ (sf)
E 52108H7D0 AA (sf) BB (sf)
F 52108H7E8 A (sf) BB- (sf)
G 52108H7G3 BBB- (sf) B (sf)
H 52108H7H1 B- (sf) D (sf)
LB-UBS COMMERCIAL 2007-C6: Fitch Affirms 'Dsf' Rating on 7 Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 20 classes of LB-UBS Commercial Mortgage
Trust (LBUBS) commercial mortgage pass-through certificates series
2007-C6.
KEY RATING DRIVERS
The affirmations reflect sufficient credit enhancement (CE)
relative to Fitch expected losses. Fitch modeled losses of 17.1%
of the remaining pool; expected losses on the original pool balance
total 15.1%, including $158.3 million (5.3% of the original pool
balance) in realized losses to date. Fitch has designated 68 loans
(48%) as Fitch Loans of Concern, which includes 49 specially
serviced assets (22%). The majority of the specially serviced
loans are REO (19%) and primarily consist of the $305.9 million
PECO Portfolio loans (17.9%).
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 42.6% to $1.71 billion from
$2.98 billion at issuance. Per the servicer reporting, six loans
(5.6% of the pool) are defeased. Interest shortfalls are currently
affecting classes J through T.
The largest contributor to expected losses is the
specially-serviced PECO Portfolio loan (17.9% of the pool), which
consists of 39 cross-collateralized loans totaling $305.9 million
originally secured by 39 retail properties totaling 4.25 million
square feet (sf) located across 13 states. Primarily
grocery-anchored, the portfolio's major tenants include Tops
Markets, Bi-Lo Grocery, Big Lots, and Publix. The portfolio
experienced cash flow issues due to turnover and leasing costs at
several of the properties. The loan had transferred to special
servicing in August 2012 due to the borrower's request for a loan
modification, and subsequently went into payment default in
September 2012. A deed-in-lieu (DIL) of foreclosure agreement was
executed in 2012, which provided for all 39 properties to become
REO by May 2015.
The special servicer's current strategy for the majority of the
properties within the portfolio is to maximize occupancy and
address deferred maintenance items. Four properties have sold to
date, with proceeds applied across all 39 loans on a pro-rata
basis. Occupancy for the current portfolio reported at 73% as of
December 2015.
The next largest contributor to Fitch expected losses is the
Islandia Shopping Center loan (4.3%) which is collateralized by a
376,774 sf retail center located in Islandia, NY (Long Island). The
property's anchors are a Wal-Mart and a Stop & Shop. Additional
major tenants include Dave & Busters and TJ Maxx.
The property transferred to special servicing in March 2013 due to
imminent default and a loan modification request, and subsequently
went into payment default in October 2013. The property had
suffered cash flow issues due to reduction in the property's
revenue from tenant vacancies, reduced rental rates, and delinquent
rental payments. The loan was modified in April 2014 while in
special servicing, which included an extension of the loans
maturity date, a reduction of the interest-only period with
amortization scheduled to begin in year two, a reduced initial
interest rate with scheduled rate increases, and a bifurcation of
the loan into a senior (currently $62.5 million) and junior ($10.1
million) component. Although losses are not imminent, any recovery
to the B-note is contingent upon full recovery to the A-note
proceeds at the loan's maturity in July 2021. Unless collateral
performance improves, recovery to the B-note component is unlikely.
The loan was returned to the master servicer in May 2015 and
remains current under the modified terms. As of YE 2015, occupancy
reported at 95% with NOI DSCR reporting at 1.16x.
The third largest contributor to losses is the Greensboro Park loan
(6.3%). The property is collateralized by two office buildings
totaling 497,785 sf located in the Tyson's Corner area of McLean,
VA. The loan has been transferred to special servicing and
modified twice due to cash flow issues from occupancy declines.
The initial transfer occurred in April 2010, at which time the loan
was assumed by the current borrower and the loan was modified with
a maturity date extension to June 2015. The most recent transfer
occurred in February 2015 for imminent maturity default and was
modified with a maturity date extension to June 2017 with a
forbearance option to extend to 2018. In addition, the
modification required a $2 million principal paydown, a
borrower-funded $5.5 million capex reserve, and an additional
$15 million payment guaranty by the borrower. The loan transferred
back to the master servicer in August 2015 and has remained current
under the modified terms.
The current borrower has been successful in executing new leases
after major tenant vacancies and rollover, including CVENT, Inc.
(previously 17% of the NRA) which vacated the property at its April
2014 lease expiration. Per the February 2016 rent roll, the
property is 76% occupied and includes approximately 65,000 sf (13%)
in new 2016 leases including the largest tenant, BB&T Bank (7.2%
NRA) with a current lease expiring in September 2025. An
additional 69,000 sf (14%) in new leases have also been executed
for upcoming 2016 occupancies. The YE 2015 DSCR remains low at
0.77x compared to 0.73x at YE 2014, but is expected to see
improvement going forward due to new leasing and burning off of
rent concessions.
RATING SENSITIVITIES
The Negative Outlook on classes A-M and A-MFL reflects the
potential risk for greater than expected losses on the specially
serviced loans, primarily the PECO Portfolio. The uncertainty
surrounding the ultimate resolution and timing of the loans,
coupled with the potential for additional performance volatility,
may subject the classes to future downgrades should expected losses
increase Upgrades are not likely due to the high concentration of
specially serviced assets.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings:
-- $703.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $270.2 million class A-1A at 'AAAsf'; Outlook Stable;
-- $227.9 million class A-M at 'Asf'; Outlook Negative;
-- $70 million class A-MFL at 'Asf'; Outlook Negative;
-- $156.4 million class A-J at 'CCCsf'; RE 95%;
-- $33.5 million class B at 'CCCsf'; RE 0%;
-- $37.2 million class C at 'CCCsf'; RE 0%;
-- $33.5 million class D at 'CCsf'; RE 0%;
-- $29.8 million class E at 'CCsf'; RE 0%;
-- $29.8 million class F at 'Csf'; RE 0%;
-- $33.5 million class G at 'Csf'; RE 0%;
-- $37.2 million class H at 'Csf'; RE 0%;
-- $41 million class J at 'Csf'; RE 0%;
-- $5.5 million class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%;
-- $0 class S at 'Dsf'; RE 0%.
The class A-1, A-2, A-2FL, A-3 and A-AB certificates have paid in
full. Fitch does not rate the class T certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
LMRK ISSUER 2016-1: Fitch to Rate Class B Debt 'BB-sf'
------------------------------------------------------
Fitch Ratings has issued a presale report for LMRK Issuer Co. LLC's
Landmark Infrastructure Secured Tenant Site Contract Revenue Notes,
Series 2016-1.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $103,900,000 series 2016-1, class A, 'A-sf'; Outlook Stable;
-- $29,200,000 series 2016-1, class B, 'BB-sf'; Outlook Stable.
The expected ratings are based on information provided by the
issuer as of May 5, 2016.
The transaction is an issuance of notes backed by mortgages
representing not less than 95% of the annualized net cash flow
(ANCF) and a pledge and a perfected first-priority security
interest in 100% of the equity interest of the issuer and the asset
entities and is guaranteed by the direct parent of LMRK Issuer Co.
LLC (LMRK, or the issuer).
The ownership interest in the sites consists of perpetual
easements, long-term easements, prepaid leases, and fee interests
in land, rooftops, or other structures on which site space is
allocated for placement and operation of wireless tower and
wireless communication equipment and outdoor advertisements
(billboards).
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in site assets, not an assessment of
the corporate default risk of the ultimate parent.
KEY RATING DRIVERS
Trust Leverage: Fitch's NCF on the pool is $14.4 million, implying
a Fitch stressed debt service coverage ratio (DSCR) of 1.22x
(inclusive of amortization credit). The debt multiple relative to
Fitch's NCF is 9.2x, which equates to a debt yield of 10.9%.
Long-Term Easements: The ownership interests in the sites consist
of 90.6% easements, 6.6% assignment of rents, and 2.9% fee. The
weighted average remaining life of the ownership interest is 79.7
years (assumes 99 years for perpetual easements and fee sites).
Billboard Assets: The transaction includes 167 billboard site
contracts (15.8% of revenue). The value of billboard assets is
heavily dependent on permits and licenses, which are controlled by
the billboard operator (not the owners of the ground/easement), and
thus, the ultimate recoverability of these assets is strongly
dependent on the billboard operator. Expenses associated with
permitting and constructing billboards are relatively high,
therefore the likelihood of renewing on ground leases is high.
Scheduled Amortization Paid Sequentially: The transaction is
structured with scheduled monthly principal payments that will
amortize down the principal balance 15% by the anticipated
repayment date (ARD) in year five, reducing the refinance risk.
RATING SENSITIVITIES
Fitch performed several stress scenarios in which Fitch's NCF was
stressed. Fitch determined that a 49% reduction in Fitch's NCF
would cause the notes to break even at 1x DSCR on an interest-only
basis.
Fitch evaluated the sensitivity of the ratings for series 2016-1
class A, and a 10% decline in NCF would result in a one-category
downgrade, while a 14% decline would result in a downgrade to below
investment grade. The Rating Sensitivity section in the presale
report includes a detailed explanation of additional stresses and
sensitivities.
Key Rating Drivers and Rating Sensitivities are further described
in the accompanying presale report.
There was one variation from the 'Criteria for Analyzing Large
Loans in U.S. Commercial Mortgage Transactions' related to the
leased fee collateral with billboard improvements, since the
criteria does not include billboards as a defined property type.
Fitch views the leased fee collateral with billboard improvements
to have characteristics consistent with assets addressed in the
'Criteria for Analyzing Large Loans in U.S. Commercial Mortgage
Transactions (August 2015)' including mortgaged real property with
full title insurance, commercial real estate leases to third
parties, durability of net cash flow, and structural features
(servicer advancing, lockbox, cash traps, etc.). In a worst case
scenario, the difference in ratings for the senior class would be
three rating notches lower if the leased fee billboard collateral
was excluded entirely, while the subordinate class would be
non-rated.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
LNR CDO 2003-1: Moody's Raises Rating on 2 Tranches to Ba1
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by LNR CDO 2003-1, Ltd.:
Cl. E-FL, Upgraded to Ba1 (sf); previously on July 15, 2015,
Upgraded to Caa1 (sf)
Cl. E-FX, Upgraded to Ba1 (sf); previously on July 15, 2015,
Upgraded to Caa1 (sf)
RATINGS RATIONALE
Moody's has upgraded the ratings of all classes of notes due to
greater than expected recoveries from high credit risk securities
and improvements in the credit quality of the remaining pool, as
evidenced by WARF. The rating actions are the result of Moody's
on-going surveillance of commercial real estate collateralized debt
obligation (CRE CDO and Re-Remic) transactions.
LNR CDO 2003-1, Ltd. is a static cash CRE CDO transaction backed by
a portfolio of commercial mortgage backed securities (CMBS) (100.0%
of the pool balance). As of the April 21, 2016, trustee report,
the aggregate note balance of the transaction is $422.7 million
compared to $762.7 million at issuance, with the paydown directed
to the senior most outstanding notes, as a result of regular
amortization, recoveries from defaulted collateral, and the
re-direction of interest proceeds as principal payment due to the
failure of certain par value and interest coverage tests.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 6322,
compared to 7641 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Aaa-Aa3 and 2.9% compared to 2.5% at last
review, A1-A3 and 4.7% compared to 2.8% at last review, Baa1-Baa3
and 0.0% compared to 0.1% at last review, Ba1-Ba3 and 7.8% compared
to 4.8% at last review, B1-B3 and 27.4% compared to 16.5% at last
review, Caa1-Ca/C and 57.2% compared to 73.3% at last review.
Moody's modeled a WAL of 1.8 years, compared to 1.7 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral look-through loan exposures.
Moody's modeled a fixed WARR of 0%, the same as at last review.
Moody's modeled a MAC of 100.0%, the same as at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in July 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the rated
notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The rated notes are particularly sensitive to changes
in the credit quality and spreads of the underlying collateral and
credit assessments. Decreasing the weighted average collateral
coupon to 1.2% and notching down 100% of the collateral pool by one
notch would result in an average modeled rating movement on the
rated notes of six notches downward (e.g., one notch down implies a
ratings movement of Baa3 to Ba1).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
LONG POINT III: Fitch Affirms 'BB-sf' Rating on Class A Notes
-------------------------------------------------------------
Fitch Ratings has affirmed the 'BB-sf' rating on the following
Principal At-Risk Variable Rate Notes issued by Long Point Re III
Limited, a Cayman Islands exempted company licensed as a Class C
insurer:
-- $300,000,000 Class A Notes; scheduled maturity May 23, 2018.
The Rating Outlook is Stable.
This affirmation is based on Fitch's annual surveillance review of
the notes that includes a scheduled evaluation of the natural
catastrophe risk, counterparty exposure, collateral assets and
structural performance
KEY RATING DRIVERS
The Series 2015-1 notes provide three years of indemnity, per
occurrence coverage to various insurance subsidiaries or affiliates
of the Travelers Companies, Inc. (Travelers) (IDR 'A+'/Stable
Outlook) for Tropical Cyclone, Earthquake, Severe Thunderstorms and
Winter Storm events. The Covered Area is restricted to the
northeast U.S. and includes: Connecticut, Delaware, District of
Columbia, Maine, Maryland, Massachusetts, New Hampshire, New
Jersey, New York, Pennsylvania, Rhode Island, Virginia and Vermont.
There have been no reported Covered Events that exceeded the
Trigger Amount of $2.0 billion in the first Risk Period of the
transaction which runs from May 15, 2015 through May 15, 2016.
On May 2, 2016, AIR Worldwide (AIR), acting as the Reset Agent,
completed the Reset Report that indicated an attachment probability
of 1.278% for the Risk Period beginning May 16, 2016 through May
15, 2017. This corresponds to an implied rating of 'BB-' per the
calibration table listed in Fitch's Insurance-Linked Securities
methodology. The updated attachment probability includes updated
property exposures within the Subject Business in the Covered Area
that have been run through an escrowed AIR model. This is a very
minor increase from the prior attachment probability of 1.276%.
The Updated Trigger Amount and Exhaustion Amount were lowered
modestly to $1.968 billion and $2.468 billion, respectively from
the initial levels of $2.0 billion and $2.5 billion.
Per a specified formula in the Indenture (the Risk Spread
Calculation), the Updated Risk Interest Spread was reset at 3.748%,
essentially unchanged from the Initial Risk Interest Spread of
3.75%, reflecting the very small decrease in the Updated Modeled
Expected Loss to 1.105% (from the initial 1.106%).
The collateral asset meets Fitch's criteria requirement for
'AAA'-rated U.S. money market funds.
Fitch believes the notes and indirect counterparties are performing
as required. There have been no reported early redemption notices
or events of default and all agents remain in place.
Additional information regarding the notes please see Fitch's prior
rating action commentary dated May 15, 2015 at
www.fitchratings.com.
RATING SENSITIVITIES
This rating is sensitive to the occurrence of a qualifying natural
catastrophe event(s), the Travelers' election to reset the note's
expected loss, changes in the data quality, the counterparty rating
of the Travelers and the rating or performance on the assets held
in the collateral account.
If a qualifying covered event occurs that results in a loss of
principal, Fitch will downgrade the note to reflect an effective
default and issue a Recovery Rating.
The implied rating of the natural catastrophe risk profile may
change if the Travelers elects to significantly reduce (or
increase) the Modeled Expected Loss at the Reset Dates which may
impact the rating of the Series 2015-1 Class A Notes.
The catastrophe risk element is highly model-driven and actual
losses may differ from the results of the simulation analysis. The
escrow model may not reflect future methodology enhancements by AIR
which may have an adverse or beneficial effect on the implied
rating of the notes were such future methodology considered.
To a lesser extent, the notes may be downgraded if the credit
ratings of the Travelers or the reinsurance trust account assets
were significantly downgraded to a level commensurate to the
implied rating of the natural catastrophe risk. Likewise, it is
unlikely that the 2015-1 notes would be rated above the credit
ratings of the Travelers if the implied rating of the natural
catastrophe risk was significantly reduced to those ratings.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
LSTAR COMMERCIAL 2014-2: DBRS Confirms BB Rating on Cl. F Debt
--------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-2 (the
Certificates) issued by LSTAR Commercial Mortgage Trust 2014-2:
-- Class A-2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable. DBRS does not rate the first loss piece,
Class H.
The rating confirmations reflect the continued stable performance
of the transaction. Since issuance, the transaction has experienced
collateral reduction of 31.6% as a result of unexpected loan
prepayments and loan liquidations as 80 of the original 208 loans
have paid out of the trust ahead of their respective maturity
dates. According to the most recent reporting, the remaining loans
in the pool have a weighted-average (WA) debt service coverage
ratio (DSCR) and WA debt yield of 1.40 times (x) and 10.1%,
respectively. The transaction is concentrated as the largest four
loans represent 58.0% of the current pool balance. According to the
most recent trailing 12-month reporting (September 2015 and
YE2015), these loans have a WA DSCR and WA debt yield of 1.58x and
10.2%, respectively.
The four largest loans in the pool were newly originated at
issuance while the remaining 124 loans are seasoned loans that were
purchased by the loan seller from Fannie Mae or were originally
part of the now retired LASL 2006-MF2 and LASL 2006-MF3 CMBS
transactions. The four large loans are secured by five properties,
including an office property, a student housing property and three
hotels, while the seasoned loans are secured by multifamily and
manufactured housing community properties. The seasoned loans are
granular within the transaction as the largest seasoned loan
represents 1.4% of the current pool balance. Of the remaining
seasoned loans, 116 loans, representing 40.0% of the current pool
balance, are fully amortizing.
As of the April 2016 remittance, there are four loans in special
servicing and five loans on the servicer’s watchlist,
representing 1.3% and 3.3% of the current pool balance,
respectively. The loans on the servicer’s watchlist have been
flagged because of items of deferred maintenance or a decrease in
financial performance since issuance. The loans in special
servicing were each transferred as a result of payment default with
each individual borrower expected to file for bankruptcy
protection. The largest loan in special servicing and the
third-largest loan in the transaction are highlighted below.
The 1673 Cedar Avenue loan (0.72% of the current pool balance) is
secured by a 68-unit multifamily property in Cincinnati, Ohio,
originally built in 1964. The loan was transferred to special
servicing in July 2015 because of imminent default and is expected
to become real estate owned in May 2016. Upon installing a receiver
at the property, the special servicer determined that significant
capital repairs including a new boiler, a new chiller and new
risers were needed at the property. In total, the repairs were
estimated to cost in excess of $600,000 with an expected completion
date of July 2016. To date, advances on the loan total
approximately $625,000 as a portion of the work has already been
completed.
According to the October 2015 rent roll, the property was 73.5%
occupied with average rents of $560 per unit, which is a decline
from the issuance occupancy rate of 93.0%. The majority of tenants
at the property receive financial assistance via Section 8 and the
Housing Assistance Payment programs. The October 2015 annualized
net cash flow was approximately $20,000, significantly below the
$155,000 figure at issuance. A November 2015 appraisal valued the
property at $1.4 million, down from the issuance value of $1.9
million. DBRS expects the trust to experience a significant loss
when the loan is resolved.
The Waramaug Hotel Portfolio loan (10.4% of the current pool
balance) is secured by the 257-key Hilton Phoenix Airport (Hilton)
and the 215-key Crowne Plaza Columbus (Crowne). The Hilton asset
represents 72.4% of the allocated portfolio loan balance and the
Crowne asset represents the remaining 27.6%. Originally built in
1989, the Hilton asset is located 1.5 miles southwest of the
Phoenix Sky Harbor International Airport. Throughout 2014, the
subject underwent a $7.1 million Property Improvement Plan (PIP)
renovation, which included new hard and soft goods to all guest
rooms, a new lobby and common areas and exterior improvements.
Amenities include two restaurants, a bar, an outdoor pool, a
fitness center, 9,500 square feet of meeting space and a 56-seat
amphitheater. According to YE2015 reporting, the hotel had a DSCR
of 2.44x and an occupancy rate, average daily rate (ADR) and
revenue per available room (RevPAR) of 84.9%, $132.00 and $112.00,
respectively. These figures improved over the YE2014 figures when
the DSCR was 1.44x and occupancy, ADR and RevPAR were 73.0%,
$119.00 and $87.00, respectively. The subject continues to
outperform its competitive set.
The Crowne asset was originally built in 1980 and is located within
the Metro Place Office Park, approximately 15 miles northwest of
the Columbus, Ohio, central business district. The subject also
underwent a PIP throughout 2014, totaling $6.0 million. Renovations
also included new hard and soft goods to all guest rooms, a new
lobby as well as common areas and exterior improvements. Amenities
include a restaurant and bar, an indoor pool, a fitness center and
11,700 square feet of meeting space. According to YE2015 reporting,
the hotel reported a DSCR of 1.17x and had an occupancy rate, ADR
and RevPAR of 58.1%, $93.00 and $54.00, respectively. These figures
improved over the YE2014 figures when the DSCR was -0.18x and
occupancy, ADR and RevPAR were 42.0%, $99.00 and $42.00,
respectively. Performance has improved as hotel management has
generated new business with corporate clients, a business segment
it lost prior to the renovations. The combined YE2015 DSCR for the
portfolio was 2.09x, a significant improvement over the YE2014
figure of 0.99x.
MAGNETITE VII: S&P Affirms BB Rating on Class D Notes
-----------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2A, A-2B, and
B notes from Magnetite VII Ltd. At the same time, S&P affirmed its
ratings on the class A-1A, A-1B, A-1 senior notes, C, and D notes.
Magnetite VII Ltd. is a U.S. collateralized loan obligation (CLO)
transaction that that closed in December 2012 and is managed by
BlackRock Financial Management Inc. The deal will exit its
reinvestment period in January 2017.
The rating actions follow S&P's review of the transaction's
performance using data from the April 2016 trustee report.
Since S&P's effective date review in June 2013, this transaction's
overcollateralization (O/C) ratios have improved, and its portfolio
credit quality is stable. The class A O/C ratio has increased to
133.44% from 130.89% as of the March 2013 trustee report, which S&P
used for its effective date analysis. Since then, the balance of
assets rated 'CCC' has increased, though the balance of 'BB' rated
assets has also increased. The portfolio also has
lower-than-average exposure to the commodities sectors and
less-than-average exposure to obligors with negative rating
outlooks.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels. Although
the class C and D notes passed at a higher rating, S&P affirmed its
ratings on these classes to maintain cushion as the deal continues
to reinvest.
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 RESULTS AND SENSITIVITY ANALYSIS
Magnetite VII Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating (i) cushion (ii) rating
A-1A AAA (sf) AAA (sf) 16.63% AAA (sf)
A-1B AAA (sf) AAA (sf) 14.39% AAA (sf)
A-1 senior
notes AAA (sf) AAA (sf) 14.39% AAA (sf)
A-2A AA (sf) AA+ (sf) 12.59% AA+ (sf)
A-2B AA (sf) AA+ (sf) 12.59% AA+ (sf)
B A (sf) A+ (sf) 7.65% A+ (sf)
C BBB (sf) BBB+ (sf) 6.25% BBB (sf)
D BB (sf) BB+ (sf) 1.46% BB (sf)
NOTE: The class A-1 senior notes were originally issued with a
principal amount of zero. Upon a class A-1 exchange, the principal
amount of the class A-1 senior notes will be equal to the aggregate
outstanding amount of the class A-1A and A-1B notes.
(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 equals rating 20.0 7.5
Above base case 25.0 10.0
10% recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1 sr.
notes AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2A AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
A-2B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
B A+ (sf) A+ (sf) A+ (sf) AA (sf) A+ (sf)
C BBB+ (sf) BBB (sf) BBB+ (sf) A- (sf) BBB (sf)
D BB+ (sf) B+ (sf) BB (sf) BB+ (sf) BB (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P' biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1 senior notes AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2A AA+ (sf) AA+ (sf) AA (sf) AA+ (sf)
A-2B AA+ (sf) AA+ (sf) AA (sf) AA+ (sf)
B A+ (sf) A+ (sf) BBB+ (sf) A+ (sf)
C BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
D BB+ (sf) B+ (sf) CCC (sf) BB (sf)
RATINGS LIST
Magnetite VII Ltd.
Floating-rate notes
Rating
Class Identifier To From
A-1 senior notes 55951PAN7 AAA (sf) AAA (sf)
A-1A 55951PAA5 AAA (sf) AAA (sf)
A-1B 55951PAC1 AAA (sf) AAA (sf)
A-2A 55951PAE7 AA+ (sf) AA (sf)
A-2B 55951PAG2 AA+ (sf) AA (sf)
B 55951PAJ6 A+ (sf) A (sf)
C 55951PAL1 BBB (sf) BBB (sf)
D 55952XAA7 BB (sf) BB (sf)
MERCER FIELD: S&P Affirms BB Rating on Class E Notes
----------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C, and D
notes from Mercer Field CLO L.P., a U.S. collateralized loan
obligation (CLO) managed by Guggenheim Partners Investment
Management LLC and that closed in December 2012. In addition, S&P
affirmed its ratings on the class A and E notes.
The deal is currently in its reinvestment phase, which is scheduled
to end in December 2016. Although the cash flow results show
higher ratings for the class B, C, D, and E notes, S&P considered
the fact that the transaction is still in its reinvestment period
and has not yet paid down any principal to the rated notes. Future
reinvestments could change some of the portfolio characteristics.
Since S&P's effective date rating affirmations, the amount of 'CCC'
rated obligations in the collateral pool has decreased to $23.04
million according to the March 2016 trustee report, which S&P used
for this review, from $24.53 million reported in March 2013. At
the same time, however, the amount of assets deemed defaulted has
increased to $7.22 million from zero.
The default increase is somewhat offset by the overall credit
seasoning of the underlying portfolio of assets, as well as
increased overcollateralization (O/C) ratios for each class. The
March 2016 trustee report indicated these O/C changes compared with
the March 2013 report:
-- Class A/B increased to 149.12% from 148.18%;
-- Class C increased to 134.24% from 133.40%;
-- Class D increased to 124.02% from 123.24%; and
-- Class E increased to 115.82% from 115.10% in March 2013.
S&P affirmed its ratings on the class A and E notes to 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 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 RESULTS AND SENSITIVITY ANALYSIS
Mercer Field CLO L.P.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 18.14% AAA (sf)
B AA (sf) AAA (sf) 2.48% AA+ (sf)
C A (sf) AA+ (sf) 3.42% A+ (sf)
D BBB (sf) A+ (sf) 2.41% BBB+ (sf)
E BB (sf) BBB- (sf) 1.83% BB (sf)
(i)The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii)The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate. S&P also generated other scenarios
by adjusting the intra- and inter-industry correlations to assess
the current portfolio's sensitivity to different correlation
assumptions assuming the correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C AA+ (sf) AA (sf) AA (sf) AA+ (sf) A+ (sf)
D A+ (sf) A- (sf) A (sf) A+ (sf) BBB+ (sf)
E BBB- (sf) BB+ (sf) BB+ (sf) BBB+ (sf) BB (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C AA+ (sf) AA (sf) A+ (sf) A+ (sf)
D A+ (sf) A- (sf) BBB+ (sf) BBB+ (sf)
E BBB- (sf) BB+ (sf) BB (sf) BB (sf)
RATINGS RAISED
Mercer Field CLO L.P.
Rating
Class To From
B AA+ (sf) AA (sf)
C A+ (sf) A (sf)
D BBB+ (sf) BBB (sf)
RATINGS AFFIRMED
Mercer Field CLO L.P.
Class Rating
A AAA (sf)
E BB (sf)
MERRILL LYNCH 2004-MKB1: Moody's Raises Rating on Cl. M Debt to B3
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes, upgraded the ratings on two classes in Merrill Lynch
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2004-MKB1 as:
Cl. L, Upgraded to Aa3 (sf); previously on Dec. 17, 2015,
Upgraded to Baa1 (sf)
Cl. M, Upgraded to B3 (sf); previously on Dec. 17, 2015,
Affirmed Caa2 (sf)
Cl. N, Affirmed Caa3 (sf); previously on Dec. 17, 2015, Affirmed
Caa3 (sf)
Cl. P, Affirmed C (sf); previously on Dec. 17, 2015, Affirmed
C (sf)
Cl. XC, Affirmed Caa3 (sf); previously on Dec. 17, 2015,
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The ratings on two P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 44% since Moody's last
review.
The rating on the IO class XC, 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 0% of the
current balance, compared to 34.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.6% of the original
pooled balance, compared to 1.8% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3, compared to 4 at last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the April 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 98.7% to $12.5
million from $980 million at securitization. The certificates are
collateralized by 5 mortgage loans ranging in size from 6% to 47%
of the pool. No loans are on the master servicer's watchlist.
Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $16 million. No loans currently are in
special servicing.
Moody's received full year 2014 operating results for 100% of the
pool. Moody's weighted average conduit LTV is 55%, compared to 56%
at the previous review. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 15% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.65X and 4.10X,
respectively, compared to 1.63X and 3.72X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three performing conduit loans represent 86% of the pool.
The largest conduit loan is the Georgetown Medical Plaza Office
Building ($5.9 million -- 46.8% of the pool), which is secured by a
71,000 SF medical office building located in Indianapolis, Indiana.
The loan's anticipated repayment date was in March 2014 and the
loan has a final maturity date in March 2034. The property is
master leased to Clarion Health Partners through July 2018.
Clarion subleases the space to two other medical providers. Moody's
LTV and stressed DSCR are 95% and 1.13X, respectively, compared to
98% and 1.10X at last review.
The second and third largest loans are each under $3 million and
are fully amortizing. The 24955 Pacific Coast Highway Loan matures
in January 2024 and is secured by a suburban office building in
Malibu, California. The Beaverton Town Square Loan matures in
March 2019 and is secured by a shopping center in Beaverton,
Oregon. The financial performance of the properties securing these
loans have been stable. Both loans have a Moody's LTV below 35% and
a stressed DSCR above 3.00X.
MERRILL LYNCH 2007-CANADA: DBRS Confirms B Rating on Class J Debt
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2007-Canada
21 issued by Merrill Lynch Financial Assets, Inc., Series
2007-Canada 21:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class XC at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (sf)
-- Class H at BB (low) (sf)
-- Class J at B (high) (sf)
All trends are Stable.
In addition, DBRS has placed the following two classes Under Review
with Negative Implications:
-- Class K at B (sf)
-- Class L at B (low) (sf)
DBRS does not rate the first loss piece, Class M.
DBRS has placed Class K and Class L Under Review with Negative
Implications because of concerns and uncertainties surrounding the
Hardin Street Building (Hardin) loan (Prospectus ID#12,
representing 4.1% of the current pool balance). This loan is
secured by a four-storey 82,549 square foot (sf) office building
located in Fort McMurray, Alberta. This week, a wildfire broke out
in Fort McMurray causing the community to evacuate the area as
homes and buildings were destroyed. The subject is located within
the affected area; however, as the situation is ongoing, the extent
of the damages, if any, and the economic impact are unknown at this
time. As a result, DBRS will continue to monitor this loan as the
situation is assessed.
The rating confirmations of the remaining classes reflect the
overall performance of the transaction. The transaction originally
consisted of 41 loans. Due to scheduled loan amortization and the
repayment of ten loans since issuance, the collateral has been
reduced by 29.8%. As of the April 2016 remittance, of the 31
remaining loans, 30 loans, representing 96.8% of the current pool
balance, are scheduled to mature by January 2017. Based on the most
recent year-end reporting available, the weighted-average (WA)
refinance (Refi) debt service coverage ratio (DSCR) and exit debt
yield for these loans are 1.66 times (x) and 10.8%, respectively.
The transaction benefits from defeasance collateral, as four loans,
representing 5.7% of the current pool balance, are fully defeased.
The largest 15 loans exhibit healthy performance, reporting a WA
DSCR and debt yield of 1.57x and 13.9%, respectively.
There are nine loans secured by properties located in Alberta
within the transaction, representing 35.0% of the current pool
balance. Six of these loans, including the Hardin loan discussed
above, representing 30.8% of the current pool balance, are among
the largest 15 loans of the pool. Based on the most recent year-end
reporting available, these loans report a WA YE2014 DSCR of 1.71x,
a Refi DSCR of 1.73x and an exit debt yield of 14.2%. An additional
Alberta loan representing 2.7% of the current pool balance, is
shadow-rated investment grade. The province of Alberta is heavily
reliant on the oil and gas industry and the declining energy market
in recent years has negatively impacted the economic environment in
the region. Overall, loans secured by properties in Alberta within
this transaction have been performing at expected levels despite
the economic downturn experienced in the province. DBRS has
identified two loans with increased risk as a result of the
economic conditions, which are highlighted below.
The 550 - 11th Avenue Office Building loan (Prospectus ID#3,
representing 6.3% of the current pool balance) is secured by a
97,325 sf 11-storey Class B office building located in Calgary,
Alberta. The subject is located in the Beltline District, just
south of the downtown core. This loan benefits from partial
recourse to its sponsor, Strategic Group, which owns, manages and
develops commercial properties across Canada. According to the
YE2014 financials, the loan reported a 1.10x DSCR, a decline from
the YE2013 DSCR of 1.40x. The performance decline is attributable
to increased vacancy at the property. According to the March 2016
rent roll, the property was 76.1% occupied, slightly less than the
YE2014 occupancy of 78.8% and a further decrease from the YE2013
occupancy of 88.1%. In addition, tenants representing 50.6% of the
net rentable area (NRA) have lease expirations in 2016, DBRS has
asked the servicer to provide a current leasing update. According
to the sponsor, 45.8% of the NRA is marketed as available. The most
recent site inspection completed in October 2015 noted that major
renovations were scheduled within the next 12 to 24 months at the
property. Given the increased vacancy at the subject and the
current economic outlook, DBRS modelled this loan with an increased
probability of default.
The Franklin Atrium loan (Prospectus ID#10, representing 4.5% of
the current pool balance) is secured by two adjoined low-rise
office buildings in Calgary, Alberta. According to the May 2016
rent roll, the property is 66.1% occupied, which represents a
significant decline compared with the May 2015 occupancy of 92.7%.
The increased vacancy is attributable to multiple tenants vacating
upon their respective lease expirations: Guest-Tek (16.8% of the
NRA) vacated in April 2016, Pioneer Engineering (7.6% of the NRA)
vacated in December 2015 and Rogers Data Centres Alberta vacated
one of their units (3.0% of the NRA) in February 2016. According to
the YE2014 financials, the loan reported a DSCR of 2.15x, which is
in line with prior year performance. Given the increased vacancy,
it is expected that the financial performance will decline as well.
As a result, the loan was modelled with an elevated probability of
default to reflect the significant increase in vacancy. On a
positive note, this loan benefits from partial recourse to an
experienced sponsor.
As of the April 2016 remittance, there are no loans in special
servicing and two loans, representing 3.0% of the current pool
balance, are on the servicer’s watchlist.
The largest loan on the servicer’s watchlist is 1450-1550 Appleby
Line (Prospectus ID#19, representing 2.6% of the current pool
balance). This loan is secured by an 110,947 sf industrial/office
property located in Burlington, Ontario. The property was
originally built-to-suit for Siemens Canada (Siemens) in 2000. Upon
lease expiration in February 2013, Siemens downsized their space
and currently occupies 49.0% of the NRA, with a lease expiration in
February 2017. The remaining space was then converted to four
smaller office spaces in 2014. According to the January 2016 rent
roll, the subject is currently 62.1% occupied, with Invensys
Systems taking occupancy in one of the four office spaces,
representing 13.1% of the NRA with a lease that expires in March
2021. Invensys Systems signed in December 2014 and was provided a
period of free rent until February 2015. As a result of the
reconfiguration of the subject, the YE2014 DSCR was 0.13x,
representing a further decline from the YE2013 DSCR of 0.31x.
However, it is expected that as the new tenant’s rental revenue
is realized, the financial performance of the loan will improve.
Additionally, the borrower continues to the market the vacant
space.
DBRS maintains an investment-grade shadow rating on the Maxxam
Portfolio loan (Prospectus ID#20, representing 2.7% of the current
pool balance). DBRS has today confirmed that the performance of
this loan remains consistent with investment-grade loan
characteristics.
ML-CFC COMMERCIAL 2007-9: S&P Cuts Rating on 2 Cert. Classes to D
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from ML-CFC
Commercial Mortgage Trust 2007-9, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P lowered its
ratings on four classes and affirmed its ratings on one class from
the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-4, AM, and AM-A to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also follow S&P's views regarding the current and future
performance of the transaction's collateral and available liquidity
support.
The downgrades on classes AJ, AJ-A, B, and C reflect credit support
erosion that S&P anticipates will occur upon the eventual
resolution of 13 of the 16 assets ($199.0 million, 13.4%) that are
with the special servicer, as well as reduced liquidity support
available to these classes because of ongoing interest shortfalls.
S&P lowered its ratings on classes B and C to 'D (sf)' because it
expects the accumulated interest shortfalls to remain outstanding
for the foreseeable future.
According to the April 14, 2016, trustee remittance report, the
current monthly interest shortfalls totaled $442,892 and resulted
primarily from:
-- Interest reductions due to nonrecoverable determinations
totaling $195,411;
-- Appraisal subordinate entitlement reduction amounts totaling
$132,399; and
-- Special servicing fees totaling $93,472.
The current interest shortfalls affected classes subordinate to and
including class B.
S&P affirmed its 'AAA (sf)' rating on the class XC interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the April 14, 2016, trustee remittance report, the collateral
pool balance was $1.49 billion, which is 53% of the pool balance at
issuance. The pool currently includes 166 loans and five real
estate-owned (REO) assets (reflecting cross-collateralized and
cross-defaulted loans), down from 245 loans at issuance. Sixteen
of these assets ($253.0 million, 17.0%) are with the special
servicer, 18 ($223.3 million, 15.0%) are defeased, and 46 ($361.5
million, 24.3%) are on the master servicers' combined watchlist.
The master servicers, Wells Fargo Bank N.A. and Midland Loan
Services reported financial information for 95.6% of the
nondefeased loans in the pool, of which 78% was partial-year or
year-end 2015 data, and 22% was year-end 2014 data.
S&P calculated an S&P Global Ratings weighted average debt service
coverage (DSC) of 1.17x and loan-to-value (LTV) ratio of 93.4%
using an S&P Global Ratings' weighted average capitalization rate
of 7.76%. The DSC, LTV, and capitalization rate calculations
exclude the 16 specially serviced assets and 18 defeased loans. The
top 10 nondefeased loans have an aggregate outstanding pool trust
balance of $377.1 million, or 25.3%. Using servicer-reported
numbers, S&P calculated an S&P Global Ratings weighted average DSC
and LTV of 0.95x and 106.6%, respectively, for seven of the top 10
nondefeased performing loans. Excluded from the calculations are
the Northwood Centre, the Morgan 7 RV Park Portfolio, and San Souci
Plaza loans.
To date, the transaction has experienced $227.0 million in
principal losses, or 8.1% of the original pool trust balance. S&P
expects losses to reach approximately 11.5% 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
13 of the 16 specially serviced assets. Excluding from the
calculation is the Janss Marketplace loan.
CREDIT CONSIDERATIONS
As of the April 14, 2016, trustee remittance report, 16 assets in
the pool were with the special servicer, LNR Partners LLC. Details
of the three largest specially serviced assets, all of which are
top 10 nondefeased assets, are:
The Janss Marketplace – A-Note, B-Note, C-Note loan (aggregate
balance $54.0 million, 3.6%) is the largest nondefeased loan in the
trust and the largest loan with the special servicer with a $54.4
million total reported exposure. The loan is secured by a retail
property totaling 421,196 sq. ft. located in Thousand Oaks, Calif.
The loan was transferred to the special servicer on
Aug. 18, 2009, because of imminent default. The loan was modified
in April 2010, resulting in the creation of the B-note and C-note,
as well as an increased interest-only period. The A-note is
current on its debt service payment. The reported DSC and
occupancy as of year-end 2015 were 1.06x and 86%, respectively.
The Northwood Centre loan ($43.8 million, 2.9%) is the
fourth-largest nondefeased loan in the trust with a $44 million
total reported exposure. The loan is secured by a mixed-use
property totaling 491,086 sq. ft. located in Tallahassee, Fla. The
loan was transferred to the special servicer on March 9, 2016, due
to imminent default because Florida, which occupies about 81.0% of
net rentable area, voted on March 6, 2016 to prohibit any rent
payment on property due to environmental issue at the property. The
reported DSC and occupancy as of year-end 2015 were 1.86x and 91%,
respectively. S&P expects a moderate loss upon the loan's eventual
resolution.
The Morgan 7 RV Park Portfolio is an REO asset ($34.6 million,
2.3%) and is the sixth-largest nondefeased asset in the trust with
a $35.2 million total reported exposure. The portfolio originally
comprised seven manufactured housing properties with 1,586 units
located in various states. The loan was transferred to the special
servicer on Aug. 24, 2011, because of delinquent payments, and the
property became REO on Aug. 13, 2015. Five of the properties were
sold, and the proceeds were applied to the loan. The two remaining
properties are American Campgrounds and Camp Waubeeka, which
contains 810 pads. The loan has been deemed nonrecoverable by the
master servicer. S&P expects a significant loss upon the asset's
eventual resolution.
The 13 remaining assets with the special servicer have individual
balances that each represent less than 1.9% of the total pool trust
balance. S&P estimated losses for the 13 out of 16 specially
serviced assets, arriving at a 48.1% weighted average loss
severity.
Regarding the specially serviced assets noted above, a minimal loss
is less than 25%, a moderate loss is 26%-59%, and a significant
loss is 60% or greater.
RATINGS LIST
ML-CFC Commercial Mortgage Trust 2007-9
Commercial mortgage pass-through certificates series 2007-9
Rating Rating
Class Identifier To From
A-4 60688CAE6 AAA (sf) AA (sf)
AM 60688CAG1 BBB+ (sf) BBB- (sf)
AM-A 60688CAH9 BBB+ (sf) BBB- (sf)
AJ 60688CAJ5 CCC (sf) B- (sf)
AJ-A 60688CAK2 CCC (sf) B- (sf)
B 60688CAL0 D (sf) CCC (sf)
C 60688CAM8 D (sf) CCC- (sf)
XC 60688CBJ4 AAA (sf) AAA (sf)
MORGAN STANLEY 2007-IQ15: S&P Affirms CCC Rating on Cl. B Certs
---------------------------------------------------------------
S&P Global Ratings raised its rating on one class of commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Inc. series 2007-IQ15, a U.S. commercial mortgage-backed securities
(CMBS) transaction. In addition, S&P affirmed its ratings on four
other classes from the same transaction.
These rating actions follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction’s structure, and the liquidity available to the
trust.
S&P raised its rating on class A-M to reflect its expectation of
the available credit enhancement for this class, which S&P believes
is greater than its most recent estimate of necessary credit
enhancement for the rating level. The upgrade also reflects S&P's
view regarding the collateral's current and future performance, the
amount of defeased loans in the transaction (three loans; $92.5
million, 7.0%), the decline in the current loans with the special
servicer (currently none), and the reduced trust balance.
The affirmations of the ratings on classes A-4, A-1A, A-J, and B
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
structure, and liquidity support available to the classes.
TRANSACTION SUMMARY
As of the April 13, 2016, trustee remittance report, the collateral
pool balance was $1.3 billion, which is 8.3% of the pool balance at
issuance. The pool currently includes 104 loans, down from 134
loans at issuance. None of these loans are with the special
servicer, three ($92.5 million, 7.0%) are defeased, and 34 ($711.0
million, 53.5%) are on the master servicer's watch list. Berkadia
Commercial Mortgage LLC and Prudential Asset Resources reported
financial information for 80.0% of the nondefeased loans in the
pool; 25.0% was year-end 2015 data, and the remainder was
partial-year 2015 or year-end 2014 or 2013 data.
Excluding the defeased loan, S&P calculated a 1.20x S&P Global
Ratings weighted average DSC and a 93.6% S& P Global Ratings
weighted average loan-to-value (LTV) ratio using S&P's 7.72%
weighted average capitalization rate for the remaining pool.
To date, the transaction has experienced $169.9 million in
principal losses (8.3% of the original pool trust balance).
RATINGS LIST
Morgan Stanley Capital I Trust 2007-IQ15
Commercial mortgage pass-through certificates series 2007-IQ15
Rating
Class Identifier To From
A-1A 61755YAB0 AA (sf) AA (sf)
A-4 61755YAF1 AA (sf) AA (sf)
A-M 61755YAH7 BBB- (sf) BB+ (sf)
A-J 61755YAK0 B- (sf) B- (sf)
B 61755YAN4 CCC (sf) CCC (sf)
MORGAN STANLEY 2016-C29: DBRS Finalizes BB Rating on Class E Debt
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2016-C29 (the Certificates) issued by Morgan Stanley Bank of
America Merrill Lynch Trust 2016-C29. The trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-D at AAA (sf)
-- Class X-E at AAA (sf)
-- Class X-F at AAA (sf)
-- Class X-G at AAA (sf)
-- Class X-H at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
Classes X-D, X-E, X-F, X-G, X-H, D, E, F, G and H will be privately
placed.
The Class X-A, X-B, X-D, X-E, X-F, X-G and X-H balances are
notional. DBRS’s 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 69 fixed-rate loans secured by 106
commercial and multifamily properties comprising a total
transaction balance of $809,459,885. The conduit pool was analyzed
to determine the ratings, reflecting the long-term probability of
loan default within the loan 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, there were three loans, representing 6.1% of the pool,
with 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 32 loans,
representing 52.2% of the pool, having a DBRS Refinance (Refi) DSCR
below 1.00x; however, the DBRS Refi DSCRs for the loans are based
on a weighted-average (WA) stressed refinance constant of 9.86%,
which implies an interest rate of 9.23%, amortizing on a 30-year
schedule. This represents a significant stress of 4.46% over the
WA contractual interest rate of the loans in the pool. The loans’
probability of default (POD) is based on the more constraining of
the DBRS Term or Refi DSCR.
One loan in the top ten exhibits credit characteristics consistent
with investment-grade shadow ratings. Penn Square Mall represents
5.8% of the pool and has credit characteristics consistent with a
AAA shadow rating. Overall, the pool exhibits a relatively strong
DBRS WA Term DSCR of 1.56x based on the whole loan balances, which
indicates moderate term default risk. Based on A-note balances
only, the DBRS Term DSCR is even stronger at 1.64x. Even with the
exclusion of Penn Square Mall, the deal continues to exhibit a
favorable DBRS Term DSCR of 1.51x. Three of the top 15 loans,
accounting for 14.7% of the pool, were modeled with strong
sponsorship, all of which are sponsored by Simon Property Group,
Inc. There are only four loans, representing 2.9% of the pool,
leased to single tenants. Loans secured by properties occupied by
single tenants have been found to have higher loans 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.
Eight loans, representing 23.4% of the pool, are structured with
full IO payments for the full term, including the top three loans.
An additional 34 loans, representing 43.0% of the pool, have
partial IO periods remaining, ranging from five to 60 months,
including four of the top ten loans. The DBRS Term DSCR is
calculated by using the amortizing debt service obligation and the
DBRS Refi DSCR is calculated by considering the balloon balance and
lack of amortization when determining refinance risk. DBRS
determines POD based on the lower of Term or Refi DSCR, so loans
that lack amortization will be treated more punitively.
The DBRS sample included 31 of the 69 loans in the pool. Site
inspections were performed on 37 of the 106 properties in the pool
(62.3% 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 51.2% of the pool. The
DBRS average sample NCF adjustment for the pool was -8.9% and
ranged from -25.5% to 2.4%. Eighteen properties, comprising 27.5%
of the pool, are located in tertiary or rural markets. Properties
located in tertiary and rural markets are modeled with
significantly higher loss severities than those located in urban
and suburban markets. DBRS identified 14 loans, representing 20.8%
of the pool, with unfavorable sponsor strength, including three of
the top ten loans. 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 downgrades by DBRS
after the date of issuance.
MORGAN STANLEY 2016-C29: DBRS Puts Prov. BB Ratings to Cl. E Debt
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C29 to
be issued by Morgan Stanley Bank of America Merrill Lynch Trust
2016-C29. The trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-D at AAA (sf)
-- Class X-E at AAA (sf)
-- Class X-F at AAA (sf)
-- Class X-G at AAA (sf)
-- Class X-H at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
Classes X-D, X-E, X-F, X-G, X-H, D, E, F, G and H will be privately
placed.
The Class X-A, X-B, X-D, X-E, X-F, X-G and X-H balances are
notional. DBRS's 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 69 fixed-rate loans secured by 106
commercial and multifamily properties comprising a total
transaction balance of $809,459,885. The conduit pool was analyzed
to determine the provisional ratings, reflecting the long-term
probability of loan default within the loan 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, there were three loans, representing 6.1% of the pool,
with 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 32 loans,
representing 52.2% of the pool, having a DBRS Refinance (Refi) DSCR
below 1.00x; however, the DBRS Refi DSCRs for the loans are based
on a weighted-average (WA) stressed refinance constant of 9.86%,
which implies an interest rate of 9.23%, amortizing on a 30-year
schedule. This represents a significant stress of 4.46% over the
WA contractual interest rate of the loans in the pool. The loans’
probability of default (POD) is based on the more constraining of
the DBRS Term or Refi DSCR.
One loan in the top ten exhibits credit characteristics consistent
with investment-grade shadow ratings. Penn Square Mall represents
5.8% of the pool and has credit characteristics consistent with a
AAA shadow rating. Overall, the pool exhibits a relatively strong
DBRS WA Term DSCR of 1.56x based on the whole loan balances, which
indicates moderate term default risk. Based on A-note balances
only, the DBRS Term DSCR is even stronger at 1.64x. Even with the
exclusion of Penn Square Mall, the deal continues to exhibit a
favorable DBRS Term DSCR of 1.51x. Three of the top 15 loans,
accounting for 14.7% of the pool, were modeled with strong
sponsorship, all of which are sponsored by Simon Property Group,
Inc. There are only four loans, representing 2.9% of the pool,
leased to single tenants. Loans secured by properties occupied by
single tenants have been found to have higher loans 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.
Eight loans, representing 23.4% of the pool, are structured with
full IO payments for the full term, including the top three loans.
An additional 34 loans, representing 43.0% of the pool, have
partial IO periods remaining, ranging from five to 60 months,
including four of the top ten loans. The DBRS Term DSCR is
calculated by using the amortizing debt service obligation and the
DBRS Refi DSCR is calculated by considering the balloon balance and
lack of amortization when determining refinance risk. DBRS
determines POD based on the lower of Term or Refi DSCR, so loans
that lack amortization will be treated more punitively.
The DBRS sample included 31 of the 69 loans in the pool. Site
inspections were performed on 37 of the 106 properties in the pool
(62.3% 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 51.2% of the pool. The
DBRS average sample NCF adjustment for the pool was -8.9% and
ranged from -25.5% to 2.4%. Eighteen properties, comprising 27.5%
of the pool, are located in tertiary or rural markets. Properties
located in tertiary and rural markets are modeled with
significantly higher loss severities than those located in urban
and suburban markets. DBRS identified 14 loans, representing 20.8%
of the pool, with unfavorable sponsor strength, including three of
the top ten loans. 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 downgrades by DBRS
after the date of issuance.
MORGAN STANLEY 2016-C29: Fitch Rates Class X-E Certificates 'BB-'
-----------------------------------------------------------------
Fitch Ratings has assigned these ratings and Ratings Outlooks to
Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage
Trust 2016-C29 Commercial Mortgage pass-through certificates:
-- $29,800,000 class A-1 'AAAsf'; Outlook Stable;
-- $39,500,000 class A-2 'AAAsf'; Outlook Stable;
-- $58,500,000 class A-SB 'AAAsf'; Outlook Stable;
-- $190,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $248,821,000 class A-4 'AAAsf'; Outlook Stable;
-- $566,621,000b class X-A 'AAAsf'; Outlook Stable;
-- $97,136,000b class X-B 'AA-sf'; Outlook Stable;
-- $54,639,000 class A-S 'AAAsf'; Outlook Stable;
-- $42,497,000 class B 'AA-sf'; Outlook Stable;
-- $35,413,000 class C 'A-sf'; Outlook Stable;
-- $42,797,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $22,260,000ab class X-E 'BB-sf'; Outlook Stable;
-- $8,095,000a class X-F 'B-sf'; Outlook Stable;
-- $42,497,000a class D 'BBB-sf'; Outlook Stable;
-- $22,260,000a class E 'BB-sf'; Outlook Stable;
-- $8,095,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The ratings are based on information provided by the issuer as of
May 5, 2016. Fitch is not rating these classes:
-- $17,201,000 class X-G;
-- $20,236,885 class X-H;
-- $17,201,000 class G;
-- $20,236,885 class H.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 69 loans secured by 106
commercial properties having an aggregate principal balance of
approximately $809.5 million as of the cut-off date. The loans
were contributed to the trust by Morgan Stanley Mortgage Capital
Holdings LLC, Bank of America, National Association, KeyBank,
National Association, and Starwood Mortgage Funding III LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 72.5% of the properties by
balance, cash flow analysis of 69.9%, and asset summary reviews on
100% of the pool.
KEY RATING DRIVERS
High Fitch Conduit Leverage: This transaction has a Fitch debt
service coverage ratio (DSCR) and loan-to-value (LTV) of 1.15x and
107.8%, respectively. Excluding the credit opinion loan, Penn
Square Mall (5.8% of the pool), the Fitch DSCR and LTV are 1.12x
and 111%. The YTD 2016 and 2015 Fitch DSCR were 1.17x and 1.18x,
respectively, and 108% and 109.3%.
Lower Pool Concentration: The top 10 loans comprise 41.1% of the
pool, which is lower than the respective recent averages of 49.3%
and 50.5% for 2015 and 2014. Additionally, the loan concentration
index (LCI) is 265, less than the 2015 average of 367.
Investment-Grade Credit Opinion Loan: One loan, Penn Square Mall
(5.8% of the pool), has an investment-grade credit opinion of 'A'
on a stand-alone basis. Excluding this loan, the conduit has a
Fitch stressed DSCR and LTV of 1.12x and 111%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.5% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSBAM
2016-C29 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 'BBB+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.
MOUNTAIN HAWK I: S&P Lowers Rating on Class E Notes to BB-
----------------------------------------------------------
S&P Global Ratings lowered its rating on the class E notes and
affirmed its ratings on the class A-1, A-X, B-1, B-2, C, and D
notes from Mountain Hawk I CLO Ltd. At the same time, S&P removed
the ratings on the class D and E notes from CreditWatch, where S&P
placed them with negative implications on April 1, 2016. Mountain
Hawk I CLO Ltd. is a U.S. collateralized loan obligation (CLO)
transaction that closed in February 2013 and is managed by Western
Asset Management Co.
The deal is currently in its reinvestment phase, which is scheduled
to end in January 2017. Since the transaction's effective date in
May 2013, when there were no defaults in the portfolio, the
defaults have increased by $23.3 million as of the April 2016
trustee report, and the amount of 'CCC' rated assets has increased
to $25.5 million from $14.1 million. The increase in defaults has
affected the amount of collateral supporting the notes, which has
decreased by $13.8 million. The transaction also has 5.28% in
exposure to the distressed oil and gas sector.
The decrease in available collateral and increase in 'CCC' rated
and defaulted assets have also affected the overcollateralization
(O/C) ratios. The April 2016 trustee report indicated the
following O/C changes compared with the May 2013 report:
-- The class A/B O/C decreased to 128.59% from 132.42%;
-- The class C O/C decreased to 119.01% from 122.55%;
-- The class D O/C decreased to 112.36% from 115.71%; and
-- The class E O/C decreased to 104.86% from 107.98%.
The downgrade on the class E notes reflects the decrease in
supporting collateral and increase in 'CCC' rated assets and
defaulted assets. The affirmations reflect S&P's view that the
available credit support is consistent with the current rating
levels.
Since S&P placed the class D and E notes on CreditWatch in April,
the O/C tests have improved. As of the March 2016 trustee report,
the interest diversion test failed its 104.40% threshold; however,
it has since improved to a passing level at 104.86% as of the April
2016 trustee report.
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 RESULTS AND SENSITIVITY ANALYSIS
Mountain Hawk I CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 7.15% AAA (sf)
A-X AAA (sf) AAA (sf) 28.06% AAA (sf)
B-1 AA (sf) AA+ (sf) 4.94% AA (sf)
B-2 AA (sf) AA+ (sf) 4.94% AA (sf)
C A (sf) A+ (sf) 4.67% A (sf)
D BB(sf)/Watch Neg BBB+ (sf) 0.88% BBB (sf)
E B(sf)/Watch Neg BB (sf) 0.71% 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
10% recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-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) 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) AA+ (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 LIST
Mountain Hawk I CLO Ltd.
Rating
Class Identifier To From
A-1 62405QAA1 AAA (sf) AAA (sf)
A-X 62405QAC7 AAA (sf) AAA (sf)
B-1 62405QAE3 AA (sf) AA (sf)
B-2 62405QAG8 AA (sf) AA (sf)
C (defer) 62405QAJ2 A (sf) A (sf)
D (defer) 62405QAL7 BBB (sf) BBB (sf)/Watch Neg
E (defer) 62405QAN3 BB- (sf) BB (sf)/Watch Neg
NORTHWOODS CAPITAL IX: S&P Affirms BB- Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B-1, B-2,
C-1, C-2, D, and E notes from Northwoods Capital IX Ltd., a U.S.
collateralized loan obligation (CLO) transaction that closed in
December 2012 and is scheduled to reinvest until January 2017. The
transaction is managed by Angelo, Gordon & Co. L.P.
The affirmations follow S&P's review of the transaction's
performance using data from the trustee report dated April 8,
2016.
The affirmed ratings reflect S&P's view that the credit support
available is commensurate with the current rating levels. While
the underlying collateral's credit quality has deteriorated since
the transaction's effective date in May 2013, this is partially
offset by a decrease in the collateral pool's weighted average
life.
This deterioration is reflected by the increase of assets rated
'CCC+' or lower and defaulted assets. As of the April 2016,
trustee report, assets in the portfolio rated 'CCC+' or lower
increased to $41.01 million from zero according to the May 2013
report. The amount of defaulted assets increased to $7.44 million
from zero over the same period. The transaction also exhibits
moderate exposure to the energy sector, with 4.11% of the
collateral pool comprising assets from the oil and gas industry.
In addition, the transaction has experienced a decline in the
amount of credit support available to all tranches since its
effective date, as evidenced by the decrease in
overcollateralization (O/C) since May 2013:
-- The class A/B O/C ratio decreased to 137.65% from 139.54%.
-- The class C O/C ratio decreased to 121.80% from 123.47%.
-- The class D O/C ratio decreased to 114.84% from 116.41%.
-- The class E O/C ratio decreased to 108.63% from 110.12%.
The decline in credit support was partially offset by a decrease in
the collateral pool's weighted average life, which, according to
the trustee reports, dropped to 4.48 years in April 2016 from 5.38
as of May 2013.
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 it deems
necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
Northwoods Capital IX Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 7.26% AAA (sf)
B-1 AA (sf) AA+ (sf) 7.89% AA (sf)
B-2 AA (sf) AA+ (sf) 7.89% AA (sf)
C-1 A (sf) A+ (sf) 2.82% A (sf)
C-2 A (sf) A+ (sf) 2.82% A (sf)
D BBB (sf) BBB+ (sf) 3.23% BBB (sf)
E BB- (sf) BB (sf) 0.40% BB- (sf)
(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.
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-1 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
C-1 A+ (sf) A- (sf) A (sf) A+ (sf) A (sf)
C-2 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)
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-1 AA+ (sf) AA+ (sf) AA (sf) AA (sf)
B-2 AA+ (sf) AA+ (sf) AA (sf) AA (sf)
C-1 A+ (sf) A- (sf) BBB+ (sf) A (sf)
C-2 A+ (sf) A- (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB- (sf) BB+ (sf) BBB (sf)
E BB (sf) B+ (sf) B- (sf) BB- (sf)
RATINGS AFFIRMED
Northwoods Capital IX Ltd.
Class Rating
A AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C-1 A (sf)
C-2 A (sf)
D BBB (sf)
E BB- (sf)
OCTAGON INVESTMENT 26: Moody's Assigns Ba3 Rating to Cl. E Debt
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Octagon Investment Partners 26, Ltd. (the "Issuer"
or "Octagon 26").
Moody's rating action is as follows:
US$310,000,000 Class A Senior Secured Floating Rate Notes due 2027
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$45,000,000 Class B-1 Senior Secured Floating Rate Notes due 2027
(the "Class B-1 Notes"), Definitive Rating Assigned Aa1 (sf)
US$20,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2027
(the "Class B-2 Notes"), Definitive Rating Assigned Aa1 (sf)
US$35,000,000 Class C Secured Deferrable Floating Rate Notes due
2027 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$25,000,000 Class D Secured Deferrable Floating Rate Notes due
2027 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$25,000,000 Class E Secured Deferrable Floating Rate Notes due
2027 (the "Class E Notes"), Definitive Rating Assigned 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."
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.
Octagon 26 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 95% ramped as
of the closing date.
Octagon Credit Investors, 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 4.5 year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2853
Weighted Average Spread (WAS): 3.95%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 49.0%
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. Please see the Ratings Methodologies page on
www.moodys.com for a copy of this methodology.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2853 to 3281)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2853 to 3709)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -3
Class B-2 Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
PREFERRED TERM XIX: Moody's Lowers Rating on Cl. C Notes to Caa1
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on these notes
issued by Preferred Term Securities XIX, Ltd.:
$82,800,000 Floating Rate Class C Mezzanine Notes Due 2035
(current balance of $89,650,600, including deferred interest),
Downgraded to Caa1 (sf); previously on March 4, 2016, Upgraded
to B3 (sf).
Preferred Term Securities XIX, Ltd., issued in September 2005, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating downgrade of the Class C notes is primarily due to a
significant increase in Moody's assumed defaulted amount in the
underlying portfolio and a decline in the transaction's
overcollateralization (OC) ratios.
Moody's assumed defaulted amount increased to $56.0 million (10.0%
of the current portfolio) from $29.0 million in March 2016. One
insurance TruPS, with par of $27 million or 4.8% of the pool,
started deferring interest in March 2016. Based on the March 2016
trustee report, the OC ratio of the Class A notes was 137.2% (limit
128.0%), versus 144.3% in December 2015, that of the Class B notes,
110.6% (limit 115.0%), versus 116.3% and that of the Class C notes,
91.3% (limit 105.4%), versus 95.8%. Due to the new deferral, the
Class B OC ratio decreased below the required test level and excess
interest was diverted to pay down the Class A-1, A-2 and B notes,
pro rata, on the March 2016 payment date. Excess interest was not
available to pay the Class C current interest and, as a result, the
deferred interest balance on the Class C notes increased.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par (after
treating deferring securities as performing if they meet certain
criteria) of $503.0 million, defaulted and deferring par of $56.0
million, a weighted average default probability of 9.38% (implying
a WARF of 850), and a weighted average recovery rate upon default
of 10.0%. In addition to the quantitative factors Moody's
explicitly models, qualitative factors are part of rating committee
considerations. Moody's considers the structural protections in
the transaction, the risk of an event of default, recent deal
performance under current market conditions, the legal environment
and specific documentation features. All information available to
rating committees, including macroeconomic forecasts, inputs from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating TruPS CDOs," published in June 2014.
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, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in
the general economy. Moody's has a stable outlook on the US
banking sector. Moody's maintains its stable outlook on the
US insurance sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit
performance weaker than Moody's current expectations could
have adverse consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds
and excess interest proceeds will continue and at what pace.
Note repayments that are faster than Moody's current
expectations could have a positive impact on the notes'
ratings, beginning with the notes with the highest payment
priority.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their
TruPS. The timing and amount of deferral cures could have
significant positive impact on the transaction's over-
collateralization ratios and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc or
credit estimates. Because these are not public ratings, they
are subject to additional uncertainties.
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge™ cash
flow model.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks and insurance companies that
Moody's does not rate publicly. To evaluate the credit quality of
bank TruPS that do not have public ratings, Moody's uses
RiskCalc™, an econometric model developed by Moody's Analytics,
to derive credit scores. Moody's evaluation of the credit risk of
most of the bank obligors in the pool relies on the latest FDIC
financial data. For insurance TruPS that do not have public
ratings, Moody's relies on the assessment of its Insurance team,
based on the credit analysis of the underlying insurance firms'
annual statutory financial reports.
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):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 517)
Class A-1: +1
Class A-2: +1
Class B: +3
Class C: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1294)
Class A-1: -2
Class A-2: -3
Class B: -2
Class C: -2
REALT 2016-1: DBRS Assigns B(sf) Rating to Class G Debt
-------------------------------------------------------
DBRS Limited assigned provisional ratings to the following classes
of Commercial Mortgage Pass-Through Certificates, Series 2016-1
issued by Real Estate Asset Liquidity Trust (REALT) Series 2016-1:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X at AAA (sf) Class X is 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 for the transaction consists of 53
fixed-rate loans and two pari passu co-ownership interests in
separate whole loans.
The mortgage loans are secured by 91 properties. One loan,
representing 5.40% of the pool balance, is shadow-rated investment
grade at BBB (low) by DBRS. All 55 loans (including four pari passu
co-ownership interests) in the transaction amortize for the entire
term, 53.9% of the pool by loan balance amortizes on schedules that
are 25 years or less (47.4% have between 20 years and 25 years of
remaining amortization) and 46.1% of the pool by loan balance will
amortize on schedules that are longer than 25 years.
Fifteen loans (30.5% of the pool by loan balance) were modelled
with Strong sponsor strength and 27 loans (50.6% of the pool by
loan balance) were considered to have meaningful recourse to the
respective sponsor; all else being equal, recourse loans typically
have lower probability of default and were modelled as such. 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 and their
respective actual constants, DBRS identified one loan, representing
7.50% of the pool, based on the trust A-note balances, as having a
debt service coverage ratio (DSCR) below 1.15 times (x), indicating
a higher likelihood of mid-term default.
In addition, 29.8% of the loans in the pool by loan balance have
DBRS Refinance DSCRs below 1.00x, based on the trust A-note
balance. The DBRS weighted-average (WA) Term DSCR and Going-In Debt
Yield are 1.38x and 8.5%, respectively, and the DBRS WA Refinance
DSCR and Exit Debt Yield are 1.15x and 11.3%, respectively, based
on the trust A-note balance.
DBRS sampled 36 loans, representing 82.9% of the pool by loan
balance, and site inspections were performed on 52 properties,
representing 74.0% of the pool by loan allocated balance. Of the
sampled loans, one loan, representing 5.8% of the pool balance, was
considered to be of Above Average property quality. The ratings
that DBRS assigned to the Certificates are based exclusively on the
credit provided by the transaction structure and underlying trust
assets.
All classes will be subject to ongoing surveillance, which could
result in upgrades or downgrades by DBRS after the date of
issuance.
A full text copy of the rating table is available free at:
http://is.gd/UF3YxC
SALOMON BROTHERS 2000-C1: Moody's Affirms C Rating on Cl. M Debt
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on one class and
affirmed the rating on three class in Salomon Brothers Mortgage
Securities VII, Inc. 2000-C1 as:
Cl. K, Affirmed Aaa (sf); previously on July 8, 2015, Affirmed
Aaa (sf)
Cl. L, Upgraded to Aa3 (sf); previously on July 8, 2015,
Upgraded to Baa1 (sf)
Cl. M, Affirmed C (sf); previously on July 8, 2015, Affirmed
C (sf)
Cl. X, Affirmed Caa3 (sf); previously on July 8, 2015, Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on the P&I class K were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the P&I class M was affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO class X was affirmed based on the weighted
average rating factor or WARF of the referenced classes.
The rating on the P&I class L was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 17% since Moody's last
review.
Moody's rating action reflects a base expected loss of 0% of the
current balance, the same as at last review. Moody's base expected
loss plus realized losses is now 3.8% of the original pooled
balance, the same as at 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model in formulating a rating recommendation. The large loan
model derives credit enhancement levels based on an aggregation of
adjusted loan-level proceeds derived from Moody's loan-level LTV
ratios. Major adjustments to determining proceeds include
leverage, loan structure, property type and sponsorship. Moody's
also further adjusts these aggregated proceeds for any pooling
benefits associated with loan level diversity and other
concentrations and correlations.
DEAL PERFORMANCE
As of the April 18, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $10 million
from $713 million at securitization. The certificates are
collateralized by 11 mortgage loans ranging in size from 2% to 30%
of the pool. Six loans, constituting 58% of the pool, have
defeased and are secured by US government securities.
One loan, constituting 30% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $27 million (for an average loss
severity of 39%). No loans are currently in special servicing.
Moody's received full or partial year 2015 operating results for
100% of the pool. Moody's weighted average conduit LTV is 19%,
compared to 23% at Moody's last review. Moody's conduit component
excludes loans with structured credit assessments, defeased and CTL
loans, and specially serviced and troubled loans. Moody's net cash
flow (NCF) reflects a weighted average haircut of 8% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 10.8%.
Moody's actual and stressed pool DSCRs are 1.21X and 6.66X,
respectively, compared to 1.30X and 5.20X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three loans excluding defeasance represent 37% of the pool.
The largest loan is the Sports Arena Village Loan ($3 million --
30% of the pool), which is secured by a 255,000 square foot (SF)
retail and office property located in San Diego, California. As of
September 2015, the office component was 70% leased, compared to
100% as of March 2013. The largest tenant, Science Applications
Corp., downsized their space in January 2015. The loan is currently
on the watchlist due to the decrease in occupancy. The loan is
fully amortizing and has amortized 70% since securitization. The
loan matures in June 2018. Moody's LTV and stressed DSCR are 16%
and >4.0X, respectively, compared to 20% and >4.0X at last
review.
The second largest loan is The Office Max Martinsburg Loan
($444,000 -- 4% of the pool), which is secured by a 23,500 SF
retail property located in West Virginia, between the
Maryland/Virginia border. The property is 100% leased to Office
Max on a triple net basis through February 2018. Performance has
remained in line with last review, although due to the single
tenant nature of this building, Moody's value reflects a stressed
cash flow derived from a lit/dark analysis. The loan matures in
January 2018 and has amortized 80% since securitization. Moody's
LTV and stressed DSCR are 30% and 3.81X, respectively, compared to
33% and 3.49X at last review.
The third largest loan is The 7-Eleven Loan ($358,000 -- 4% of the
pool), which is secured by a 3,000 SF 7-Eleven store located in Las
Vegas, Nevada. The property is 100% leased to 7-Eleven.
Performance has remained in line with last review, although due to
the single tenant nature of this building, Moody's value reflects a
stressed cash flow derived from a lit/dark analysis. The loan
matures in July 2019 and has amortized 65% since securitization.
Moody's LTV and stressed DSCR are 25% and >4.0X, respectively,
compared to 30% and 3.92X at last review.
SIERRA TIMESHARE 2013-2: Fitch Affirms BBsf Rating on Cl. C Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed the notes issued by various Sierra
Timeshare Receivables transactions.
KEY RATING DRIVERS
The rating affirmations reflect the ability of each transaction's
credit enhancement (CE) to provide loss coverage consistent with
the current ratings. To date, all transactions are tracking within
Fitch's initial base case cumulative gross default (CGD)
expectations. The Stable Outlook for all four transactions,
inclusive of the Outlook revision to Stable from Positive for the
2013-2 transaction, reflects Fitch's expectation that the notes
will remain sufficiently enhanced to cover stressed loss levels for
the next 12 to 18 months.
Fitch will continue to monitor economic conditions and their impact
on trust level performance variables and update the ratings
accordingly.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults could produce
cumulative gross default (CGD) levels higher than the base case and
would likely result in declines of credit enhancement and remaining
default coverage levels available to the notes. Additionally,
unanticipated increases in prepayment activity could also result in
a decline in coverage. Decreased default coverage may make certain
note ratings susceptible to potential negative rating actions,
depending on the extent of the decline in coverage.
At the time of initial rating, Fitch conducted sensitivity analysis
stressing each of the transaction's initial base case CGD and
prepayment assumptions by 1.5x and 2.0x and examining the rating
implications on all classes of issued notes. The 1.5x and 2.0x
increases of each transaction's base case CGD and prepayment
assumptions represent moderate and severe stresses, respectively,
and are intended to provide an indication of the rating sensitivity
of notes to unexpected deterioration of a trust's performance.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
Sierra Timeshare 2012-2 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable.
Sierra Timeshare 2013-2 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook revised to Stable from
Positive;
-- Class B notes at 'BBBsf'; Outlook revised to Stable from
Positive;
-- Class C notes at 'BBsf'; Outlook revised to Stable from
Positive.
Sierra Timeshare 2014-2 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable.
Sierra Timeshare 2015-2 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable.
SOLOSO CDO 2005-1: Fitch Withdraws 'Dsf' Rating on 3 Note Classes
-----------------------------------------------------------------
Fitch Ratings has withdrawn the ratings on all classes of notes in
Soloso CDO 2005-1 Ltd. as:
-- $64,153,907 class A-1LA notes 'Dsf';
-- $106,279,783 class A-1L notes 'Dsf';
-- $39,000,000 class A-1LB notes 'Dsf';
-- $47,095,487 class A-2L notes 'CCsf';
-- $44,121,587 class A-3L notes 'Csf';
-- $21,628,473 class A-3A notes 'Csf';
-- $20,957,754 class A-3B notes 'Csf';
-- $36,751,151 class B-1L notes 'Csf'.
KEY RATING DRIVERS
Soloso 2005-1 entered an Event of Default (EOD) on April 24, 2013.
On June 7, 2013 Fitch was notified that the requisite noteholders
declared the aggregate principal amount of the notes to be
immediately due and payable. The requisite noteholders have
directed the sale and liquidation of collateral on August 2015.
Some junior noteholders filed a complaint in the United States
District Court in which they have contended that there was a
pre-existing Event of Default that precludes the trustee from
liquidating the Trust Estate without the consent of 100% of the
noteholders.
As of October 2015, the Court ordered that the trustee can continue
with the liquidation, but the liquidation proceeds should be held
by the trustee in the escrow pending further order of the Court.
Fitch has withdrawn the ratings on these notes as they are no
longer considered by Fitch to be relevant to the agency's coverage
because of their distressed rating levels, ongoing liquidation, and
uncertainty regarding the resolution of the litigation.
RATING SENSITIVITIES
Following a liquidation and withdrawal of the ratings, rating
sensitivities do not apply.
DUE DILIGENCE USAGE
No third party due diligence was reviewed in relation to this
rating action.
WACHOVIA BANK 2007-C33: Moody's Cuts Class IO Debt Rating to B1
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 17 classes
and downgraded the rating of one class in Wachovia Bank Commercial
Mortgage Trust Pass-Through Certificates, Series 2007-C33 as:
Cl. A-1A, Affirmed Aaa (sf); previously on May 7, 2015, Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 7, 2015, Affirmed
Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on May 7, 2015, Affirmed
Aaa (sf)
Cl. A-M, Affirmed A3 (sf); previously on May 7, 2015, Affirmed
A3 (sf)
Cl. A-J, Affirmed Ba2 (sf); previously on May 7, 2015, Affirmed
Ba2 (sf)
Cl. B, Affirmed Caa1 (sf); previously on May 7, 2015, Affirmed
Caa1 (sf)
Cl. C, Affirmed Caa3 (sf); previously on May 7, 2015, Affirmed
Caa3 (sf)
Cl. D, Affirmed Ca (sf); previously on May 7, 2015, Affirmed
Ca (sf)
Cl. E, Affirmed Ca (sf); previously on May 7, 2015, Affirmed
Ca (sf)
Cl. F, Affirmed C (sf); previously on May 7, 2015, Affirmed
C (sf)
Cl. G, Affirmed C (sf); previously on May 7, 2015, Affirmed
C (sf)
Cl. H, Affirmed C (sf); previously on May 7, 2015, Affirmed
C (sf)
Cl. J, Affirmed C (sf); previously on May 7, 2015, Affirmed
C (sf)
Cl. K, Affirmed C (sf); previously on May 7, 2015, Affirmed
C (sf)
Cl. L, Affirmed C (sf); previously on May 7, 2015, Affirmed
C (sf)
Cl. M, Affirmed C (sf); previously on May 7, 2015, Affirmed
C (sf)
Cl. N, Affirmed C (sf); previously on May 7, 2015, Affirmed
C (sf)
Cl. IO, Downgraded to B1 (sf); previously on May 7, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on the five P&I classes (Classes A-1A through A-J) were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.
The ratings on the remaining 12 P&I classes (Classes B through N)
were affirmed because the ratings are consistent with Moody's
expected loss.
The rating on the IO class (Class IO) was downgraded due to the
decline in the weighted average rating factor (WARF) of its
reference classes resulting from principal paydowns of higher
quality reference classes.
Moody's rating action reflects a base expected loss of 13.8% of the
current balance, compared to 13.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 11.6% of the
original pooled balance, compared to 10.8% 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.
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 20, compared to 23 at Moody's last review.
DEAL PERFORMANCE
As of the April 17, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 36% to $2.3 billion
from $3.6 billion at securitization. The certificates are
collateralized by 125 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans constituting 53% of
the pool. One loan, constituting less than 0.5% of the pool, has
an investment-grade structured credit assessment. Ten loans,
constituting 8% of the pool, have defeased and are secured by US
government securities.
Thirty-one loans, constituting 23% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty six have been liquidated from the pool contributing to an
aggregate certificate realized loss of $96.8 million (27% loss
severity on average). Twelve loans, constituting 11% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Central / Eastern Industrial Pool
($84.7 million -- 3.6% of the pool), which is secured by 13
industrial properties totaling 2.1 million square feet (SF) located
across several U.S. states. The loan transferred to special
servicing in July 2010 for imminent default. As of June 2015, the
property was 82% leased, compared to 73% at last review. The
special servicer indicated they are working on a loan modification
agreement with the Borrower, while dual tracking other workout
strategies.
The remaining 11 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $174.5 million loss
for the specially serviced loans (68% expected loss on average).
Moody's has assumed a high default probability for 13 poorly
performing loans, constituting 10% of the pool, and has estimated
an aggregate loss of $73.3 million (a 30% expected loss on average)
from these troubled loans.
Moody's received full year 2014 operating results for 98% of the
pool, and full or partial year 2015 operating results for 90% of
the pool. Moody's weighted average conduit LTV is 110%, compared
to 111% 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 9.2%.
Moody's actual and stressed conduit DSCRs are 1.35X and 0.95X,
respectively, compared to 1.40X and 0.95X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Lawndale
Estates Loan ($6.5 million -- less than 0.5% of the pool), which is
secured by a 673-unit manufactured housing community in Saginaw,
Michigan. The property was 86% leased as of December 2015,
compared to 80% at last review. Moody's structured credit
assessment and stressed DSCR are a1 (sca.pd) and 1.71X,
respectively.
The top three performing conduit loans represent 30% of the pool
balance. The largest loan is the 666 Fifth Avenue A-Note Loan
($258.5 million -- 11.1% of the pool), which represents a portion
of a $1.2 billion first mortgage loan, secured by a 1.5 million
square foot office tower in Midtown Manhattan. In December 2011,
as part of a modification, the original loan was bifurcated into
$1.1 billion A-Note and a $115 million B-Note. The B-Note interest
was reduced to 0%, while the A-Note interest pay rate was initially
reduced to 3%. The current A-Note pay rate is 5.0% and the pay
rate increases annually until it returns to the original 6.353%.
The property was recapitalized with $110 million of new equity as
part of the modification. The borrower contributed $30 million,
while Vornado contributed $80 million. The property was 79% leased
as of February 2016 compared to 77% at last review. The loan
returned to the master servicer in March 2012 and is performing
under the modified terms. Moody's considers the B-Note ($27.0
million) a troubled loan and has recognized a significant loss
against it. Moody's LTV and stressed DSCR for the modified A-Note
are 138% and 0.63X, respectively, the same as last review.
The second largest loan is the Ashford Hospitality Pool 6 Loan
($247.8 million -- 10.7% of the pool). The loan is secured by a
portfolio of three full-service hotels located in Seattle,
Washington; Plano, Texas and Tampa, Florida. The portfolio
financial performance has improved steadily over the last four
years, with RevPar increasing to $161.33 in 2015 as compared to
$148.43 in 2014, $135.20 in 2013, and $127.63 in 2012. Moody's LTV
and stressed DSCR are 106% and 1.08X, respectively, compared to
120% and 0.96X at the last review.
The third largest loan is the Independence Mall Loan ($200.0
million -- 8.6% of the pool). The loan is secured by a regional
mall located in Independence, Missouri, located approximately 10
miles east of downtown Kansas City. The mall's anchors are Macy's,
Sears, and Dillard's. Dillard's owns its own space. As of December
2015, total mall and inline occupancy were 96% and 90% leased,
respectively. Inline sales for tenants less than 10,000 SF were
$373 per square foot for year-end 2015. Moody's LTV and stressed
DSCR are 116% and, 0.79X, respectively, compared 115% and, 0.80X at
the last review.
WELLS FARGO 2015-NXS1: DBRS Confirms B Rating on Cl. F Debt
-----------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2015-NXS1 issued by Wells Fargo
Commercial Mortgage Trust 2015-NXS1 Trust as follows:
-- 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-5 at AAA (sf)
-- Class A-SB 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-F at AAA (sf)
-- Class X-G at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable. DBRS does not rate the first loss piece,
Class G.
The rating confirmations reflect the current performance of the
pool, which is stable from issuance, with cash flows generally in
line with the DBRS underwritten (UW) levels. The collateral
consists of 68 fixed-rate loans secured by 93 commercial
properties. At issuance, the transaction had a DBRS
weighted-average (WA) debt service coverage ratio (DSCR) and a DBRS
WA debt yield of 1.55 times (x) and 8.8%, respectively. As of the
April 2016 remittance, 17 loans (31.4% of the pool) reported
partial-year 2015 cash flows (most being Q3 2015), while 45 loans
(62.5% of the pool) reported year-end 2015 cash flows. The
remainder of the loans (6.1% of the pool) have not yet reported
2015 cash flows. As of the April 2016 remittance reports, all 68
loans remain in the pool, with an aggregate balance of $949
million, representing collateral reduction of approximately 0.6%
since issuance as the result of scheduled loan amortization.
The pool is concentrated by property type, as 22 loans (53.0% of
the pool) are secured by office properties and 30 loans (26.8% of
the pool) are secured by retail properties. Eleven loans (45.2% of
the pool) of the largest 15 loans (57.2% of the pool) are secured
by one of these two property types. There are two loans in the Top
15, representing 6.5% of the pool, exhibiting NCF declines at
YE2015 when compared with the DBRS UW figures, with declines
ranging from 14.3% to 73.6%. Both declines appear to be related to
artificially low cash flows reported for each – the affected
loans, 100 West 57th Street (Prospectus ID#6, 3.8% of the pool) and
45 Waterview Boulevard (Prospectus ID#9, 2.8% of the pool), are
highlighted below. Excluding these two loans, the WA amortizing
DSCR of the Top 15 loans was 1.72x as of the respective 2015
reporting dates, compared to the DBRS UW figure of 1.53x,
reflective of a WA NCF growth over the DBRS UW figure of
approximately 12.4%.
The 100 West 57th Street loan is part of a $180 million whole loan,
evidenced by four pari passu notes secured by the leased fee
interest in the 25,125 square foot (sf) land parcel beneath the
Carnegie House, a 21-storey mixed-use residential and retail
cooperative building located in Midtown Manhattan, New York. The
loan financed the sponsor’s acquisition of the collateral for
$286 million, with approximately $124.1 million in equity
contributed to close. At closing, a $605,510 holdback reserve was
established to cover the cumulative difference between the ground
rent and the debt service during the anticipated repayment date
(ARD) period, which has a five-year term ending in 2019. The
servicer is reporting a YE2015 DSCR for the loan of 0.94x, but that
coverage does not give credit to the reserve. Additionally, the
YE2015 NCF figure represents a decline of -73.6% from the DBRS UW
figure, a factor of the underwriting approach taken by DBRS at
issuance, which was based on a look-through analysis of the
building’s cash flow, assuming no ground lease. The resulting
DBRS UW NCF figure represented a positive variance of +266.2% over
the Issuer’s UW NCF figure, which was based on the ground rent
payments in the existing ground lease for two tenants in common.
For additional information on the DBRS approach and further detail
on the ARD and ground lease structures, please see the DBRS Rating
Report dated April 29, 2015.
The 45 Waterview Boulevard loan is secured by a 106,680 Class A
office property located in Parsippany, New Jersey. The property is
currently 100% occupied by DSM Nutritional Products (a subsidiary
of Royal DSM) on a triple net (NNN) lease through lease expiration
in August 2027. As of year-end 2015 financials, the loan reported a
DSCR of 2.21x, compared to the DBRS UW figure of 2.59x; however,
DBRS underwrote the gross potential revenue inclusive of rent steps
over the loan term, given that the single tenant is considered
investment grade and subject to a long-term lease with expiry well
beyond the maturity date. The resulting DBRS UW base rental rate
was $24.70 psf NNN, compared to the current rental rate of $21.69
psf NNN, which is subject to annual increases of $0.50 through
lease expiration.
As of the April 2016 remittance report, there are no loans in
special servicing and eight loans on the servicer’s watchlist,
representing 6.5% of the pool. According to 2015 financial
reporting (both annualized and year-end 2015), these eight loans
had a WA DSCR of 1.27x, compared to the DBRS UW figure of 1.32x,
reflective of a WA NCF decline of -4.5% compared to DBRS UW
figures. Three loans (1.8% of the pool) were flagged as a result of
upcoming rollover, while four loans (2.6% of the pool) were flagged
for cash flow declines, with coverage ratios reported between 0.91x
and 1.09x. The largest loan on the watchlist, Colonnades II
(Prospectus ID#16, 2.1% of the pool), is secured by a 126,926 sf
Class A office property located in Raleigh, North Carolina. The
property is currently 100% occupied by Salix Pharmaceuticals, Inc.,
which was acquired by Valeant Pharmaceuticals in April 2015. The
servicer is monitoring the loan because of the tenant’s early
termination option in September 2018, which requires a 12-month
notice and a $5.17 million termination fee. According to the
servicer, Valeant has recently downsized operations at the subject
property, which could be an indication the tenant plans to exercise
the option. As of Q3 2015, the loan had an annualized DSCR of
1.53x, compared to the DBRS UW figure of 1.04x.
A full text copy of the rating table is available free at:
http://is.gd/RccOeF
[*] DBRS Reviews 646 Classes From 72 US RMBS Deals
--------------------------------------------------
DBRS, Inc. reviewed 646 classes from 72 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 646 classes
reviewed, 74 classes were upgraded, 519 classes were confirmed, one
class was downgraded and 52 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 downgrade reflects a combination of the
continued erosion of credit support in these transactions as a
result of negative trends in delinquency and projected loss
activity.
The transactions consist of U.S. RMBS and re-securitization of real
estate mortgage investment conduit (ReREMIC) transactions. The
pools backing these transactions consist of Second Lien,
Option-ARM, Scratch and Dent, ReREMIC, Alt-A, Prime and Subprime
collateral.
A list of the Affected Ratings is available at:
http://is.gd/BlRqtv
[*] Fitch Puts 9 Classes of 6 Canadian CMBS on CreditWatch Negative
-------------------------------------------------------------------
Fitch Ratings, on May 5, 2016, placed nine classes from six
Canadian CMBS transactions on Rating Watch Negative and has
assigned Negative Outlooks to five classes. All currencies are in
Canadian dollars (CAD).
KEY RATING DRIVERS
All six transactions have exposure to properties located in Fort
McMurray, Alberta. The classes were placed on Rating Watch
Negative due to the significant market challenges stemming from the
severe decline in oil prices and recent wildfires that have led to
area evacuations.
Across the six transactions, there are a total of nine Loans of
Concern, six collateralized by multi-family properties ($66.2
million), two by hotels ($19.3 million) and one by an industrial
property ($11.7 million). The six multi-family loans are in
special servicing. These loans transferred in March 2016 after the
sponsor indicated an inability to pay debt service, as vacancy has
spiked at the properties due to the economic turmoil in the energy
industry. The loans are sponsored by Lanesborough REIT and have
full recourse to the borrower, sponsor and manager. The sponsor
continues to seek forbearance due to declining operations. The
hospitality properties are sponsored by Temple REIT and the
industrial property by Imperial Equities, all of which remain
current and have recourse to the sponsor.
The exposure by transaction and servicer loan status as of the
April 2016 remittance:
CMLS 2014-1
-- Clearwater Suites (3.5%; $9.5 million; loan is current).
IMSCI 2012-2
-- Lakewood Apartments (8.3%; $17.2 million; 30 days, in
special servicing).
IMSCI 2013-3
-- Lunar & Whimbrel Apartments (3.2%; $7.1 million; 30 days, in
special servicing);
-- Snowbird & Skyview Apartments (3%; $6.7 million; 30 days, in
special servicing);
-- Parkland & Gannet Apartments (2.6%, $5.8 million; 30 days,
in special servicing).
IMSCI 2013-4
-- Nelson Ridge pari passu note (7%; $21.8 million; current, in
special servicing);
-- Franklin Suites (3.1%; $9.8 million, current).
IMSCI 2014-5
-- Nelson Ridge pari passu note (2.8%; $7.6 million; current,
in special servicing).
REAL-T 2014-1
-- Strongco Building Fort McMurray (4.3%, $11.7 million;
current).
RATING SENSITIVITIES
The Rating Watch Negative placements and Negative Outlooks are due
to the uncertainty regarding operations and ultimate recoveries of
the properties listed above. Potential loan losses may be
mitigated by recourse provisions and insurance proceeds. Fitch
will continue to monitor the impact of oil prices and the current
wildfires on the properties. As full reviews are completed, the
Rating Watch and Outlooks will be revisited as more information
becomes available. Downgrades of one category are possible;
additional classes may be placed on Rating Watch or assigned
Negative Outlooks if loss expectations exceed Fitch's conservative
estimates.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has placed these classes on Rating Watch Negative or revised
Rating Outlooks as indicated:
CMLS Issuer Corp.'s commercial mortgage pass-through certificates
series 2014-1 (CMLS 2014-1):
-- $2.8 million class G 'Bsf'; Rating Watch Negative.
Institutional Mortgage Capital, commercial mortgage pass-through
certificates series 2012-2 (IMSCI 2012-2):
-- $3.6 million class E 'BBB-sf'; Outlook to Negative from
Stable;
-- $3 million class F 'BBsf'; Rating Watch Negative;
-- $2.4 million class G 'Bsf'; Rating Watch Negative.
Institutional Mortgage Capital, LP's commercial mortgage
pass-through certificates series 2013-3 (IMSCI 2013-3):
-- $6.9 million class D 'BBBsf'; Outlook to Negative from
Stable;
-- $3.8 million class E 'BBB-sf'; Outlook to Negative from
Stable;
-- $3.1 million class F 'BBsf'; Rating Watch Negative;
-- $2.5 million class G 'Bsf'; Rating Watch Negative.
Institutional Mortgage Securities Canada Inc.'s Commercial Mortgage
Pass-Through Certificates series 2013-4 (IMSCI 2013-4):
-- $9.1 million class D 'BBBsf'; Outlook to Negative from
Stable;
-- $5 million class E 'BBB-sf'; Rating Watch Negative;
-- $3.7 million class F 'BBsf'; Rating Watch Negative;
-- $3.3 million class G 'Bsf'; Rating Watch Negative.
Institutional Mortgage Securities Canada Inc.'s commercial mortgage
pass-through certificates series 2014-5 (IMSCI 2014-5):
-- $3.1 million class G 'Bsf'; Rating Watch Negative.
Real Estate Asset Liquidity Trust's commercial mortgage
pass-through certificates, series 2014-1 (REAL-T 2014-1):
-- $2.8 million class G 'Bsf'; Outlook to Negative from Stable.
[*] S&P Corrects Ratings on 4 Tranches From 3 RMBS Deals
--------------------------------------------------------
S&P Global Ratings, in a May 5, 2016 statement, corrected its
ratings on four classes from three U.S. RMBS transactions issued
between 2003 and 2005 by raising them.
In late 2015, S&P corrected a rating following third-party data
provider Intex Solutions Inc.'s revision of its reported data.
Intex had previously reported interest shortfalls on a class in a
U.S. RMBS transaction, and consequently, S&P lowered its rating on
that class pursuant to our interest shortfall criteria set forth in
"Methodology For Assessing The Impact Of Interest Shortfalls On
U.S. RMBS," published March 28, 2012. Intex then revised its
reporting on the transaction, indicating that this class had not
experienced any interest shortfalls, and S&P corrected its rating
accordingly.
Following that correction, S&P sought to identify any additional
instances where Intex had revised its reporting on interest
shortfalls and determine what impact, if any, those revisions have
on S&P's ratings.
S&P has identified four classes from three transactions where a
rating correction is necessary. For each of these four ratings,
Intex had reported interest shortfalls and subsequently revised
those reports to indicate that there had been no interest
shortfalls (specifically, Intex revised its reports between January
2013 and January 2014). Prior to the receipt of the revised
reports, S&P had lowered its ratings on each of these classes to
reflect such interest shortfalls. Based on the revised interest
shortfall information from Intex, as well as S&P's current view of
these classes' credit risk, S&P raised its ratings on these four
classes.
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.
RATINGS RAISED
CSFB Mortgage-Backed Trust Series 2003-1
Rating
Class CUSIP To From
D-B-1 2254W0GJ8 AA+ (sf) A+ (sf)
CWABS Asset-Backed Certificates Trust 2005-15
Rating
Class CUSIP To From
M-2 126670MJ4 CCC (sf) D (sf)
M-3 126670MK1 CC (sf) D (sf)
Fannie Mae REMIC Trust 2003-W1
Rating
Class CUSIP To From
B-2 31392GWF8 CCC (sf) D (sf)
[*] S&P Cuts Ratings on 11 Classes From 5 CMBS Transactions
-----------------------------------------------------------
S&P Global Ratings, on May 5, 2016, lowered its ratings on 11
classes of commercial mortgage pass-through certificates from five
U.S. commercial mortgage-backed securities (CMBS) transactions.
Specifically, S&P lowered its ratings to 'D (sf)' on eight classes
from four U.S. CMBS transactions due to accumulated interest
shortfalls that S&P expects to remain outstanding for the
foreseeable future. S&P also lowered its ratings to 'CCC- (sf)' on
three classes from three U.S. CMBS transaction due to current and
potential interest shortfalls.
The recurring interest shortfalls for the respective certificates
are primarily due to one or more of:
-- Appraisal subordinate entitlement reduction (ASER) amounts
in effect for specially serviced assets;
-- The lack of servicer advancing for loans/assets where the
servicer has made nonrecoverable advance declarations;
-- Interest rate modifications or deferrals, or both, related
to corrected mortgage loans; or
-- Special servicing fees.
S&P Global Ratings' analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using recent
Member of the Appraisal Institute (MAI) appraisals. S&P also
considered servicer-nonrecoverable advance declarations and special
servicing fees that are likely, in S&P's view, to cause recurring
interest shortfalls.
The servicer implements ARAs and resulting ASER amounts according
to each respective transaction's terms. Typically, these terms
call for an ARA equal to 25% of a loan's stated principal balance
to be implemented when it is 60 days past due and an appraisal or
other valuation is not available within a specified time frame.
S&P primarily considered ASER amounts based on ARAs calculated from
MAI appraisals when deciding which classes from the affected
transactions to downgrade to 'D (sf)'. This is because ARAs based
on a principal balance haircut are highly subject to change, or
even reversal, once the special servicer obtains the MAI
appraisals.
Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of previously
made advances after an asset was deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include property
operating expenses, property taxes, insurance payments, and legal
expenses.
BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2002-TOP6
S&P lowered its rating on the class J commercial mortgage
pass-through certificates from Bear Stearns Commercial Mortgage
Securities Trust 2002-TOP6 to 'CCC- (sf)' to reflect accumulated
interest shortfalls outstanding for seven months. The accumulated
interest shortfalls are due to trust expenses associated with two
loans that have liquidated from the trust.
According to the April 2016 trustee remittance report, trust
expenses totaling $66,000 were passed through to the trust
resulting in shortfalls. The current reported interest shortfalls
have affected all classes subordinate to and including class J.
Similar amounts of trust expenses were passed on to the trust in
the February and January 2016 and December 2015 remittance reports.
The downgrade reflects S&P's expectation that the tranche is
likely to continue incurring interest shortfalls in the near
future, although it may recover all of its accumulated interest
shortfalls, notwithstanding additional trust expenses. If the
accumulated interest shortfalls remain outstanding for an extended
period of time, S&P will lower the rating to 'D (sf)' per its
temporary interest shortfall criteria.
GE COMMERCIAL MORTGAGE CORP.
S&P lowered its rating on the class J commercial mortgage
pass-through certificate from GE Commercial Mortgage Corp.'s series
2003-C1 to 'CCC- (sf)' to reflect the accumulated interest
shortfall outstanding for two months. S&P also lowered its ratings
on classes K, L, and M from the same transaction to 'D (sf)' to
reflect S&P's expectation that interest shortfall accumulation will
continue for all three classes, which currently have accumulated
interest shortfalls outstanding for eight months each.
The downgrade on class J reflects potential resolutions for the
specially serviced assets, which may repay the accumulated interest
shortfalls outstanding on the class. According to the April 11,
2016, trustee remittance report, the current monthly interest
shortfalls totaled $234,483 and resulted primarily from interest
not advanced totaling $234,483.
The current reported interest shortfalls have affected all classes
subordinate to and including class J. However if the interest
shortfalls continue to be outstanding for an extended period of
time on class J, S&P may lower the rating on this class to
'D (sf)'.
JPMORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP.
S&P lowered its rating on the class H commercial mortgage
pass-through certificate from JPMorgan Chase Commercial Mortgage
Securities Corp.'s series 2005-LDP1 to 'D (sf)' to reflect
accumulated interest shortfalls outstanding for 11 months. Based
on S&P's analysis, it expects interest shortfall to continue in the
near term. According to the April 15, 2016, trustee remittance
report, the current monthly interest shortfalls totaled $87,724 and
resulted primarily from:
-- Interest not advanced totaling $44,540;
-- Shortfalls due to interest rate modifications totaling
$17,653;
-- ASER amounts totaling $17,292; and
-- Special servicing fees totaling $8,240.
The current reported interest shortfalls have affected all classes
subordinate to and including class H.
MORGAN STANLEY CAPITAL I TRUST 2005-TOP 19
S&P lowered its rating on the class M commercial mortgage
pass-through certificate from Morgan Stanley Capital I Trust
2005-TOP 19 to 'D (sf)' to reflect accumulated interest shortfalls
outstanding for 10 months. Although the class has recovered a
portion of its outstanding interest shortfall this period, S&P
believes the accumulated interest shortfalls will remain
outstanding for greater than 12 months, which prompted the rating
action. According to the April 12, 2016, trustee remittance
report, the current monthly interest shortfalls totaled
$22,950 and resulted primarily from ASER amounts totaling $16,001
and interest on advance paid to servicer totaling $8,022.
The current reported interest shortfalls have affected all classes
subordinate to and including class N, with class M having
accumulated shortfalls outstanding.
MORGAN STANLEY CAPITAL I TRUST 2006-TOP 21
S&P lowered its rating on the class H commercial mortgage
pass-through certificates from Morgan Stanley Capital I Trust
2006-TOP 21 to 'CCC- (sf)' to reflect accumulated interest
shortfalls outstanding for one month. S&P also lowered its ratings
on classes J, K, and L from the same transaction to 'D (sf)' to
reflect accumulate interest shortfalls outstanding for five to
eight months. Based on S&P's analysis, it expects interest
shortfalls to continue in the near term. The downgrade on class H
reflects the potential for the class to recover its accumulated
interest shortfalls if some of the specially serviced loans are
resolved in the near term. However, if the accumulated interest
shortfalls remain outstanding for an extended period of time, S&P
will lower the rating to 'D (sf)', per its temporary interest
shortfall criteria. According to the April 12, 2016, trustee
remittance report, the current monthly interest shortfalls totaled
$90,597 and resulted primarily from:
-- ASER amounts totaling $76,348;
-- Special servicing fees totaling $9,493; and
-- Other expenses to the trust totaling $1,917.
The current reported interest shortfalls have affected all classes
subordinate to and including class H.
RATINGS LOWERED
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP6
Commercial mortgage pass-through certificates
Reported
Rating Interest shortfalls ($)
Class To From Current Accumulated
J CCC- (sf) B+ (sf) 40,204 268,783
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2003-C1
Reported
Rating Interest shortfalls ($)
Class To From Current Accumulated
J CCC- (sf) B+ (sf) 37,392 74,784
K D (sf) CCC- (sf) 37,670 301,361
L D (sf) CCC- (sf) 31,396 251,168
M D (sf) CCC- (sf) 12,557 100,454
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP1
Reported
Rating Interest shortfalls ($)
Class To From Current Accumulated
H D (sf) CCC- (sf) 44,289 861,020
Morgan Stanley Capital I Trust 2005-TOP 19
Commercial mortgage pass-through certificates
Reported
Rating Interest shortfalls ($)
Class To From Current Accumulated
M D (sf) CCC- (sf) -8,022 33,793
Morgan Stanley Capital I Trust 2006-TOP 21
Commercial mortgage pass-through certificates
Reported
Rating Interest shortfalls ($)
Class To From Current Accumulated
H CCC- (sf) CCC+ (sf) 10,829 10,829
J D (sf) CCC- (sf) 34,923 120,101
K D (sf) CCC- (sf) 13,969 69,846
L D (sf) CCC- (sf) 20,954 111,625
[*] S&P Discontinues Ratings on 53 Classes From 23 CDO Transactions
-------------------------------------------------------------------
S&P Global Ratings, on May 6, 2016, discontinued its ratings on 46
classes from 17 cash flow (CF) collateralized loan obligation (CLO)
transactions, four classes from four CF collateralized debt
obligation (CDO) transaction backed by commercial mortgage-backed
securities (CMBS), two classes from one CF mezzanine structured
finance (SF) CDO transaction, and one class from one private equity
collateralized fund obligation (CFO) transaction.
The discontinuances follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports
for each transaction:
-- ABCLO 2007-1 Ltd. (CF CLO): senior-most tranche paid down;
other rated tranches still outstanding.
-- Aberdeen Diamond Private Equity II PLC (formerly SVG Diamond
Private Equity II PLC, CFO): senior-most tranche paid down;
other rated tranches still outstanding.
-- ACAS CLO 2007-1 Ltd. (CF CLO): senior-most tranche paid
down; other rated tranches still outstanding.
-- Babson CLO Ltd. 2011-1 (CF CLO): optional redemption in
April 2016.
-- Blackrock Senior Income Series IV (CF CLO): optional
redemption in April 2016.
-- Cent CDO XI Ltd. (CF CLO): optional redemption in
April 2016.
-- Gateway CLO Ltd. V (CF CLO): optional redemption in
April 2016.
-- Greens Creek Funding Ltd I (CF CLO): optional redemption in
April 2016.
-- Hudson Canyon Funding II Ltd. (CF CLO): optional redemption
in April 2016.
-- Jersey Street CLO Ltd. (CF CLO): optional redemption in
April 2016.
-- JMP Credit Advisors CLO II Ltd. II (CF CLO): class X
notes(i) paid down; other rated tranches still outstanding.
-- MACH ONE 2005-CDN1 ULC (CF CDO of CMBS): senior-most tranche
paid down; other rated tranches still outstanding.
-- Marathon Real Estate CDO 2006-1 Ltd. (CF CDO of CMBS):
senior-most tranche paid down; other rated tranches still
outstanding.
-- Mill Creek CLO Ltd. (CF CLO): optional redemption in
April 2016.
-- Momentum Capital Fund Ltd. (CF CLO): optional redemption in
April 2016.
-- Oak Hill Credit Partners V Ltd (CF CLO): optional redemption
in April 2016.
-- Octagon Investment Partners X Ltd. (CF CLO): senior-most
tranches paid down; other rated tranches still outstanding.
-- Phoenix CLO III Ltd. (CF CLO): senior-most tranche paid
down; other rated tranches still outstanding.
-- Resource Real Estate Funding CDO 2006-1 Ltd. (CF CDO of
CMBS): last rated tranche paid down.
-- RFC CDO 2006-1 Ltd. (CF CDO of CMBS): senior-most tranche
paid down; other rated tranches still outstanding.
-- RFC CDO I Ltd. (CF Mezzanine SF CDO): senior-most tranches
paid down; other rated tranches still outstanding.
-- TELOS CLO 2006-1 Ltd. (CF CLO): senior-most tranche paid
down; other rated tranches still outstanding.
-- Veritas CLO II Ltd. (CF CLO): senior-most tranches paid
down; other rated tranches still outstanding.
(i)An "X note" within a CLO is generally a note with a principal
balance intended to be repaid early in the CLO's life using
interest proceeds from the CLO's waterfall.
RATINGS DISCONTINUED
ABCLO 2007-1 Ltd.
Rating
Class To From
A-2 NR AAA (sf)
Aberdeen Diamond Private Equity II PLC (formerly SVG Diamond
Private Equity II PLC)
Rating
Class To From
C NR BB (sf)
ACAS CLO 2007-1 Ltd.
Rating
Class To From
A-1-S NR AAA (sf)
Babson CLO Ltd. 2011-1
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AA- (sf)
C NR BBB+ (sf)
D NR BB+ (sf)
Blackrock Senior Income Series IV
Rating
Class To From
A NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR BBB+ (sf)
Cent CDO XI Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AA+ (sf)
C NR BBB- (sf)
Gateway CLO Ltd. V
Rating
Class To From
B NR BB+ (sf)
Greens Creek Funding Ltd. I
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AA+ (sf)
C NR A+ (sf)
D NR BBB+ (sf)
Hudson Canyon Funding II Ltd.
Rating
Class To From
B NR AAA (sf)
C NR AA+ (sf)
Jersey Street CLO Ltd.
Rating
Class To From
C NR AAA (sf)
D NR AA+ (sf)
JMP Credit Advisors CLO II Ltd. II
Rating
Class To From
X NR AAA (sf)
MACH ONE 2005-CDN1 ULC
Rating
Class To From
K NR CCC+ (sf)
Marathon Real Estate CDO 2006-1 Ltd.
Rating
Class To From
A-1 NR AA (sf)
Mill Creek CLO Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AAA (sf)
C NR A+ (sf)
D NR BBB+ (sf)
E NR BB+ (sf)
Momentum Capital Fund Ltd.
Rating
Class To From
A2 NR AAA (sf)
B NR AAA (sf)
C NR AA+ (sf)
D NR A+ (sf)
E NR BB+ (sf)
Oak Hill Credit Partners V Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AA+ (sf)
C NR BBB+ (sf)
Octagon Investment Partners X Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-1R NR AAA (sf)
Phoenix CLO III Ltd.
Rating
Class To From
A-1 NR AAA (sf)
Resource Real Estate Funding CDO 2006-1 Ltd.
Rating
Class To From
G NR B- (sf)
RFC CDO 2006-1 Ltd.
Rating
Class To From
A-2 NR BB- (sf)
RFC CDO I Ltd.
Rating
Class To From
B-1 NR B- (sf)
B-2 NR B- (sf)
TELOS CLO 2006-1 Ltd.
Rating
Class To From
A-2 NR AAA (sf)
Veritas CLO II Ltd.
Rating
Class To From
A-1R NR AAA (sf)
A-1T NR AAA (sf)
NR--Not rated.
[*] S&P Takes Actions on 112 Classes From 16 US RMBS Deals
----------------------------------------------------------
S&P Global Ratings, on May 6, 2016, took various rating actions on
112 classes from 16 U.S. residential mortgage-backed securities
(RMBS) transactions issued between 1998 and 2008. The review
yielded 24 upgrades, 18 downgrades, 63 affirmations, and seven
withdrawals.
The transactions in this review are backed by a mix of fixed- and
adjustable-rate prime jumbo mortgage and Alternative-A loans, which
are secured primarily by first liens on one- to four-family
residential properties. Subordination provides credit support for
the reviewed transactions.
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 24 classes from five transactions,
including two ratings that were raised six notches and four ratings
that were raised five notches. The projected credit enhancement
for the affected classes is sufficient to cover S&P's projected
losses at these rating levels. The upgrades reflect one or more
of:
-- Improved underlying collateral;
-- Expected short duration; and/or
-- Increased credit support.
DOWNGRADES
S&P lowered its ratings on 18 classes from eight transactions,
including three ratings that were lowered four or more notches. Of
the 18 downgrades, S&P lowered its ratings on three classes to
speculative-grade ('BB+' or lower) from investment-grade ('BBB-' or
higher). Another six lowered ratings remained at an
investment-grade level, and the remaining nine downgraded classes
already had speculative-grade ratings. The downgrades reflect
S&P's belief that its projected credit support for the affected
classes will be insufficient to cover its remaining projected
losses for the related transactions at a higher rating. The
downgrades also reflect one or more of:
-- Deteriorated credit performance trends;
-- Decreased credit enhancement available to the classes;
and/or
-- Substantial changes in pool-level constant prepayment rates
or delinquency levels.
WITHDRAWALS
S&P withdrew its ratings on seven classes from Washington Mutual
MSC Mortgage Pass-Through Certificates Series 2003-MS1 Trust due to
the small number of loans remaining in the related pool. Once a
pool has declined to a de minimis amount, S&P believes that tail
risk cannot be addressed because the high degree of credit
instability is incompatible with any rating level.
AFFIRMATIONS
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and in turn to the ratings suggested by S&P's cash flow
projections. In these circumstances, S&P affirmed, rather than
raised, its ratings on those classes to promote ratings stability.
In general, the bonds that were affected reflect:
-- Historical interest shortfalls;
-- Low priority of principal payments;
-- Significant growth in observed loss severities or the
delinquency pipeline;
-- Low subordination; and
-- Tail risk.
Of the 63 affirmed ratings, 28 are investment-grade and 35 are
speculative-grade. The affirmations of classes rated above
'CCC (sf)' reflect the classes' relatively senior positions in
payment priority and S&P's opinion that its projected credit
support is sufficient to cover its projected losses at those rating
levels.
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, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:
-- Total unemployment will tick up to 5.1% 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/1TUa4Da
[*] S&P Takes Rating Actions on 97 Classes From 41 RMBS Deals
-------------------------------------------------------------
S&P Global Ratings, on May 9, 2016, took various actions on 97
classes from 41 U.S. residential mortgage-backed securities (RMBS)
transactions. S&P lowered four ratings, raised 11 ratings, and
affirmed 82 ratings.
All of the transactions in this review were issued between 2002 and
2007 and are supported primarily by fixed- and adjustable-rate
closed-end second-lien mortgage loans.
Subordination, overcollateralization (where available), excess
interest, pool policies, as applicable, and bond insurance, as
applicable, provide credit enhancement for the transactions in this
review. Where the bond insurer is rated lower than what S&P would
rate the respective class, or is no longer rated, S&P relied solely
on the underlying collateral's credit quality and the transaction
structure to derive the rating.
Where transactions benefit from support provided by pool policies
and/or seller's loss coverage, in the application of S&P's mortgage
insurance criteria it considers the rating on the policy provider,
historical claims coverage, remaining coverage, and whether classes
that could benefit from coverage may still be negatively impacted
by temporary write downs and/or interest shortfalls.
ANALYTICAL CONSIDERATIONS
S&P routinely incorporates various considerations into its
decisions to raise, lower, or affirm ratings when reviewing the
indicative ratings suggested by S&P's projected cash flows. These
considerations are based on specific performance or structural
characteristics, or both, and their potential effects on certain
classes.
DOWNGRADES
S&P lowered its ratings on four classes due to deteriorating credit
performance trends and/or insufficient credit enhancement relative
to S&P's projected losses.
Of the lowered ratings in this review, one remained at
investment-grade ('BBB- (sf)' or higher) and three remained at
speculative-grade ('BB+ (sf)' or lower).
UPGRADES
S&P raised its ratings on 11 classes due to increased prepayments
and increased credit enhancement. The projected credit enhancement
for the affected classes is sufficient to cover S&P's projected
losses at these rating levels.
AFFIRMATIONS
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. In these circumstances, S&P affirmed, rather
than raised, its ratings on those classes to promote ratings
stability. In general, the bonds that were affected reflect one or
more of:
-- A high proportion of balloon loans in the pool that are
approaching their maturity date;
-- A high proportion of interest-only loans in the pool that
are approaching their reset date;
-- Low levels of available credit enhancement;
-- The application of an Operational Risk cap;
-- Observed interest shortfalls; and
-- Deteriorating credit performance trends.
In addition, in accordance with S&P's second-lien criteria, some
classes are limited to a liquidity rating cap of 'A+' due to having
an estimated payoff of greater than 24 months, or having
insufficient hard credit enhancement for higher rating categories.
S&P affirmed 17 ratings in the 'AAA' through 'A' categories. In
addition, S&P affirmed ratings in the 'BBB' through 'B' categories
on 59 classes. These affirmations reflect S&P's opinion that its
projected credit support is sufficient to cover its projected
losses in those rating scenarios.
S&P also affirmed six 'CCC (sf)' or 'CC (sf)' ratings. S&P
believes that its projected credit support will remain insufficient
to cover its projected losses to these classes. As defined in
"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' ratings,"
published Oct. 1, 2012, the 'CCC (sf)' affirmations indicate that
S&P believes these classes are still vulnerable to default, and the
'CC (sf)' affirmations reflect S&P's belief that these classes
remain virtually certain to default.
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. S&P Global Ratings' 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 S&P Global Ratings' 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/1TcySfu
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2016. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***